From 7d6a44134f2d2b72587a5cf823b85d858a77d587 Mon Sep 17 00:00:00 2001 From: Simon Cockx Date: Fri, 6 Oct 2023 15:47:43 +0200 Subject: [PATCH] Bundle update --- RELEASE.md | 2 +- pom.xml | 2 +- .../allocation/allocation-func-input.json | 948 +-- .../clearing/clearing-func-input.json | 932 +-- .../compression/compression-func-input.json | 2946 +++++----- ...tract-formation-basis-swap-func-input.json | 730 +-- ...mation-credit-default-swap-func-input.json | 670 +-- .../contract-formation-fra-func-input.json | 416 +- ...tract-formation-fx-forward-func-input.json | 240 +- ...contract-formation-ir-swap-func-input.json | 570 +- ...-swap-with-legal-agreement-func-input.json | 672 +-- ...ontract-formation-ois-swap-func-input.json | 580 +- ...-formation-repo-fixed-rate-func-input.json | 398 +- ...ontract-formation-swaption-func-input.json | 684 +-- .../corporate-actions-func-input.json | 1022 ++-- .../corporate-actions-obs-func-input.json | 1028 ++-- .../credit-event/credit-event-func-input.json | 412 +- .../credit-event-obs-func-input.json | 414 +- .../execution-basis-swap-func-input.json | 726 +-- ...cution-credit-default-swap-func-input.json | 626 +- .../execution/execution-fra-func-input.json | 478 +- .../execution-fx-forward-func-input.json | 288 +- .../execution-ir-swap-func-input.json | 628 +- ...execution-ir-swap-with-fee-func-input.json | 656 +-- ...p-with-other-party-payment-func-input.json | 710 +-- .../execution-ois-swap-func-input.json | 632 +- .../execution-repo-fixed-rate-func-input.json | 430 +- .../execution-swaption-func-input.json | 740 +-- ...xercise-cancellable-option-func-input.json | 874 +-- .../exercise-cash-settled-func-input.json | 1056 ++-- .../exercise-partial-exercise-func-input.json | 900 +-- ...ise-swaption-full-physical-func-input.json | 740 +-- ...ex-transition-vanilla-swap-func-input.json | 764 +-- ...index-transition-xccy-swap-func-input.json | 1128 ++-- .../novation/full-novation-func-input.json | 850 +-- .../novation/partial-novation-func-input.json | 892 +-- ...ll-termination-equity-swap-func-input.json | 1076 ++-- ...l-termination-vanilla-swap-func-input.json | 794 +-- .../increase-equity-swap-func-input.json | 1272 ++-- ...al-termination-equity-swap-func-input.json | 1304 ++--- ...l-termination-vanilla-swap-func-input.json | 794 +-- .../stock-split-equity-swap-func-input.json | 996 ++-- .../merge-criteria-func-input.json | 134 +- .../repo-and-bond/cancellation-input.json | 1074 ++-- .../on-demand-interest-payment-input.json | 1128 ++-- .../on-demand-rate-change-input.json | 906 +-- .../repo-and-bond/pair-off-input.json | 2930 +++++----- .../functions/repo-and-bond/roll-input.json | 1074 ++-- .../repo-and-bond/shaping-input.json | 2504 ++++---- .../allocation-sec-lending-func-input.json | 1050 ++-- .../block-execution-instruction.json | 622 +- ...e-security-lending-invoice-func-input.json | 5137 +++++++++-------- ...return-settlement-workflow-func-input.json | 1237 ++-- .../new-settlement-workflow-func-input.json | 652 +-- ...return-settlement-workflow-func-input.json | 820 +-- .../reallocation-pre-settled-func-input.json | 1266 ++-- .../cancellation/cancellation-func-input.json | 2584 ++++----- .../correction/correction-func-input.json | 2558 ++++---- 58 files changed, 29078 insertions(+), 28618 deletions(-) diff --git a/RELEASE.md b/RELEASE.md index b5cf90b98c..78992bbb36 100644 --- a/RELEASE.md +++ b/RELEASE.md @@ -7,7 +7,7 @@ This release updates the `rosetta-dsl` dependency. Version updates include: - `rosetta-dsl` 8.8.1: Changes to support serialisation to XML. For further details see DSL release notes: https://github.com/REGnosys/rosetta-dsl/releases/tag/8.8.1. -There are no changes to the model. Test expectations have not changed functionaly, but +There are no changes to the model. Test expectations have not changed functionally, but the order of the JSON attributes now follows the order of the Rosetta model. Additionally, enum values in expectations now respect the naming convention of the Rosetta model. diff --git a/pom.xml b/pom.xml index 3ce406d71d..02f12a9a29 100644 --- a/pom.xml +++ b/pom.xml @@ -82,7 +82,7 @@ oss.sonatype.org - 8.0.0 + 8.0.1 ${rosetta.bundle.version} 8.8.2 diff --git a/rosetta-source/src/main/resources/cdm-sample-files/functions/business-event/allocation/allocation-func-input.json b/rosetta-source/src/main/resources/cdm-sample-files/functions/business-event/allocation/allocation-func-input.json index 3ba7927243..04141504a5 100644 --- a/rosetta-source/src/main/resources/cdm-sample-files/functions/business-event/allocation/allocation-func-input.json +++ b/rosetta-source/src/main/resources/cdm-sample-files/functions/business-event/allocation/allocation-func-input.json @@ -1,124 +1,193 @@ { "instruction" : [ { - "before" : { - "value" : { - "meta" : { - "globalKey" : "cbda561b" - }, - "trade" : { - "meta" : { - "globalKey" : "cbda561b" - }, - "party" : [ { - "businessUnit" : [ { - "meta" : { - "externalKey" : "desk1", - "globalKey" : "5c10b72e" - }, - "name" : "NY Swaps Desk" - } ], - "meta" : { - "externalKey" : "party1", - "globalKey" : "fdda73db" - }, - "name" : { - "value" : "Bank X" + "primitiveInstruction" : { + "split" : { + "breakdown" : [ { + "partyChange" : { + "counterparty" : { + "role" : "Party2", + "partyReference" : { + "value" : { + "partyId" : [ { + "identifier" : { + "value" : "LEI2CP00A1", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/iso17442" + } + }, + "identifierType" : "LEI", + "meta" : { + "globalKey" : "eb8ee0af" + } + } ], + "name" : { + "value" : "Fund 2" + }, + "meta" : { + "globalKey" : "c170e6a6", + "externalKey" : "party3" + } + } + } }, - "partyId" : [ { - "identifier" : { + "tradeId" : [ { + "issuer" : { + "value" : "LEI1RPT001", "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/iso17442" - }, - "value" : "LEI1RPT0001" + "scheme" : "http://www.fpml.org/coding-scheme/external/cftc/issuer-identifier" + } }, - "identifierType" : "LEI", + "assignedIdentifier" : [ { + "identifier" : { + "value" : "LEI1RPT001POST1", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/unique-transaction-identifier" + } + } + } ], "meta" : { - "globalKey" : "b8962566" + "globalKey" : "651634bf" + }, + "identifierType" : "UniqueTransactionIdentifier" + } ] + }, + "quantityChange" : { + "change" : [ { + "quantity" : [ { + "value" : { + "value" : 7000.0, + "unit" : { + "currency" : { + "value" : "EUR" + } + } + } + } ], + "meta" : { + "globalKey" : "b21aa069" } } ], - "person" : [ { - "firstName" : "jjone", - "meta" : { - "externalKey" : "trader", - "globalKey" : "d3962233" - }, - "personId" : [ { + "direction" : "Replace" + } + }, { + "partyChange" : { + "counterparty" : { + "role" : "Party2", + "partyReference" : { "value" : { - "identifier" : { - "value" : "jjones" + "partyId" : [ { + "identifier" : { + "value" : "LEI3CP00A2", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/iso17442" + } + }, + "identifierType" : "LEI", + "meta" : { + "globalKey" : "20751bf1" + } + } ], + "name" : { + "value" : "Fund 3" }, "meta" : { - "globalKey" : "baeb8c0d" + "globalKey" : "55b55969", + "externalKey" : "party4" } } - } ] - } ] - }, { - "meta" : { - "externalKey" : "party2", - "globalKey" : "ee963b6" - }, - "name" : { - "value" : "Bank Y" + } }, - "partyId" : [ { - "identifier" : { + "tradeId" : [ { + "issuer" : { + "value" : "LEI1RPT001", "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/iso17442" - }, - "value" : "LEI2CP0002" + "scheme" : "http://www.fpml.org/coding-scheme/external/cftc/issuer-identifier" + } }, - "identifierType" : "LEI", + "assignedIdentifier" : [ { + "identifier" : { + "value" : "LEI1RPT001POST2", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/unique-transaction-identifier" + } + } + } ], "meta" : { - "globalKey" : "eb8edea1" - } + "globalKey" : "651634de" + }, + "identifierType" : "UniqueTransactionIdentifier" } ] - }, { - "meta" : { - "externalKey" : "broker1", - "globalKey" : "ed0cc6d1" - }, - "name" : { - "value" : "Up&Atem" + }, + "quantityChange" : { + "change" : [ { + "quantity" : [ { + "value" : { + "value" : 3000.0, + "unit" : { + "currency" : { + "value" : "EUR" + } + } + } + } ], + "meta" : { + "globalKey" : "de81b365" + } + } ], + "direction" : "Replace" + } + }, { + "quantityChange" : { + "change" : [ { + "quantity" : [ { + "value" : { + "value" : 0.0, + "unit" : { + "currency" : { + "value" : "EUR" + } + } + } + } ], + "meta" : { + "globalKey" : "16df72" + } + } ], + "direction" : "Replace" + } + } ] + } + }, + "before" : { + "value" : { + "trade" : { + "tradeIdentifier" : [ { + "issuer" : { + "value" : "LEI1RPT0001", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/cftc/issuer-identifier" + } }, - "partyId" : [ { + "assignedIdentifier" : [ { "identifier" : { + "value" : "LEI1RPT001PREAA", "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/iso17442" - }, - "value" : "549300OL8KL0WCQ34V31" - }, - "identifierType" : "LEI", - "meta" : { - "globalKey" : "8ffabe4b" + "scheme" : "http://www.fpml.org/coding-scheme/external/unique-transaction-identifier" + } } - } ] - } ], - "partyRole" : [ { - "ownershipPartyReference" : { - "externalReference" : "party1", - "globalReference" : "fdda73db" - }, - "partyReference" : { - "externalReference" : "broker1", - "globalReference" : "ed0cc6d1" + } ], + "meta" : { + "globalKey" : "e5010f07" }, - "role" : "ARRANGING_BROKER" + "identifierType" : "UniqueTransactionIdentifier" } ], + "tradeDate" : { + "value" : "2018-04-01", + "meta" : { + "globalKey" : "3f1101" + } + }, "tradableProduct" : { - "counterparty" : [ { - "partyReference" : { - "externalReference" : "party1", - "globalReference" : "fdda73db" - }, - "role" : "PARTY_1" - }, { - "partyReference" : { - "externalReference" : "party2", - "globalReference" : "ee963b6" - }, - "role" : "PARTY_2" - } ], "product" : { "contractualProduct" : { "productTaxonomy" : [ { @@ -129,46 +198,42 @@ "payout" : { "interestRatePayout" : [ { "payerReceiver" : { - "payer" : "PARTY_1", - "receiver" : "PARTY_2" + "payer" : "Party1", + "receiver" : "Party2" }, "priceQuantity" : { - "meta" : { - "globalKey" : "0" - }, "quantitySchedule" : { "address" : { "scope" : "DOCUMENT", "value" : "quantity-1" } + }, + "meta" : { + "globalKey" : "0" } }, - "calculationPeriodDates" : { - "calculationPeriodDatesAdjustments" : { - "businessCenters" : { - "businessCentersReference" : { - "externalReference" : "accrualBusinessCenters0", - "globalReference" : "20a71d" - }, - "meta" : { - "globalKey" : "622268e1" + "rateSpecification" : { + "fixedRate" : { + "rateSchedule" : { + "price" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "price-1" + } } }, - "businessDayConvention" : "MODFOLLOWING", "meta" : { - "globalKey" : "985d6cb2" + "globalKey" : "0" } - }, - "calculationPeriodFrequency" : { - "meta" : { - "globalKey" : "2b934" - }, - "period" : "Y", - "periodMultiplier" : 1, - "rollConvention" : "30" - }, + } + }, + "dayCountFraction" : { + "value" : "30/360" + }, + "calculationPeriodDates" : { "effectiveDate" : { "adjustableDate" : { + "unadjustedDate" : "2018-04-03", "dateAdjustments" : { "businessDayConvention" : "NONE", "meta" : { @@ -177,135 +242,133 @@ }, "meta" : { "globalKey" : "ece3837b" - }, - "unadjustedDate" : "2018-04-03" + } }, "meta" : { "globalKey" : "ece3837b" } }, - "meta" : { - "externalKey" : "CalcPeriodDates0", - "globalKey" : "c2b8fce5" - }, "terminationDate" : { "adjustableDate" : { + "unadjustedDate" : "2026-08-30", "dateAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", "businessCenters" : { "businessCenter" : [ { "value" : "EUTA" } ], "meta" : { - "externalKey" : "accrualBusinessCenters0", - "globalKey" : "20a71d" + "globalKey" : "20a71d", + "externalKey" : "accrualBusinessCenters0" } }, - "businessDayConvention" : "MODFOLLOWING", "meta" : { "globalKey" : "365baaee" } }, "meta" : { "globalKey" : "a610fb90" - }, - "unadjustedDate" : "2026-08-30" + } }, "meta" : { "globalKey" : "a610fb90" } - } - }, - "dayCountFraction" : { - "value" : "30/360" - }, - "meta" : { - "globalKey" : "708624bc" + }, + "calculationPeriodDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCentersReference" : { + "globalReference" : "20a71d", + "externalReference" : "accrualBusinessCenters0" + }, + "meta" : { + "globalKey" : "622268e1" + } + }, + "meta" : { + "globalKey" : "985d6cb2" + } + }, + "calculationPeriodFrequency" : { + "periodMultiplier" : 1, + "period" : "Y", + "meta" : { + "globalKey" : "17984" + }, + "rollConvention" : "30" + }, + "meta" : { + "globalKey" : "e308c58b", + "externalKey" : "CalcPeriodDates0" + } }, "paymentDates" : { - "meta" : { - "globalKey" : "4d64aef4" + "paymentFrequency" : { + "periodMultiplier" : 1, + "period" : "Y", + "meta" : { + "globalKey" : "78" + } }, - "payRelativeTo" : "CALCULATION_PERIOD_END_DATE", + "payRelativeTo" : "CalculationPeriodEndDate", "paymentDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", "businessCenters" : { "businessCenter" : [ { "value" : "EUTA" } ], "meta" : { - "externalKey" : "paymentBusinessCenters0", - "globalKey" : "20a71d" + "globalKey" : "20a71d", + "externalKey" : "paymentBusinessCenters0" } }, - "businessDayConvention" : "MODFOLLOWING", "meta" : { "globalKey" : "365baaee" } }, - "paymentFrequency" : { - "meta" : { - "globalKey" : "ac8" - }, - "period" : "Y", - "periodMultiplier" : 1 + "meta" : { + "globalKey" : "9b0d9350" } }, - "rateSpecification" : { - "fixedRate" : { - "meta" : { - "globalKey" : "0" - }, - "rateSchedule" : { - "price" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "price-1" - } - } - } - } + "meta" : { + "globalKey" : "b28f8bd0" } }, { "payerReceiver" : { - "payer" : "PARTY_2", - "receiver" : "PARTY_1" + "payer" : "Party2", + "receiver" : "Party1" }, "priceQuantity" : { - "meta" : { - "globalKey" : "0" - }, "quantitySchedule" : { "address" : { "scope" : "DOCUMENT", "value" : "quantity-2" } + }, + "meta" : { + "globalKey" : "0" } }, - "calculationPeriodDates" : { - "calculationPeriodDatesAdjustments" : { - "businessCenters" : { - "businessCentersReference" : { - "externalReference" : "accrualBusinessCenters1", - "globalReference" : "20a71d" - }, - "meta" : { - "globalKey" : "622268e2" + "rateSpecification" : { + "floatingRate" : { + "rateOption" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "rateOption-1" } }, - "businessDayConvention" : "MODFOLLOWING", "meta" : { - "globalKey" : "985d6cb3" + "globalKey" : "0" } - }, - "calculationPeriodFrequency" : { - "meta" : { - "globalKey" : "28cc3" - }, - "period" : "M", - "periodMultiplier" : 6, - "rollConvention" : "30" - }, + } + }, + "dayCountFraction" : { + "value" : "ACT/360" + }, + "calculationPeriodDates" : { "effectiveDate" : { "adjustableDate" : { + "unadjustedDate" : "2018-04-03", "dateAdjustments" : { "businessDayConvention" : "NONE", "meta" : { @@ -314,440 +377,377 @@ }, "meta" : { "globalKey" : "ece3837b" - }, - "unadjustedDate" : "2018-04-03" + } }, "meta" : { "globalKey" : "ece3837b" } }, - "meta" : { - "externalKey" : "CalcPeriodDates1", - "globalKey" : "b5bd8bd5" - }, "terminationDate" : { "adjustableDate" : { + "unadjustedDate" : "2026-08-30", "dateAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", "businessCenters" : { "businessCenter" : [ { "value" : "EUTA" } ], "meta" : { - "externalKey" : "accrualBusinessCenters1", - "globalKey" : "20a71d" + "globalKey" : "20a71d", + "externalKey" : "accrualBusinessCenters1" } }, - "businessDayConvention" : "MODFOLLOWING", "meta" : { "globalKey" : "365baaee" } }, "meta" : { "globalKey" : "a610fb90" - }, - "unadjustedDate" : "2026-08-30" + } }, "meta" : { "globalKey" : "a610fb90" } + }, + "calculationPeriodDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCentersReference" : { + "globalReference" : "20a71d", + "externalReference" : "accrualBusinessCenters1" + }, + "meta" : { + "globalKey" : "622268e2" + } + }, + "meta" : { + "globalKey" : "985d6cb3" + } + }, + "calculationPeriodFrequency" : { + "periodMultiplier" : 6, + "period" : "M", + "meta" : { + "globalKey" : "18ad5" + }, + "rollConvention" : "30" + }, + "meta" : { + "globalKey" : "e316ee5d", + "externalKey" : "CalcPeriodDates1" } }, - "dayCountFraction" : { - "value" : "ACT/360" - }, - "meta" : { - "globalKey" : "e6434002" - }, "paymentDates" : { - "meta" : { - "globalKey" : "4d64ad85" + "paymentFrequency" : { + "periodMultiplier" : 6, + "period" : "M", + "meta" : { + "globalKey" : "107" + } }, - "payRelativeTo" : "CALCULATION_PERIOD_END_DATE", + "payRelativeTo" : "CalculationPeriodEndDate", "paymentDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", "businessCenters" : { "businessCenter" : [ { "value" : "EUTA" } ], "meta" : { - "externalKey" : "paymentBusinessCenters1", - "globalKey" : "20a71d" + "globalKey" : "20a71d", + "externalKey" : "paymentBusinessCenters1" } }, - "businessDayConvention" : "MODFOLLOWING", "meta" : { "globalKey" : "365baaee" } }, - "paymentFrequency" : { - "meta" : { - "globalKey" : "959" - }, - "period" : "M", - "periodMultiplier" : 6 - } - }, - "rateSpecification" : { - "floatingRate" : { - "meta" : { - "globalKey" : "0" - }, - "rateOption" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "rateOption-1" - } - } + "meta" : { + "globalKey" : "8f129421" } }, "resetDates" : { "calculationPeriodDatesReference" : { - "externalReference" : "CalcPeriodDates1", - "globalReference" : "b5bd8bd5" + "globalReference" : "e316ee5d", + "externalReference" : "CalcPeriodDates1" }, + "resetRelativeTo" : "CalculationPeriodStartDate", "fixingDates" : { + "periodMultiplier" : -2, + "period" : "D", "meta" : { - "globalKey" : "2d80ce65" + "globalKey" : "a5cb919" }, - "period" : "D", - "periodMultiplier" : -2, - "dayType" : "BUSINESS", + "dayType" : "Business", + "businessDayConvention" : "NONE", "businessCenters" : { "businessCenter" : [ { "value" : "EUTA" } ], "meta" : { - "externalKey" : "fixingBusinessCenters0", - "globalKey" : "20a71d" + "globalKey" : "20a71d", + "externalKey" : "fixingBusinessCenters0" } }, - "businessDayConvention" : "NONE", "dateRelativeTo" : { - "externalReference" : "resetDates0", - "globalReference" : "3522cca9" + "globalReference" : "dbaefb1", + "externalReference" : "resetDates0" } }, - "meta" : { - "externalKey" : "resetDates0", - "globalKey" : "3522cca9" + "resetFrequency" : { + "periodMultiplier" : 6, + "period" : "M", + "meta" : { + "globalKey" : "107" + } }, "resetDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", "businessCenters" : { "businessCentersReference" : { - "externalReference" : "paymentBusinessCenters1", - "globalReference" : "20a71d" + "globalReference" : "20a71d", + "externalReference" : "paymentBusinessCenters1" }, "meta" : { "globalKey" : "e30c2739" } }, - "businessDayConvention" : "MODFOLLOWING", "meta" : { "globalKey" : "19472b0a" } }, - "resetFrequency" : { - "meta" : { - "globalKey" : "959" - }, - "period" : "M", - "periodMultiplier" : 6 - }, - "resetRelativeTo" : "CALCULATION_PERIOD_START_DATE" + "meta" : { + "globalKey" : "dbaefb1", + "externalKey" : "resetDates0" + } + }, + "meta" : { + "globalKey" : "6888292e" } } ], "meta" : { - "globalKey" : "f0c773c6" + "globalKey" : "fc06635e" } } }, "meta" : { - "globalKey" : "8abbb2f7" + "globalKey" : "95faa28f" } }, "meta" : { - "globalKey" : "8abbb2f7" + "globalKey" : "95faa28f" } }, "tradeLot" : [ { "priceQuantity" : [ { - "meta" : { - "globalKey" : "e895b765" - }, "price" : [ { - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-1" - } ] - }, "value" : { + "value" : 0.05, "unit" : { "currency" : { "value" : "EUR" } }, - "value" : 0.05, "perUnitOf" : { "currency" : { "value" : "EUR" } }, - "priceType" : "INTEREST_RATE" + "priceType" : "InterestRate" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-1" + } ] } } ], "quantity" : [ { + "value" : { + "value" : 10000, + "unit" : { + "currency" : { + "value" : "EUR" + } + } + }, "meta" : { "location" : [ { "scope" : "DOCUMENT", "value" : "quantity-1" } ] - }, + } + } ], + "meta" : { + "globalKey" : "2a21353b" + } + }, { + "quantity" : [ { "value" : { + "value" : 10000, "unit" : { "currency" : { "value" : "EUR" } - }, - "value" : 10000 + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } ] } - } ] - }, { - "meta" : { - "globalKey" : "cf363520" - }, + } ], "observable" : { - "meta" : { - "globalKey" : "bf589e11" - }, "rateOption" : { - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "rateOption-1" - } ] - }, "value" : { "floatingRateIndex" : { "value" : "EUR-EURIBOR-Telerate" }, "indexTenor" : { - "meta" : { - "globalKey" : "959" - }, + "periodMultiplier" : 6, "period" : "M", - "periodMultiplier" : 6 + "meta" : { + "globalKey" : "107" + } } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "rateOption-1" + } ] } - } - }, - "quantity" : [ { - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } ] }, - "value" : { - "unit" : { - "currency" : { - "value" : "EUR" - } - }, - "value" : 10000 + "meta" : { + "globalKey" : "2bba2221" } - } ] + }, + "meta" : { + "globalKey" : "f2214932" + } } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "74dee05b", + "externalReference" : "party1" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "b97c11f6", + "externalReference" : "party2" + } } ] }, - "tradeDate" : { - "meta" : { - "globalKey" : "3f1101" - }, - "value" : "2018-04-01" - }, - "tradeIdentifier" : [ { - "assignedIdentifier" : [ { + "party" : [ { + "partyId" : [ { "identifier" : { + "value" : "LEI1RPT0001", "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/unique-transaction-identifier" - }, - "value" : "LEI1RPT001PREAA" + "scheme" : "http://www.fpml.org/coding-scheme/external/iso17442" + } + }, + "identifierType" : "LEI", + "meta" : { + "globalKey" : "b8962566" } } ], - "issuer" : { - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/cftc/issuer-identifier" - }, - "value" : "LEI1RPT0001" - }, - "meta" : { - "globalKey" : "ef62af9b" + "name" : { + "value" : "Bank X" }, - "identifierType" : "UNIQUE_TRANSACTION_IDENTIFIER" - } ] - } - } - }, - "primitiveInstruction" : { - "split" : { - "breakdown" : [ { - "partyChange" : { - "counterparty" : { - "partyReference" : { + "businessUnit" : [ { + "name" : "NY Swaps Desk", + "meta" : { + "globalKey" : "5c10b72e", + "externalKey" : "desk1" + } + } ], + "person" : [ { + "personId" : [ { "value" : { - "meta" : { - "externalKey" : "party3", - "globalKey" : "f6a2e6" - }, - "name" : { - "value" : "Fund 2" + "identifier" : { + "value" : "jjones" }, - "partyId" : [ { - "identifier" : { - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/iso17442" - }, - "value" : "LEI2CP00A1" - }, - "identifierType" : "LEI", - "meta" : { - "globalKey" : "eb8ee0af" - } - } ] - } - }, - "role" : "PARTY_2" - }, - "tradeId" : [ { - "assignedIdentifier" : [ { - "identifier" : { "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/unique-transaction-identifier" - }, - "value" : "LEI1RPT001POST1" + "globalKey" : "baeb8c0d" + } } } ], - "issuer" : { - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/cftc/issuer-identifier" - }, - "value" : "LEI1RPT001" - }, - "meta" : { - "globalKey" : "494e5747" - }, - "identifierType" : "UNIQUE_TRANSACTION_IDENTIFIER" - } ] - }, - "quantityChange" : { - "change" : [ { + "firstName" : "jjone", "meta" : { - "globalKey" : "b21aa069" - }, - "quantity" : [ { - "value" : { - "unit" : { - "currency" : { - "value" : "EUR" - } - }, - "value" : 7000.0 - } - } ] + "globalKey" : "d3962233", + "externalKey" : "trader" + } } ], - "direction" : "REPLACE" - } - }, { - "partyChange" : { - "counterparty" : { - "partyReference" : { - "value" : { - "meta" : { - "externalKey" : "party4", - "globalKey" : "35eaf5a9" - }, - "name" : { - "value" : "Fund 3" - }, - "partyId" : [ { - "identifier" : { - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/iso17442" - }, - "value" : "LEI3CP00A2" - }, - "identifierType" : "LEI", - "meta" : { - "globalKey" : "20751bf1" - } - } ] + "meta" : { + "globalKey" : "74dee05b", + "externalKey" : "party1" + } + }, { + "partyId" : [ { + "identifier" : { + "value" : "LEI2CP0002", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/iso17442" } }, - "role" : "PARTY_2" + "identifierType" : "LEI", + "meta" : { + "globalKey" : "eb8edea1" + } + } ], + "name" : { + "value" : "Bank Y" }, - "tradeId" : [ { - "assignedIdentifier" : [ { - "identifier" : { - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/unique-transaction-identifier" - }, - "value" : "LEI1RPT001POST2" - } - } ], - "issuer" : { + "meta" : { + "globalKey" : "b97c11f6", + "externalKey" : "party2" + } + }, { + "partyId" : [ { + "identifier" : { + "value" : "549300OL8KL0WCQ34V31", "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/cftc/issuer-identifier" - }, - "value" : "LEI1RPT001" - }, - "meta" : { - "globalKey" : "494ecba6" - }, - "identifierType" : "UNIQUE_TRANSACTION_IDENTIFIER" - } ] - }, - "quantityChange" : { - "change" : [ { - "meta" : { - "globalKey" : "de81b365" - }, - "quantity" : [ { - "value" : { - "unit" : { - "currency" : { - "value" : "EUR" - } - }, - "value" : 3000.0 + "scheme" : "http://www.fpml.org/coding-scheme/external/iso17442" } - } ] - } ], - "direction" : "REPLACE" - } - }, { - "quantityChange" : { - "change" : [ { - "meta" : { - "globalKey" : "16df72" }, - "quantity" : [ { - "value" : { - "unit" : { - "currency" : { - "value" : "EUR" - } - }, - "value" : 0.0 - } - } ] + "identifierType" : "LEI", + "meta" : { + "globalKey" : "8ffabe4b" + } } ], - "direction" : "REPLACE" + "name" : { + "value" : "Up&Atem" + }, + "meta" : { + "globalKey" : "ce0b9311", + "externalKey" : "broker1" + } + } ], + "partyRole" : [ { + "partyReference" : { + "globalReference" : "ce0b9311", + "externalReference" : "broker1" + }, + "role" : "ArrangingBroker", + "ownershipPartyReference" : { + "globalReference" : "74dee05b", + "externalReference" : "party1" + } + } ], + "meta" : { + "globalKey" : "1bb067ed" } - } ] + }, + "meta" : { + "globalKey" : "1bb067ed" + } } } } ], - "intent" : "ALLOCATION", + "intent" : "Allocation", "eventDate" : "2018-04-01", "effectiveDate" : null } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/cdm-sample-files/functions/business-event/clearing/clearing-func-input.json b/rosetta-source/src/main/resources/cdm-sample-files/functions/business-event/clearing/clearing-func-input.json index fd4cff34af..7910b0161a 100644 --- a/rosetta-source/src/main/resources/cdm-sample-files/functions/business-event/clearing/clearing-func-input.json +++ b/rosetta-source/src/main/resources/cdm-sample-files/functions/business-event/clearing/clearing-func-input.json @@ -1,158 +1,174 @@ { "instruction" : [ { - "before" : { - "value" : { - "meta" : { - "globalKey" : "d2352d4e" - }, - "trade" : { - "meta" : { - "globalKey" : "d2352d4e" - }, - "party" : [ { - "businessUnit" : [ { - "meta" : { - "externalKey" : "desk1", - "globalKey" : "5c10b72e" - }, - "name" : "NY Swaps Desk" - } ], - "meta" : { - "externalKey" : "party1", - "globalKey" : "53076c01" - }, - "name" : { - "value" : "Bank X" + "primitiveInstruction" : { + "split" : { + "breakdown" : [ { + "partyChange" : { + "counterparty" : { + "role" : "Party2", + "partyReference" : { + "value" : { + "partyId" : [ { + "identifier" : { + "value" : "LEI1DCO", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/iso17442" + } + }, + "identifierType" : "LEI", + "meta" : { + "globalKey" : "328365bf" + } + } ], + "name" : { + "value" : "ClearItAll" + }, + "meta" : { + "globalKey" : "e92e7048", + "externalKey" : "clearing-svc" + } + } + } }, - "partyId" : [ { - "identifier" : { + "tradeId" : [ { + "issuer" : { + "value" : "LEI1DCO", "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/iso17442" - }, - "value" : "LEI1RPT001" + "scheme" : "http://www.fpml.org/coding-scheme/external/cftc/issuer-identifier" + } }, - "identifierType" : "LEI", - "meta" : { - "globalKey" : "d051b20c" - } - } ], - "person" : [ { - "firstName" : "jjone", + "assignedIdentifier" : [ { + "identifier" : { + "value" : "LEI1DCO01BETA", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/unique-transaction-identifier" + } + } + } ], "meta" : { - "externalKey" : "trader", - "globalKey" : "d3962233" + "globalKey" : "dcbc5547" }, - "personId" : [ { + "identifierType" : "UniqueTransactionIdentifier" + } ] + } + }, { + "partyChange" : { + "counterparty" : { + "role" : "Party1", + "partyReference" : { "value" : { - "identifier" : { - "value" : "jjones" + "partyId" : [ { + "identifier" : { + "value" : "LEI1DCO", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/iso17442" + } + }, + "identifierType" : "LEI", + "meta" : { + "globalKey" : "328365bf" + } + } ], + "name" : { + "value" : "ClearItAll" }, "meta" : { - "globalKey" : "baeb8c0d" + "globalKey" : "e92e7048", + "externalKey" : "clearing-svc" } } - } ] - } ] - }, { - "meta" : { - "externalKey" : "party2", - "globalKey" : "9a7a6ea8" - }, - "name" : { - "value" : "Bank Y" + } }, - "partyId" : [ { - "identifier" : { + "tradeId" : [ { + "issuer" : { + "value" : "LEI1DCO", "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/iso17442" - }, - "value" : "LEI2CP002" + "scheme" : "http://www.fpml.org/coding-scheme/external/cftc/issuer-identifier" + } }, - "identifierType" : "LEI", + "assignedIdentifier" : [ { + "identifier" : { + "value" : "LEI1DCO01GAMMA", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/unique-transaction-identifier" + } + } + } ], "meta" : { - "globalKey" : "771fe993" - } - } ] - }, { - "meta" : { - "externalKey" : "broker1", - "globalKey" : "ed0cc6d1" - }, - "name" : { - "value" : "Up&Atem" - }, - "partyId" : [ { - "identifier" : { - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/iso17442" - }, - "value" : "549300OL8KL0WCQ34V31" + "globalKey" : "303ad8b0" }, - "identifierType" : "LEI", + "identifierType" : "UniqueTransactionIdentifier" + } ] + } + }, { + "quantityChange" : { + "change" : [ { + "quantity" : [ { + "value" : { + "value" : 0.0, + "unit" : { + "currency" : { + "value" : "USD", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/iso4217" + } + } + } + } + } ], "meta" : { - "globalKey" : "8ffabe4b" + "globalKey" : "171b36" + } + } ], + "direction" : "Replace" + } + } ] + } + }, + "before" : { + "value" : { + "trade" : { + "tradeIdentifier" : [ { + "issuer" : { + "value" : "LEI1RPT001", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/cftc/issuer-identifier" } - } ] - }, { - "meta" : { - "externalKey" : "clearing-svc", - "globalKey" : "b1869788" - }, - "name" : { - "value" : "ClearItAll" }, - "partyId" : [ { + "assignedIdentifier" : [ { "identifier" : { + "value" : "LEI1RPT001ALPHA", "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/iso17442" - }, - "value" : "LEI1DCO" - }, - "identifierType" : "LEI", - "meta" : { - "globalKey" : "328365bf" + "scheme" : "http://www.fpml.org/coding-scheme/external/unique-transaction-identifier" + } } - } ] - } ], - "partyRole" : [ { - "ownershipPartyReference" : { - "externalReference" : "party1", - "globalReference" : "53076c01" - }, - "partyReference" : { - "externalReference" : "clearing-svc", - "globalReference" : "b1869788" + } ], + "meta" : { + "globalKey" : "4b51b4b2" }, - "role" : "CLEARING_ORGANIZATION" + "identifierType" : "UniqueTransactionIdentifier" } ], + "tradeDate" : { + "value" : "2018-04-01", + "meta" : { + "globalKey" : "3f1101" + } + }, "tradableProduct" : { - "counterparty" : [ { - "partyReference" : { - "externalReference" : "party1", - "globalReference" : "53076c01" - }, - "role" : "PARTY_1" - }, { - "partyReference" : { - "externalReference" : "party2", - "globalReference" : "9a7a6ea8" - }, - "role" : "PARTY_2" - } ], "product" : { "contractualProduct" : { "productTaxonomy" : [ { "primaryAssetClass" : { - "value" : "INTEREST_RATE" + "value" : "InterestRate" } }, { "source" : "ISDA", "value" : { "name" : { + "value" : "InterestRate:IRSwap:FixedFloat", "meta" : { "scheme" : "http://www.fpml.org/coding-scheme/product-taxonomy" - }, - "value" : "InterestRate:IRSwap:FixedFloat" + } } } }, { @@ -163,46 +179,40 @@ "payout" : { "interestRatePayout" : [ { "payerReceiver" : { - "payer" : "PARTY_1", - "receiver" : "PARTY_2" + "payer" : "Party1", + "receiver" : "Party2" }, "priceQuantity" : { - "meta" : { - "globalKey" : "0" - }, "quantitySchedule" : { "address" : { "scope" : "DOCUMENT", "value" : "quantity-1" } + }, + "meta" : { + "globalKey" : "0" } }, - "calculationPeriodDates" : { - "calculationPeriodDatesAdjustments" : { - "businessCenters" : { - "businessCentersReference" : { - "externalReference" : "primaryBusinessCenters", - "globalReference" : "27e4e9" - }, - "meta" : { - "globalKey" : "eb13047c" + "rateSpecification" : { + "floatingRate" : { + "rateOption" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "rateOption-1" } }, - "businessDayConvention" : "MODFOLLOWING", "meta" : { - "globalKey" : "214e084d" + "globalKey" : "0" } - }, - "calculationPeriodFrequency" : { - "meta" : { - "globalKey" : "12d23" - }, - "period" : "M", - "periodMultiplier" : 3, - "rollConvention" : "8" - }, + } + }, + "dayCountFraction" : { + "value" : "ACT/360" + }, + "calculationPeriodDates" : { "effectiveDate" : { "adjustableDate" : { + "unadjustedDate" : "2018-04-03", "dateAdjustments" : { "businessDayConvention" : "NONE", "meta" : { @@ -211,103 +221,108 @@ }, "meta" : { "globalKey" : "ece3837b" - }, - "unadjustedDate" : "2018-04-03" + } }, "meta" : { "globalKey" : "ece3837b" } }, - "meta" : { - "externalKey" : "floatingCalcPeriodDates", - "globalKey" : "c7a104bd" - }, "terminationDate" : { "adjustableDate" : { + "unadjustedDate" : "2026-02-08", "dateAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", "businessCenters" : { "businessCenter" : [ { "value" : "USNY" } ], "meta" : { - "externalKey" : "primaryBusinessCenters", - "globalKey" : "27e4e9" + "globalKey" : "27e4e9", + "externalKey" : "primaryBusinessCenters" } }, - "businessDayConvention" : "MODFOLLOWING", "meta" : { "globalKey" : "3662e8ba" } }, "meta" : { "globalKey" : "f148ad32" - }, - "unadjustedDate" : "2026-02-08" + } }, "meta" : { "globalKey" : "f148ad32" } - } - }, - "dayCountFraction" : { - "value" : "ACT/360" - }, - "meta" : { - "globalKey" : "56b447b2" - }, - "paymentDates" : { - "meta" : { - "globalKey" : "4fa45fc3" }, - "payRelativeTo" : "CALCULATION_PERIOD_END_DATE", - "paymentDatesAdjustments" : { + "calculationPeriodDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", "businessCenters" : { "businessCentersReference" : { - "externalReference" : "primaryBusinessCenters", - "globalReference" : "27e4e9" + "globalReference" : "27e4e9", + "externalReference" : "primaryBusinessCenters" }, "meta" : { "globalKey" : "eb13047c" } }, - "businessDayConvention" : "MODFOLLOWING", "meta" : { "globalKey" : "214e084d" } }, - "paymentFrequency" : { + "calculationPeriodFrequency" : { + "periodMultiplier" : 3, + "period" : "M", "meta" : { - "globalKey" : "956" + "globalKey" : "204f" }, - "period" : "M", - "periodMultiplier" : 3 + "rollConvention" : "8" + }, + "meta" : { + "globalKey" : "c513c70f", + "externalKey" : "floatingCalcPeriodDates" } }, - "rateSpecification" : { - "floatingRate" : { + "paymentDates" : { + "paymentFrequency" : { + "periodMultiplier" : 3, + "period" : "M", "meta" : { - "globalKey" : "0" - }, - "rateOption" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "rateOption-1" + "globalKey" : "aa" + } + }, + "payRelativeTo" : "CalculationPeriodEndDate", + "paymentDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCentersReference" : { + "globalReference" : "27e4e9", + "externalReference" : "primaryBusinessCenters" + }, + "meta" : { + "globalKey" : "eb13047c" } + }, + "meta" : { + "globalKey" : "214e084d" } + }, + "meta" : { + "globalKey" : "db523fbd" } }, "resetDates" : { "calculationPeriodDatesReference" : { - "externalReference" : "floatingCalcPeriodDates", - "globalReference" : "c7a104bd" + "globalReference" : "c513c70f", + "externalReference" : "floatingCalcPeriodDates" }, + "resetRelativeTo" : "CalculationPeriodStartDate", "fixingDates" : { + "periodMultiplier" : -2, + "period" : "D", "meta" : { - "globalKey" : "2fdb52ac" + "globalKey" : "cb73d60" }, - "period" : "D", - "periodMultiplier" : -2, - "dayType" : "BUSINESS", + "dayType" : "Business", + "businessDayConvention" : "NONE", "businessCenters" : { "businessCenter" : [ { "value" : "GBLO" @@ -316,82 +331,79 @@ "globalKey" : "21479e" } }, - "businessDayConvention" : "NONE", "dateRelativeTo" : { - "externalReference" : "resetDates6", - "globalReference" : "59412651" + "globalReference" : "845efcff", + "externalReference" : "resetDates6" } }, - "meta" : { - "externalKey" : "resetDates6", - "globalKey" : "59412651" + "resetFrequency" : { + "periodMultiplier" : 3, + "period" : "M", + "meta" : { + "globalKey" : "aa" + } }, "resetDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", "businessCenters" : { "businessCentersReference" : { - "externalReference" : "primaryBusinessCenters", - "globalReference" : "27e4e9" + "globalReference" : "27e4e9", + "externalReference" : "primaryBusinessCenters" }, "meta" : { "globalKey" : "eb13047c" } }, - "businessDayConvention" : "MODFOLLOWING", "meta" : { "globalKey" : "214e084d" } }, - "resetFrequency" : { - "meta" : { - "globalKey" : "956" - }, - "period" : "M", - "periodMultiplier" : 3 - }, - "resetRelativeTo" : "CALCULATION_PERIOD_START_DATE" + "meta" : { + "globalKey" : "845efcff", + "externalKey" : "resetDates6" + } + }, + "meta" : { + "globalKey" : "d897c6ac" } }, { "payerReceiver" : { - "payer" : "PARTY_2", - "receiver" : "PARTY_1" + "payer" : "Party2", + "receiver" : "Party1" }, "priceQuantity" : { - "meta" : { - "globalKey" : "0" - }, "quantitySchedule" : { "address" : { "scope" : "DOCUMENT", "value" : "quantity-2" } + }, + "meta" : { + "globalKey" : "0" } }, - "calculationPeriodDates" : { - "calculationPeriodDatesAdjustments" : { - "businessCenters" : { - "businessCentersReference" : { - "externalReference" : "primaryBusinessCenters", - "globalReference" : "27e4e9" - }, - "meta" : { - "globalKey" : "eb13047c" + "rateSpecification" : { + "fixedRate" : { + "rateSchedule" : { + "price" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "price-1" + } } }, - "businessDayConvention" : "MODFOLLOWING", "meta" : { - "globalKey" : "214e084d" + "globalKey" : "0" } - }, - "calculationPeriodFrequency" : { - "meta" : { - "globalKey" : "12d80" - }, - "period" : "M", - "periodMultiplier" : 6, - "rollConvention" : "8" - }, + } + }, + "dayCountFraction" : { + "value" : "30E/360" + }, + "calculationPeriodDates" : { "effectiveDate" : { "adjustableDate" : { + "unadjustedDate" : "2018-04-03", "dateAdjustments" : { "businessDayConvention" : "NONE", "meta" : { @@ -400,366 +412,354 @@ }, "meta" : { "globalKey" : "ece3837b" - }, - "unadjustedDate" : "2018-04-03" + } }, "meta" : { "globalKey" : "ece3837b" } }, - "meta" : { - "externalKey" : "fixedCalcPeriodDates", - "globalKey" : "c01e6313" - }, "terminationDate" : { "adjustableDate" : { + "unadjustedDate" : "2026-02-08", "dateAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", "businessCenters" : { "businessCentersReference" : { - "externalReference" : "primaryBusinessCenters", - "globalReference" : "27e4e9" + "globalReference" : "27e4e9", + "externalReference" : "primaryBusinessCenters" }, "meta" : { "globalKey" : "eb13047c" } }, - "businessDayConvention" : "MODFOLLOWING", "meta" : { "globalKey" : "214e084d" } }, "meta" : { "globalKey" : "dc33ccc5" - }, - "unadjustedDate" : "2026-02-08" + } }, "meta" : { "globalKey" : "dc33ccc5" } - } - }, - "dayCountFraction" : { - "value" : "30E/360" - }, - "meta" : { - "globalKey" : "7e4c86b1" - }, - "paymentDates" : { - "meta" : { - "globalKey" : "4fa45fc6" }, - "payRelativeTo" : "CALCULATION_PERIOD_END_DATE", - "paymentDatesAdjustments" : { + "calculationPeriodDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", "businessCenters" : { "businessCentersReference" : { - "externalReference" : "primaryBusinessCenters", - "globalReference" : "27e4e9" + "globalReference" : "27e4e9", + "externalReference" : "primaryBusinessCenters" }, "meta" : { "globalKey" : "eb13047c" } }, - "businessDayConvention" : "MODFOLLOWING", "meta" : { "globalKey" : "214e084d" } }, - "paymentFrequency" : { + "calculationPeriodFrequency" : { + "periodMultiplier" : 6, + "period" : "M", "meta" : { - "globalKey" : "959" + "globalKey" : "2b92" }, - "period" : "M", - "periodMultiplier" : 6 + "rollConvention" : "8" + }, + "meta" : { + "globalKey" : "1d67881f", + "externalKey" : "fixedCalcPeriodDates" } }, - "rateSpecification" : { - "fixedRate" : { + "paymentDates" : { + "paymentFrequency" : { + "periodMultiplier" : 6, + "period" : "M", "meta" : { - "globalKey" : "0" - }, - "rateSchedule" : { - "price" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "price-1" - } + "globalKey" : "107" + } + }, + "payRelativeTo" : "CalculationPeriodEndDate", + "paymentDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCentersReference" : { + "globalReference" : "27e4e9", + "externalReference" : "primaryBusinessCenters" + }, + "meta" : { + "globalKey" : "eb13047c" } + }, + "meta" : { + "globalKey" : "214e084d" } + }, + "meta" : { + "globalKey" : "7a04f180" } + }, + "meta" : { + "globalKey" : "5ea34009" } } ], "meta" : { - "globalKey" : "c1370fe3" + "globalKey" : "2e19efb5" } } }, "meta" : { - "globalKey" : "7e4d71b0" + "globalKey" : "eb305182" } }, "meta" : { - "globalKey" : "7e4d71b0" + "globalKey" : "eb305182" } }, "tradeLot" : [ { "priceQuantity" : [ { - "meta" : { - "globalKey" : "e4dda770" - }, - "observable" : { - "meta" : { - "globalKey" : "5f0c6d05" - }, - "rateOption" : { - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "rateOption-1" - } ] - }, - "value" : { - "floatingRateIndex" : { - "value" : "USD-LIBOR-BBA" - }, - "indexTenor" : { + "quantity" : [ { + "value" : { + "value" : 10000.00, + "unit" : { + "currency" : { + "value" : "USD", "meta" : { - "globalKey" : "956" - }, - "period" : "M", - "periodMultiplier" : 3 + "scheme" : "http://www.fpml.org/coding-scheme/external/iso4217" + } } } - } - }, - "quantity" : [ { + }, "meta" : { "location" : [ { "scope" : "DOCUMENT", "value" : "quantity-1" } ] - }, - "value" : { - "unit" : { - "currency" : { + } + } ], + "observable" : { + "rateOption" : { + "value" : { + "floatingRateIndex" : { + "value" : "USD-LIBOR-BBA" + }, + "indexTenor" : { + "periodMultiplier" : 3, + "period" : "M", "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/iso4217" - }, - "value" : "USD" + "globalKey" : "aa" + } } }, - "value" : 10000.00 + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "rateOption-1" + } ] + } + }, + "meta" : { + "globalKey" : "828026c7" } - } ] - }, { - "meta" : { - "globalKey" : "8532effc" }, + "meta" : { + "globalKey" : "fd32a49c" + } + }, { "price" : [ { - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-1" - } ] - }, "value" : { + "value" : 0.0253, "unit" : { "currency" : { + "value" : "USD", "meta" : { "scheme" : "http://www.fpml.org/coding-scheme/external/iso4217" - }, - "value" : "USD" + } } }, - "value" : 0.0253, "perUnitOf" : { "currency" : { + "value" : "USD", "meta" : { "scheme" : "http://www.fpml.org/coding-scheme/external/iso4217" - }, - "value" : "USD" + } } }, - "priceType" : "INTEREST_RATE" - } - } ], - "quantity" : [ { + "priceType" : "InterestRate" + }, "meta" : { "location" : [ { "scope" : "DOCUMENT", - "value" : "quantity-2" + "value" : "price-1" } ] - }, + } + } ], + "quantity" : [ { "value" : { + "value" : 10000.00, "unit" : { "currency" : { + "value" : "USD", "meta" : { "scheme" : "http://www.fpml.org/coding-scheme/external/iso4217" - }, - "value" : "USD" + } } - }, - "value" : 10000.00 + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } ] } - } ] + } ], + "meta" : { + "globalKey" : "212b0f84" + } } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "fce75581", + "externalReference" : "party1" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "a4f62868", + "externalReference" : "party2" + } } ] }, - "tradeDate" : { - "meta" : { - "globalKey" : "3f1101" - }, - "value" : "2018-04-01" - }, - "tradeIdentifier" : [ { - "assignedIdentifier" : [ { + "party" : [ { + "partyId" : [ { "identifier" : { + "value" : "LEI1RPT001", "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/unique-transaction-identifier" - }, - "value" : "LEI1RPT001ALPHA" + "scheme" : "http://www.fpml.org/coding-scheme/external/iso17442" + } + }, + "identifierType" : "LEI", + "meta" : { + "globalKey" : "d051b20c" } } ], - "issuer" : { - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/cftc/issuer-identifier" - }, - "value" : "LEI1RPT001" - }, - "meta" : { - "globalKey" : "8ea9a67a" + "name" : { + "value" : "Bank X" }, - "identifierType" : "UNIQUE_TRANSACTION_IDENTIFIER" - } ] - } - } - }, - "primitiveInstruction" : { - "split" : { - "breakdown" : [ { - "partyChange" : { - "counterparty" : { - "partyReference" : { + "businessUnit" : [ { + "name" : "NY Swaps Desk", + "meta" : { + "globalKey" : "5c10b72e", + "externalKey" : "desk1" + } + } ], + "person" : [ { + "personId" : [ { "value" : { - "meta" : { - "externalKey" : "clearing-svc", - "globalKey" : "b1869788" - }, - "name" : { - "value" : "ClearItAll" + "identifier" : { + "value" : "jjones" }, - "partyId" : [ { - "identifier" : { - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/iso17442" - }, - "value" : "LEI1DCO" - }, - "identifierType" : "LEI", - "meta" : { - "globalKey" : "328365bf" - } - } ] - } - }, - "role" : "PARTY_2" - }, - "tradeId" : [ { - "assignedIdentifier" : [ { - "identifier" : { "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/unique-transaction-identifier" - }, - "value" : "LEI1DCO01BETA" + "globalKey" : "baeb8c0d" + } } } ], - "issuer" : { - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/cftc/issuer-identifier" - }, - "value" : "LEI1DCO" - }, + "firstName" : "jjone", "meta" : { - "globalKey" : "22185709" - }, - "identifierType" : "UNIQUE_TRANSACTION_IDENTIFIER" - } ] - } - }, { - "partyChange" : { - "counterparty" : { - "partyReference" : { - "value" : { - "meta" : { - "externalKey" : "clearing-svc", - "globalKey" : "b1869788" - }, - "name" : { - "value" : "ClearItAll" - }, - "partyId" : [ { - "identifier" : { - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/iso17442" - }, - "value" : "LEI1DCO" - }, - "identifierType" : "LEI", - "meta" : { - "globalKey" : "328365bf" - } - } ] + "globalKey" : "d3962233", + "externalKey" : "trader" + } + } ], + "meta" : { + "globalKey" : "fce75581", + "externalKey" : "party1" + } + }, { + "partyId" : [ { + "identifier" : { + "value" : "LEI2CP002", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/iso17442" } }, - "role" : "PARTY_1" + "identifierType" : "LEI", + "meta" : { + "globalKey" : "771fe993" + } + } ], + "name" : { + "value" : "Bank Y" }, - "tradeId" : [ { - "assignedIdentifier" : [ { - "identifier" : { - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/unique-transaction-identifier" - }, - "value" : "LEI1DCO01GAMMA" - } - } ], - "issuer" : { + "meta" : { + "globalKey" : "a4f62868", + "externalKey" : "party2" + } + }, { + "partyId" : [ { + "identifier" : { + "value" : "549300OL8KL0WCQ34V31", "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/cftc/issuer-identifier" - }, - "value" : "LEI1DCO" + "scheme" : "http://www.fpml.org/coding-scheme/external/iso17442" + } }, + "identifierType" : "LEI", "meta" : { - "globalKey" : "9003a432" + "globalKey" : "8ffabe4b" + } + } ], + "name" : { + "value" : "Up&Atem" + }, + "meta" : { + "globalKey" : "ce0b9311", + "externalKey" : "broker1" + } + }, { + "partyId" : [ { + "identifier" : { + "value" : "LEI1DCO", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/iso17442" + } }, - "identifierType" : "UNIQUE_TRANSACTION_IDENTIFIER" - } ] - } - }, { - "quantityChange" : { - "change" : [ { + "identifierType" : "LEI", "meta" : { - "globalKey" : "171b36" - }, - "quantity" : [ { - "value" : { - "unit" : { - "currency" : { - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/iso4217" - }, - "value" : "USD" - } - }, - "value" : 0.0 - } - } ] + "globalKey" : "328365bf" + } } ], - "direction" : "REPLACE" + "name" : { + "value" : "ClearItAll" + }, + "meta" : { + "globalKey" : "e92e7048", + "externalKey" : "clearing-svc" + } + } ], + "partyRole" : [ { + "partyReference" : { + "globalReference" : "e92e7048", + "externalReference" : "clearing-svc" + }, + "role" : "ClearingOrganization", + "ownershipPartyReference" : { + "globalReference" : "fce75581", + "externalReference" : "party1" + } + } ], + "meta" : { + "globalKey" : "6f39a804" } - } ] + }, + "meta" : { + "globalKey" : "6f39a804" + } } } } ], - "intent" : "CLEARING", + "intent" : "Clearing", "eventDate" : "2018-04-01", "effectiveDate" : null } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/cdm-sample-files/functions/business-event/compression/compression-func-input.json b/rosetta-source/src/main/resources/cdm-sample-files/functions/business-event/compression/compression-func-input.json index 6e6d081803..43c9d19136 100644 --- a/rosetta-source/src/main/resources/cdm-sample-files/functions/business-event/compression/compression-func-input.json +++ b/rosetta-source/src/main/resources/cdm-sample-files/functions/business-event/compression/compression-func-input.json @@ -1,158 +1,69 @@ { "instruction" : [ { - "before" : { - "value" : { - "meta" : { - "globalKey" : "de54e26a" - }, - "trade" : { - "meta" : { - "globalKey" : "de54e26a" - }, - "party" : [ { - "businessUnit" : [ { - "meta" : { - "externalKey" : "desk1", - "globalKey" : "5c10b72e" - }, - "name" : "NY Swaps Desk" - } ], - "meta" : { - "externalKey" : "party1", - "globalKey" : "d5d99dff" - }, - "name" : { - "value" : "Bank X" - }, - "partyId" : [ { - "identifier" : { - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/iso17442" - }, - "value" : "LEI1RPT0001" - }, - "identifierType" : "LEI", - "meta" : { - "globalKey" : "b8962566" - } - } ], - "person" : [ { - "firstName" : "jjone", - "meta" : { - "externalKey" : "trader", - "globalKey" : "b793baa7" - }, - "personId" : [ { - "value" : { - "identifier" : { - "value" : "jjones" - }, + "primitiveInstruction" : { + "quantityChange" : { + "change" : [ { + "quantity" : [ { + "value" : { + "value" : 0.0, + "unit" : { + "currency" : { + "value" : "USD", "meta" : { - "globalKey" : "baeb8c0d" + "scheme" : "http://www.fpml.org/coding-scheme/external/iso4217" } } - } ] - } ] - }, { - "meta" : { - "externalKey" : "party2", - "globalKey" : "ee963b6" - }, - "name" : { - "value" : "Bank Y" - }, - "partyId" : [ { - "identifier" : { - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/iso17442" - }, - "value" : "LEI2CP0002" - }, - "identifierType" : "LEI", - "meta" : { - "globalKey" : "eb8edea1" } - } ] - }, { - "meta" : { - "externalKey" : "broker1", - "globalKey" : "ed0cc6d1" - }, - "name" : { - "value" : "Up&Atem" - }, - "partyId" : [ { - "identifier" : { - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/iso17442" - }, - "value" : "549300OL8KL0WCQ34V31" - }, - "identifierType" : "LEI", + } + } ] + } ], + "direction" : "Replace" + } + }, + "before" : { + "value" : { + "trade" : { + "tradeIdentifier" : [ { + "issuer" : { + "value" : "LEI1RPT0001", "meta" : { - "globalKey" : "8ffabe4b" + "scheme" : "http://www.fpml.org/coding-scheme/external/cftc/issuer-identifier" } - } ] - }, { - "meta" : { - "externalKey" : "clearing-svc", - "globalKey" : "611719a0" }, - "name" : { - "value" : "ClearItAll" - }, - "partyId" : [ { + "assignedIdentifier" : [ { "identifier" : { + "value" : "LEI1RPT0001EEE", "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/iso17442" - }, - "value" : "549300IB5Q45JGNPND58" - }, - "identifierType" : "LEI", - "meta" : { - "globalKey" : "e213e7d7" + "scheme" : "http://www.fpml.org/coding-scheme/external/unique-transaction-identifier" + } } - } ] - } ], - "partyRole" : [ { - "ownershipPartyReference" : { - "externalReference" : "party1", - "globalReference" : "d5d99dff" - }, - "partyReference" : { - "externalReference" : "clearing-svc", - "globalReference" : "611719a0" + } ], + "meta" : { + "globalKey" : "fe8f32df" }, - "role" : "CLEARING_ORGANIZATION" + "identifierType" : "UniqueTransactionIdentifier" } ], + "tradeDate" : { + "value" : "2018-04-01", + "meta" : { + "globalKey" : "3f1101" + } + }, "tradableProduct" : { - "counterparty" : [ { - "partyReference" : { - "externalReference" : "party1", - "globalReference" : "d5d99dff" - }, - "role" : "PARTY_1" - }, { - "partyReference" : { - "externalReference" : "party2", - "globalReference" : "ee963b6" - }, - "role" : "PARTY_2" - } ], "product" : { "contractualProduct" : { "productTaxonomy" : [ { "primaryAssetClass" : { - "value" : "INTEREST_RATE" + "value" : "InterestRate" } }, { "source" : "ISDA", "value" : { "name" : { + "value" : "InterestRate:IRSwap:FixedFloat", "meta" : { "scheme" : "http://www.fpml.org/coding-scheme/product-taxonomy" - }, - "value" : "InterestRate:IRSwap:FixedFloat" + } } } }, { @@ -163,46 +74,40 @@ "payout" : { "interestRatePayout" : [ { "payerReceiver" : { - "payer" : "PARTY_1", - "receiver" : "PARTY_2" + "payer" : "Party1", + "receiver" : "Party2" }, "priceQuantity" : { - "meta" : { - "globalKey" : "0" - }, "quantitySchedule" : { "address" : { "scope" : "DOCUMENT", "value" : "quantity-1" } + }, + "meta" : { + "globalKey" : "0" } }, - "calculationPeriodDates" : { - "calculationPeriodDatesAdjustments" : { - "businessCenters" : { - "businessCentersReference" : { - "externalReference" : "primaryBusinessCenters", - "globalReference" : "27e4e9" - }, - "meta" : { - "globalKey" : "eb13047c" + "rateSpecification" : { + "floatingRate" : { + "rateOption" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "rateOption-1" } }, - "businessDayConvention" : "MODFOLLOWING", "meta" : { - "globalKey" : "214e084d" + "globalKey" : "0" } - }, - "calculationPeriodFrequency" : { - "meta" : { - "globalKey" : "12d23" - }, - "period" : "M", - "periodMultiplier" : 3, - "rollConvention" : "8" - }, + } + }, + "dayCountFraction" : { + "value" : "ACT/360" + }, + "calculationPeriodDates" : { "effectiveDate" : { "adjustableDate" : { + "unadjustedDate" : "2018-04-03", "dateAdjustments" : { "businessDayConvention" : "NONE", "meta" : { @@ -211,103 +116,108 @@ }, "meta" : { "globalKey" : "ece3837b" - }, - "unadjustedDate" : "2018-04-03" + } }, "meta" : { "globalKey" : "ece3837b" } }, - "meta" : { - "externalKey" : "floatingCalcPeriodDates", - "globalKey" : "c7a104bd" - }, "terminationDate" : { "adjustableDate" : { + "unadjustedDate" : "2026-02-08", "dateAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", "businessCenters" : { "businessCenter" : [ { "value" : "USNY" } ], "meta" : { - "externalKey" : "primaryBusinessCenters", - "globalKey" : "27e4e9" + "globalKey" : "27e4e9", + "externalKey" : "primaryBusinessCenters" } }, - "businessDayConvention" : "MODFOLLOWING", "meta" : { "globalKey" : "3662e8ba" } }, "meta" : { "globalKey" : "f148ad32" - }, - "unadjustedDate" : "2026-02-08" + } }, "meta" : { "globalKey" : "f148ad32" } - } - }, - "dayCountFraction" : { - "value" : "ACT/360" - }, - "meta" : { - "globalKey" : "949ccf02" - }, - "paymentDates" : { - "meta" : { - "globalKey" : "4fa45fc3" }, - "payRelativeTo" : "CALCULATION_PERIOD_END_DATE", - "paymentDatesAdjustments" : { + "calculationPeriodDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", "businessCenters" : { "businessCentersReference" : { - "externalReference" : "primaryBusinessCenters", - "globalReference" : "27e4e9" + "globalReference" : "27e4e9", + "externalReference" : "primaryBusinessCenters" }, "meta" : { "globalKey" : "eb13047c" } }, - "businessDayConvention" : "MODFOLLOWING", "meta" : { "globalKey" : "214e084d" } }, - "paymentFrequency" : { + "calculationPeriodFrequency" : { + "periodMultiplier" : 3, + "period" : "M", "meta" : { - "globalKey" : "956" + "globalKey" : "204f" }, - "period" : "M", - "periodMultiplier" : 3 + "rollConvention" : "8" + }, + "meta" : { + "globalKey" : "c513c70f", + "externalKey" : "floatingCalcPeriodDates" } }, - "rateSpecification" : { - "floatingRate" : { + "paymentDates" : { + "paymentFrequency" : { + "periodMultiplier" : 3, + "period" : "M", "meta" : { - "globalKey" : "0" - }, - "rateOption" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "rateOption-1" + "globalKey" : "aa" + } + }, + "payRelativeTo" : "CalculationPeriodEndDate", + "paymentDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCentersReference" : { + "globalReference" : "27e4e9", + "externalReference" : "primaryBusinessCenters" + }, + "meta" : { + "globalKey" : "eb13047c" } + }, + "meta" : { + "globalKey" : "214e084d" } + }, + "meta" : { + "globalKey" : "db523fbd" } }, "resetDates" : { "calculationPeriodDatesReference" : { - "externalReference" : "floatingCalcPeriodDates", - "globalReference" : "c7a104bd" + "globalReference" : "c513c70f", + "externalReference" : "floatingCalcPeriodDates" }, + "resetRelativeTo" : "CalculationPeriodStartDate", "fixingDates" : { + "periodMultiplier" : -2, + "period" : "D", "meta" : { - "globalKey" : "ab2829fc" + "globalKey" : "880414b0" }, - "period" : "D", - "periodMultiplier" : -2, - "dayType" : "BUSINESS", + "dayType" : "Business", + "businessDayConvention" : "NONE", "businessCenters" : { "businessCenter" : [ { "value" : "GBLO" @@ -316,82 +226,79 @@ "globalKey" : "21479e" } }, - "businessDayConvention" : "NONE", "dateRelativeTo" : { - "externalReference" : "resetDates71", - "globalReference" : "9729ada1" + "globalReference" : "c247844f", + "externalReference" : "resetDates71" } }, - "meta" : { - "externalKey" : "resetDates71", - "globalKey" : "9729ada1" + "resetFrequency" : { + "periodMultiplier" : 3, + "period" : "M", + "meta" : { + "globalKey" : "aa" + } }, "resetDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", "businessCenters" : { "businessCentersReference" : { - "externalReference" : "primaryBusinessCenters", - "globalReference" : "27e4e9" + "globalReference" : "27e4e9", + "externalReference" : "primaryBusinessCenters" }, "meta" : { "globalKey" : "eb13047c" } }, - "businessDayConvention" : "MODFOLLOWING", "meta" : { "globalKey" : "214e084d" } }, - "resetFrequency" : { - "meta" : { - "globalKey" : "956" - }, - "period" : "M", - "periodMultiplier" : 3 - }, - "resetRelativeTo" : "CALCULATION_PERIOD_START_DATE" + "meta" : { + "globalKey" : "c247844f", + "externalKey" : "resetDates71" + } + }, + "meta" : { + "globalKey" : "16804dfc" } }, { "payerReceiver" : { - "payer" : "PARTY_2", - "receiver" : "PARTY_1" + "payer" : "Party2", + "receiver" : "Party1" }, "priceQuantity" : { - "meta" : { - "globalKey" : "0" - }, "quantitySchedule" : { "address" : { "scope" : "DOCUMENT", "value" : "quantity-2" } + }, + "meta" : { + "globalKey" : "0" } }, - "calculationPeriodDates" : { - "calculationPeriodDatesAdjustments" : { - "businessCenters" : { - "businessCentersReference" : { - "externalReference" : "primaryBusinessCenters", - "globalReference" : "27e4e9" - }, - "meta" : { - "globalKey" : "eb13047c" - } - }, - "businessDayConvention" : "MODFOLLOWING", + "rateSpecification" : { + "fixedRate" : { + "rateSchedule" : { + "price" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "price-1" + } + } + }, "meta" : { - "globalKey" : "214e084d" + "globalKey" : "0" } - }, - "calculationPeriodFrequency" : { - "meta" : { - "globalKey" : "12d80" - }, - "period" : "M", - "periodMultiplier" : 6, - "rollConvention" : "8" - }, + } + }, + "dayCountFraction" : { + "value" : "30E/360" + }, + "calculationPeriodDates" : { "effectiveDate" : { "adjustableDate" : { + "unadjustedDate" : "2018-04-03", "dateAdjustments" : { "businessDayConvention" : "NONE", "meta" : { @@ -400,302 +307,251 @@ }, "meta" : { "globalKey" : "ece3837b" - }, - "unadjustedDate" : "2018-04-03" + } }, "meta" : { "globalKey" : "ece3837b" } }, - "meta" : { - "externalKey" : "fixedCalcPeriodDates", - "globalKey" : "c01e6313" - }, "terminationDate" : { "adjustableDate" : { + "unadjustedDate" : "2026-02-08", "dateAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", "businessCenters" : { "businessCentersReference" : { - "externalReference" : "primaryBusinessCenters", - "globalReference" : "27e4e9" + "globalReference" : "27e4e9", + "externalReference" : "primaryBusinessCenters" }, "meta" : { "globalKey" : "eb13047c" } }, - "businessDayConvention" : "MODFOLLOWING", "meta" : { "globalKey" : "214e084d" } }, "meta" : { "globalKey" : "dc33ccc5" - }, - "unadjustedDate" : "2026-02-08" + } }, "meta" : { "globalKey" : "dc33ccc5" } - } - }, - "dayCountFraction" : { - "value" : "30E/360" - }, - "meta" : { - "globalKey" : "7e4c86b1" - }, - "paymentDates" : { - "meta" : { - "globalKey" : "4fa45fc6" }, - "payRelativeTo" : "CALCULATION_PERIOD_END_DATE", - "paymentDatesAdjustments" : { + "calculationPeriodDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", "businessCenters" : { "businessCentersReference" : { - "externalReference" : "primaryBusinessCenters", - "globalReference" : "27e4e9" + "globalReference" : "27e4e9", + "externalReference" : "primaryBusinessCenters" }, "meta" : { "globalKey" : "eb13047c" } }, - "businessDayConvention" : "MODFOLLOWING", "meta" : { "globalKey" : "214e084d" } }, - "paymentFrequency" : { + "calculationPeriodFrequency" : { + "periodMultiplier" : 6, + "period" : "M", "meta" : { - "globalKey" : "959" + "globalKey" : "2b92" }, - "period" : "M", - "periodMultiplier" : 6 + "rollConvention" : "8" + }, + "meta" : { + "globalKey" : "1d67881f", + "externalKey" : "fixedCalcPeriodDates" } }, - "rateSpecification" : { - "fixedRate" : { + "paymentDates" : { + "paymentFrequency" : { + "periodMultiplier" : 6, + "period" : "M", "meta" : { - "globalKey" : "0" - }, - "rateSchedule" : { - "price" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "price-1" - } + "globalKey" : "107" + } + }, + "payRelativeTo" : "CalculationPeriodEndDate", + "paymentDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCentersReference" : { + "globalReference" : "27e4e9", + "externalReference" : "primaryBusinessCenters" + }, + "meta" : { + "globalKey" : "eb13047c" } + }, + "meta" : { + "globalKey" : "214e084d" } + }, + "meta" : { + "globalKey" : "7a04f180" } + }, + "meta" : { + "globalKey" : "5ea34009" } } ], "meta" : { - "globalKey" : "42f97333" + "globalKey" : "afdc5305" } } }, "meta" : { - "globalKey" : "2e3b8ccf" + "globalKey" : "9b1e6ca1" } }, "meta" : { - "globalKey" : "2e3b8ccf" + "globalKey" : "9b1e6ca1" } }, "tradeLot" : [ { "priceQuantity" : [ { - "meta" : { - "globalKey" : "e4dda770" - }, - "observable" : { - "meta" : { - "globalKey" : "5f0c6d05" - }, - "rateOption" : { - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "rateOption-1" - } ] - }, - "value" : { - "floatingRateIndex" : { - "value" : "USD-LIBOR-BBA" - }, - "indexTenor" : { + "quantity" : [ { + "value" : { + "value" : 10000.00, + "unit" : { + "currency" : { + "value" : "USD", "meta" : { - "globalKey" : "956" - }, - "period" : "M", - "periodMultiplier" : 3 + "scheme" : "http://www.fpml.org/coding-scheme/external/iso4217" + } } } - } - }, - "quantity" : [ { + }, "meta" : { "location" : [ { "scope" : "DOCUMENT", "value" : "quantity-1" } ] - }, - "value" : { - "unit" : { - "currency" : { + } + } ], + "observable" : { + "rateOption" : { + "value" : { + "floatingRateIndex" : { + "value" : "USD-LIBOR-BBA" + }, + "indexTenor" : { + "periodMultiplier" : 3, + "period" : "M", "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/iso4217" - }, - "value" : "USD" + "globalKey" : "aa" + } } }, - "value" : 10000.00 + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "rateOption-1" + } ] + } + }, + "meta" : { + "globalKey" : "828026c7" } - } ] - }, { - "meta" : { - "globalKey" : "8532effc" }, + "meta" : { + "globalKey" : "fd32a49c" + } + }, { "price" : [ { - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-1" - } ] - }, "value" : { + "value" : 0.0253, "unit" : { "currency" : { + "value" : "USD", "meta" : { "scheme" : "http://www.fpml.org/coding-scheme/external/iso4217" - }, - "value" : "USD" + } } }, - "value" : 0.0253, "perUnitOf" : { "currency" : { + "value" : "USD", "meta" : { "scheme" : "http://www.fpml.org/coding-scheme/external/iso4217" - }, - "value" : "USD" + } } }, - "priceType" : "INTEREST_RATE" - } - } ], - "quantity" : [ { + "priceType" : "InterestRate" + }, "meta" : { "location" : [ { "scope" : "DOCUMENT", - "value" : "quantity-2" + "value" : "price-1" } ] - }, + } + } ], + "quantity" : [ { "value" : { + "value" : 10000.00, "unit" : { "currency" : { + "value" : "USD", "meta" : { "scheme" : "http://www.fpml.org/coding-scheme/external/iso4217" - }, - "value" : "USD" + } } - }, - "value" : 10000.00 + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } ] } - } ] + } ], + "meta" : { + "globalKey" : "212b0f84" + } } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "3f62c17f", + "externalReference" : "party1" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "b97c11f6", + "externalReference" : "party2" + } } ] }, - "tradeDate" : { - "meta" : { - "globalKey" : "3f1101" - }, - "value" : "2018-04-01" - }, - "tradeIdentifier" : [ { - "assignedIdentifier" : [ { + "party" : [ { + "partyId" : [ { "identifier" : { + "value" : "LEI1RPT0001", "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/unique-transaction-identifier" - }, - "value" : "LEI1RPT0001EEE" - } - } ], - "issuer" : { - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/cftc/issuer-identifier" - }, - "value" : "LEI1RPT0001" - }, - "meta" : { - "globalKey" : "ddf73d73" - }, - "identifierType" : "UNIQUE_TRANSACTION_IDENTIFIER" - } ] - } - } - }, - "primitiveInstruction" : { - "quantityChange" : { - "change" : [ { - "quantity" : [ { - "value" : { - "unit" : { - "currency" : { - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/iso4217" - }, - "value" : "USD" + "scheme" : "http://www.fpml.org/coding-scheme/external/iso17442" } }, - "value" : 0.0 - } - } ] - } ], - "direction" : "REPLACE" - } - } - }, { - "before" : { - "value" : { - "meta" : { - "globalKey" : "3b686d7c" - }, - "trade" : { - "meta" : { - "globalKey" : "3b686d7c" - }, - "party" : [ { - "businessUnit" : [ { + "identifierType" : "LEI", "meta" : { - "externalKey" : "desk1", - "globalKey" : "5c10b72e" - }, - "name" : "NY Swaps Desk" + "globalKey" : "b8962566" + } } ], - "meta" : { - "externalKey" : "party1", - "globalKey" : "d5d99dff" - }, "name" : { "value" : "Bank X" }, - "partyId" : [ { - "identifier" : { - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/iso17442" - }, - "value" : "LEI1RPT0001" - }, - "identifierType" : "LEI", + "businessUnit" : [ { + "name" : "NY Swaps Desk", "meta" : { - "globalKey" : "b8962566" + "globalKey" : "5c10b72e", + "externalKey" : "desk1" } } ], "person" : [ { - "firstName" : "jjone", - "meta" : { - "externalKey" : "trader", - "globalKey" : "b793baa7" - }, "personId" : [ { "value" : { "identifier" : { @@ -705,108 +561,163 @@ "globalKey" : "baeb8c0d" } } - } ] - } ] - }, { + } ], + "firstName" : "jjone", + "meta" : { + "globalKey" : "b793baa7", + "externalKey" : "trader" + } + } ], "meta" : { - "externalKey" : "party2", - "globalKey" : "ee963b6" - }, - "name" : { - "value" : "Bank Y" - }, + "globalKey" : "3f62c17f", + "externalKey" : "party1" + } + }, { "partyId" : [ { "identifier" : { + "value" : "LEI2CP0002", "meta" : { "scheme" : "http://www.fpml.org/coding-scheme/external/iso17442" - }, - "value" : "LEI2CP0002" + } }, "identifierType" : "LEI", "meta" : { "globalKey" : "eb8edea1" } - } ] - }, { - "meta" : { - "externalKey" : "broker1", - "globalKey" : "ed0cc6d1" - }, + } ], "name" : { - "value" : "Up&Atem" + "value" : "Bank Y" }, + "meta" : { + "globalKey" : "b97c11f6", + "externalKey" : "party2" + } + }, { "partyId" : [ { "identifier" : { + "value" : "549300OL8KL0WCQ34V31", "meta" : { "scheme" : "http://www.fpml.org/coding-scheme/external/iso17442" - }, - "value" : "549300OL8KL0WCQ34V31" + } }, "identifierType" : "LEI", "meta" : { "globalKey" : "8ffabe4b" } - } ] - }, { - "meta" : { - "externalKey" : "clearing-svc", - "globalKey" : "611719a0" - }, + } ], "name" : { - "value" : "ClearItAll" + "value" : "Up&Atem" }, + "meta" : { + "globalKey" : "ce0b9311", + "externalKey" : "broker1" + } + }, { "partyId" : [ { "identifier" : { + "value" : "549300IB5Q45JGNPND58", "meta" : { "scheme" : "http://www.fpml.org/coding-scheme/external/iso17442" - }, - "value" : "549300IB5Q45JGNPND58" + } }, "identifierType" : "LEI", "meta" : { "globalKey" : "e213e7d7" } - } ] + } ], + "name" : { + "value" : "ClearItAll" + }, + "meta" : { + "globalKey" : "f6a6cc60", + "externalKey" : "clearing-svc" + } } ], "partyRole" : [ { + "partyReference" : { + "globalReference" : "f6a6cc60", + "externalReference" : "clearing-svc" + }, + "role" : "ClearingOrganization", "ownershipPartyReference" : { - "externalReference" : "party1", - "globalReference" : "d5d99dff" + "globalReference" : "3f62c17f", + "externalReference" : "party1" + } + } ], + "meta" : { + "globalKey" : "9cd8574" + } + }, + "meta" : { + "globalKey" : "9cd8574" + } + } + } + }, { + "primitiveInstruction" : { + "quantityChange" : { + "change" : [ { + "quantity" : [ { + "value" : { + "value" : 0.0, + "unit" : { + "currency" : { + "value" : "USD", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/iso4217" + } + } + } + } + } ] + } ], + "direction" : "Replace" + } + }, + "before" : { + "value" : { + "trade" : { + "tradeIdentifier" : [ { + "issuer" : { + "value" : "LEI1RPT0001", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/cftc/issuer-identifier" + } }, - "partyReference" : { - "externalReference" : "clearing-svc", - "globalReference" : "611719a0" + "assignedIdentifier" : [ { + "identifier" : { + "value" : "LEI1RPT0001FFF", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/unique-transaction-identifier" + } + } + } ], + "meta" : { + "globalKey" : "fe8fab1e" }, - "role" : "CLEARING_ORGANIZATION" + "identifierType" : "UniqueTransactionIdentifier" } ], + "tradeDate" : { + "value" : "2018-04-01", + "meta" : { + "globalKey" : "3f1101" + } + }, "tradableProduct" : { - "counterparty" : [ { - "partyReference" : { - "externalReference" : "party1", - "globalReference" : "d5d99dff" - }, - "role" : "PARTY_1" - }, { - "partyReference" : { - "externalReference" : "party2", - "globalReference" : "ee963b6" - }, - "role" : "PARTY_2" - } ], "product" : { "contractualProduct" : { "productTaxonomy" : [ { "primaryAssetClass" : { - "value" : "INTEREST_RATE" + "value" : "InterestRate" } }, { "source" : "ISDA", "value" : { "name" : { + "value" : "InterestRate:IRSwap:FixedFloat", "meta" : { "scheme" : "http://www.fpml.org/coding-scheme/product-taxonomy" - }, - "value" : "InterestRate:IRSwap:FixedFloat" + } } } }, { @@ -817,46 +728,40 @@ "payout" : { "interestRatePayout" : [ { "payerReceiver" : { - "payer" : "PARTY_1", - "receiver" : "PARTY_2" + "payer" : "Party1", + "receiver" : "Party2" }, "priceQuantity" : { - "meta" : { - "globalKey" : "0" - }, "quantitySchedule" : { "address" : { "scope" : "DOCUMENT", "value" : "quantity-1" } + }, + "meta" : { + "globalKey" : "0" } }, - "calculationPeriodDates" : { - "calculationPeriodDatesAdjustments" : { - "businessCenters" : { - "businessCentersReference" : { - "externalReference" : "primaryBusinessCenters", - "globalReference" : "27e4e9" - }, - "meta" : { - "globalKey" : "eb13047c" + "rateSpecification" : { + "floatingRate" : { + "rateOption" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "rateOption-1" } }, - "businessDayConvention" : "MODFOLLOWING", "meta" : { - "globalKey" : "214e084d" + "globalKey" : "0" } - }, - "calculationPeriodFrequency" : { - "meta" : { - "globalKey" : "12d23" - }, - "period" : "M", - "periodMultiplier" : 3, - "rollConvention" : "8" - }, + } + }, + "dayCountFraction" : { + "value" : "ACT/360" + }, + "calculationPeriodDates" : { "effectiveDate" : { "adjustableDate" : { + "unadjustedDate" : "2018-04-03", "dateAdjustments" : { "businessDayConvention" : "NONE", "meta" : { @@ -865,103 +770,108 @@ }, "meta" : { "globalKey" : "ece3837b" - }, - "unadjustedDate" : "2018-04-03" + } }, "meta" : { "globalKey" : "ece3837b" } }, - "meta" : { - "externalKey" : "floatingCalcPeriodDates", - "globalKey" : "c7a104bd" - }, "terminationDate" : { "adjustableDate" : { + "unadjustedDate" : "2026-02-08", "dateAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", "businessCenters" : { "businessCenter" : [ { "value" : "USNY" } ], "meta" : { - "externalKey" : "primaryBusinessCenters", - "globalKey" : "27e4e9" + "globalKey" : "27e4e9", + "externalKey" : "primaryBusinessCenters" } }, - "businessDayConvention" : "MODFOLLOWING", "meta" : { "globalKey" : "3662e8ba" } }, "meta" : { "globalKey" : "f148ad32" - }, - "unadjustedDate" : "2026-02-08" + } }, "meta" : { "globalKey" : "f148ad32" } - } - }, - "dayCountFraction" : { - "value" : "ACT/360" - }, - "meta" : { - "globalKey" : "28e13e03" - }, - "paymentDates" : { - "meta" : { - "globalKey" : "4fa45fc3" }, - "payRelativeTo" : "CALCULATION_PERIOD_END_DATE", - "paymentDatesAdjustments" : { + "calculationPeriodDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", "businessCenters" : { "businessCentersReference" : { - "externalReference" : "primaryBusinessCenters", - "globalReference" : "27e4e9" + "globalReference" : "27e4e9", + "externalReference" : "primaryBusinessCenters" }, "meta" : { "globalKey" : "eb13047c" } }, - "businessDayConvention" : "MODFOLLOWING", "meta" : { "globalKey" : "214e084d" } }, - "paymentFrequency" : { + "calculationPeriodFrequency" : { + "periodMultiplier" : 3, + "period" : "M", "meta" : { - "globalKey" : "956" + "globalKey" : "204f" }, - "period" : "M", - "periodMultiplier" : 3 + "rollConvention" : "8" + }, + "meta" : { + "globalKey" : "c513c70f", + "externalKey" : "floatingCalcPeriodDates" } }, - "rateSpecification" : { - "floatingRate" : { + "paymentDates" : { + "paymentFrequency" : { + "periodMultiplier" : 3, + "period" : "M", "meta" : { - "globalKey" : "0" - }, - "rateOption" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "rateOption-1" + "globalKey" : "aa" + } + }, + "payRelativeTo" : "CalculationPeriodEndDate", + "paymentDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCentersReference" : { + "globalReference" : "27e4e9", + "externalReference" : "primaryBusinessCenters" + }, + "meta" : { + "globalKey" : "eb13047c" } + }, + "meta" : { + "globalKey" : "214e084d" } + }, + "meta" : { + "globalKey" : "db523fbd" } }, "resetDates" : { "calculationPeriodDatesReference" : { - "externalReference" : "floatingCalcPeriodDates", - "globalReference" : "c7a104bd" + "globalReference" : "c513c70f", + "externalReference" : "floatingCalcPeriodDates" }, + "resetRelativeTo" : "CalculationPeriodStartDate", "fixingDates" : { + "periodMultiplier" : -2, + "period" : "D", "meta" : { - "globalKey" : "ab2829fd" + "globalKey" : "880414b1" }, - "period" : "D", - "periodMultiplier" : -2, - "dayType" : "BUSINESS", + "dayType" : "Business", + "businessDayConvention" : "NONE", "businessCenters" : { "businessCenter" : [ { "value" : "GBLO" @@ -970,83 +880,80 @@ "globalKey" : "21479e" } }, - "businessDayConvention" : "NONE", "dateRelativeTo" : { - "externalReference" : "resetDates72", - "globalReference" : "2b6e1ca2" + "globalReference" : "568bf350", + "externalReference" : "resetDates72" } }, - "meta" : { - "externalKey" : "resetDates72", - "globalKey" : "2b6e1ca2" + "resetFrequency" : { + "periodMultiplier" : 3, + "period" : "M", + "meta" : { + "globalKey" : "aa" + } }, "resetDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", "businessCenters" : { "businessCentersReference" : { - "externalReference" : "primaryBusinessCenters", - "globalReference" : "27e4e9" + "globalReference" : "27e4e9", + "externalReference" : "primaryBusinessCenters" }, "meta" : { "globalKey" : "eb13047c" } }, - "businessDayConvention" : "MODFOLLOWING", "meta" : { "globalKey" : "214e084d" } }, - "resetFrequency" : { - "meta" : { - "globalKey" : "956" - }, - "period" : "M", - "periodMultiplier" : 3 - }, - "resetRelativeTo" : "CALCULATION_PERIOD_START_DATE" + "meta" : { + "globalKey" : "568bf350", + "externalKey" : "resetDates72" + } + }, + "meta" : { + "globalKey" : "aac4bcfd" } }, { "payerReceiver" : { - "payer" : "PARTY_2", - "receiver" : "PARTY_1" + "payer" : "Party2", + "receiver" : "Party1" }, "priceQuantity" : { - "meta" : { - "globalKey" : "0" - }, "quantitySchedule" : { "address" : { "scope" : "DOCUMENT", "value" : "quantity-2" } + }, + "meta" : { + "globalKey" : "0" } }, - "calculationPeriodDates" : { - "calculationPeriodDatesAdjustments" : { - "businessCenters" : { - "businessCentersReference" : { - "externalReference" : "primaryBusinessCenters", - "globalReference" : "27e4e9" - }, - "meta" : { - "globalKey" : "eb13047c" + "rateSpecification" : { + "fixedRate" : { + "rateSchedule" : { + "price" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "price-1" + } } }, - "businessDayConvention" : "MODFOLLOWING", "meta" : { - "globalKey" : "214e084d" + "globalKey" : "0" } - }, - "calculationPeriodFrequency" : { - "meta" : { - "globalKey" : "12d80" - }, - "period" : "M", - "periodMultiplier" : 6, - "rollConvention" : "8" - }, - "effectiveDate" : { - "adjustableDate" : { - "dateAdjustments" : { + } + }, + "dayCountFraction" : { + "value" : "30E/360" + }, + "calculationPeriodDates" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2018-04-03", + "dateAdjustments" : { "businessDayConvention" : "NONE", "meta" : { "globalKey" : "24a738" @@ -1054,302 +961,251 @@ }, "meta" : { "globalKey" : "ece3837b" - }, - "unadjustedDate" : "2018-04-03" + } }, "meta" : { "globalKey" : "ece3837b" } }, - "meta" : { - "externalKey" : "fixedCalcPeriodDates", - "globalKey" : "c01e6313" - }, "terminationDate" : { "adjustableDate" : { + "unadjustedDate" : "2026-02-08", "dateAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", "businessCenters" : { "businessCentersReference" : { - "externalReference" : "primaryBusinessCenters", - "globalReference" : "27e4e9" + "globalReference" : "27e4e9", + "externalReference" : "primaryBusinessCenters" }, "meta" : { "globalKey" : "eb13047c" } }, - "businessDayConvention" : "MODFOLLOWING", "meta" : { "globalKey" : "214e084d" } }, "meta" : { "globalKey" : "dc33ccc5" - }, - "unadjustedDate" : "2026-02-08" + } }, "meta" : { "globalKey" : "dc33ccc5" } - } - }, - "dayCountFraction" : { - "value" : "30E/360" - }, - "meta" : { - "globalKey" : "7e4c86b1" - }, - "paymentDates" : { - "meta" : { - "globalKey" : "4fa45fc6" }, - "payRelativeTo" : "CALCULATION_PERIOD_END_DATE", - "paymentDatesAdjustments" : { + "calculationPeriodDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", "businessCenters" : { "businessCentersReference" : { - "externalReference" : "primaryBusinessCenters", - "globalReference" : "27e4e9" + "globalReference" : "27e4e9", + "externalReference" : "primaryBusinessCenters" }, "meta" : { "globalKey" : "eb13047c" } }, - "businessDayConvention" : "MODFOLLOWING", "meta" : { "globalKey" : "214e084d" } }, - "paymentFrequency" : { + "calculationPeriodFrequency" : { + "periodMultiplier" : 6, + "period" : "M", "meta" : { - "globalKey" : "959" + "globalKey" : "2b92" }, - "period" : "M", - "periodMultiplier" : 6 + "rollConvention" : "8" + }, + "meta" : { + "globalKey" : "1d67881f", + "externalKey" : "fixedCalcPeriodDates" } }, - "rateSpecification" : { - "fixedRate" : { + "paymentDates" : { + "paymentFrequency" : { + "periodMultiplier" : 6, + "period" : "M", "meta" : { - "globalKey" : "0" - }, - "rateSchedule" : { - "price" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "price-1" - } + "globalKey" : "107" + } + }, + "payRelativeTo" : "CalculationPeriodEndDate", + "paymentDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCentersReference" : { + "globalReference" : "27e4e9", + "externalReference" : "primaryBusinessCenters" + }, + "meta" : { + "globalKey" : "eb13047c" } + }, + "meta" : { + "globalKey" : "214e084d" } + }, + "meta" : { + "globalKey" : "7a04f180" } + }, + "meta" : { + "globalKey" : "5ea34009" } } ], "meta" : { - "globalKey" : "868490f4" + "globalKey" : "f36770c6" } } }, "meta" : { - "globalKey" : "71c6aa90" + "globalKey" : "dea98a62" } }, "meta" : { - "globalKey" : "71c6aa90" + "globalKey" : "dea98a62" } }, "tradeLot" : [ { "priceQuantity" : [ { - "meta" : { - "globalKey" : "40297447" - }, - "observable" : { - "meta" : { - "globalKey" : "5f0c6d05" - }, - "rateOption" : { - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "rateOption-1" - } ] - }, - "value" : { - "floatingRateIndex" : { - "value" : "USD-LIBOR-BBA" - }, - "indexTenor" : { + "quantity" : [ { + "value" : { + "value" : 6000.00, + "unit" : { + "currency" : { + "value" : "USD", "meta" : { - "globalKey" : "956" - }, - "period" : "M", - "periodMultiplier" : 3 + "scheme" : "http://www.fpml.org/coding-scheme/external/iso4217" + } } } - } - }, - "quantity" : [ { + }, "meta" : { "location" : [ { "scope" : "DOCUMENT", "value" : "quantity-1" } ] - }, - "value" : { - "unit" : { - "currency" : { + } + } ], + "observable" : { + "rateOption" : { + "value" : { + "floatingRateIndex" : { + "value" : "USD-LIBOR-BBA" + }, + "indexTenor" : { + "periodMultiplier" : 3, + "period" : "M", "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/iso4217" - }, - "value" : "USD" + "globalKey" : "aa" + } } }, - "value" : 6000.00 + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "rateOption-1" + } ] + } + }, + "meta" : { + "globalKey" : "828026c7" } - } ] - }, { - "meta" : { - "globalKey" : "e07ebcd3" }, + "meta" : { + "globalKey" : "414190b3" + } + }, { "price" : [ { - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-1" - } ] - }, "value" : { + "value" : 0.0253, "unit" : { "currency" : { + "value" : "USD", "meta" : { "scheme" : "http://www.fpml.org/coding-scheme/external/iso4217" - }, - "value" : "USD" + } } }, - "value" : 0.0253, "perUnitOf" : { "currency" : { + "value" : "USD", "meta" : { "scheme" : "http://www.fpml.org/coding-scheme/external/iso4217" - }, - "value" : "USD" + } } }, - "priceType" : "INTEREST_RATE" - } - } ], - "quantity" : [ { + "priceType" : "InterestRate" + }, "meta" : { "location" : [ { "scope" : "DOCUMENT", - "value" : "quantity-2" + "value" : "price-1" } ] - }, + } + } ], + "quantity" : [ { "value" : { + "value" : 6000.00, "unit" : { "currency" : { + "value" : "USD", "meta" : { "scheme" : "http://www.fpml.org/coding-scheme/external/iso4217" - }, - "value" : "USD" + } } - }, - "value" : 6000.00 + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } ] } - } ] + } ], + "meta" : { + "globalKey" : "2f58dd8d" + } } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "3f62c17f", + "externalReference" : "party1" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "b97c11f6", + "externalReference" : "party2" + } } ] }, - "tradeDate" : { - "meta" : { - "globalKey" : "3f1101" - }, - "value" : "2018-04-01" - }, - "tradeIdentifier" : [ { - "assignedIdentifier" : [ { + "party" : [ { + "partyId" : [ { "identifier" : { + "value" : "LEI1RPT0001", "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/unique-transaction-identifier" - }, - "value" : "LEI1RPT0001FFF" - } - } ], - "issuer" : { - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/cftc/issuer-identifier" - }, - "value" : "LEI1RPT0001" - }, - "meta" : { - "globalKey" : "dfbaa1f2" - }, - "identifierType" : "UNIQUE_TRANSACTION_IDENTIFIER" - } ] - } - } - }, - "primitiveInstruction" : { - "quantityChange" : { - "change" : [ { - "quantity" : [ { - "value" : { - "unit" : { - "currency" : { - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/iso4217" - }, - "value" : "USD" + "scheme" : "http://www.fpml.org/coding-scheme/external/iso17442" } }, - "value" : 0.0 - } - } ] - } ], - "direction" : "REPLACE" - } - } - }, { - "before" : { - "value" : { - "meta" : { - "globalKey" : "fb6408be" - }, - "trade" : { - "meta" : { - "globalKey" : "fb6408be" - }, - "party" : [ { - "businessUnit" : [ { + "identifierType" : "LEI", "meta" : { - "externalKey" : "desk1", - "globalKey" : "5c10b72e" - }, - "name" : "NY Swaps Desk" + "globalKey" : "b8962566" + } } ], - "meta" : { - "externalKey" : "party1", - "globalKey" : "d5d99dff" - }, "name" : { "value" : "Bank X" }, - "partyId" : [ { - "identifier" : { - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/iso17442" - }, - "value" : "LEI1RPT0001" - }, - "identifierType" : "LEI", + "businessUnit" : [ { + "name" : "NY Swaps Desk", "meta" : { - "globalKey" : "b8962566" + "globalKey" : "5c10b72e", + "externalKey" : "desk1" } } ], "person" : [ { - "firstName" : "jjone", - "meta" : { - "externalKey" : "trader", - "globalKey" : "b793baa7" - }, "personId" : [ { "value" : { "identifier" : { @@ -1359,108 +1215,163 @@ "globalKey" : "baeb8c0d" } } - } ] - } ] - }, { + } ], + "firstName" : "jjone", + "meta" : { + "globalKey" : "b793baa7", + "externalKey" : "trader" + } + } ], "meta" : { - "externalKey" : "party2", - "globalKey" : "ee963b6" - }, - "name" : { - "value" : "Bank Y" - }, + "globalKey" : "3f62c17f", + "externalKey" : "party1" + } + }, { "partyId" : [ { "identifier" : { + "value" : "LEI2CP0002", "meta" : { "scheme" : "http://www.fpml.org/coding-scheme/external/iso17442" - }, - "value" : "LEI2CP0002" + } }, "identifierType" : "LEI", "meta" : { "globalKey" : "eb8edea1" } - } ] - }, { - "meta" : { - "externalKey" : "broker1", - "globalKey" : "ed0cc6d1" - }, + } ], "name" : { - "value" : "Up&Atem" + "value" : "Bank Y" }, + "meta" : { + "globalKey" : "b97c11f6", + "externalKey" : "party2" + } + }, { "partyId" : [ { "identifier" : { + "value" : "549300OL8KL0WCQ34V31", "meta" : { "scheme" : "http://www.fpml.org/coding-scheme/external/iso17442" - }, - "value" : "549300OL8KL0WCQ34V31" + } }, "identifierType" : "LEI", "meta" : { "globalKey" : "8ffabe4b" } - } ] - }, { - "meta" : { - "externalKey" : "clearing-svc", - "globalKey" : "611719a0" - }, + } ], "name" : { - "value" : "ClearItAll" + "value" : "Up&Atem" }, + "meta" : { + "globalKey" : "ce0b9311", + "externalKey" : "broker1" + } + }, { "partyId" : [ { "identifier" : { + "value" : "549300IB5Q45JGNPND58", "meta" : { "scheme" : "http://www.fpml.org/coding-scheme/external/iso17442" - }, - "value" : "549300IB5Q45JGNPND58" + } }, "identifierType" : "LEI", "meta" : { "globalKey" : "e213e7d7" } - } ] + } ], + "name" : { + "value" : "ClearItAll" + }, + "meta" : { + "globalKey" : "f6a6cc60", + "externalKey" : "clearing-svc" + } } ], "partyRole" : [ { + "partyReference" : { + "globalReference" : "f6a6cc60", + "externalReference" : "clearing-svc" + }, + "role" : "ClearingOrganization", "ownershipPartyReference" : { - "externalReference" : "party1", - "globalReference" : "d5d99dff" + "globalReference" : "3f62c17f", + "externalReference" : "party1" + } + } ], + "meta" : { + "globalKey" : "ca04fc14" + } + }, + "meta" : { + "globalKey" : "ca04fc14" + } + } + } + }, { + "primitiveInstruction" : { + "quantityChange" : { + "change" : [ { + "quantity" : [ { + "value" : { + "value" : 0.0, + "unit" : { + "currency" : { + "value" : "USD", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/iso4217" + } + } + } + } + } ] + } ], + "direction" : "Replace" + } + }, + "before" : { + "value" : { + "trade" : { + "tradeIdentifier" : [ { + "issuer" : { + "value" : "LEI1RPT0001", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/cftc/issuer-identifier" + } }, - "partyReference" : { - "externalReference" : "clearing-svc", - "globalReference" : "611719a0" + "assignedIdentifier" : [ { + "identifier" : { + "value" : "LEI1RPT0001GGG", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/unique-transaction-identifier" + } + } + } ], + "meta" : { + "globalKey" : "fe90235d" }, - "role" : "CLEARING_ORGANIZATION" + "identifierType" : "UniqueTransactionIdentifier" } ], + "tradeDate" : { + "value" : "2018-04-01", + "meta" : { + "globalKey" : "3f1101" + } + }, "tradableProduct" : { - "counterparty" : [ { - "partyReference" : { - "externalReference" : "party1", - "globalReference" : "d5d99dff" - }, - "role" : "PARTY_1" - }, { - "partyReference" : { - "externalReference" : "party2", - "globalReference" : "ee963b6" - }, - "role" : "PARTY_2" - } ], "product" : { "contractualProduct" : { "productTaxonomy" : [ { "primaryAssetClass" : { - "value" : "INTEREST_RATE" + "value" : "InterestRate" } }, { "source" : "ISDA", "value" : { "name" : { + "value" : "InterestRate:IRSwap:FixedFloat", "meta" : { "scheme" : "http://www.fpml.org/coding-scheme/product-taxonomy" - }, - "value" : "InterestRate:IRSwap:FixedFloat" + } } } }, { @@ -1471,46 +1382,40 @@ "payout" : { "interestRatePayout" : [ { "payerReceiver" : { - "payer" : "PARTY_1", - "receiver" : "PARTY_2" + "payer" : "Party1", + "receiver" : "Party2" }, "priceQuantity" : { - "meta" : { - "globalKey" : "0" - }, "quantitySchedule" : { "address" : { "scope" : "DOCUMENT", "value" : "quantity-1" } + }, + "meta" : { + "globalKey" : "0" } }, - "calculationPeriodDates" : { - "calculationPeriodDatesAdjustments" : { - "businessCenters" : { - "businessCentersReference" : { - "externalReference" : "primaryBusinessCenters", - "globalReference" : "27e4e9" - }, - "meta" : { - "globalKey" : "eb13047c" + "rateSpecification" : { + "floatingRate" : { + "rateOption" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "rateOption-1" } }, - "businessDayConvention" : "MODFOLLOWING", "meta" : { - "globalKey" : "214e084d" + "globalKey" : "0" } - }, - "calculationPeriodFrequency" : { - "meta" : { - "globalKey" : "12d23" - }, - "period" : "M", - "periodMultiplier" : 3, - "rollConvention" : "8" - }, + } + }, + "dayCountFraction" : { + "value" : "ACT/360" + }, + "calculationPeriodDates" : { "effectiveDate" : { "adjustableDate" : { + "unadjustedDate" : "2018-04-03", "dateAdjustments" : { "businessDayConvention" : "NONE", "meta" : { @@ -1519,103 +1424,108 @@ }, "meta" : { "globalKey" : "ece3837b" - }, - "unadjustedDate" : "2018-04-03" + } }, "meta" : { "globalKey" : "ece3837b" } }, - "meta" : { - "externalKey" : "floatingCalcPeriodDates", - "globalKey" : "c7a104bd" - }, "terminationDate" : { "adjustableDate" : { + "unadjustedDate" : "2026-02-08", "dateAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", "businessCenters" : { "businessCenter" : [ { "value" : "USNY" } ], "meta" : { - "externalKey" : "primaryBusinessCenters", - "globalKey" : "27e4e9" + "globalKey" : "27e4e9", + "externalKey" : "primaryBusinessCenters" } }, - "businessDayConvention" : "MODFOLLOWING", "meta" : { "globalKey" : "3662e8ba" } }, "meta" : { "globalKey" : "f148ad32" - }, - "unadjustedDate" : "2026-02-08" + } }, "meta" : { "globalKey" : "f148ad32" } - } - }, - "dayCountFraction" : { - "value" : "ACT/360" - }, - "meta" : { - "globalKey" : "bd25ad04" - }, - "paymentDates" : { - "meta" : { - "globalKey" : "4fa45fc3" }, - "payRelativeTo" : "CALCULATION_PERIOD_END_DATE", - "paymentDatesAdjustments" : { + "calculationPeriodDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", "businessCenters" : { "businessCentersReference" : { - "externalReference" : "primaryBusinessCenters", - "globalReference" : "27e4e9" + "globalReference" : "27e4e9", + "externalReference" : "primaryBusinessCenters" }, "meta" : { "globalKey" : "eb13047c" } }, - "businessDayConvention" : "MODFOLLOWING", "meta" : { "globalKey" : "214e084d" } }, - "paymentFrequency" : { + "calculationPeriodFrequency" : { + "periodMultiplier" : 3, + "period" : "M", "meta" : { - "globalKey" : "956" + "globalKey" : "204f" }, - "period" : "M", - "periodMultiplier" : 3 + "rollConvention" : "8" + }, + "meta" : { + "globalKey" : "c513c70f", + "externalKey" : "floatingCalcPeriodDates" } }, - "rateSpecification" : { - "floatingRate" : { + "paymentDates" : { + "paymentFrequency" : { + "periodMultiplier" : 3, + "period" : "M", "meta" : { - "globalKey" : "0" - }, - "rateOption" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "rateOption-1" + "globalKey" : "aa" + } + }, + "payRelativeTo" : "CalculationPeriodEndDate", + "paymentDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCentersReference" : { + "globalReference" : "27e4e9", + "externalReference" : "primaryBusinessCenters" + }, + "meta" : { + "globalKey" : "eb13047c" } + }, + "meta" : { + "globalKey" : "214e084d" } + }, + "meta" : { + "globalKey" : "db523fbd" } }, "resetDates" : { "calculationPeriodDatesReference" : { - "externalReference" : "floatingCalcPeriodDates", - "globalReference" : "c7a104bd" + "globalReference" : "c513c70f", + "externalReference" : "floatingCalcPeriodDates" }, + "resetRelativeTo" : "CalculationPeriodStartDate", "fixingDates" : { + "periodMultiplier" : -2, + "period" : "D", "meta" : { - "globalKey" : "ab2829fe" + "globalKey" : "880414b2" }, - "period" : "D", - "periodMultiplier" : -2, - "dayType" : "BUSINESS", + "dayType" : "Business", + "businessDayConvention" : "NONE", "businessCenters" : { "businessCenter" : [ { "value" : "GBLO" @@ -1624,82 +1534,79 @@ "globalKey" : "21479e" } }, - "businessDayConvention" : "NONE", "dateRelativeTo" : { - "externalReference" : "resetDates73", - "globalReference" : "bfb28ba3" + "globalReference" : "ead06251", + "externalReference" : "resetDates73" } }, - "meta" : { - "externalKey" : "resetDates73", - "globalKey" : "bfb28ba3" + "resetFrequency" : { + "periodMultiplier" : 3, + "period" : "M", + "meta" : { + "globalKey" : "aa" + } }, "resetDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", "businessCenters" : { "businessCentersReference" : { - "externalReference" : "primaryBusinessCenters", - "globalReference" : "27e4e9" + "globalReference" : "27e4e9", + "externalReference" : "primaryBusinessCenters" }, "meta" : { "globalKey" : "eb13047c" } }, - "businessDayConvention" : "MODFOLLOWING", "meta" : { "globalKey" : "214e084d" } }, - "resetFrequency" : { - "meta" : { - "globalKey" : "956" - }, - "period" : "M", - "periodMultiplier" : 3 - }, - "resetRelativeTo" : "CALCULATION_PERIOD_START_DATE" + "meta" : { + "globalKey" : "ead06251", + "externalKey" : "resetDates73" + } + }, + "meta" : { + "globalKey" : "3f092bfe" } }, { "payerReceiver" : { - "payer" : "PARTY_2", - "receiver" : "PARTY_1" + "payer" : "Party2", + "receiver" : "Party1" }, "priceQuantity" : { - "meta" : { - "globalKey" : "0" - }, "quantitySchedule" : { "address" : { "scope" : "DOCUMENT", "value" : "quantity-2" } + }, + "meta" : { + "globalKey" : "0" } }, - "calculationPeriodDates" : { - "calculationPeriodDatesAdjustments" : { - "businessCenters" : { - "businessCentersReference" : { - "externalReference" : "primaryBusinessCenters", - "globalReference" : "27e4e9" - }, - "meta" : { - "globalKey" : "eb13047c" + "rateSpecification" : { + "fixedRate" : { + "rateSchedule" : { + "price" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "price-1" + } } }, - "businessDayConvention" : "MODFOLLOWING", "meta" : { - "globalKey" : "214e084d" + "globalKey" : "0" } - }, - "calculationPeriodFrequency" : { - "meta" : { - "globalKey" : "12d80" - }, - "period" : "M", - "periodMultiplier" : 6, - "rollConvention" : "8" - }, + } + }, + "dayCountFraction" : { + "value" : "30E/360" + }, + "calculationPeriodDates" : { "effectiveDate" : { "adjustableDate" : { + "unadjustedDate" : "2018-04-03", "dateAdjustments" : { "businessDayConvention" : "NONE", "meta" : { @@ -1708,505 +1615,369 @@ }, "meta" : { "globalKey" : "ece3837b" - }, - "unadjustedDate" : "2018-04-03" + } }, "meta" : { "globalKey" : "ece3837b" } }, - "meta" : { - "externalKey" : "fixedCalcPeriodDates", - "globalKey" : "c01e6313" - }, "terminationDate" : { "adjustableDate" : { + "unadjustedDate" : "2026-02-08", "dateAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", "businessCenters" : { "businessCentersReference" : { - "externalReference" : "primaryBusinessCenters", - "globalReference" : "27e4e9" + "globalReference" : "27e4e9", + "externalReference" : "primaryBusinessCenters" }, "meta" : { "globalKey" : "eb13047c" } }, - "businessDayConvention" : "MODFOLLOWING", "meta" : { "globalKey" : "214e084d" } }, "meta" : { "globalKey" : "dc33ccc5" - }, - "unadjustedDate" : "2026-02-08" + } }, "meta" : { "globalKey" : "dc33ccc5" } - } - }, - "dayCountFraction" : { - "value" : "30E/360" - }, - "meta" : { - "globalKey" : "7e4c86b1" - }, - "paymentDates" : { - "meta" : { - "globalKey" : "4fa45fc6" }, - "payRelativeTo" : "CALCULATION_PERIOD_END_DATE", - "paymentDatesAdjustments" : { + "calculationPeriodDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", "businessCenters" : { "businessCentersReference" : { - "externalReference" : "primaryBusinessCenters", - "globalReference" : "27e4e9" + "globalReference" : "27e4e9", + "externalReference" : "primaryBusinessCenters" }, "meta" : { "globalKey" : "eb13047c" } }, - "businessDayConvention" : "MODFOLLOWING", "meta" : { "globalKey" : "214e084d" } }, - "paymentFrequency" : { + "calculationPeriodFrequency" : { + "periodMultiplier" : 6, + "period" : "M", "meta" : { - "globalKey" : "959" + "globalKey" : "2b92" }, - "period" : "M", - "periodMultiplier" : 6 + "rollConvention" : "8" + }, + "meta" : { + "globalKey" : "1d67881f", + "externalKey" : "fixedCalcPeriodDates" } }, - "rateSpecification" : { - "fixedRate" : { + "paymentDates" : { + "paymentFrequency" : { + "periodMultiplier" : 6, + "period" : "M", "meta" : { - "globalKey" : "0" - }, - "rateSchedule" : { - "price" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "price-1" - } + "globalKey" : "107" + } + }, + "payRelativeTo" : "CalculationPeriodEndDate", + "paymentDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCentersReference" : { + "globalReference" : "27e4e9", + "externalReference" : "primaryBusinessCenters" + }, + "meta" : { + "globalKey" : "eb13047c" } + }, + "meta" : { + "globalKey" : "214e084d" } + }, + "meta" : { + "globalKey" : "7a04f180" } + }, + "meta" : { + "globalKey" : "5ea34009" } } ], "meta" : { - "globalKey" : "ca0faeb5" + "globalKey" : "36f28e87" } } }, "meta" : { - "globalKey" : "b551c851" + "globalKey" : "2234a823" } }, "meta" : { - "globalKey" : "b551c851" + "globalKey" : "2234a823" } }, "tradeLot" : [ { "priceQuantity" : [ { - "meta" : { - "globalKey" : "b433906" - }, - "observable" : { - "meta" : { - "globalKey" : "5f0c6d05" - }, - "rateOption" : { - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "rateOption-1" - } ] - }, - "value" : { - "floatingRateIndex" : { - "value" : "USD-LIBOR-BBA" - }, - "indexTenor" : { + "quantity" : [ { + "value" : { + "value" : 5000.00, + "unit" : { + "currency" : { + "value" : "USD", "meta" : { - "globalKey" : "956" - }, - "period" : "M", - "periodMultiplier" : 3 + "scheme" : "http://www.fpml.org/coding-scheme/external/iso4217" + } } } - } - }, - "quantity" : [ { + }, "meta" : { "location" : [ { "scope" : "DOCUMENT", "value" : "quantity-1" } ] - }, - "value" : { - "unit" : { - "currency" : { + } + } ], + "observable" : { + "rateOption" : { + "value" : { + "floatingRateIndex" : { + "value" : "USD-LIBOR-BBA" + }, + "indexTenor" : { + "periodMultiplier" : 3, + "period" : "M", "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/iso4217" - }, - "value" : "USD" + "globalKey" : "aa" + } } }, - "value" : 5000.00 + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "rateOption-1" + } ] + } + }, + "meta" : { + "globalKey" : "828026c7" } - } ] - }, { - "meta" : { - "globalKey" : "ab988192" }, + "meta" : { + "globalKey" : "f097b2b2" + } + }, { "price" : [ { - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-1" - } ] - }, "value" : { + "value" : 0.0253, "unit" : { "currency" : { + "value" : "USD", "meta" : { "scheme" : "http://www.fpml.org/coding-scheme/external/iso4217" - }, - "value" : "USD" + } } }, - "value" : 0.0253, "perUnitOf" : { "currency" : { + "value" : "USD", "meta" : { "scheme" : "http://www.fpml.org/coding-scheme/external/iso4217" - }, - "value" : "USD" + } } }, - "priceType" : "INTEREST_RATE" - } - } ], - "quantity" : [ { + "priceType" : "InterestRate" + }, "meta" : { "location" : [ { "scope" : "DOCUMENT", - "value" : "quantity-2" + "value" : "price-1" } ] - }, + } + } ], + "quantity" : [ { "value" : { + "value" : 5000.00, "unit" : { "currency" : { + "value" : "USD", "meta" : { "scheme" : "http://www.fpml.org/coding-scheme/external/iso4217" - }, - "value" : "USD" + } } - }, - "value" : 5000.00 + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } ] } - } ] + } ], + "meta" : { + "globalKey" : "c777b0ae" + } } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "3f62c17f", + "externalReference" : "party1" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "b97c11f6", + "externalReference" : "party2" + } } ] }, - "tradeDate" : { - "meta" : { - "globalKey" : "3f1101" - }, - "value" : "2018-04-01" - }, - "tradeIdentifier" : [ { - "assignedIdentifier" : [ { + "party" : [ { + "partyId" : [ { "identifier" : { + "value" : "LEI1RPT0001", "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/unique-transaction-identifier" - }, - "value" : "LEI1RPT0001GGG" + "scheme" : "http://www.fpml.org/coding-scheme/external/iso17442" + } + }, + "identifierType" : "LEI", + "meta" : { + "globalKey" : "b8962566" } } ], - "issuer" : { - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/cftc/issuer-identifier" - }, - "value" : "LEI1RPT0001" - }, - "meta" : { - "globalKey" : "e17e0671" + "name" : { + "value" : "Bank X" }, - "identifierType" : "UNIQUE_TRANSACTION_IDENTIFIER" - } ] - } - } - }, - "primitiveInstruction" : { - "quantityChange" : { - "change" : [ { - "quantity" : [ { - "value" : { - "unit" : { - "currency" : { - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/iso4217" + "businessUnit" : [ { + "name" : "NY Swaps Desk", + "meta" : { + "globalKey" : "5c10b72e", + "externalKey" : "desk1" + } + } ], + "person" : [ { + "personId" : [ { + "value" : { + "identifier" : { + "value" : "jjones" }, - "value" : "USD" + "meta" : { + "globalKey" : "baeb8c0d" + } } - }, - "value" : 0.0 - } - } ] - } ], - "direction" : "REPLACE" - } - } - }, { - "primitiveInstruction" : { - "execution" : { - "counterparty" : [ { - "partyReference" : { - "externalReference" : "party1", - "globalReference" : "fdda73db" - }, - "role" : "PARTY_1" - }, { - "partyReference" : { - "externalReference" : "party2", - "globalReference" : "ee963b6" - }, - "role" : "PARTY_2" - } ], - "parties" : [ { - "businessUnit" : [ { - "meta" : { - "externalKey" : "desk1", - "globalKey" : "5c10b72e" - }, - "name" : "NY Swaps Desk" - } ], - "meta" : { - "externalKey" : "party1", - "globalKey" : "fdda73db" - }, - "name" : { - "value" : "Bank X" - }, - "partyId" : [ { - "identifier" : { + } ], + "firstName" : "jjone", "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/iso17442" - }, - "value" : "LEI1RPT0001" - }, - "identifierType" : "LEI", + "globalKey" : "b793baa7", + "externalKey" : "trader" + } + } ], "meta" : { - "globalKey" : "b8962566" + "globalKey" : "3f62c17f", + "externalKey" : "party1" } - } ], - "person" : [ { - "firstName" : "jjone", - "meta" : { - "externalKey" : "trader", - "globalKey" : "d3962233" - }, - "personId" : [ { - "value" : { - "identifier" : { - "value" : "jjones" - }, + }, { + "partyId" : [ { + "identifier" : { + "value" : "LEI2CP0002", "meta" : { - "globalKey" : "baeb8c0d" + "scheme" : "http://www.fpml.org/coding-scheme/external/iso17442" } + }, + "identifierType" : "LEI", + "meta" : { + "globalKey" : "eb8edea1" } - } ] - } ] - }, { - "meta" : { - "externalKey" : "party2", - "globalKey" : "ee963b6" - }, - "name" : { - "value" : "Bank Y" - }, - "partyId" : [ { - "identifier" : { - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/iso17442" - }, - "value" : "LEI2CP0002" + } ], + "name" : { + "value" : "Bank Y" }, - "identifierType" : "LEI", "meta" : { - "globalKey" : "eb8edea1" + "globalKey" : "b97c11f6", + "externalKey" : "party2" } - } ] - }, { - "meta" : { - "externalKey" : "broker1", - "globalKey" : "ed0cc6d1" - }, - "name" : { - "value" : "Up&Atem" - }, - "partyId" : [ { - "identifier" : { - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/iso17442" + }, { + "partyId" : [ { + "identifier" : { + "value" : "549300OL8KL0WCQ34V31", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/iso17442" + } }, - "value" : "549300OL8KL0WCQ34V31" - }, - "identifierType" : "LEI", - "meta" : { - "globalKey" : "8ffabe4b" - } - } ] - }, { - "meta" : { - "externalKey" : "clearing-svc", - "globalKey" : "611719a0" - }, - "name" : { - "value" : "ClearItAll" - }, - "partyId" : [ { - "identifier" : { + "identifierType" : "LEI", "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/iso17442" - }, - "value" : "549300IB5Q45JGNPND58" + "globalKey" : "8ffabe4b" + } + } ], + "name" : { + "value" : "Up&Atem" }, - "identifierType" : "LEI", "meta" : { - "globalKey" : "e213e7d7" + "globalKey" : "ce0b9311", + "externalKey" : "broker1" } - } ] - } ], - "partyRoles" : [ { - "ownershipPartyReference" : { - "externalReference" : "party1", - "globalReference" : "fdda73db" - }, - "partyReference" : { - "externalReference" : "clearing-svc", - "globalReference" : "611719a0" - }, - "role" : "CLEARING_ORGANIZATION" - } ], - "priceQuantity" : [ { - "meta" : { - "globalKey" : "22430af6" - }, - "observable" : { - "meta" : { - "globalKey" : "5f0c6d05" - }, - "rateOption" : { - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "rateOption-1" - } ] - }, - "value" : { - "floatingRateIndex" : { - "value" : "USD-LIBOR-BBA" - }, - "indexTenor" : { - "meta" : { - "globalKey" : "956" - }, - "period" : "M", - "periodMultiplier" : 3 + }, { + "partyId" : [ { + "identifier" : { + "value" : "549300IB5Q45JGNPND58", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/iso17442" } + }, + "identifierType" : "LEI", + "meta" : { + "globalKey" : "e213e7d7" } - } - }, - "quantity" : [ { - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] + } ], + "name" : { + "value" : "ClearItAll" }, - "value" : { - "unit" : { - "currency" : { - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/iso4217" - }, - "value" : "USD" - } - }, - "value" : 16000.0 - } - } ] - }, { - "meta" : { - "globalKey" : "c2985382" - }, - "price" : [ { "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-1" - } ] - }, - "value" : { - "unit" : { - "currency" : { - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/iso4217" - }, - "value" : "USD" - } - }, - "value" : 0.0253, - "perUnitOf" : { - "currency" : { - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/iso4217" - }, - "value" : "USD" - } - }, - "priceType" : "INTEREST_RATE" + "globalKey" : "f6a6cc60", + "externalKey" : "clearing-svc" } } ], - "quantity" : [ { - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } ] + "partyRole" : [ { + "partyReference" : { + "globalReference" : "f6a6cc60", + "externalReference" : "clearing-svc" }, - "value" : { - "unit" : { - "currency" : { - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/iso4217" - }, - "value" : "USD" - } - }, - "value" : 16000.0 + "role" : "ClearingOrganization", + "ownershipPartyReference" : { + "globalReference" : "3f62c17f", + "externalReference" : "party1" } - } ] - } ], + } ], + "meta" : { + "globalKey" : "7c6f41b4" + } + }, + "meta" : { + "globalKey" : "7c6f41b4" + } + } + } + }, { + "primitiveInstruction" : { + "execution" : { "product" : { "contractualProduct" : { "productTaxonomy" : [ { "primaryAssetClass" : { - "value" : "INTEREST_RATE" + "value" : "InterestRate" } }, { "source" : "ISDA", "value" : { "name" : { + "value" : "InterestRate:IRSwap:FixedFloat", "meta" : { "scheme" : "http://www.fpml.org/coding-scheme/product-taxonomy" - }, - "value" : "InterestRate:IRSwap:FixedFloat" + } } } }, { @@ -2217,46 +1988,40 @@ "payout" : { "interestRatePayout" : [ { "payerReceiver" : { - "payer" : "PARTY_1", - "receiver" : "PARTY_2" + "payer" : "Party1", + "receiver" : "Party2" }, "priceQuantity" : { - "meta" : { - "globalKey" : "0" - }, "quantitySchedule" : { "address" : { "scope" : "DOCUMENT", "value" : "quantity-1" } + }, + "meta" : { + "globalKey" : "0" } }, - "calculationPeriodDates" : { - "calculationPeriodDatesAdjustments" : { - "businessCenters" : { - "businessCentersReference" : { - "externalReference" : "primaryBusinessCenters", - "globalReference" : "27e4e9" - }, - "meta" : { - "globalKey" : "eb13047c" + "rateSpecification" : { + "floatingRate" : { + "rateOption" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "rateOption-1" } }, - "businessDayConvention" : "MODFOLLOWING", "meta" : { - "globalKey" : "214e084d" + "globalKey" : "0" } - }, - "calculationPeriodFrequency" : { - "meta" : { - "globalKey" : "12d23" - }, - "period" : "M", - "periodMultiplier" : 3, - "rollConvention" : "8" - }, + } + }, + "dayCountFraction" : { + "value" : "ACT/360" + }, + "calculationPeriodDates" : { "effectiveDate" : { "adjustableDate" : { + "unadjustedDate" : "2018-04-03", "dateAdjustments" : { "businessDayConvention" : "NONE", "meta" : { @@ -2265,103 +2030,108 @@ }, "meta" : { "globalKey" : "ece3837b" - }, - "unadjustedDate" : "2018-04-03" + } }, "meta" : { "globalKey" : "ece3837b" } }, - "meta" : { - "externalKey" : "floatingCalcPeriodDates", - "globalKey" : "c7a104bd" - }, "terminationDate" : { "adjustableDate" : { + "unadjustedDate" : "2026-02-08", "dateAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", "businessCenters" : { "businessCenter" : [ { "value" : "USNY" } ], "meta" : { - "externalKey" : "primaryBusinessCenters", - "globalKey" : "27e4e9" + "globalKey" : "27e4e9", + "externalKey" : "primaryBusinessCenters" } }, - "businessDayConvention" : "MODFOLLOWING", "meta" : { "globalKey" : "3662e8ba" } }, "meta" : { "globalKey" : "f148ad32" - }, - "unadjustedDate" : "2026-02-08" + } }, "meta" : { "globalKey" : "f148ad32" } - } - }, - "dayCountFraction" : { - "value" : "ACT/360" - }, - "meta" : { - "globalKey" : "d95187a8" - }, - "paymentDates" : { - "meta" : { - "globalKey" : "4fa45fc3" }, - "payRelativeTo" : "CALCULATION_PERIOD_END_DATE", - "paymentDatesAdjustments" : { + "calculationPeriodDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", "businessCenters" : { "businessCentersReference" : { - "externalReference" : "primaryBusinessCenters", - "globalReference" : "27e4e9" + "globalReference" : "27e4e9", + "externalReference" : "primaryBusinessCenters" }, "meta" : { "globalKey" : "eb13047c" } }, - "businessDayConvention" : "MODFOLLOWING", "meta" : { "globalKey" : "214e084d" } }, - "paymentFrequency" : { + "calculationPeriodFrequency" : { + "periodMultiplier" : 3, + "period" : "M", "meta" : { - "globalKey" : "956" + "globalKey" : "204f" }, - "period" : "M", - "periodMultiplier" : 3 + "rollConvention" : "8" + }, + "meta" : { + "globalKey" : "c513c70f", + "externalKey" : "floatingCalcPeriodDates" } }, - "rateSpecification" : { - "floatingRate" : { + "paymentDates" : { + "paymentFrequency" : { + "periodMultiplier" : 3, + "period" : "M", "meta" : { - "globalKey" : "0" - }, - "rateOption" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "rateOption-1" - } + "globalKey" : "aa" } - } - }, - "resetDates" : { - "calculationPeriodDatesReference" : { - "externalReference" : "floatingCalcPeriodDates", - "globalReference" : "c7a104bd" }, - "fixingDates" : { - "meta" : { - "globalKey" : "131ae8a2" - }, - "period" : "D", + "payRelativeTo" : "CalculationPeriodEndDate", + "paymentDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCentersReference" : { + "globalReference" : "27e4e9", + "externalReference" : "primaryBusinessCenters" + }, + "meta" : { + "globalKey" : "eb13047c" + } + }, + "meta" : { + "globalKey" : "214e084d" + } + }, + "meta" : { + "globalKey" : "db523fbd" + } + }, + "resetDates" : { + "calculationPeriodDatesReference" : { + "globalReference" : "c513c70f", + "externalReference" : "floatingCalcPeriodDates" + }, + "resetRelativeTo" : "CalculationPeriodStartDate", + "fixingDates" : { "periodMultiplier" : -2, - "dayType" : "BUSINESS", + "period" : "D", + "meta" : { + "globalKey" : "eff6d356" + }, + "dayType" : "Business", + "businessDayConvention" : "NONE", "businessCenters" : { "businessCenter" : [ { "value" : "GBLO" @@ -2370,82 +2140,79 @@ "globalKey" : "21479e" } }, - "businessDayConvention" : "NONE", "dateRelativeTo" : { - "externalReference" : "resetDates", - "globalReference" : "dbde6647" + "globalReference" : "6fc3cf5", + "externalReference" : "resetDates" } }, - "meta" : { - "externalKey" : "resetDates", - "globalKey" : "dbde6647" + "resetFrequency" : { + "periodMultiplier" : 3, + "period" : "M", + "meta" : { + "globalKey" : "aa" + } }, "resetDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", "businessCenters" : { "businessCentersReference" : { - "externalReference" : "primaryBusinessCenters", - "globalReference" : "27e4e9" + "globalReference" : "27e4e9", + "externalReference" : "primaryBusinessCenters" }, "meta" : { "globalKey" : "eb13047c" } }, - "businessDayConvention" : "MODFOLLOWING", "meta" : { "globalKey" : "214e084d" } }, - "resetFrequency" : { - "meta" : { - "globalKey" : "956" - }, - "period" : "M", - "periodMultiplier" : 3 - }, - "resetRelativeTo" : "CALCULATION_PERIOD_START_DATE" + "meta" : { + "globalKey" : "6fc3cf5", + "externalKey" : "resetDates" + } + }, + "meta" : { + "globalKey" : "5b3506a2" } }, { "payerReceiver" : { - "payer" : "PARTY_2", - "receiver" : "PARTY_1" + "payer" : "Party2", + "receiver" : "Party1" }, "priceQuantity" : { - "meta" : { - "globalKey" : "0" - }, "quantitySchedule" : { "address" : { "scope" : "DOCUMENT", "value" : "quantity-2" } + }, + "meta" : { + "globalKey" : "0" } }, - "calculationPeriodDates" : { - "calculationPeriodDatesAdjustments" : { - "businessCenters" : { - "businessCentersReference" : { - "externalReference" : "primaryBusinessCenters", - "globalReference" : "27e4e9" - }, - "meta" : { - "globalKey" : "eb13047c" + "rateSpecification" : { + "fixedRate" : { + "rateSchedule" : { + "price" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "price-1" + } } }, - "businessDayConvention" : "MODFOLLOWING", "meta" : { - "globalKey" : "214e084d" + "globalKey" : "0" } - }, - "calculationPeriodFrequency" : { - "meta" : { - "globalKey" : "12d80" - }, - "period" : "M", - "periodMultiplier" : 6, - "rollConvention" : "8" - }, + } + }, + "dayCountFraction" : { + "value" : "30E/360" + }, + "calculationPeriodDates" : { "effectiveDate" : { "adjustableDate" : { + "unadjustedDate" : "2018-04-03", "dateAdjustments" : { "businessDayConvention" : "NONE", "meta" : { @@ -2454,134 +2221,367 @@ }, "meta" : { "globalKey" : "ece3837b" - }, - "unadjustedDate" : "2018-04-03" + } }, "meta" : { "globalKey" : "ece3837b" } }, - "meta" : { - "externalKey" : "fixedCalcPeriodDates", - "globalKey" : "c01e6313" - }, "terminationDate" : { "adjustableDate" : { + "unadjustedDate" : "2026-02-08", "dateAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", "businessCenters" : { "businessCentersReference" : { - "externalReference" : "primaryBusinessCenters", - "globalReference" : "27e4e9" + "globalReference" : "27e4e9", + "externalReference" : "primaryBusinessCenters" }, "meta" : { "globalKey" : "eb13047c" } }, - "businessDayConvention" : "MODFOLLOWING", "meta" : { "globalKey" : "214e084d" } }, "meta" : { "globalKey" : "dc33ccc5" - }, - "unadjustedDate" : "2026-02-08" + } }, "meta" : { "globalKey" : "dc33ccc5" } - } - }, - "dayCountFraction" : { - "value" : "30E/360" - }, - "meta" : { - "globalKey" : "7e4c86b1" - }, - "paymentDates" : { - "meta" : { - "globalKey" : "4fa45fc6" }, - "payRelativeTo" : "CALCULATION_PERIOD_END_DATE", - "paymentDatesAdjustments" : { + "calculationPeriodDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", "businessCenters" : { "businessCentersReference" : { - "externalReference" : "primaryBusinessCenters", - "globalReference" : "27e4e9" + "globalReference" : "27e4e9", + "externalReference" : "primaryBusinessCenters" }, "meta" : { "globalKey" : "eb13047c" } }, - "businessDayConvention" : "MODFOLLOWING", "meta" : { "globalKey" : "214e084d" } }, - "paymentFrequency" : { + "calculationPeriodFrequency" : { + "periodMultiplier" : 6, + "period" : "M", "meta" : { - "globalKey" : "959" + "globalKey" : "2b92" }, - "period" : "M", - "periodMultiplier" : 6 + "rollConvention" : "8" + }, + "meta" : { + "globalKey" : "1d67881f", + "externalKey" : "fixedCalcPeriodDates" } }, - "rateSpecification" : { - "fixedRate" : { + "paymentDates" : { + "paymentFrequency" : { + "periodMultiplier" : 6, + "period" : "M", "meta" : { - "globalKey" : "0" - }, - "rateSchedule" : { - "price" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "price-1" - } + "globalKey" : "107" + } + }, + "payRelativeTo" : "CalculationPeriodEndDate", + "paymentDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCentersReference" : { + "globalReference" : "27e4e9", + "externalReference" : "primaryBusinessCenters" + }, + "meta" : { + "globalKey" : "eb13047c" } + }, + "meta" : { + "globalKey" : "214e084d" } + }, + "meta" : { + "globalKey" : "7a04f180" } + }, + "meta" : { + "globalKey" : "5ea34009" } } ], "meta" : { - "globalKey" : "16b5fc59" + "globalKey" : "8398dc2b" } } }, "meta" : { - "globalKey" : "d3cc5e26" + "globalKey" : "40af3df8" } }, "meta" : { - "globalKey" : "d3cc5e26" + "globalKey" : "40af3df8" } }, + "priceQuantity" : [ { + "quantity" : [ { + "value" : { + "value" : 16000.0, + "unit" : { + "currency" : { + "value" : "USD", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/iso4217" + } + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] + } + } ], + "observable" : { + "rateOption" : { + "value" : { + "floatingRateIndex" : { + "value" : "USD-LIBOR-BBA" + }, + "indexTenor" : { + "periodMultiplier" : 3, + "period" : "M", + "meta" : { + "globalKey" : "aa" + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "rateOption-1" + } ] + } + }, + "meta" : { + "globalKey" : "828026c7" + } + }, + "meta" : { + "globalKey" : "e12dd8a2" + } + }, { + "price" : [ { + "value" : { + "value" : 0.0253, + "unit" : { + "currency" : { + "value" : "USD", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/iso4217" + } + } + }, + "perUnitOf" : { + "currency" : { + "value" : "USD", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/iso4217" + } + } + }, + "priceType" : "InterestRate" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-1" + } ] + } + } ], + "quantity" : [ { + "value" : { + "value" : 16000.0, + "unit" : { + "currency" : { + "value" : "USD", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/iso4217" + } + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } ] + } + } ], + "meta" : { + "globalKey" : "90721cbe" + } + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "74dee05b", + "externalReference" : "party1" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "b97c11f6", + "externalReference" : "party2" + } + } ], + "parties" : [ { + "partyId" : [ { + "identifier" : { + "value" : "LEI1RPT0001", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/iso17442" + } + }, + "identifierType" : "LEI", + "meta" : { + "globalKey" : "b8962566" + } + } ], + "name" : { + "value" : "Bank X" + }, + "businessUnit" : [ { + "name" : "NY Swaps Desk", + "meta" : { + "globalKey" : "5c10b72e", + "externalKey" : "desk1" + } + } ], + "person" : [ { + "personId" : [ { + "value" : { + "identifier" : { + "value" : "jjones" + }, + "meta" : { + "globalKey" : "baeb8c0d" + } + } + } ], + "firstName" : "jjone", + "meta" : { + "globalKey" : "d3962233", + "externalKey" : "trader" + } + } ], + "meta" : { + "globalKey" : "74dee05b", + "externalKey" : "party1" + } + }, { + "partyId" : [ { + "identifier" : { + "value" : "LEI2CP0002", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/iso17442" + } + }, + "identifierType" : "LEI", + "meta" : { + "globalKey" : "eb8edea1" + } + } ], + "name" : { + "value" : "Bank Y" + }, + "meta" : { + "globalKey" : "b97c11f6", + "externalKey" : "party2" + } + }, { + "partyId" : [ { + "identifier" : { + "value" : "549300OL8KL0WCQ34V31", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/iso17442" + } + }, + "identifierType" : "LEI", + "meta" : { + "globalKey" : "8ffabe4b" + } + } ], + "name" : { + "value" : "Up&Atem" + }, + "meta" : { + "globalKey" : "ce0b9311", + "externalKey" : "broker1" + } + }, { + "partyId" : [ { + "identifier" : { + "value" : "549300IB5Q45JGNPND58", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/iso17442" + } + }, + "identifierType" : "LEI", + "meta" : { + "globalKey" : "e213e7d7" + } + } ], + "name" : { + "value" : "ClearItAll" + }, + "meta" : { + "globalKey" : "f6a6cc60", + "externalKey" : "clearing-svc" + } + } ], + "partyRoles" : [ { + "partyReference" : { + "globalReference" : "f6a6cc60", + "externalReference" : "clearing-svc" + }, + "role" : "ClearingOrganization", + "ownershipPartyReference" : { + "globalReference" : "74dee05b", + "externalReference" : "party1" + } + } ], "tradeDate" : { "value" : "2018-04-03" }, "tradeIdentifier" : [ { + "issuer" : { + "value" : "LEI1RPT0001", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/iso17442" + } + }, "assignedIdentifier" : [ { "identifier" : { + "value" : "LEI1RPT0003EFG", "meta" : { "scheme" : "http://www.fpml.org/coding-scheme/external/uti" - }, - "value" : "LEI1RPT0003EFG" + } } } ], - "issuer" : { - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/iso17442" - }, - "value" : "LEI1RPT0001" - }, "meta" : { - "globalKey" : "47d2b434" + "globalKey" : "feab65e0" }, - "identifierType" : "UNIQUE_TRANSACTION_IDENTIFIER" + "identifierType" : "UniqueTransactionIdentifier" } ] } } } ], - "intent" : "COMPRESSION", + "intent" : "Compression", "eventDate" : "2018-04-03", "effectiveDate" : null } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/cdm-sample-files/functions/business-event/contract-formation/contract-formation-basis-swap-func-input.json b/rosetta-source/src/main/resources/cdm-sample-files/functions/business-event/contract-formation/contract-formation-basis-swap-func-input.json index e7a77627d2..cd37fe1f2e 100644 --- a/rosetta-source/src/main/resources/cdm-sample-files/functions/business-event/contract-formation/contract-formation-basis-swap-func-input.json +++ b/rosetta-source/src/main/resources/cdm-sample-files/functions/business-event/contract-formation/contract-formation-basis-swap-func-input.json @@ -2,177 +2,109 @@ "instruction" : [ { "before" : { "value" : { - "meta" : { - "globalKey" : "d306ca4f" - }, "trade" : { - "contractDetails" : { - "documentation" : [ { - "legalAgreementIdentification" : { - "agreementName" : { - "agreementType" : "MASTER_AGREEMENT", - "masterAgreementType" : { - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/master-agreement-type" - }, - "value" : "ISDA_MASTER" - } - } - }, - "meta" : { - "globalKey" : "c4592b87" - } - }, { - "legalAgreementIdentification" : { - "agreementName" : { - "agreementType" : "CONFIRMATION", - "contractualDefinitionsType" : [ { - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/contractual-definitions" - }, - "value" : "ISDA2006" - } ] - } - }, - "meta" : { - "globalKey" : "6b413360" - } - } ], - "meta" : { - "globalKey" : "bd492439" - } - }, - "meta" : { - "globalKey" : "d306ca4f" - }, - "party" : [ { - "meta" : { - "externalKey" : "party1", - "globalKey" : "27b20a6a" + "tradeIdentifier" : [ { + "issuerReference" : { + "globalReference" : "cc892602", + "externalReference" : "party2" }, - "partyId" : [ { + "assignedIdentifier" : [ { "identifier" : { + "value" : "LCH00023323008", "meta" : { - "scheme" : "http://www.lchclearnet.com/clearlink/coding-scheme/party-id" - }, - "value" : "COUNTERPARTY" + "scheme" : "http://www.lchclearnet.com/clearlink/coding-scheme/trade-id" + } }, - "meta" : { - "globalKey" : "27b20a6a" - } - } ] - }, { + "version" : 1 + } ], "meta" : { - "externalKey" : "party2", - "globalKey" : "cc892602" - }, - "partyId" : [ { - "identifier" : { - "meta" : { - "scheme" : "http://www.lchclearnet.com/clearlink/coding-scheme/party-id" - }, - "value" : "LCHLGB22XXX" - }, - "meta" : { - "globalKey" : "cc892602" - } - } ] + "globalKey" : "71303531" + } } ], + "tradeDate" : { + "value" : "2017-12-18", + "meta" : { + "globalKey" : "3f0b12" + } + }, "tradableProduct" : { - "counterparty" : [ { - "partyReference" : { - "externalReference" : "party1", - "globalReference" : "27b20a6a" - }, - "role" : "PARTY_1" - }, { - "partyReference" : { - "externalReference" : "party2", - "globalReference" : "cc892602" - }, - "role" : "PARTY_2" - } ], "product" : { "contractualProduct" : { - "productIdentifier" : [ { - "value" : { - "identifier" : { - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/product-taxonomy" - }, - "value" : "InterestRate:IRSwap:Basis" - }, - "meta" : { - "globalKey" : "1d6b2aa0" - }, - "source" : "OTHER" - } - } ], "productTaxonomy" : [ { "primaryAssetClass" : { + "value" : "InterestRate", "meta" : { "scheme" : "http://www.fpml.org/coding-scheme/asset-class-simple" - }, - "value" : "INTEREST_RATE" + } } }, { "source" : "ISDA", "value" : { "name" : { + "value" : "InterestRate:IRSwap:Basis", "meta" : { "scheme" : "http://www.fpml.org/coding-scheme/product-taxonomy" - }, - "value" : "InterestRate:IRSwap:Basis" + } } } }, { "source" : "ISDA", "productQualifier" : "InterestRate_IRSwap_Basis" } ], + "productIdentifier" : [ { + "value" : { + "identifier" : { + "value" : "InterestRate:IRSwap:Basis", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/product-taxonomy" + } + }, + "source" : "Other", + "meta" : { + "globalKey" : "1d6b2aa0" + } + } + } ], "economicTerms" : { "payout" : { "interestRatePayout" : [ { "payerReceiver" : { - "payer" : "PARTY_1", - "receiver" : "PARTY_2" + "payer" : "Party1", + "receiver" : "Party2" }, "priceQuantity" : { - "meta" : { - "globalKey" : "0" - }, "quantitySchedule" : { "address" : { "scope" : "DOCUMENT", "value" : "quantity-1" } + }, + "meta" : { + "globalKey" : "0" } }, - "calculationPeriodDates" : { - "calculationPeriodDatesAdjustments" : { - "businessCenters" : { - "businessCenter" : [ { - "value" : "CATO" - } ], - "meta" : { - "globalKey" : "1f7359" + "rateSpecification" : { + "floatingRate" : { + "rateOption" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "rateOption-2" } }, - "businessDayConvention" : "MODFOLLOWING", "meta" : { - "globalKey" : "365a772a" + "globalKey" : "0" } - }, - "calculationPeriodFrequency" : { - "meta" : { - "globalKey" : "80f3fcc7" - }, - "period" : "M", - "periodMultiplier" : 3, - "rollConvention" : "IMMCAD" - }, + } + }, + "dayCountFraction" : { + "value" : "ACT/365.FIXED" + }, + "calculationPeriodDates" : { "effectiveDate" : { "adjustableDate" : { + "unadjustedDate" : "2020-12-14", "dateAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", "businessCenters" : { "businessCenter" : [ { "value" : "CATO" @@ -181,29 +113,23 @@ "globalKey" : "1f7359" } }, - "businessDayConvention" : "MODFOLLOWING", "meta" : { "globalKey" : "365a772a" } }, "meta" : { "globalKey" : "56fd0cdc" - }, - "unadjustedDate" : "2020-12-14" + } }, "meta" : { "globalKey" : "56fd0cdc" } }, - "firstRegularPeriodStartDate" : "2021-03-15", - "meta" : { - "externalKey" : "floatingCalcPeriodDates1", - "globalKey" : "bbe81c92" - }, - "stubPeriodType" : "LONG_INITIAL", "terminationDate" : { "adjustableDate" : { + "unadjustedDate" : "2022-12-19", "dateAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", "businessCenters" : { "businessCenter" : [ { "value" : "CATO" @@ -212,34 +138,20 @@ "globalKey" : "1f7359" } }, - "businessDayConvention" : "MODFOLLOWING", "meta" : { "globalKey" : "365a772a" } }, "meta" : { "globalKey" : "ad0f37f7" - }, - "unadjustedDate" : "2022-12-19" + } }, "meta" : { "globalKey" : "ad0f37f7" } - } - }, - "dayCountFraction" : { - "value" : "ACT/365.FIXED" - }, - "meta" : { - "globalKey" : "1405b24d" - }, - "paymentDates" : { - "meta" : { - "externalKey" : "paymentDates1", - "globalKey" : "c17da7c6" }, - "payRelativeTo" : "CALCULATION_PERIOD_END_DATE", - "paymentDatesAdjustments" : { + "calculationPeriodDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", "businessCenters" : { "businessCenter" : [ { "value" : "CATO" @@ -248,43 +160,66 @@ "globalKey" : "1f7359" } }, - "businessDayConvention" : "MODFOLLOWING", "meta" : { "globalKey" : "365a772a" } }, - "paymentFrequency" : { + "firstRegularPeriodStartDate" : "2021-03-15", + "stubPeriodType" : "LongInitial", + "calculationPeriodFrequency" : { + "periodMultiplier" : 3, + "period" : "M", "meta" : { - "globalKey" : "956" + "globalKey" : "80f2eff3" }, - "period" : "M", - "periodMultiplier" : 3 + "rollConvention" : "IMMCAD" + }, + "meta" : { + "globalKey" : "ccdefd78", + "externalKey" : "floatingCalcPeriodDates1" } }, - "rateSpecification" : { - "floatingRate" : { + "paymentDates" : { + "paymentFrequency" : { + "periodMultiplier" : 3, + "period" : "M", "meta" : { - "globalKey" : "0" - }, - "rateOption" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "rateOption-2" + "globalKey" : "aa" + } + }, + "payRelativeTo" : "CalculationPeriodEndDate", + "paymentDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "CATO" + } ], + "meta" : { + "globalKey" : "1f7359" } + }, + "meta" : { + "globalKey" : "365a772a" } + }, + "meta" : { + "globalKey" : "f05eae9a", + "externalKey" : "paymentDates1" } }, "resetDates" : { "calculationPeriodDatesReference" : { - "externalReference" : "floatingCalcPeriodDates1", - "globalReference" : "bbe81c92" + "globalReference" : "ccdefd78", + "externalReference" : "floatingCalcPeriodDates1" }, + "resetRelativeTo" : "CalculationPeriodStartDate", "fixingDates" : { + "periodMultiplier" : 0, + "period" : "D", "meta" : { - "globalKey" : "3bafa20d" + "globalKey" : "b1077415" }, - "period" : "D", - "periodMultiplier" : 0, + "businessDayConvention" : "PRECEDING", "businessCenters" : { "businessCenter" : [ { "value" : "CATO" @@ -293,17 +228,20 @@ "globalKey" : "1f7359" } }, - "businessDayConvention" : "PRECEDING", "dateRelativeTo" : { - "externalReference" : "resetDates1", - "globalReference" : "fb3cfbde" + "globalReference" : "1da74cba", + "externalReference" : "resetDates1" } }, - "meta" : { - "externalKey" : "resetDates1", - "globalKey" : "fb3cfbde" + "resetFrequency" : { + "periodMultiplier" : 3, + "period" : "M", + "meta" : { + "globalKey" : "aa" + } }, "resetDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", "businessCenters" : { "businessCenter" : [ { "value" : "CATO" @@ -312,62 +250,64 @@ "globalKey" : "1f7359" } }, - "businessDayConvention" : "MODFOLLOWING", "meta" : { "globalKey" : "365a772a" } }, - "resetFrequency" : { - "meta" : { - "globalKey" : "956" - }, - "period" : "M", - "periodMultiplier" : 3 - }, - "resetRelativeTo" : "CALCULATION_PERIOD_START_DATE" + "meta" : { + "globalKey" : "1da74cba", + "externalKey" : "resetDates1" + } + }, + "meta" : { + "globalKey" : "2a575d2f" } }, { "payerReceiver" : { - "payer" : "PARTY_2", - "receiver" : "PARTY_1" + "payer" : "Party2", + "receiver" : "Party1" }, "priceQuantity" : { - "meta" : { - "globalKey" : "0" - }, "quantitySchedule" : { "address" : { "scope" : "DOCUMENT", "value" : "quantity-2" } + }, + "meta" : { + "globalKey" : "0" } }, - "calculationPeriodDates" : { - "calculationPeriodDatesAdjustments" : { - "businessCenters" : { - "businessCenter" : [ { - "value" : "CATO" - } ], - "meta" : { - "globalKey" : "1f7359" + "rateSpecification" : { + "floatingRate" : { + "rateOption" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "rateOption-1" + } + }, + "spreadSchedule" : { + "price" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "price-1" + } } }, - "businessDayConvention" : "MODFOLLOWING", "meta" : { - "globalKey" : "365a772a" + "globalKey" : "0" } - }, - "calculationPeriodFrequency" : { - "meta" : { - "globalKey" : "80f3fc89" - }, - "period" : "M", - "periodMultiplier" : 1, - "rollConvention" : "IMMCAD" - }, + } + }, + "dayCountFraction" : { + "value" : "ACT/365.FIXED" + }, + "calculationPeriodDates" : { "effectiveDate" : { "adjustableDate" : { + "unadjustedDate" : "2020-12-14", "dateAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", "businessCenters" : { "businessCenter" : [ { "value" : "CATO" @@ -376,29 +316,23 @@ "globalKey" : "1f7359" } }, - "businessDayConvention" : "MODFOLLOWING", "meta" : { "globalKey" : "365a772a" } }, "meta" : { "globalKey" : "56fd0cdc" - }, - "unadjustedDate" : "2020-12-14" + } }, "meta" : { "globalKey" : "56fd0cdc" } }, - "firstRegularPeriodStartDate" : "2021-01-18", - "meta" : { - "externalKey" : "floatingCalcPeriodDates2", - "globalKey" : "362f2a17" - }, - "stubPeriodType" : "LONG_INITIAL", "terminationDate" : { "adjustableDate" : { + "unadjustedDate" : "2022-12-19", "dateAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", "businessCenters" : { "businessCenter" : [ { "value" : "CATO" @@ -407,36 +341,20 @@ "globalKey" : "1f7359" } }, - "businessDayConvention" : "MODFOLLOWING", "meta" : { "globalKey" : "365a772a" } }, "meta" : { "globalKey" : "ad0f37f7" - }, - "unadjustedDate" : "2022-12-19" + } }, "meta" : { "globalKey" : "ad0f37f7" } - } - }, - "compoundingMethod" : "FLAT", - "dayCountFraction" : { - "value" : "ACT/365.FIXED" - }, - "meta" : { - "globalKey" : "1532a8a" - }, - "paymentDates" : { - "firstPaymentDate" : "2021-03-15", - "meta" : { - "externalKey" : "paymentDates2", - "globalKey" : "992df7d7" }, - "payRelativeTo" : "CALCULATION_PERIOD_END_DATE", - "paymentDatesAdjustments" : { + "calculationPeriodDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", "businessCenters" : { "businessCenter" : [ { "value" : "CATO" @@ -445,51 +363,67 @@ "globalKey" : "1f7359" } }, - "businessDayConvention" : "MODFOLLOWING", "meta" : { "globalKey" : "365a772a" } }, - "paymentFrequency" : { + "firstRegularPeriodStartDate" : "2021-01-18", + "stubPeriodType" : "LongInitial", + "calculationPeriodFrequency" : { + "periodMultiplier" : 1, + "period" : "M", "meta" : { - "globalKey" : "956" + "globalKey" : "80f2e871" }, - "period" : "M", - "periodMultiplier" : 3 + "rollConvention" : "IMMCAD" + }, + "meta" : { + "globalKey" : "d049c7b9", + "externalKey" : "floatingCalcPeriodDates2" } }, - "rateSpecification" : { - "floatingRate" : { + "paymentDates" : { + "paymentFrequency" : { + "periodMultiplier" : 3, + "period" : "M", "meta" : { - "globalKey" : "0" - }, - "rateOption" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "rateOption-1" + "globalKey" : "aa" + } + }, + "firstPaymentDate" : "2021-03-15", + "payRelativeTo" : "CalculationPeriodEndDate", + "paymentDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "CATO" + } ], + "meta" : { + "globalKey" : "1f7359" } }, - "spreadSchedule" : { - "price" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "price-1" - } - } + "meta" : { + "globalKey" : "365a772a" } + }, + "meta" : { + "globalKey" : "c80efeab", + "externalKey" : "paymentDates2" } }, "resetDates" : { "calculationPeriodDatesReference" : { - "externalReference" : "floatingCalcPeriodDates2", - "globalReference" : "362f2a17" + "globalReference" : "d049c7b9", + "externalReference" : "floatingCalcPeriodDates2" }, + "resetRelativeTo" : "CalculationPeriodStartDate", "fixingDates" : { + "periodMultiplier" : 0, + "period" : "D", "meta" : { - "globalKey" : "3bafa20e" + "globalKey" : "b1077416" }, - "period" : "D", - "periodMultiplier" : 0, + "businessDayConvention" : "PRECEDING", "businessCenters" : { "businessCenter" : [ { "value" : "CATO" @@ -498,17 +432,20 @@ "globalKey" : "1f7359" } }, - "businessDayConvention" : "PRECEDING", "dateRelativeTo" : { - "externalReference" : "resetDates2", - "globalReference" : "54134cfc" + "globalReference" : "cb12758", + "externalReference" : "resetDates2" } }, - "meta" : { - "externalKey" : "resetDates2", - "globalKey" : "54134cfc" + "resetFrequency" : { + "periodMultiplier" : 1, + "period" : "M", + "meta" : { + "globalKey" : "6c" + } }, "resetDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", "businessCenters" : { "businessCenter" : [ { "value" : "CATO" @@ -517,180 +454,243 @@ "globalKey" : "1f7359" } }, - "businessDayConvention" : "MODFOLLOWING", "meta" : { "globalKey" : "365a772a" } }, - "resetFrequency" : { - "meta" : { - "globalKey" : "954" - }, - "period" : "M", - "periodMultiplier" : 1 - }, - "resetRelativeTo" : "CALCULATION_PERIOD_START_DATE" + "meta" : { + "globalKey" : "cb12758", + "externalKey" : "resetDates2" + } + }, + "compoundingMethod" : "Flat", + "meta" : { + "globalKey" : "d760bde8" } } ], "meta" : { - "globalKey" : "4c604717" + "globalKey" : "19c43d7" } } }, "meta" : { - "globalKey" : "198353b9" + "globalKey" : "93d7c335" } }, "meta" : { - "globalKey" : "198353b9" + "globalKey" : "93d7c335" } }, "tradeLot" : [ { "priceQuantity" : [ { - "meta" : { - "globalKey" : "e1baed04" - }, - "observable" : { - "meta" : { - "globalKey" : "76074b0b" - }, - "rateOption" : { - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "rateOption-2" - } ] - }, - "value" : { - "floatingRateIndex" : { - "value" : "CAD-BA-CDOR" - }, - "indexTenor" : { - "meta" : { - "globalKey" : "956" - }, - "period" : "M", - "periodMultiplier" : 3 + "quantity" : [ { + "value" : { + "value" : 634000000, + "unit" : { + "currency" : { + "value" : "CAD" } } - } - }, - "quantity" : [ { + }, "meta" : { "location" : [ { "scope" : "DOCUMENT", "value" : "quantity-1" } ] - }, - "value" : { - "unit" : { - "currency" : { - "value" : "CAD" - } - }, - "value" : 634000000 } - } ] - }, { - "meta" : { - "globalKey" : "76391948" - }, + } ], "observable" : { - "meta" : { - "globalKey" : "76074b09" - }, "rateOption" : { - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "rateOption-1" - } ] - }, "value" : { "floatingRateIndex" : { "value" : "CAD-BA-CDOR" }, "indexTenor" : { - "meta" : { - "globalKey" : "954" - }, + "periodMultiplier" : 3, "period" : "M", - "periodMultiplier" : 1 + "meta" : { + "globalKey" : "aa" + } } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "rateOption-2" + } ] } + }, + "meta" : { + "globalKey" : "4ae10981" } }, + "meta" : { + "globalKey" : "30cdb530" + } + }, { "price" : [ { - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-1" - } ] - }, "value" : { + "value" : 0.00121, "unit" : { "currency" : { "value" : "CAD" } }, - "value" : 0.00121, - "arithmeticOperator" : "ADD", "perUnitOf" : { "currency" : { "value" : "CAD" } }, - "priceType" : "INTEREST_RATE" - } - } ], - "quantity" : [ { + "priceType" : "InterestRate", + "arithmeticOperator" : "Add" + }, "meta" : { "location" : [ { "scope" : "DOCUMENT", - "value" : "quantity-2" + "value" : "price-1" } ] - }, + } + } ], + "quantity" : [ { "value" : { + "value" : 634000000, "unit" : { "currency" : { "value" : "CAD" } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } ] + } + } ], + "observable" : { + "rateOption" : { + "value" : { + "floatingRateIndex" : { + "value" : "CAD-BA-CDOR" + }, + "indexTenor" : { + "periodMultiplier" : 1, + "period" : "M", + "meta" : { + "globalKey" : "6c" + } + } }, - "value" : 634000000 + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "rateOption-1" + } ] + } + }, + "meta" : { + "globalKey" : "4ae101ff" } - } ] + }, + "meta" : { + "globalKey" : "35350988" + } } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "27b20a6a", + "externalReference" : "party1" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "cc892602", + "externalReference" : "party2" + } } ] }, - "tradeDate" : { + "party" : [ { + "partyId" : [ { + "identifier" : { + "value" : "COUNTERPARTY", + "meta" : { + "scheme" : "http://www.lchclearnet.com/clearlink/coding-scheme/party-id" + } + }, + "meta" : { + "globalKey" : "27b20a6a" + } + } ], "meta" : { - "globalKey" : "3f0b12" - }, - "value" : "2017-12-18" - }, - "tradeIdentifier" : [ { - "assignedIdentifier" : [ { + "globalKey" : "27b20a6a", + "externalKey" : "party1" + } + }, { + "partyId" : [ { "identifier" : { + "value" : "LCHLGB22XXX", "meta" : { - "scheme" : "http://www.lchclearnet.com/clearlink/coding-scheme/trade-id" - }, - "value" : "LCH00023323008" + "scheme" : "http://www.lchclearnet.com/clearlink/coding-scheme/party-id" + } }, - "version" : 1 + "meta" : { + "globalKey" : "cc892602" + } } ], - "issuerReference" : { - "externalReference" : "party2", - "globalReference" : "cc892602" - }, "meta" : { - "globalKey" : "7c2665f1" + "globalKey" : "cc892602", + "externalKey" : "party2" } - } ] + } ], + "contractDetails" : { + "documentation" : [ { + "legalAgreementIdentification" : { + "agreementName" : { + "agreementType" : "MasterAgreement", + "masterAgreementType" : { + "value" : "ISDAMaster", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/master-agreement-type" + } + } + } + }, + "meta" : { + "globalKey" : "c4592b87" + } + }, { + "legalAgreementIdentification" : { + "agreementName" : { + "agreementType" : "Confirmation", + "contractualDefinitionsType" : [ { + "value" : "ISDA2006", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/contractual-definitions" + } + } ] + } + }, + "meta" : { + "globalKey" : "6b413360" + } + } ], + "meta" : { + "globalKey" : "bd492439" + } + }, + "meta" : { + "globalKey" : "163d6e2b" + } + }, + "meta" : { + "globalKey" : "163d6e2b" } } } } ], - "intent" : "CONTRACT_FORMATION", + "intent" : "ContractFormation", "eventDate" : "2017-12-18", "effectiveDate" : null } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/cdm-sample-files/functions/business-event/contract-formation/contract-formation-credit-default-swap-func-input.json b/rosetta-source/src/main/resources/cdm-sample-files/functions/business-event/contract-formation/contract-formation-credit-default-swap-func-input.json index a740d017ec..5e80e7cae5 100644 --- a/rosetta-source/src/main/resources/cdm-sample-files/functions/business-event/contract-formation/contract-formation-credit-default-swap-func-input.json +++ b/rosetta-source/src/main/resources/cdm-sample-files/functions/business-event/contract-formation/contract-formation-credit-default-swap-func-input.json @@ -2,120 +2,32 @@ "instruction" : [ { "before" : { "value" : { - "meta" : { - "globalKey" : "e98291cf" - }, "trade" : { - "contractDetails" : { - "documentation" : [ { - "legalAgreementIdentification" : { - "agreementName" : { - "agreementType" : "MASTER_AGREEMENT", - "masterAgreementType" : { - "value" : "ISDA_MASTER" - } - }, - "vintage" : 1992 - }, - "meta" : { - "globalKey" : "32000f4f" - } - }, { - "legalAgreementIdentification" : { - "agreementName" : { - "agreementType" : "CONFIRMATION", - "contractualDefinitionsType" : [ { - "value" : "ISDA_1999_CREDIT" - } ], - "contractualMatrix" : [ { - "matrixType" : { - "value" : "CREDIT_DERIVATIVES_PHYSICAL_SETTLEMENT_MATRIX" - } - } ], - "contractualTermsSupplement" : [ { - "contractualTermsSupplementType" : { - "value" : "ISDA_1999_CREDIT_SUCCESSOR_AND_CREDIT_EVENTS" - } - }, { - "contractualTermsSupplementType" : { - "value" : "ISDA_1999_CREDIT_CONVERTIBLE_EXCHANGEABLE_ACCRETING_OBLIGATIONS" - } - } ] - } - }, - "meta" : { - "globalKey" : "94128b49" - } - } ], - "meta" : { - "globalKey" : "dc022458" - } - }, - "meta" : { - "globalKey" : "e98291cf" - }, - "party" : [ { - "meta" : { - "externalKey" : "f845ge", - "globalKey" : "8e1db6b4" - }, - "name" : { - "value" : "XYZ Bank" + "tradeIdentifier" : [ { + "issuerReference" : { + "globalReference" : "69c51ff4", + "externalReference" : "f845ge" }, - "partyId" : [ { + "assignedIdentifier" : [ { "identifier" : { + "value" : "RTD3ERTF37209", "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/iso9362" - }, - "value" : "XYZBICXXX" + "scheme" : "http://www.swapswire.com/spec/2001/trade-id-1-0" + } }, - "identifierType" : "BIC", - "meta" : { - "globalKey" : "26482791" - } - } ] - }, { + "version" : 1 + } ], "meta" : { - "externalKey" : "rsf765", - "globalKey" : "21f24e14" - }, - "name" : { - "value" : "ABC Bank" - }, - "partyId" : [ { - "identifier" : { - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/iso9362" - }, - "value" : "ABCBICXXX" - }, - "identifierType" : "BIC", - "meta" : { - "globalKey" : "be37d39a" - } - } ] + "globalKey" : "bd11f339" + } } ], + "tradeDate" : { + "value" : "2002-12-04", + "meta" : { + "globalKey" : "3e9304" + } + }, "tradableProduct" : { - "ancillaryParty" : [ { - "partyReference" : [ { - "externalReference" : "f845ge", - "globalReference" : "8e1db6b4" - } ], - "role" : "CALCULATION_AGENT_INDEPENDENT" - } ], - "counterparty" : [ { - "partyReference" : { - "externalReference" : "f845ge", - "globalReference" : "8e1db6b4" - }, - "role" : "PARTY_1" - }, { - "partyReference" : { - "externalReference" : "rsf765", - "globalReference" : "21f24e14" - }, - "role" : "PARTY_2" - } ], "product" : { "contractualProduct" : { "productTaxonomy" : [ { @@ -123,13 +35,54 @@ "productQualifier" : "CreditDefaultSwap_SingleName" } ], "economicTerms" : { - "calculationAgent" : { - "calculationAgentBusinessCenter" : { - "value" : "GBLO" + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2002-12-05", + "dateAdjustments" : { + "businessDayConvention" : "NONE", + "meta" : { + "globalKey" : "24a738" + } + }, + "meta" : { + "globalKey" : "eb0a8cfd" + } + }, + "meta" : { + "globalKey" : "eb0a8cfd" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2007-12-05", + "dateAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "GBLO" + }, { + "value" : "USNY" + }, { + "value" : "JPTO" + } ], + "meta" : { + "globalKey" : "81e56a96" + } + }, + "meta" : { + "globalKey" : "58681de7" + } + }, + "meta" : { + "globalKey" : "28faf882" + } }, - "calculationAgentParty" : "CALCULATION_AGENT_INDEPENDENT" + "meta" : { + "globalKey" : "28faf882" + } }, "dateAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", "businessCenters" : { "businessCenter" : [ { "value" : "GBLO" @@ -142,84 +95,130 @@ "globalKey" : "81e56a96" } }, - "businessDayConvention" : "MODFOLLOWING", "meta" : { "globalKey" : "58681de7" } }, - "effectiveDate" : { - "adjustableDate" : { - "dateAdjustments" : { - "businessDayConvention" : "NONE", + "payout" : { + "interestRatePayout" : [ { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } + }, "meta" : { - "globalKey" : "24a738" + "globalKey" : "0" } }, - "meta" : { - "globalKey" : "eb0a8cfd" + "rateSpecification" : { + "fixedRate" : { + "rateSchedule" : { + "price" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "price-1" + } + } + }, + "meta" : { + "globalKey" : "0" + } + } }, - "unadjustedDate" : "2002-12-05" - }, - "meta" : { - "globalKey" : "eb0a8cfd" - } - }, - "payout" : { + "dayCountFraction" : { + "value" : "ACT/360" + }, + "calculationPeriodDates" : { + "calculationPeriodFrequency" : { + "periodMultiplier" : 3, + "period" : "M", + "meta" : { + "globalKey" : "204c" + }, + "rollConvention" : "5" + }, + "meta" : { + "globalKey" : "204c" + } + }, + "paymentDates" : { + "paymentFrequency" : { + "periodMultiplier" : 3, + "period" : "M", + "meta" : { + "globalKey" : "aa" + } + }, + "firstPaymentDate" : "2003-03-05", + "meta" : { + "globalKey" : "7473f5c5" + } + }, + "meta" : { + "globalKey" : "c3ce76f8" + } + } ], "creditDefaultPayout" : { "payerReceiver" : { - "payer" : "PARTY_1", - "receiver" : "PARTY_2" + "payer" : "Party1", + "receiver" : "Party2" }, "priceQuantity" : { - "meta" : { - "globalKey" : "0" - }, "quantitySchedule" : { "address" : { "scope" : "DOCUMENT", "value" : "quantity-2" } + }, + "meta" : { + "globalKey" : "0" } }, "settlementTerms" : { - "meta" : { - "globalKey" : "45e0d7b2" - }, + "settlementType" : "Physical", "settlementCurrency" : { "value" : "JPY" }, - "settlementType" : "PHYSICAL", + "meta" : { + "globalKey" : "5f4774ca" + }, "physicalSettlementTerms" : { + "physicalSettlementPeriod" : { + "businessDays" : 30 + }, "deliverableObligations" : { "accruedInterest" : false, + "category" : "BondOrLoan", + "notSubordinated" : true, + "specifiedCurrency" : { + "applicable" : true + }, + "notContingent" : true, "assignableLoan" : { "applicable" : true }, - "category" : "BOND_OR_LOAN", "consentRequiredLoan" : { "applicable" : true }, + "transferable" : true, "maximumMaturity" : { - "meta" : { - "globalKey" : "ae5" - }, + "periodMultiplier" : 30, "period" : "Y", - "periodMultiplier" : 30 - }, - "notBearer" : true, - "notContingent" : true, - "notSubordinated" : true, - "specifiedCurrency" : { - "applicable" : true + "meta" : { + "globalKey" : "3fb" + } }, - "transferable" : true + "notBearer" : true }, "escrow" : true, "meta" : { - "globalKey" : "237559c8" - }, - "physicalSettlementPeriod" : { - "businessDays" : 30 + "globalKey" : "3cdbf6e0" } } }, @@ -227,316 +226,317 @@ "referenceInformation" : { "referenceEntity" : { "entityId" : [ { + "value" : "004CC9", "meta" : { "scheme" : "http://www.fpml.org/spec/2003/entity-id-RED-1-0" - }, - "value" : "004CC9" + } } ], - "meta" : { - "externalKey" : "fhjgt43", - "globalKey" : "e414546d" - }, "name" : { "value" : "ACOM CO., LTD." + }, + "meta" : { + "globalKey" : "e414546d", + "externalKey" : "fhjgt43" } }, "referenceObligation" : [ { - "primaryObligorReference" : { - "externalReference" : "fhjgt43", - "globalReference" : "e414546d" - }, "security" : { "productIdentifier" : [ { "value" : { "identifier" : { + "value" : "JP310860A032", "meta" : { "scheme" : "http://www.fpml.org/spec/2002/instrument-id-ISIN-1-0" - }, - "value" : "JP310860A032" + } }, + "source" : "ISIN", "meta" : { "globalKey" : "b94feaa3" - }, - "source" : "ISIN" + } } } ], - "securityType" : "DEBT" + "securityType" : "Debt" + }, + "primaryObligorReference" : { + "globalReference" : "e414546d", + "externalReference" : "fhjgt43" } } ], "referencePrice" : { + "value" : 1.0, "unit" : { "currency" : { "value" : "JPY" } }, - "value" : 1.0, "perUnitOf" : { "currency" : { "value" : "JPY" } }, - "priceType" : "ASSET_PRICE" + "priceType" : "AssetPrice" } } }, - "meta" : { - "globalKey" : "7e351080" - }, "protectionTerms" : [ { "creditEvents" : { "bankruptcy" : true, - "creditEventNotice" : { - "notifyingParty" : [ "PARTY_2", "PARTY_1" ], - "publiclyAvailableInformation" : { - "specifiedNumber" : 2, - "standardPublicSources" : true - } - }, - "defaultRequirement" : { - "unit" : { - "currency" : { - "value" : "JPY" - } - }, - "value" : 1000000000.0, - "meta" : { - "globalKey" : "57e64854" - } - }, "failureToPay" : { "applicable" : true, "paymentRequirement" : { + "value" : 100000000.0, "unit" : { "currency" : { "value" : "JPY" } }, - "value" : 100000000.0, "meta" : { "globalKey" : "b883af02" } } }, - "meta" : { - "globalKey" : "28728bbd" - }, "restructuring" : { "applicable" : true, "restructuringType" : { "value" : "R" } + }, + "defaultRequirement" : { + "value" : 1000000000.0, + "unit" : { + "currency" : { + "value" : "JPY" + } + }, + "meta" : { + "globalKey" : "57e64854" + } + }, + "creditEventNotice" : { + "notifyingParty" : [ "Party2", "Party1" ], + "publiclyAvailableInformation" : { + "standardPublicSources" : true, + "specifiedNumber" : 2 + } + }, + "meta" : { + "globalKey" : "8f38683" } }, - "meta" : { - "globalKey" : "53d2889d" - }, "obligations" : { - "category" : "BORROWED_MONEY", + "category" : "BorrowedMoney", "notSubordinated" : true - } - } ] - }, - "interestRatePayout" : [ { - "payerReceiver" : { - "payer" : "PARTY_2", - "receiver" : "PARTY_1" - }, - "priceQuantity" : { - "meta" : { - "globalKey" : "0" - }, - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } - } - }, - "calculationPeriodDates" : { - "calculationPeriodFrequency" : { - "meta" : { - "globalKey" : "12d20" - }, - "period" : "M", - "periodMultiplier" : 3, - "rollConvention" : "5" }, "meta" : { - "globalKey" : "12d20" + "globalKey" : "15515017" } - }, - "dayCountFraction" : { - "value" : "ACT/360" - }, + } ], "meta" : { - "globalKey" : "a52eef0e" - }, - "paymentDates" : { - "firstPaymentDate" : "2003-03-05", - "meta" : { - "globalKey" : "7473fe71" - }, - "paymentFrequency" : { - "meta" : { - "globalKey" : "956" - }, - "period" : "M", - "periodMultiplier" : 3 - } - }, - "rateSpecification" : { - "fixedRate" : { - "meta" : { - "globalKey" : "0" - }, - "rateSchedule" : { - "price" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "price-1" - } - } - } - } + "globalKey" : "5f5a496a" } - } ], + }, "meta" : { - "globalKey" : "d2b6bf8e" + "globalKey" : "21af7f72" } }, - "terminationDate" : { - "adjustableDate" : { - "dateAdjustments" : { - "businessCenters" : { - "businessCenter" : [ { - "value" : "GBLO" - }, { - "value" : "USNY" - }, { - "value" : "JPTO" - } ], - "meta" : { - "globalKey" : "81e56a96" - } - }, - "businessDayConvention" : "MODFOLLOWING", - "meta" : { - "globalKey" : "58681de7" - } - }, - "meta" : { - "globalKey" : "28faf882" - }, - "unadjustedDate" : "2007-12-05" - }, - "meta" : { - "globalKey" : "28faf882" + "calculationAgent" : { + "calculationAgentParty" : "CalculationAgentIndependent", + "calculationAgentBusinessCenter" : { + "value" : "GBLO" } } }, "meta" : { - "globalKey" : "351d378e" + "globalKey" : "e161c342" } }, "meta" : { - "globalKey" : "351d378e" + "globalKey" : "e161c342" } }, "tradeLot" : [ { "priceQuantity" : [ { - "meta" : { - "globalKey" : "a7b31de6" - }, "price" : [ { - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-1" - } ] - }, "value" : { + "value" : 0.007, "unit" : { "currency" : { "value" : "JPY" } }, - "value" : 0.007, "perUnitOf" : { "currency" : { "value" : "JPY" } }, - "priceType" : "INTEREST_RATE" - } - } ], - "quantity" : [ { + "priceType" : "InterestRate" + }, "meta" : { "location" : [ { "scope" : "DOCUMENT", - "value" : "quantity-1" + "value" : "price-1" } ] - }, + } + } ], + "quantity" : [ { "value" : { + "value" : 500000000.0, "unit" : { "currency" : { "value" : "JPY" } - }, - "value" : 500000000.0 - } - } ] - }, { - "meta" : { - "globalKey" : "d74a447e" - }, - "quantity" : [ { + } + }, "meta" : { "location" : [ { "scope" : "DOCUMENT", - "value" : "quantity-2" + "value" : "quantity-1" } ] - }, + } + } ], + "meta" : { + "globalKey" : "4eb09eda" + } + }, { + "quantity" : [ { "value" : { + "value" : 500000000.0, "unit" : { "currency" : { "value" : "JPY" } - }, - "value" : 500000000.0 + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } ] } - } ] + } ], + "meta" : { + "globalKey" : "11fe4b42" + } + } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "69c51ff4", + "externalReference" : "f845ge" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "87501c94", + "externalReference" : "rsf765" + } + } ], + "ancillaryParty" : [ { + "role" : "CalculationAgentIndependent", + "partyReference" : [ { + "globalReference" : "69c51ff4", + "externalReference" : "f845ge" } ] } ] }, - "tradeDate" : { - "meta" : { - "globalKey" : "3e9304" + "party" : [ { + "partyId" : [ { + "identifier" : { + "value" : "XYZBICXXX", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/iso9362" + } + }, + "identifierType" : "BIC", + "meta" : { + "globalKey" : "26482791" + } + } ], + "name" : { + "value" : "XYZ Bank" }, - "value" : "2002-12-04" - }, - "tradeIdentifier" : [ { - "assignedIdentifier" : [ { + "meta" : { + "globalKey" : "69c51ff4", + "externalKey" : "f845ge" + } + }, { + "partyId" : [ { "identifier" : { + "value" : "ABCBICXXX", "meta" : { - "scheme" : "http://www.swapswire.com/spec/2001/trade-id-1-0" - }, - "value" : "RTD3ERTF37209" + "scheme" : "http://www.fpml.org/coding-scheme/external/iso9362" + } }, - "version" : 1 + "identifierType" : "BIC", + "meta" : { + "globalKey" : "be37d39a" + } } ], - "issuerReference" : { - "externalReference" : "f845ge", - "globalReference" : "8e1db6b4" + "name" : { + "value" : "ABC Bank" }, "meta" : { - "globalKey" : "d34a91b9" + "globalKey" : "87501c94", + "externalKey" : "rsf765" } - } ] + } ], + "contractDetails" : { + "documentation" : [ { + "legalAgreementIdentification" : { + "agreementName" : { + "agreementType" : "MasterAgreement", + "masterAgreementType" : { + "value" : "ISDAMaster" + } + }, + "vintage" : 1992 + }, + "meta" : { + "globalKey" : "32000f4f" + } + }, { + "legalAgreementIdentification" : { + "agreementName" : { + "agreementType" : "Confirmation", + "contractualDefinitionsType" : [ { + "value" : "ISDA1999Credit" + } ], + "contractualTermsSupplement" : [ { + "contractualTermsSupplementType" : { + "value" : "ISDA1999CreditSuccessorAndCreditEvents" + } + }, { + "contractualTermsSupplementType" : { + "value" : "ISDA1999CreditConvertibleExchangeableAccretingObligations" + } + } ], + "contractualMatrix" : [ { + "matrixType" : { + "value" : "CreditDerivativesPhysicalSettlementMatrix" + } + } ] + } + }, + "meta" : { + "globalKey" : "3f0bff2d" + } + } ], + "meta" : { + "globalKey" : "86fb983c" + } + }, + "meta" : { + "globalKey" : "fad793d5" + } + }, + "meta" : { + "globalKey" : "fad793d5" } } } } ], - "intent" : "CONTRACT_FORMATION", + "intent" : "ContractFormation", "eventDate" : "2002-12-04", "effectiveDate" : null } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/cdm-sample-files/functions/business-event/contract-formation/contract-formation-fra-func-input.json b/rosetta-source/src/main/resources/cdm-sample-files/functions/business-event/contract-formation/contract-formation-fra-func-input.json index 7021187733..583a7583f5 100644 --- a/rosetta-source/src/main/resources/cdm-sample-files/functions/business-event/contract-formation/contract-formation-fra-func-input.json +++ b/rosetta-source/src/main/resources/cdm-sample-files/functions/business-event/contract-formation/contract-formation-fra-func-input.json @@ -2,62 +2,47 @@ "instruction" : [ { "before" : { "value" : { - "meta" : { - "globalKey" : "cc6bc912" - }, "trade" : { - "meta" : { - "globalKey" : "cc6bc912" - }, - "party" : [ { - "meta" : { - "externalKey" : "party1", - "globalKey" : "e1284e85" + "tradeIdentifier" : [ { + "issuerReference" : { + "globalReference" : "e1284e85", + "externalReference" : "party1" }, - "partyId" : [ { + "assignedIdentifier" : [ { "identifier" : { + "value" : "MB87623", "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/iso17442" - }, - "value" : "TR24TWEY5RVRQV65HD49" - }, - "identifierType" : "LEI", - "meta" : { - "globalKey" : "e1284e85" + "scheme" : "http://www.hsbc.com/swaps/trade-id" + } } - } ] - }, { + } ], "meta" : { - "externalKey" : "party2", - "globalKey" : "cff0a7d6" + "globalKey" : "f2891f38" + } + }, { + "issuerReference" : { + "globalReference" : "cff0a7d6", + "externalReference" : "party2" }, - "partyId" : [ { + "assignedIdentifier" : [ { "identifier" : { + "value" : "AA9876", "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/iso17442" - }, - "value" : "BFXS5XCH7N0Y05NIXW11" - }, - "identifierType" : "LEI", - "meta" : { - "globalKey" : "cff0a7d6" + "scheme" : "http://www.abnamro.com/swaps/trade-id" + } } - } ] + } ], + "meta" : { + "globalKey" : "814acd2" + } } ], + "tradeDate" : { + "value" : "1991-05-14", + "meta" : { + "globalKey" : "3e394e" + } + }, "tradableProduct" : { - "counterparty" : [ { - "partyReference" : { - "externalReference" : "party1", - "globalReference" : "e1284e85" - }, - "role" : "PARTY_1" - }, { - "partyReference" : { - "externalReference" : "party2", - "globalReference" : "cff0a7d6" - }, - "role" : "PARTY_2" - } ], "product" : { "contractualProduct" : { "productTaxonomy" : [ { @@ -68,48 +53,63 @@ "payout" : { "interestRatePayout" : [ { "payerReceiver" : { - "payer" : "PARTY_1", - "receiver" : "PARTY_2" + "payer" : "Party1", + "receiver" : "Party2" }, "priceQuantity" : { - "meta" : { - "globalKey" : "0" - }, "quantitySchedule" : { "address" : { "scope" : "DOCUMENT", "value" : "quantity-1" } + }, + "meta" : { + "globalKey" : "0" } }, + "rateSpecification" : { + "fixedRate" : { + "rateSchedule" : { + "price" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "price-1" + } + } + }, + "meta" : { + "globalKey" : "0" + } + } + }, + "dayCountFraction" : { + "value" : "ACT/360" + }, "calculationPeriodDates" : { "effectiveDate" : { "adjustableDate" : { "adjustedDate" : { + "value" : "1991-07-17", "meta" : { "globalKey" : "3e39d1" - }, - "value" : "1991-07-17" + } }, "meta" : { "globalKey" : "0" } }, "meta" : { - "externalKey" : "resetDate", - "globalKey" : "0" + "globalKey" : "0", + "externalKey" : "resetDate" } }, - "meta" : { - "globalKey" : "0" - }, "terminationDate" : { "adjustableDate" : { "adjustedDate" : { + "value" : "1992-01-17", "meta" : { "globalKey" : "3e4051" - }, - "value" : "1992-01-17" + } }, "meta" : { "globalKey" : "0" @@ -118,19 +118,15 @@ "meta" : { "globalKey" : "0" } + }, + "meta" : { + "globalKey" : "0" } }, - "dayCountFraction" : { - "value" : "ACT/360" - }, - "discountingMethod" : { - "discountingType" : "FRA" - }, - "meta" : { - "globalKey" : "4af42838" - }, "paymentDate" : { + "unadjustedDate" : "1991-07-17", "dateAdjustments" : { + "businessDayConvention" : "FOLLOWING", "businessCenters" : { "businessCenter" : [ { "value" : "CHZU" @@ -139,75 +135,77 @@ "globalKey" : "1f8e60" } }, - "businessDayConvention" : "FOLLOWING", "meta" : { "globalKey" : "211caa4f" } }, "meta" : { "globalKey" : "407eeb1e" - }, - "unadjustedDate" : "1991-07-17" - }, - "rateSpecification" : { - "fixedRate" : { - "meta" : { - "globalKey" : "0" - }, - "rateSchedule" : { - "price" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "price-1" - } - } - } } + }, + "discountingMethod" : { + "discountingType" : "FRA" + }, + "meta" : { + "globalKey" : "1d9421f4" } }, { "payerReceiver" : { - "payer" : "PARTY_2", - "receiver" : "PARTY_1" + "payer" : "Party2", + "receiver" : "Party1" }, "priceQuantity" : { - "meta" : { - "globalKey" : "0" - }, "quantitySchedule" : { "address" : { "scope" : "DOCUMENT", "value" : "quantity-2" } + }, + "meta" : { + "globalKey" : "0" } }, + "rateSpecification" : { + "floatingRate" : { + "rateOption" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "rateOption-1" + } + }, + "meta" : { + "globalKey" : "0" + } + } + }, + "dayCountFraction" : { + "value" : "ACT/360" + }, "calculationPeriodDates" : { "effectiveDate" : { "adjustableDate" : { "adjustedDate" : { + "value" : "1991-07-17", "meta" : { "globalKey" : "3e39d1" - }, - "value" : "1991-07-17" + } }, "meta" : { "globalKey" : "0" } }, "meta" : { - "externalKey" : "resetDate", - "globalKey" : "0" + "globalKey" : "0", + "externalKey" : "resetDate" } }, - "meta" : { - "globalKey" : "0" - }, "terminationDate" : { "adjustableDate" : { "adjustedDate" : { + "value" : "1992-01-17", "meta" : { "globalKey" : "3e4051" - }, - "value" : "1992-01-17" + } }, "meta" : { "globalKey" : "0" @@ -216,19 +214,15 @@ "meta" : { "globalKey" : "0" } + }, + "meta" : { + "globalKey" : "0" } }, - "dayCountFraction" : { - "value" : "ACT/360" - }, - "discountingMethod" : { - "discountingType" : "FRA" - }, - "meta" : { - "globalKey" : "dc55f19f" - }, "paymentDate" : { + "unadjustedDate" : "1991-07-17", "dateAdjustments" : { + "businessDayConvention" : "FOLLOWING", "businessCenters" : { "businessCenter" : [ { "value" : "CHZU" @@ -237,37 +231,23 @@ "globalKey" : "1f8e60" } }, - "businessDayConvention" : "FOLLOWING", "meta" : { "globalKey" : "211caa4f" } }, "meta" : { "globalKey" : "407eeb1e" - }, - "unadjustedDate" : "1991-07-17" - }, - "rateSpecification" : { - "floatingRate" : { - "meta" : { - "globalKey" : "0" - }, - "rateOption" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "rateOption-1" - } - } } }, "resetDates" : { "fixingDates" : { + "periodMultiplier" : -2, + "period" : "D", "meta" : { - "globalKey" : "f12537c9" + "globalKey" : "ce01227d" }, - "period" : "D", - "periodMultiplier" : -2, - "dayType" : "BUSINESS", + "dayType" : "Business", + "businessDayConvention" : "NONE", "businessCenters" : { "businessCenter" : [ { "value" : "GBLO" @@ -276,165 +256,185 @@ "globalKey" : "21479e" } }, - "businessDayConvention" : "NONE", "dateRelativeTo" : { - "externalReference" : "resetDate", - "globalReference" : "0" + "globalReference" : "0", + "externalReference" : "resetDate" } }, "meta" : { - "globalKey" : "f12537c9" + "globalKey" : "ce01227d" } + }, + "discountingMethod" : { + "discountingType" : "FRA" + }, + "meta" : { + "globalKey" : "44b30fd3" } } ], "meta" : { - "globalKey" : "1579b067" + "globalKey" : "842dfc5f" } } }, "meta" : { - "globalKey" : "1579b067" + "globalKey" : "842dfc5f" } }, "meta" : { - "globalKey" : "1579b067" + "globalKey" : "842dfc5f" } }, "tradeLot" : [ { "priceQuantity" : [ { - "meta" : { - "globalKey" : "103bf473" - }, "price" : [ { - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-1" - } ] - }, "value" : { + "value" : 0.04, "unit" : { "currency" : { "value" : "CHF" } }, - "value" : 0.04, "perUnitOf" : { "currency" : { "value" : "CHF" } }, - "priceType" : "INTEREST_RATE" + "priceType" : "InterestRate" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-1" + } ] } } ], "quantity" : [ { + "value" : { + "value" : 25000000.00, + "unit" : { + "currency" : { + "value" : "CHF" + } + } + }, "meta" : { "location" : [ { "scope" : "DOCUMENT", "value" : "quantity-1" } ] - }, + } + } ], + "meta" : { + "globalKey" : "f74299ed" + } + }, { + "quantity" : [ { "value" : { + "value" : 25000000.00, "unit" : { "currency" : { "value" : "CHF" } - }, - "value" : 25000000.00 + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } ] } - } ] - }, { - "meta" : { - "globalKey" : "434a0131" - }, + } ], "observable" : { - "meta" : { - "globalKey" : "6a18d5cd" - }, "rateOption" : { - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "rateOption-1" - } ] - }, "value" : { "floatingRateIndex" : { "value" : "CHF-LIBOR-BBA" }, "indexTenor" : { - "meta" : { - "globalKey" : "959" - }, + "periodMultiplier" : 6, "period" : "M", - "periodMultiplier" : 6 + "meta" : { + "globalKey" : "107" + } } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "rateOption-1" + } ] } - } - }, - "quantity" : [ { - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } ] }, - "value" : { - "unit" : { - "currency" : { - "value" : "CHF" - } - }, - "value" : 25000000.00 + "meta" : { + "globalKey" : "d900e1e5" } - } ] + }, + "meta" : { + "globalKey" : "9965fc03" + } } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "e1284e85", + "externalReference" : "party1" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "cff0a7d6", + "externalReference" : "party2" + } } ] }, - "tradeDate" : { - "meta" : { - "globalKey" : "3e394e" - }, - "value" : "1991-05-14" - }, - "tradeIdentifier" : [ { - "assignedIdentifier" : [ { + "party" : [ { + "partyId" : [ { "identifier" : { + "value" : "TR24TWEY5RVRQV65HD49", "meta" : { - "scheme" : "http://www.hsbc.com/swaps/trade-id" - }, - "value" : "MB87623" + "scheme" : "http://www.fpml.org/coding-scheme/external/iso17442" + } + }, + "identifierType" : "LEI", + "meta" : { + "globalKey" : "e1284e85" } } ], - "issuerReference" : { - "externalReference" : "party1", - "globalReference" : "e1284e85" - }, "meta" : { - "globalKey" : "1896266e" + "globalKey" : "e1284e85", + "externalKey" : "party1" } }, { - "assignedIdentifier" : [ { + "partyId" : [ { "identifier" : { + "value" : "BFXS5XCH7N0Y05NIXW11", "meta" : { - "scheme" : "http://www.abnamro.com/swaps/trade-id" - }, - "value" : "AA9876" + "scheme" : "http://www.fpml.org/coding-scheme/external/iso17442" + } + }, + "identifierType" : "LEI", + "meta" : { + "globalKey" : "cff0a7d6" } } ], - "issuerReference" : { - "externalReference" : "party2", - "globalReference" : "cff0a7d6" - }, "meta" : { - "globalKey" : "f7bfdcea" + "globalKey" : "cff0a7d6", + "externalKey" : "party2" } - } ] + } ], + "meta" : { + "globalKey" : "661fc808" + } + }, + "meta" : { + "globalKey" : "661fc808" } } } } ], - "intent" : "CONTRACT_FORMATION", + "intent" : "ContractFormation", "eventDate" : "1991-05-14", "effectiveDate" : null } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/cdm-sample-files/functions/business-event/contract-formation/contract-formation-fx-forward-func-input.json b/rosetta-source/src/main/resources/cdm-sample-files/functions/business-event/contract-formation/contract-formation-fx-forward-func-input.json index 20fda8eb2a..a49f12a3ff 100644 --- a/rosetta-source/src/main/resources/cdm-sample-files/functions/business-event/contract-formation/contract-formation-fx-forward-func-input.json +++ b/rosetta-source/src/main/resources/cdm-sample-files/functions/business-event/contract-formation/contract-formation-fx-forward-func-input.json @@ -2,62 +2,47 @@ "instruction" : [ { "before" : { "value" : { - "meta" : { - "globalKey" : "cb068fe4" - }, "trade" : { - "meta" : { - "globalKey" : "cb068fe4" - }, - "party" : [ { - "meta" : { - "externalKey" : "party1", - "globalKey" : "cff0a7d6" + "tradeIdentifier" : [ { + "issuerReference" : { + "globalReference" : "cff0a7d6", + "externalReference" : "party1" }, - "partyId" : [ { + "assignedIdentifier" : [ { "identifier" : { + "value" : "ABN1234", "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/iso17442" - }, - "value" : "BFXS5XCH7N0Y05NIXW11" - }, - "identifierType" : "LEI", - "meta" : { - "globalKey" : "cff0a7d6" + "scheme" : "http://www.abn-amro.com/fx/trade-id" + } } - } ] - }, { + } ], "meta" : { - "externalKey" : "party2", - "globalKey" : "e05045d7" + "globalKey" : "78f19424" + } + }, { + "issuerReference" : { + "globalReference" : "e05045d7", + "externalReference" : "party2" }, - "partyId" : [ { + "assignedIdentifier" : [ { "identifier" : { + "value" : "DB5678", "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/iso17442" - }, - "value" : "213800QILIUD4ROSUO03" - }, - "identifierType" : "LEI", - "meta" : { - "globalKey" : "e05045d7" + "scheme" : "http://www.db.com/fx/trade-id" + } } - } ] + } ], + "meta" : { + "globalKey" : "d3f7534" + } } ], + "tradeDate" : { + "value" : "2001-11-19", + "meta" : { + "globalKey" : "3e8ad3" + } + }, "tradableProduct" : { - "counterparty" : [ { - "partyReference" : { - "externalReference" : "party2", - "globalReference" : "e05045d7" - }, - "role" : "PARTY_1" - }, { - "partyReference" : { - "externalReference" : "party1", - "globalReference" : "cff0a7d6" - }, - "role" : "PARTY_2" - } ], "product" : { "contractualProduct" : { "productTaxonomy" : [ { @@ -68,35 +53,32 @@ "payout" : { "forwardPayout" : [ { "settlementTerms" : { - "meta" : { - "globalKey" : "3e8b15" - }, "settlementDate" : { + "valueDate" : "2001-12-21", "meta" : { "globalKey" : "3e8b15" - }, - "valueDate" : "2001-12-21" + } + }, + "meta" : { + "globalKey" : "3e8b15" } }, - "meta" : { - "globalKey" : "90c7297" - }, "underlier" : { "foreignExchange" : { "exchangedCurrency1" : { "payerReceiver" : { - "payer" : "PARTY_1", - "receiver" : "PARTY_2" + "payer" : "Party1", + "receiver" : "Party2" }, "priceQuantity" : { - "meta" : { - "globalKey" : "0" - }, "quantitySchedule" : { "address" : { "scope" : "DOCUMENT", "value" : "quantity-2" } + }, + "meta" : { + "globalKey" : "0" } }, "meta" : { @@ -105,18 +87,18 @@ }, "exchangedCurrency2" : { "payerReceiver" : { - "payer" : "PARTY_2", - "receiver" : "PARTY_1" + "payer" : "Party2", + "receiver" : "Party1" }, "priceQuantity" : { - "meta" : { - "globalKey" : "0" - }, "quantitySchedule" : { "address" : { "scope" : "DOCUMENT", "value" : "quantity-1" } + }, + "meta" : { + "globalKey" : "0" } }, "meta" : { @@ -127,6 +109,9 @@ "meta" : { "globalKey" : "c086df02" } + }, + "meta" : { + "globalKey" : "90c7297" } } ], "meta" : { @@ -144,115 +129,130 @@ }, "tradeLot" : [ { "priceQuantity" : [ { - "meta" : { - "globalKey" : "1cc815e8" - }, "price" : [ { - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-1" - } ] - }, "value" : { + "value" : 0.9175, "unit" : { "currency" : { "value" : "USD" } }, - "value" : 0.9175, - "composite" : { - "arithmeticOperator" : "ADD", - "baseValue" : 0.9130, - "operand" : 0.0045, - "operandType" : "FORWARD_POINT" - }, "perUnitOf" : { "currency" : { "value" : "EUR" } }, - "priceType" : "EXCHANGE_RATE" - } - } ], - "quantity" : [ { + "priceType" : "ExchangeRate", + "composite" : { + "baseValue" : 0.9130, + "operand" : 0.0045, + "arithmeticOperator" : "Add", + "operandType" : "ForwardPoint" + } + }, "meta" : { "location" : [ { "scope" : "DOCUMENT", - "value" : "quantity-2" + "value" : "price-1" } ] - }, + } + } ], + "quantity" : [ { "value" : { + "value" : 10000000, "unit" : { "currency" : { "value" : "EUR" } - }, - "value" : 10000000 - } - }, { + } + }, "meta" : { "location" : [ { "scope" : "DOCUMENT", - "value" : "quantity-1" + "value" : "quantity-2" } ] - }, + } + }, { "value" : { + "value" : 9175000, "unit" : { "currency" : { "value" : "USD" } - }, - "value" : 9175000 + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] } - } ] + } ], + "meta" : { + "globalKey" : "2ab23d92" + } } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "e05045d7", + "externalReference" : "party2" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "cff0a7d6", + "externalReference" : "party1" + } } ] }, - "tradeDate" : { - "meta" : { - "globalKey" : "3e8ad3" - }, - "value" : "2001-11-19" - }, - "tradeIdentifier" : [ { - "assignedIdentifier" : [ { + "party" : [ { + "partyId" : [ { "identifier" : { + "value" : "BFXS5XCH7N0Y05NIXW11", "meta" : { - "scheme" : "http://www.abn-amro.com/fx/trade-id" - }, - "value" : "ABN1234" + "scheme" : "http://www.fpml.org/coding-scheme/external/iso17442" + } + }, + "identifierType" : "LEI", + "meta" : { + "globalKey" : "cff0a7d6" } } ], - "issuerReference" : { - "externalReference" : "party1", - "globalReference" : "cff0a7d6" - }, "meta" : { - "globalKey" : "a6b5105a" + "globalKey" : "cff0a7d6", + "externalKey" : "party1" } }, { - "assignedIdentifier" : [ { + "partyId" : [ { "identifier" : { + "value" : "213800QILIUD4ROSUO03", "meta" : { - "scheme" : "http://www.db.com/fx/trade-id" - }, - "value" : "DB5678" + "scheme" : "http://www.fpml.org/coding-scheme/external/iso17442" + } + }, + "identifierType" : "LEI", + "meta" : { + "globalKey" : "e05045d7" } } ], - "issuerReference" : { - "externalReference" : "party2", - "globalReference" : "e05045d7" - }, "meta" : { - "globalKey" : "5d5a14cc" + "globalKey" : "e05045d7", + "externalKey" : "party2" } - } ] + } ], + "meta" : { + "globalKey" : "31e6fa46" + } + }, + "meta" : { + "globalKey" : "31e6fa46" } } } } ], - "intent" : "CONTRACT_FORMATION", + "intent" : "ContractFormation", "eventDate" : "2001-11-19", "effectiveDate" : null } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/cdm-sample-files/functions/business-event/contract-formation/contract-formation-ir-swap-func-input.json b/rosetta-source/src/main/resources/cdm-sample-files/functions/business-event/contract-formation/contract-formation-ir-swap-func-input.json index c1f426d67e..caf9245196 100644 --- a/rosetta-source/src/main/resources/cdm-sample-files/functions/business-event/contract-formation/contract-formation-ir-swap-func-input.json +++ b/rosetta-source/src/main/resources/cdm-sample-files/functions/business-event/contract-formation/contract-formation-ir-swap-func-input.json @@ -2,65 +2,32 @@ "instruction" : [ { "before" : { "value" : { - "meta" : { - "globalKey" : "9077923b" - }, "trade" : { - "meta" : { - "globalKey" : "9077923b" - }, - "party" : [ { - "meta" : { - "externalKey" : "party1", - "globalKey" : "a82d45fc" - }, - "name" : { - "value" : "Party A" + "tradeIdentifier" : [ { + "issuerReference" : { + "globalReference" : "ca05a501", + "externalReference" : "party2" }, - "partyId" : [ { + "assignedIdentifier" : [ { "identifier" : { + "value" : "SW2000", "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/iso9362" - }, - "value" : "PARTYAUS33" + "scheme" : "http://www.barclays.com/swaps/trade-id" + } }, - "identifierType" : "BIC", - "meta" : { - "globalKey" : "3d5ebc15" - } - } ] - }, { + "version" : 1 + } ], "meta" : { - "externalKey" : "party2", - "globalKey" : "ca05a501" - }, - "partyId" : [ { - "identifier" : { - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/iso9362" - }, - "value" : "BARCGB2L" - }, - "identifierType" : "BIC", - "meta" : { - "globalKey" : "ca05a501" - } - } ] + "globalKey" : "ac670cef" + } } ], + "tradeDate" : { + "value" : "1994-12-12", + "meta" : { + "globalKey" : "3e530c" + } + }, "tradableProduct" : { - "counterparty" : [ { - "partyReference" : { - "externalReference" : "party1", - "globalReference" : "a82d45fc" - }, - "role" : "PARTY_1" - }, { - "partyReference" : { - "externalReference" : "party2", - "globalReference" : "ca05a501" - }, - "role" : "PARTY_2" - } ], "product" : { "contractualProduct" : { "productTaxonomy" : [ { @@ -71,46 +38,40 @@ "payout" : { "interestRatePayout" : [ { "payerReceiver" : { - "payer" : "PARTY_1", - "receiver" : "PARTY_2" + "payer" : "Party1", + "receiver" : "Party2" }, "priceQuantity" : { - "meta" : { - "globalKey" : "0" - }, "quantitySchedule" : { "address" : { "scope" : "DOCUMENT", "value" : "quantity-1" } + }, + "meta" : { + "globalKey" : "0" } }, - "calculationPeriodDates" : { - "calculationPeriodDatesAdjustments" : { - "businessCenters" : { - "businessCentersReference" : { - "externalReference" : "primaryBusinessCenters", - "globalReference" : "1ff50d" - }, - "meta" : { - "globalKey" : "eb13047c" + "rateSpecification" : { + "floatingRate" : { + "rateOption" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "rateOption-1" } }, - "businessDayConvention" : "MODFOLLOWING", "meta" : { - "globalKey" : "214e084d" + "globalKey" : "0" } - }, - "calculationPeriodFrequency" : { - "meta" : { - "globalKey" : "28c89" - }, - "period" : "M", - "periodMultiplier" : 6, - "rollConvention" : "14" - }, + } + }, + "dayCountFraction" : { + "value" : "ACT/360" + }, + "calculationPeriodDates" : { "effectiveDate" : { "adjustableDate" : { + "unadjustedDate" : "1994-12-14", "dateAdjustments" : { "businessDayConvention" : "NONE", "meta" : { @@ -119,103 +80,108 @@ }, "meta" : { "globalKey" : "ea1a6ec6" - }, - "unadjustedDate" : "1994-12-14" + } }, "meta" : { "globalKey" : "ea1a6ec6" } }, - "meta" : { - "externalKey" : "floatingCalcPeriodDates", - "globalKey" : "3e2554c0" - }, "terminationDate" : { "adjustableDate" : { + "unadjustedDate" : "1999-12-14", "dateAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", "businessCenters" : { "businessCenter" : [ { "value" : "DEFR" } ], "meta" : { - "externalKey" : "primaryBusinessCenters", - "globalKey" : "1ff50d" + "globalKey" : "1ff50d", + "externalKey" : "primaryBusinessCenters" } }, - "businessDayConvention" : "MODFOLLOWING", "meta" : { "globalKey" : "365af8de" } }, "meta" : { "globalKey" : "a8d53690" - }, - "unadjustedDate" : "1999-12-14" + } }, "meta" : { "globalKey" : "a8d53690" } - } - }, - "dayCountFraction" : { - "value" : "ACT/360" - }, - "meta" : { - "globalKey" : "97763931" - }, - "paymentDates" : { - "meta" : { - "globalKey" : "4fa45fc6" }, - "payRelativeTo" : "CALCULATION_PERIOD_END_DATE", - "paymentDatesAdjustments" : { + "calculationPeriodDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", "businessCenters" : { "businessCentersReference" : { - "externalReference" : "primaryBusinessCenters", - "globalReference" : "1ff50d" + "globalReference" : "1ff50d", + "externalReference" : "primaryBusinessCenters" }, "meta" : { "globalKey" : "eb13047c" } }, - "businessDayConvention" : "MODFOLLOWING", "meta" : { "globalKey" : "214e084d" } }, - "paymentFrequency" : { + "calculationPeriodFrequency" : { + "periodMultiplier" : 6, + "period" : "M", "meta" : { - "globalKey" : "959" + "globalKey" : "18a9b" }, - "period" : "M", - "periodMultiplier" : 6 + "rollConvention" : "14" + }, + "meta" : { + "globalKey" : "a26405d2", + "externalKey" : "floatingCalcPeriodDates" } }, - "rateSpecification" : { - "floatingRate" : { + "paymentDates" : { + "paymentFrequency" : { + "periodMultiplier" : 6, + "period" : "M", "meta" : { - "globalKey" : "0" - }, - "rateOption" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "rateOption-1" + "globalKey" : "107" + } + }, + "payRelativeTo" : "CalculationPeriodEndDate", + "paymentDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCentersReference" : { + "globalReference" : "1ff50d", + "externalReference" : "primaryBusinessCenters" + }, + "meta" : { + "globalKey" : "eb13047c" } + }, + "meta" : { + "globalKey" : "214e084d" } + }, + "meta" : { + "globalKey" : "7a04f180" } }, "resetDates" : { "calculationPeriodDatesReference" : { - "externalReference" : "floatingCalcPeriodDates", - "globalReference" : "3e2554c0" + "globalReference" : "a26405d2", + "externalReference" : "floatingCalcPeriodDates" }, + "resetRelativeTo" : "CalculationPeriodStartDate", "fixingDates" : { + "periodMultiplier" : -2, + "period" : "D", "meta" : { - "globalKey" : "131ae8a2" + "globalKey" : "eff6d356" }, - "period" : "D", - "periodMultiplier" : -2, - "dayType" : "BUSINESS", + "dayType" : "Business", + "businessDayConvention" : "NONE", "businessCenters" : { "businessCenter" : [ { "value" : "GBLO" @@ -224,82 +190,79 @@ "globalKey" : "21479e" } }, - "businessDayConvention" : "NONE", "dateRelativeTo" : { - "externalReference" : "resetDates", - "globalReference" : "dbde664a" + "globalReference" : "a5aeeeb8", + "externalReference" : "resetDates" } }, - "meta" : { - "externalKey" : "resetDates", - "globalKey" : "dbde664a" + "resetFrequency" : { + "periodMultiplier" : 6, + "period" : "M", + "meta" : { + "globalKey" : "107" + } }, "resetDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", "businessCenters" : { "businessCentersReference" : { - "externalReference" : "primaryBusinessCenters", - "globalReference" : "1ff50d" + "globalReference" : "1ff50d", + "externalReference" : "primaryBusinessCenters" }, "meta" : { "globalKey" : "eb13047c" } }, - "businessDayConvention" : "MODFOLLOWING", "meta" : { "globalKey" : "214e084d" } }, - "resetFrequency" : { - "meta" : { - "globalKey" : "959" - }, - "period" : "M", - "periodMultiplier" : 6 - }, - "resetRelativeTo" : "CALCULATION_PERIOD_START_DATE" + "meta" : { + "globalKey" : "a5aeeeb8", + "externalKey" : "resetDates" + } + }, + "meta" : { + "globalKey" : "2e03d8ab" } }, { "payerReceiver" : { - "payer" : "PARTY_2", - "receiver" : "PARTY_1" + "payer" : "Party2", + "receiver" : "Party1" }, "priceQuantity" : { - "meta" : { - "globalKey" : "0" - }, "quantitySchedule" : { "address" : { "scope" : "DOCUMENT", "value" : "quantity-2" } + }, + "meta" : { + "globalKey" : "0" } }, - "calculationPeriodDates" : { - "calculationPeriodDatesAdjustments" : { - "businessCenters" : { - "businessCentersReference" : { - "externalReference" : "primaryBusinessCenters", - "globalReference" : "1ff50d" - }, - "meta" : { - "globalKey" : "eb13047c" + "rateSpecification" : { + "fixedRate" : { + "rateSchedule" : { + "price" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "price-1" + } } }, - "businessDayConvention" : "MODFOLLOWING", "meta" : { - "globalKey" : "214e084d" + "globalKey" : "0" } - }, - "calculationPeriodFrequency" : { - "meta" : { - "globalKey" : "2b8fa" - }, - "period" : "Y", - "periodMultiplier" : 1, - "rollConvention" : "14" - }, + } + }, + "dayCountFraction" : { + "value" : "30E/360" + }, + "calculationPeriodDates" : { "effectiveDate" : { "adjustableDate" : { + "unadjustedDate" : "1994-12-14", "dateAdjustments" : { "businessDayConvention" : "NONE", "meta" : { @@ -308,239 +271,276 @@ }, "meta" : { "globalKey" : "ea1a6ec6" - }, - "unadjustedDate" : "1994-12-14" + } }, "meta" : { "globalKey" : "ea1a6ec6" } }, - "meta" : { - "externalKey" : "fixedCalcPeriodDates", - "globalKey" : "faa5b75e" - }, "terminationDate" : { "adjustableDate" : { + "unadjustedDate" : "1999-12-14", "dateAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", "businessCenters" : { "businessCentersReference" : { - "externalReference" : "primaryBusinessCenters", - "globalReference" : "1ff50d" + "globalReference" : "1ff50d", + "externalReference" : "primaryBusinessCenters" }, "meta" : { "globalKey" : "eb13047c" } }, - "businessDayConvention" : "MODFOLLOWING", "meta" : { "globalKey" : "214e084d" } }, "meta" : { "globalKey" : "93c845ff" - }, - "unadjustedDate" : "1999-12-14" + } }, "meta" : { "globalKey" : "93c845ff" } - } - }, - "dayCountFraction" : { - "value" : "30E/360" - }, - "meta" : { - "globalKey" : "f8158737" - }, - "paymentDates" : { - "meta" : { - "globalKey" : "4fa46135" }, - "payRelativeTo" : "CALCULATION_PERIOD_END_DATE", - "paymentDatesAdjustments" : { + "calculationPeriodDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", "businessCenters" : { "businessCentersReference" : { - "externalReference" : "primaryBusinessCenters", - "globalReference" : "1ff50d" + "globalReference" : "1ff50d", + "externalReference" : "primaryBusinessCenters" }, "meta" : { "globalKey" : "eb13047c" } }, - "businessDayConvention" : "MODFOLLOWING", "meta" : { "globalKey" : "214e084d" } }, - "paymentFrequency" : { + "calculationPeriodFrequency" : { + "periodMultiplier" : 1, + "period" : "Y", "meta" : { - "globalKey" : "ac8" + "globalKey" : "1794a" }, - "period" : "Y", - "periodMultiplier" : 1 + "rollConvention" : "14" + }, + "meta" : { + "globalKey" : "9249d1f2", + "externalKey" : "fixedCalcPeriodDates" } }, - "rateSpecification" : { - "fixedRate" : { + "paymentDates" : { + "paymentFrequency" : { + "periodMultiplier" : 1, + "period" : "Y", "meta" : { - "globalKey" : "0" - }, - "rateSchedule" : { - "price" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "price-1" - } + "globalKey" : "78" + } + }, + "payRelativeTo" : "CalculationPeriodEndDate", + "paymentDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCentersReference" : { + "globalReference" : "1ff50d", + "externalReference" : "primaryBusinessCenters" + }, + "meta" : { + "globalKey" : "eb13047c" } + }, + "meta" : { + "globalKey" : "214e084d" } + }, + "meta" : { + "globalKey" : "85fff0af" } + }, + "meta" : { + "globalKey" : "9c789d4b" } } ], "meta" : { - "globalKey" : "4f3ab328" + "globalKey" : "eee37036" } } }, "meta" : { - "globalKey" : "4f3ab328" + "globalKey" : "eee37036" } }, "meta" : { - "globalKey" : "4f3ab328" + "globalKey" : "eee37036" } }, "tradeLot" : [ { "priceQuantity" : [ { - "meta" : { - "globalKey" : "3ce21b9b" - }, - "observable" : { - "meta" : { - "globalKey" : "53c66a4c" - }, - "rateOption" : { - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "rateOption-1" - } ] - }, - "value" : { - "floatingRateIndex" : { - "value" : "EUR-LIBOR-BBA" - }, - "indexTenor" : { + "quantity" : [ { + "value" : { + "value" : 50000000.00, + "unit" : { + "currency" : { + "value" : "EUR", "meta" : { - "globalKey" : "959" - }, - "period" : "M", - "periodMultiplier" : 6 + "scheme" : "http://www.fpml.org/coding-scheme/external/iso4217" + } } } - } - }, - "quantity" : [ { + }, "meta" : { "location" : [ { "scope" : "DOCUMENT", "value" : "quantity-1" } ] - }, - "value" : { - "unit" : { - "currency" : { + } + } ], + "observable" : { + "rateOption" : { + "value" : { + "floatingRateIndex" : { + "value" : "EUR-LIBOR-BBA" + }, + "indexTenor" : { + "periodMultiplier" : 6, + "period" : "M", "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/iso4217" - }, - "value" : "EUR" + "globalKey" : "107" + } } }, - "value" : 50000000.00 + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "rateOption-1" + } ] + } + }, + "meta" : { + "globalKey" : "2505dd46" } - } ] - }, { - "meta" : { - "globalKey" : "4882fcbc" }, + "meta" : { + "globalKey" : "c0d07bed" + } + }, { "price" : [ { - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-1" - } ] - }, "value" : { + "value" : 0.06, "unit" : { "currency" : { + "value" : "EUR", "meta" : { "scheme" : "http://www.fpml.org/coding-scheme/external/iso4217" - }, - "value" : "EUR" + } } }, - "value" : 0.06, "perUnitOf" : { "currency" : { + "value" : "EUR", "meta" : { "scheme" : "http://www.fpml.org/coding-scheme/external/iso4217" - }, - "value" : "EUR" + } } }, - "priceType" : "INTEREST_RATE" - } - } ], - "quantity" : [ { + "priceType" : "InterestRate" + }, "meta" : { "location" : [ { "scope" : "DOCUMENT", - "value" : "quantity-2" + "value" : "price-1" } ] - }, + } + } ], + "quantity" : [ { "value" : { + "value" : 50000000.00, "unit" : { "currency" : { + "value" : "EUR", "meta" : { "scheme" : "http://www.fpml.org/coding-scheme/external/iso4217" - }, - "value" : "EUR" + } } - }, - "value" : 50000000.00 + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } ] } - } ] + } ], + "meta" : { + "globalKey" : "c7dc9ac4" + } } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "9495a03c", + "externalReference" : "party1" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "ca05a501", + "externalReference" : "party2" + } } ] }, - "tradeDate" : { - "meta" : { - "globalKey" : "3e530c" - }, - "value" : "1994-12-12" - }, - "tradeIdentifier" : [ { - "assignedIdentifier" : [ { + "party" : [ { + "partyId" : [ { "identifier" : { + "value" : "PARTYAUS33", "meta" : { - "scheme" : "http://www.barclays.com/swaps/trade-id" - }, - "value" : "SW2000" + "scheme" : "http://www.fpml.org/coding-scheme/external/iso9362" + } }, - "version" : 1 + "identifierType" : "BIC", + "meta" : { + "globalKey" : "3d5ebc15" + } } ], - "issuerReference" : { - "externalReference" : "party2", - "globalReference" : "ca05a501" + "name" : { + "value" : "Party A" }, "meta" : { - "globalKey" : "c506462f" + "globalKey" : "9495a03c", + "externalKey" : "party1" } - } ] + }, { + "partyId" : [ { + "identifier" : { + "value" : "BARCGB2L", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/iso9362" + } + }, + "identifierType" : "BIC", + "meta" : { + "globalKey" : "ca05a501" + } + } ], + "meta" : { + "globalKey" : "ca05a501", + "externalKey" : "party2" + } + } ], + "meta" : { + "globalKey" : "ab0648b" + } + }, + "meta" : { + "globalKey" : "ab0648b" } } } } ], - "intent" : "CONTRACT_FORMATION", + "intent" : "ContractFormation", "eventDate" : "1994-12-12", "effectiveDate" : null } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/cdm-sample-files/functions/business-event/contract-formation/contract-formation-ir-swap-with-legal-agreement-func-input.json b/rosetta-source/src/main/resources/cdm-sample-files/functions/business-event/contract-formation/contract-formation-ir-swap-with-legal-agreement-func-input.json index f1dbe28a7c..811e204d76 100644 --- a/rosetta-source/src/main/resources/cdm-sample-files/functions/business-event/contract-formation/contract-formation-ir-swap-with-legal-agreement-func-input.json +++ b/rosetta-source/src/main/resources/cdm-sample-files/functions/business-event/contract-formation/contract-formation-ir-swap-with-legal-agreement-func-input.json @@ -1,66 +1,92 @@ { "instruction" : [ { - "before" : { - "value" : { - "meta" : { - "globalKey" : "9077923b" - }, - "trade" : { - "meta" : { - "globalKey" : "9077923b" - }, - "party" : [ { - "meta" : { - "externalKey" : "party1", - "globalKey" : "a82d45fc" - }, - "name" : { - "value" : "Party A" + "primitiveInstruction" : { + "contractFormation" : { + "legalAgreement" : [ { + "agreementDate" : "1994-12-12", + "legalAgreementIdentification" : { + "governingLaw" : "AsSpecifiedInMasterAgreement", + "agreementName" : { + "agreementType" : "MasterAgreement", + "masterAgreementType" : { + "value" : "ISDAMaster" + } }, - "partyId" : [ { - "identifier" : { - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/iso9362" + "publisher" : "ISDA" + }, + "contractualParty" : [ { + "value" : { + "partyId" : [ { + "identifier" : { + "value" : "PARTYAUS33", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/iso9362" + } }, - "value" : "PARTYAUS33" + "identifierType" : "BIC", + "meta" : { + "globalKey" : "3d5ebc15" + } + } ], + "name" : { + "value" : "Party A" }, - "identifierType" : "BIC", "meta" : { - "globalKey" : "3d5ebc15" + "globalKey" : "9495a03c", + "externalKey" : "party1" } - } ] + } }, { - "meta" : { - "externalKey" : "party2", - "globalKey" : "ca05a501" + "value" : { + "partyId" : [ { + "identifier" : { + "value" : "BARCGB2L", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/iso9362" + } + }, + "identifierType" : "BIC", + "meta" : { + "globalKey" : "ca05a501" + } + } ], + "meta" : { + "globalKey" : "ca05a501", + "externalKey" : "party2" + } + } + } ] + } ] + } + }, + "before" : { + "value" : { + "trade" : { + "tradeIdentifier" : [ { + "issuerReference" : { + "globalReference" : "ca05a501", + "externalReference" : "party2" }, - "partyId" : [ { + "assignedIdentifier" : [ { "identifier" : { + "value" : "SW2000", "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/iso9362" - }, - "value" : "BARCGB2L" + "scheme" : "http://www.barclays.com/swaps/trade-id" + } }, - "identifierType" : "BIC", - "meta" : { - "globalKey" : "ca05a501" - } - } ] + "version" : 1 + } ], + "meta" : { + "globalKey" : "ac670cef" + } } ], + "tradeDate" : { + "value" : "1994-12-12", + "meta" : { + "globalKey" : "3e530c" + } + }, "tradableProduct" : { - "counterparty" : [ { - "partyReference" : { - "externalReference" : "party1", - "globalReference" : "a82d45fc" - }, - "role" : "PARTY_1" - }, { - "partyReference" : { - "externalReference" : "party2", - "globalReference" : "ca05a501" - }, - "role" : "PARTY_2" - } ], "product" : { "contractualProduct" : { "productTaxonomy" : [ { @@ -71,46 +97,40 @@ "payout" : { "interestRatePayout" : [ { "payerReceiver" : { - "payer" : "PARTY_1", - "receiver" : "PARTY_2" + "payer" : "Party1", + "receiver" : "Party2" }, "priceQuantity" : { - "meta" : { - "globalKey" : "0" - }, "quantitySchedule" : { "address" : { "scope" : "DOCUMENT", "value" : "quantity-1" } + }, + "meta" : { + "globalKey" : "0" } }, - "calculationPeriodDates" : { - "calculationPeriodDatesAdjustments" : { - "businessCenters" : { - "businessCentersReference" : { - "externalReference" : "primaryBusinessCenters", - "globalReference" : "1ff50d" - }, - "meta" : { - "globalKey" : "eb13047c" + "rateSpecification" : { + "floatingRate" : { + "rateOption" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "rateOption-1" } }, - "businessDayConvention" : "MODFOLLOWING", "meta" : { - "globalKey" : "214e084d" + "globalKey" : "0" } - }, - "calculationPeriodFrequency" : { - "meta" : { - "globalKey" : "28c89" - }, - "period" : "M", - "periodMultiplier" : 6, - "rollConvention" : "14" - }, + } + }, + "dayCountFraction" : { + "value" : "ACT/360" + }, + "calculationPeriodDates" : { "effectiveDate" : { "adjustableDate" : { + "unadjustedDate" : "1994-12-14", "dateAdjustments" : { "businessDayConvention" : "NONE", "meta" : { @@ -119,103 +139,108 @@ }, "meta" : { "globalKey" : "ea1a6ec6" - }, - "unadjustedDate" : "1994-12-14" + } }, "meta" : { "globalKey" : "ea1a6ec6" } }, - "meta" : { - "externalKey" : "floatingCalcPeriodDates", - "globalKey" : "3e2554c0" - }, "terminationDate" : { "adjustableDate" : { + "unadjustedDate" : "1999-12-14", "dateAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", "businessCenters" : { "businessCenter" : [ { "value" : "DEFR" } ], "meta" : { - "externalKey" : "primaryBusinessCenters", - "globalKey" : "1ff50d" + "globalKey" : "1ff50d", + "externalKey" : "primaryBusinessCenters" } }, - "businessDayConvention" : "MODFOLLOWING", "meta" : { "globalKey" : "365af8de" } }, "meta" : { "globalKey" : "a8d53690" - }, - "unadjustedDate" : "1999-12-14" + } }, "meta" : { "globalKey" : "a8d53690" } - } - }, - "dayCountFraction" : { - "value" : "ACT/360" - }, - "meta" : { - "globalKey" : "97763931" - }, - "paymentDates" : { - "meta" : { - "globalKey" : "4fa45fc6" }, - "payRelativeTo" : "CALCULATION_PERIOD_END_DATE", - "paymentDatesAdjustments" : { + "calculationPeriodDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", "businessCenters" : { "businessCentersReference" : { - "externalReference" : "primaryBusinessCenters", - "globalReference" : "1ff50d" + "globalReference" : "1ff50d", + "externalReference" : "primaryBusinessCenters" }, "meta" : { "globalKey" : "eb13047c" } }, - "businessDayConvention" : "MODFOLLOWING", "meta" : { "globalKey" : "214e084d" } }, - "paymentFrequency" : { + "calculationPeriodFrequency" : { + "periodMultiplier" : 6, + "period" : "M", "meta" : { - "globalKey" : "959" + "globalKey" : "18a9b" }, - "period" : "M", - "periodMultiplier" : 6 + "rollConvention" : "14" + }, + "meta" : { + "globalKey" : "a26405d2", + "externalKey" : "floatingCalcPeriodDates" } }, - "rateSpecification" : { - "floatingRate" : { + "paymentDates" : { + "paymentFrequency" : { + "periodMultiplier" : 6, + "period" : "M", "meta" : { - "globalKey" : "0" - }, - "rateOption" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "rateOption-1" + "globalKey" : "107" + } + }, + "payRelativeTo" : "CalculationPeriodEndDate", + "paymentDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCentersReference" : { + "globalReference" : "1ff50d", + "externalReference" : "primaryBusinessCenters" + }, + "meta" : { + "globalKey" : "eb13047c" } + }, + "meta" : { + "globalKey" : "214e084d" } + }, + "meta" : { + "globalKey" : "7a04f180" } }, "resetDates" : { "calculationPeriodDatesReference" : { - "externalReference" : "floatingCalcPeriodDates", - "globalReference" : "3e2554c0" + "globalReference" : "a26405d2", + "externalReference" : "floatingCalcPeriodDates" }, + "resetRelativeTo" : "CalculationPeriodStartDate", "fixingDates" : { + "periodMultiplier" : -2, + "period" : "D", "meta" : { - "globalKey" : "131ae8a2" + "globalKey" : "eff6d356" }, - "period" : "D", - "periodMultiplier" : -2, - "dayType" : "BUSINESS", + "dayType" : "Business", + "businessDayConvention" : "NONE", "businessCenters" : { "businessCenter" : [ { "value" : "GBLO" @@ -224,82 +249,79 @@ "globalKey" : "21479e" } }, - "businessDayConvention" : "NONE", "dateRelativeTo" : { - "externalReference" : "resetDates", - "globalReference" : "dbde664a" + "globalReference" : "a5aeeeb8", + "externalReference" : "resetDates" } }, - "meta" : { - "externalKey" : "resetDates", - "globalKey" : "dbde664a" + "resetFrequency" : { + "periodMultiplier" : 6, + "period" : "M", + "meta" : { + "globalKey" : "107" + } }, "resetDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", "businessCenters" : { "businessCentersReference" : { - "externalReference" : "primaryBusinessCenters", - "globalReference" : "1ff50d" + "globalReference" : "1ff50d", + "externalReference" : "primaryBusinessCenters" }, "meta" : { "globalKey" : "eb13047c" } }, - "businessDayConvention" : "MODFOLLOWING", "meta" : { "globalKey" : "214e084d" } }, - "resetFrequency" : { - "meta" : { - "globalKey" : "959" - }, - "period" : "M", - "periodMultiplier" : 6 - }, - "resetRelativeTo" : "CALCULATION_PERIOD_START_DATE" + "meta" : { + "globalKey" : "a5aeeeb8", + "externalKey" : "resetDates" + } + }, + "meta" : { + "globalKey" : "2e03d8ab" } }, { "payerReceiver" : { - "payer" : "PARTY_2", - "receiver" : "PARTY_1" + "payer" : "Party2", + "receiver" : "Party1" }, "priceQuantity" : { - "meta" : { - "globalKey" : "0" - }, "quantitySchedule" : { "address" : { "scope" : "DOCUMENT", "value" : "quantity-2" } + }, + "meta" : { + "globalKey" : "0" } }, - "calculationPeriodDates" : { - "calculationPeriodDatesAdjustments" : { - "businessCenters" : { - "businessCentersReference" : { - "externalReference" : "primaryBusinessCenters", - "globalReference" : "1ff50d" - }, - "meta" : { - "globalKey" : "eb13047c" + "rateSpecification" : { + "fixedRate" : { + "rateSchedule" : { + "price" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "price-1" + } } }, - "businessDayConvention" : "MODFOLLOWING", "meta" : { - "globalKey" : "214e084d" + "globalKey" : "0" } - }, - "calculationPeriodFrequency" : { - "meta" : { - "globalKey" : "2b8fa" - }, - "period" : "Y", - "periodMultiplier" : 1, - "rollConvention" : "14" - }, + } + }, + "dayCountFraction" : { + "value" : "30E/360" + }, + "calculationPeriodDates" : { "effectiveDate" : { "adjustableDate" : { + "unadjustedDate" : "1994-12-14", "dateAdjustments" : { "businessDayConvention" : "NONE", "meta" : { @@ -308,298 +330,276 @@ }, "meta" : { "globalKey" : "ea1a6ec6" - }, - "unadjustedDate" : "1994-12-14" + } }, "meta" : { "globalKey" : "ea1a6ec6" } }, - "meta" : { - "externalKey" : "fixedCalcPeriodDates", - "globalKey" : "faa5b75e" - }, "terminationDate" : { "adjustableDate" : { + "unadjustedDate" : "1999-12-14", "dateAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", "businessCenters" : { "businessCentersReference" : { - "externalReference" : "primaryBusinessCenters", - "globalReference" : "1ff50d" + "globalReference" : "1ff50d", + "externalReference" : "primaryBusinessCenters" }, "meta" : { "globalKey" : "eb13047c" } }, - "businessDayConvention" : "MODFOLLOWING", "meta" : { "globalKey" : "214e084d" } }, "meta" : { "globalKey" : "93c845ff" - }, - "unadjustedDate" : "1999-12-14" + } }, "meta" : { "globalKey" : "93c845ff" } - } - }, - "dayCountFraction" : { - "value" : "30E/360" - }, - "meta" : { - "globalKey" : "f8158737" - }, - "paymentDates" : { - "meta" : { - "globalKey" : "4fa46135" }, - "payRelativeTo" : "CALCULATION_PERIOD_END_DATE", - "paymentDatesAdjustments" : { + "calculationPeriodDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", "businessCenters" : { "businessCentersReference" : { - "externalReference" : "primaryBusinessCenters", - "globalReference" : "1ff50d" + "globalReference" : "1ff50d", + "externalReference" : "primaryBusinessCenters" }, "meta" : { "globalKey" : "eb13047c" } }, - "businessDayConvention" : "MODFOLLOWING", "meta" : { "globalKey" : "214e084d" } }, - "paymentFrequency" : { + "calculationPeriodFrequency" : { + "periodMultiplier" : 1, + "period" : "Y", "meta" : { - "globalKey" : "ac8" + "globalKey" : "1794a" }, - "period" : "Y", - "periodMultiplier" : 1 + "rollConvention" : "14" + }, + "meta" : { + "globalKey" : "9249d1f2", + "externalKey" : "fixedCalcPeriodDates" } }, - "rateSpecification" : { - "fixedRate" : { + "paymentDates" : { + "paymentFrequency" : { + "periodMultiplier" : 1, + "period" : "Y", "meta" : { - "globalKey" : "0" - }, - "rateSchedule" : { - "price" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "price-1" - } + "globalKey" : "78" + } + }, + "payRelativeTo" : "CalculationPeriodEndDate", + "paymentDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCentersReference" : { + "globalReference" : "1ff50d", + "externalReference" : "primaryBusinessCenters" + }, + "meta" : { + "globalKey" : "eb13047c" } + }, + "meta" : { + "globalKey" : "214e084d" } + }, + "meta" : { + "globalKey" : "85fff0af" } + }, + "meta" : { + "globalKey" : "9c789d4b" } } ], "meta" : { - "globalKey" : "4f3ab328" + "globalKey" : "eee37036" } } }, "meta" : { - "globalKey" : "4f3ab328" + "globalKey" : "eee37036" } }, "meta" : { - "globalKey" : "4f3ab328" + "globalKey" : "eee37036" } }, "tradeLot" : [ { "priceQuantity" : [ { - "meta" : { - "globalKey" : "3ce21b9b" - }, - "observable" : { - "meta" : { - "globalKey" : "53c66a4c" - }, - "rateOption" : { - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "rateOption-1" - } ] - }, - "value" : { - "floatingRateIndex" : { - "value" : "EUR-LIBOR-BBA" - }, - "indexTenor" : { + "quantity" : [ { + "value" : { + "value" : 50000000.00, + "unit" : { + "currency" : { + "value" : "EUR", "meta" : { - "globalKey" : "959" - }, - "period" : "M", - "periodMultiplier" : 6 + "scheme" : "http://www.fpml.org/coding-scheme/external/iso4217" + } } } - } - }, - "quantity" : [ { + }, "meta" : { "location" : [ { "scope" : "DOCUMENT", "value" : "quantity-1" } ] - }, - "value" : { - "unit" : { - "currency" : { + } + } ], + "observable" : { + "rateOption" : { + "value" : { + "floatingRateIndex" : { + "value" : "EUR-LIBOR-BBA" + }, + "indexTenor" : { + "periodMultiplier" : 6, + "period" : "M", "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/iso4217" - }, - "value" : "EUR" + "globalKey" : "107" + } } }, - "value" : 50000000.00 + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "rateOption-1" + } ] + } + }, + "meta" : { + "globalKey" : "2505dd46" } - } ] - }, { - "meta" : { - "globalKey" : "4882fcbc" }, + "meta" : { + "globalKey" : "c0d07bed" + } + }, { "price" : [ { - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-1" - } ] - }, "value" : { + "value" : 0.06, "unit" : { "currency" : { + "value" : "EUR", "meta" : { "scheme" : "http://www.fpml.org/coding-scheme/external/iso4217" - }, - "value" : "EUR" + } } }, - "value" : 0.06, "perUnitOf" : { "currency" : { + "value" : "EUR", "meta" : { "scheme" : "http://www.fpml.org/coding-scheme/external/iso4217" - }, - "value" : "EUR" + } } }, - "priceType" : "INTEREST_RATE" - } - } ], - "quantity" : [ { + "priceType" : "InterestRate" + }, "meta" : { "location" : [ { "scope" : "DOCUMENT", - "value" : "quantity-2" + "value" : "price-1" } ] - }, + } + } ], + "quantity" : [ { "value" : { + "value" : 50000000.00, "unit" : { "currency" : { + "value" : "EUR", "meta" : { "scheme" : "http://www.fpml.org/coding-scheme/external/iso4217" - }, - "value" : "EUR" + } } - }, - "value" : 50000000.00 + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } ] } - } ] + } ], + "meta" : { + "globalKey" : "c7dc9ac4" + } } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "9495a03c", + "externalReference" : "party1" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "ca05a501", + "externalReference" : "party2" + } } ] }, - "tradeDate" : { - "meta" : { - "globalKey" : "3e530c" - }, - "value" : "1994-12-12" - }, - "tradeIdentifier" : [ { - "assignedIdentifier" : [ { + "party" : [ { + "partyId" : [ { "identifier" : { + "value" : "PARTYAUS33", "meta" : { - "scheme" : "http://www.barclays.com/swaps/trade-id" - }, - "value" : "SW2000" + "scheme" : "http://www.fpml.org/coding-scheme/external/iso9362" + } }, - "version" : 1 + "identifierType" : "BIC", + "meta" : { + "globalKey" : "3d5ebc15" + } } ], - "issuerReference" : { - "externalReference" : "party2", - "globalReference" : "ca05a501" + "name" : { + "value" : "Party A" }, "meta" : { - "globalKey" : "c506462f" + "globalKey" : "9495a03c", + "externalKey" : "party1" } - } ] - } - } - }, - "primitiveInstruction" : { - "contractFormation" : { - "legalAgreement" : [ { - "agreementDate" : "1994-12-12", - "contractualParty" : [ { - "value" : { - "meta" : { - "externalKey" : "party1", - "globalKey" : "a82d45fc" - }, - "name" : { - "value" : "Party A" - }, - "partyId" : [ { - "identifier" : { - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/iso9362" - }, - "value" : "PARTYAUS33" - }, - "identifierType" : "BIC", + }, { + "partyId" : [ { + "identifier" : { + "value" : "BARCGB2L", "meta" : { - "globalKey" : "3d5ebc15" + "scheme" : "http://www.fpml.org/coding-scheme/external/iso9362" } - } ] - } - }, { - "value" : { + }, + "identifierType" : "BIC", "meta" : { - "externalKey" : "party2", "globalKey" : "ca05a501" - }, - "partyId" : [ { - "identifier" : { - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/iso9362" - }, - "value" : "BARCGB2L" - }, - "identifierType" : "BIC", - "meta" : { - "globalKey" : "ca05a501" - } - } ] + } + } ], + "meta" : { + "globalKey" : "ca05a501", + "externalKey" : "party2" } } ], - "legalAgreementIdentification" : { - "agreementName" : { - "agreementType" : "MASTER_AGREEMENT", - "masterAgreementType" : { - "value" : "ISDA_MASTER" - } - }, - "governingLaw" : "AS_SPECIFIED_IN_MASTER_AGREEMENT", - "publisher" : "ISDA" + "meta" : { + "globalKey" : "ab0648b" } - } ] + }, + "meta" : { + "globalKey" : "ab0648b" + } } } } ], - "intent" : "CONTRACT_FORMATION", + "intent" : "ContractFormation", "eventDate" : "1994-12-12", "effectiveDate" : null } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/cdm-sample-files/functions/business-event/contract-formation/contract-formation-ois-swap-func-input.json b/rosetta-source/src/main/resources/cdm-sample-files/functions/business-event/contract-formation/contract-formation-ois-swap-func-input.json index 870bf04150..0e49b5422f 100644 --- a/rosetta-source/src/main/resources/cdm-sample-files/functions/business-event/contract-formation/contract-formation-ois-swap-func-input.json +++ b/rosetta-source/src/main/resources/cdm-sample-files/functions/business-event/contract-formation/contract-formation-ois-swap-func-input.json @@ -2,75 +2,34 @@ "instruction" : [ { "before" : { "value" : { - "meta" : { - "globalKey" : "eb70bac" - }, "trade" : { - "meta" : { - "globalKey" : "eb70bac" - }, - "party" : [ { - "meta" : { - "externalKey" : "party1", - "globalKey" : "7cec034c" - }, - "name" : { - "value" : "Party A" - }, - "partyId" : [ { - "identifier" : { - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/iso17442" - }, - "value" : "54930084UKLVMY22DS16" - }, - "identifierType" : "LEI", + "tradeIdentifier" : [ { + "issuer" : { + "value" : "54930084UKLVMY22DS16", "meta" : { - "globalKey" : "121d7965" + "scheme" : "http://www.fpml.org/coding-scheme/external/iso17442" } - } ] - }, { - "meta" : { - "externalKey" : "party2", - "globalKey" : "490e5f44" - }, - "name" : { - "value" : "Party B" }, - "partyId" : [ { + "assignedIdentifier" : [ { "identifier" : { + "value" : "UITD7895394", "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/iso17442" - }, - "value" : "48750084UKLVTR22DS78" - }, - "identifierType" : "LEI", - "meta" : { - "globalKey" : "de31bddc" + "scheme" : "http://www.fpml.org/coding-scheme/external/uti" + } } - } ] + } ], + "meta" : { + "globalKey" : "3eac3060" + }, + "identifierType" : "UniqueTransactionIdentifier" } ], + "tradeDate" : { + "value" : "2001-01-25", + "meta" : { + "globalKey" : "3e8859" + } + }, "tradableProduct" : { - "ancillaryParty" : [ { - "partyReference" : [ { - "externalReference" : "party1", - "globalReference" : "7cec034c" - } ], - "role" : "CALCULATION_AGENT_INDEPENDENT" - } ], - "counterparty" : [ { - "partyReference" : { - "externalReference" : "party1", - "globalReference" : "7cec034c" - }, - "role" : "PARTY_1" - }, { - "partyReference" : { - "externalReference" : "party2", - "globalReference" : "490e5f44" - }, - "role" : "PARTY_2" - } ], "product" : { "contractualProduct" : { "productTaxonomy" : [ { @@ -78,52 +37,43 @@ "productQualifier" : "InterestRate_IRSwap_FixedFloat_OIS" } ], "economicTerms" : { - "calculationAgent" : { - "calculationAgentParty" : "CALCULATION_AGENT_INDEPENDENT" - }, "payout" : { "interestRatePayout" : [ { "payerReceiver" : { - "payer" : "PARTY_1", - "receiver" : "PARTY_2" + "payer" : "Party1", + "receiver" : "Party2" }, "priceQuantity" : { - "meta" : { - "globalKey" : "0" - }, "quantitySchedule" : { "address" : { "scope" : "DOCUMENT", "value" : "quantity-1" } + }, + "meta" : { + "globalKey" : "0" } }, - "calculationPeriodDates" : { - "calculationPeriodDatesAdjustments" : { - "businessCenters" : { - "businessCentersReference" : { - "externalReference" : "primaryBusinessCenters", - "globalReference" : "20a71d" - }, - "meta" : { - "globalKey" : "eb13047c" + "rateSpecification" : { + "floatingRate" : { + "rateOption" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "rateOption-1" } }, - "businessDayConvention" : "MODFOLLOWING", "meta" : { - "globalKey" : "214e084d" + "globalKey" : "0" } - }, - "calculationPeriodFrequency" : { - "meta" : { - "globalKey" : "25e2ab" - }, - "period" : "T", - "periodMultiplier" : 1, - "rollConvention" : "NONE" - }, + } + }, + "dayCountFraction" : { + "value" : "ACT/360" + }, + "calculationPeriodDates" : { "effectiveDate" : { "adjustableDate" : { + "unadjustedDate" : "2001-01-29", "dateAdjustments" : { "businessDayConvention" : "NONE", "meta" : { @@ -132,110 +82,115 @@ }, "meta" : { "globalKey" : "eae28c55" - }, - "unadjustedDate" : "2001-01-29" + } }, "meta" : { "globalKey" : "eae28c55" } }, - "meta" : { - "externalKey" : "floatingCalcPeriodDates", - "globalKey" : "9919b9ce" - }, "terminationDate" : { "adjustableDate" : { + "unadjustedDate" : "2001-04-29", "dateAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", "businessCenters" : { "businessCenter" : [ { "value" : "EUTA" } ], "meta" : { - "externalKey" : "primaryBusinessCenters", - "globalKey" : "20a71d" + "globalKey" : "20a71d", + "externalKey" : "primaryBusinessCenters" } }, - "businessDayConvention" : "MODFOLLOWING", "meta" : { "globalKey" : "365baaee" } }, "meta" : { "globalKey" : "a6474bf1" - }, - "unadjustedDate" : "2001-04-29" + } }, "meta" : { "globalKey" : "a6474bf1" } - } - }, - "dayCountFraction" : { - "value" : "ACT/360" - }, - "meta" : { - "globalKey" : "886a9443" - }, - "paymentDates" : { - "meta" : { - "globalKey" : "dcfb3c17" }, - "payRelativeTo" : "CALCULATION_PERIOD_END_DATE", - "paymentDatesAdjustments" : { + "calculationPeriodDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", "businessCenters" : { "businessCentersReference" : { - "externalReference" : "primaryBusinessCenters", - "globalReference" : "20a71d" + "globalReference" : "20a71d", + "externalReference" : "primaryBusinessCenters" }, "meta" : { "globalKey" : "eb13047c" } }, - "businessDayConvention" : "MODFOLLOWING", "meta" : { "globalKey" : "214e084d" } }, - "paymentDaysOffset" : { - "meta" : { - "globalKey" : "ea4baf23" - }, - "period" : "D", + "calculationPeriodFrequency" : { "periodMultiplier" : 1, - "dayType" : "BUSINESS" - }, - "paymentFrequency" : { + "period" : "T", "meta" : { - "globalKey" : "a2d" + "globalKey" : "24b525" }, - "period" : "T", - "periodMultiplier" : 1 + "rollConvention" : "NONE" + }, + "meta" : { + "globalKey" : "37c36a6c", + "externalKey" : "floatingCalcPeriodDates" } }, - "rateSpecification" : { - "floatingRate" : { + "paymentDates" : { + "paymentFrequency" : { + "periodMultiplier" : 1, + "period" : "T", "meta" : { - "globalKey" : "0" + "globalKey" : "73" + } + }, + "payRelativeTo" : "CalculationPeriodEndDate", + "paymentDaysOffset" : { + "periodMultiplier" : 1, + "period" : "D", + "meta" : { + "globalKey" : "ea4abbbd" }, - "rateOption" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "rateOption-1" + "dayType" : "Business" + }, + "paymentDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCentersReference" : { + "globalReference" : "20a71d", + "externalReference" : "primaryBusinessCenters" + }, + "meta" : { + "globalKey" : "eb13047c" } + }, + "meta" : { + "globalKey" : "214e084d" } + }, + "meta" : { + "globalKey" : "1b77cc77" } }, "resetDates" : { "calculationPeriodDatesReference" : { - "externalReference" : "floatingCalcPeriodDates", - "globalReference" : "9919b9ce" + "globalReference" : "37c36a6c", + "externalReference" : "floatingCalcPeriodDates" }, + "resetRelativeTo" : "CalculationPeriodEndDate", "fixingDates" : { + "periodMultiplier" : 0, + "period" : "D", "meta" : { - "globalKey" : "23728acc" + "globalKey" : "98ca5cd4" }, - "period" : "D", - "periodMultiplier" : 0, + "businessDayConvention" : "PRECEDING", "businessCenters" : { "businessCenter" : [ { "value" : "EUTA" @@ -244,82 +199,79 @@ "globalKey" : "20a71d" } }, - "businessDayConvention" : "PRECEDING", "dateRelativeTo" : { - "externalReference" : "resetDates", - "globalReference" : "b44a57c9" + "globalReference" : "d5a6f6cb", + "externalReference" : "resetDates" } }, - "meta" : { - "externalKey" : "resetDates", - "globalKey" : "b44a57c9" + "resetFrequency" : { + "periodMultiplier" : 1, + "period" : "T", + "meta" : { + "globalKey" : "73" + } }, "resetDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", "businessCenters" : { "businessCentersReference" : { - "externalReference" : "primaryBusinessCenters", - "globalReference" : "20a71d" + "globalReference" : "20a71d", + "externalReference" : "primaryBusinessCenters" }, "meta" : { "globalKey" : "eb13047c" } }, - "businessDayConvention" : "MODFOLLOWING", "meta" : { "globalKey" : "214e084d" } }, - "resetFrequency" : { - "meta" : { - "globalKey" : "a2d" - }, - "period" : "T", - "periodMultiplier" : 1 - }, - "resetRelativeTo" : "CALCULATION_PERIOD_END_DATE" + "meta" : { + "globalKey" : "d5a6f6cb", + "externalKey" : "resetDates" + } + }, + "meta" : { + "globalKey" : "c4dd9e87" } }, { "payerReceiver" : { - "payer" : "PARTY_2", - "receiver" : "PARTY_1" + "payer" : "Party2", + "receiver" : "Party1" }, "priceQuantity" : { - "meta" : { - "globalKey" : "0" - }, "quantitySchedule" : { "address" : { "scope" : "DOCUMENT", "value" : "quantity-2" } + }, + "meta" : { + "globalKey" : "0" } }, - "calculationPeriodDates" : { - "calculationPeriodDatesAdjustments" : { - "businessCenters" : { - "businessCentersReference" : { - "externalReference" : "primaryBusinessCenters", - "globalReference" : "20a71d" - }, - "meta" : { - "globalKey" : "eb13047c" + "rateSpecification" : { + "fixedRate" : { + "rateSchedule" : { + "price" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "price-1" + } } }, - "businessDayConvention" : "MODFOLLOWING", "meta" : { - "globalKey" : "214e084d" + "globalKey" : "0" } - }, - "calculationPeriodFrequency" : { - "meta" : { - "globalKey" : "25e2ab" - }, - "period" : "T", - "periodMultiplier" : 1, - "rollConvention" : "NONE" - }, + } + }, + "dayCountFraction" : { + "value" : "ACT/360" + }, + "calculationPeriodDates" : { "effectiveDate" : { "adjustableDate" : { + "unadjustedDate" : "2001-01-29", "dateAdjustments" : { "businessDayConvention" : "NONE", "meta" : { @@ -328,222 +280,270 @@ }, "meta" : { "globalKey" : "eae28c55" - }, - "unadjustedDate" : "2001-01-29" + } }, "meta" : { "globalKey" : "eae28c55" } }, - "meta" : { - "externalKey" : "fixedCalcPeriodDates", - "globalKey" : "840c172d" - }, "terminationDate" : { "adjustableDate" : { + "unadjustedDate" : "2001-04-29", "dateAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", "businessCenters" : { "businessCentersReference" : { - "externalReference" : "primaryBusinessCenters", - "globalReference" : "20a71d" + "globalReference" : "20a71d", + "externalReference" : "primaryBusinessCenters" }, "meta" : { "globalKey" : "eb13047c" } }, - "businessDayConvention" : "MODFOLLOWING", "meta" : { "globalKey" : "214e084d" } }, "meta" : { "globalKey" : "9139a950" - }, - "unadjustedDate" : "2001-04-29" + } }, "meta" : { "globalKey" : "9139a950" } - } - }, - "dayCountFraction" : { - "value" : "ACT/360" - }, - "meta" : { - "globalKey" : "239597a" - }, - "paymentDates" : { - "meta" : { - "globalKey" : "4fa4609a" }, - "payRelativeTo" : "CALCULATION_PERIOD_END_DATE", - "paymentDatesAdjustments" : { + "calculationPeriodDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", "businessCenters" : { "businessCentersReference" : { - "externalReference" : "primaryBusinessCenters", - "globalReference" : "20a71d" + "globalReference" : "20a71d", + "externalReference" : "primaryBusinessCenters" }, "meta" : { "globalKey" : "eb13047c" } }, - "businessDayConvention" : "MODFOLLOWING", "meta" : { "globalKey" : "214e084d" } }, - "paymentFrequency" : { + "calculationPeriodFrequency" : { + "periodMultiplier" : 1, + "period" : "T", "meta" : { - "globalKey" : "a2d" + "globalKey" : "24b525" }, - "period" : "T", - "periodMultiplier" : 1 + "rollConvention" : "NONE" + }, + "meta" : { + "globalKey" : "d26aa7ed", + "externalKey" : "fixedCalcPeriodDates" } }, - "rateSpecification" : { - "fixedRate" : { + "paymentDates" : { + "paymentFrequency" : { + "periodMultiplier" : 1, + "period" : "T", "meta" : { - "globalKey" : "0" - }, - "rateSchedule" : { - "price" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "price-1" - } + "globalKey" : "73" + } + }, + "payRelativeTo" : "CalculationPeriodEndDate", + "paymentDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCentersReference" : { + "globalReference" : "20a71d", + "externalReference" : "primaryBusinessCenters" + }, + "meta" : { + "globalKey" : "eb13047c" } + }, + "meta" : { + "globalKey" : "214e084d" } + }, + "meta" : { + "globalKey" : "7d77b594" } + }, + "meta" : { + "globalKey" : "a422f862" } } ], "meta" : { - "globalKey" : "3a4ae9fd" + "globalKey" : "4c9c7e29" } + }, + "calculationAgent" : { + "calculationAgentParty" : "CalculationAgentIndependent" } }, "meta" : { - "globalKey" : "8fb047d3" + "globalKey" : "e3c180d3" } }, "meta" : { - "globalKey" : "8fb047d3" + "globalKey" : "e3c180d3" } }, "tradeLot" : [ { "priceQuantity" : [ { - "meta" : { - "globalKey" : "f2809620" - }, - "observable" : { - "meta" : { - "globalKey" : "23c05191" - }, - "rateOption" : { - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "rateOption-1" - } ] - }, - "value" : { - "floatingRateIndex" : { - "value" : "EUR-EONIA-OIS-COMPOUND" + "quantity" : [ { + "value" : { + "value" : 100000000.00, + "unit" : { + "currency" : { + "value" : "EUR" } } - } - }, - "quantity" : [ { + }, "meta" : { "location" : [ { "scope" : "DOCUMENT", "value" : "quantity-1" } ] - }, - "value" : { - "unit" : { - "currency" : { - "value" : "EUR" + } + } ], + "observable" : { + "rateOption" : { + "value" : { + "floatingRateIndex" : { + "value" : "EUR-EONIA-OIS-COMPOUND" } }, - "value" : 100000000.00 + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "rateOption-1" + } ] + } + }, + "meta" : { + "globalKey" : "5449e08f" } - } ] - }, { - "meta" : { - "globalKey" : "27beb430" }, + "meta" : { + "globalKey" : "9894669e" + } + }, { "price" : [ { - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-1" - } ] - }, "value" : { + "value" : 0.051, "unit" : { "currency" : { "value" : "EUR" } }, - "value" : 0.051, "perUnitOf" : { "currency" : { "value" : "EUR" } }, - "priceType" : "INTEREST_RATE" - } - } ], - "quantity" : [ { + "priceType" : "InterestRate" + }, "meta" : { "location" : [ { "scope" : "DOCUMENT", - "value" : "quantity-2" + "value" : "price-1" } ] - }, + } + } ], + "quantity" : [ { "value" : { + "value" : 100000000.00, "unit" : { "currency" : { "value" : "EUR" } - }, - "value" : 100000000.00 + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } ] } - } ] + } ], + "meta" : { + "globalKey" : "d017d1d0" + } + } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "349a498c", + "externalReference" : "party1" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "4caf4c44", + "externalReference" : "party2" + } + } ], + "ancillaryParty" : [ { + "role" : "CalculationAgentIndependent", + "partyReference" : [ { + "globalReference" : "349a498c", + "externalReference" : "party1" } ] } ] }, - "tradeDate" : { - "meta" : { - "globalKey" : "3e8859" - }, - "value" : "2001-01-25" - }, - "tradeIdentifier" : [ { - "assignedIdentifier" : [ { + "party" : [ { + "partyId" : [ { "identifier" : { + "value" : "54930084UKLVMY22DS16", "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/uti" - }, - "value" : "UITD7895394" + "scheme" : "http://www.fpml.org/coding-scheme/external/iso17442" + } + }, + "identifierType" : "LEI", + "meta" : { + "globalKey" : "121d7965" } } ], - "issuer" : { - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/iso17442" - }, - "value" : "54930084UKLVMY22DS16" + "name" : { + "value" : "Party A" }, "meta" : { - "globalKey" : "335bf1d6" + "globalKey" : "349a498c", + "externalKey" : "party1" + } + }, { + "partyId" : [ { + "identifier" : { + "value" : "48750084UKLVTR22DS78", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/iso17442" + } + }, + "identifierType" : "LEI", + "meta" : { + "globalKey" : "de31bddc" + } + } ], + "name" : { + "value" : "Party B" }, - "identifierType" : "UNIQUE_TRANSACTION_IDENTIFIER" - } ] + "meta" : { + "globalKey" : "4caf4c44", + "externalKey" : "party2" + } + } ], + "meta" : { + "globalKey" : "5e72f648" + } + }, + "meta" : { + "globalKey" : "5e72f648" } } } } ], - "intent" : "CONTRACT_FORMATION", + "intent" : "ContractFormation", "eventDate" : "2001-01-25", "effectiveDate" : null } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/cdm-sample-files/functions/business-event/contract-formation/contract-formation-repo-fixed-rate-func-input.json b/rosetta-source/src/main/resources/cdm-sample-files/functions/business-event/contract-formation/contract-formation-repo-fixed-rate-func-input.json index 66b2e3e7e8..e4376c91bc 100644 --- a/rosetta-source/src/main/resources/cdm-sample-files/functions/business-event/contract-formation/contract-formation-repo-fixed-rate-func-input.json +++ b/rosetta-source/src/main/resources/cdm-sample-files/functions/business-event/contract-formation/contract-formation-repo-fixed-rate-func-input.json @@ -2,79 +2,85 @@ "instruction" : [ { "before" : { "value" : { - "meta" : { - "globalKey" : "328d385a" - }, "trade" : { - "meta" : { - "globalKey" : "328d385a" - }, - "party" : [ { - "meta" : { - "externalKey" : "Party1", - "globalKey" : "33f59557" + "tradeIdentifier" : [ { + "issuerReference" : { + "globalReference" : "33f59557", + "externalReference" : "Party1" }, - "partyId" : [ { + "assignedIdentifier" : [ { "identifier" : { + "value" : "Party19235", "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/dummy-party-id" - }, - "value" : "Party 1" - }, - "meta" : { - "globalKey" : "33f59557" + "scheme" : "http://www.party1.com/swaps/trade-id" + } } - } ] - }, { + } ], "meta" : { - "externalKey" : "Party2", - "globalKey" : "33f59558" + "globalKey" : "9dae69db" + } + }, { + "issuerReference" : { + "globalReference" : "33f59558", + "externalReference" : "Party2" }, - "partyId" : [ { + "assignedIdentifier" : [ { "identifier" : { + "value" : "Party22000", "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/dummy-party-id" - }, - "value" : "Party 2" - }, - "meta" : { - "globalKey" : "33f59558" + "scheme" : "http://www.party2.com/swaps/trade-id" + } } - } ] + } ], + "meta" : { + "globalKey" : "9db9bf3e" + } } ], + "tradeDate" : { + "value" : "2013-10-29", + "meta" : { + "globalKey" : "3eea9d" + } + }, "tradableProduct" : { - "counterparty" : [ { - "partyReference" : { - "externalReference" : "Party1", - "globalReference" : "33f59557" - }, - "role" : "PARTY_1" - }, { - "partyReference" : { - "externalReference" : "Party2", - "globalReference" : "33f59558" - }, - "role" : "PARTY_2" - } ], "product" : { "contractualProduct" : { "economicTerms" : { "payout" : { "interestRatePayout" : [ { "priceQuantity" : { - "meta" : { - "globalKey" : "0" - }, "quantitySchedule" : { "address" : { "scope" : "DOCUMENT", "value" : "quantity-1" } + }, + "meta" : { + "globalKey" : "0" + } + }, + "rateSpecification" : { + "fixedRate" : { + "rateSchedule" : { + "price" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "price-1" + } + } + }, + "meta" : { + "globalKey" : "0" + } } }, + "dayCountFraction" : { + "value" : "ACT/365.FIXED" + }, "calculationPeriodDates" : { "effectiveDate" : { "adjustableDate" : { + "unadjustedDate" : "2013-10-29", "dateAdjustments" : { "businessDayConvention" : "NONE", "meta" : { @@ -83,18 +89,15 @@ }, "meta" : { "globalKey" : "ec535e95" - }, - "unadjustedDate" : "2013-10-29" + } }, "meta" : { "globalKey" : "ec535e95" } }, - "meta" : { - "globalKey" : "21ad6787" - }, "terminationDate" : { "adjustableDate" : { + "unadjustedDate" : "2013-11-04", "dateAdjustments" : { "businessDayConvention" : "NONE", "meta" : { @@ -103,72 +106,29 @@ }, "meta" : { "globalKey" : "ec53f0fc" - }, - "unadjustedDate" : "2013-11-04" + } }, "meta" : { "globalKey" : "ec53f0fc" } + }, + "meta" : { + "globalKey" : "21ad6787" } }, - "dayCountFraction" : { - "value" : "ACT/365.FIXED" - }, "meta" : { - "globalKey" : "965f0f1f" - }, - "rateSpecification" : { - "fixedRate" : { - "meta" : { - "globalKey" : "0" - }, - "rateSchedule" : { - "price" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "price-1" - } - } - } - } + "globalKey" : "c84f9bcd" } } ], - "meta" : { - "globalKey" : "62a30c68" - }, "securityPayout" : [ { - "initialMargin" : { - "margin" : [ { - "haircut" : -0.04762 - } ], - "marginType" : "CASH" - }, - "meta" : { - "globalKey" : "5edb1da7" - }, - "repoDuration" : "TERM", "securityLeg" : [ { "buyerSeller" : { - "buyer" : "PARTY_1", - "seller" : "PARTY_2" - }, - "deliveryMethod" : "DELIVERY_VERSUS_PAYMENT", - "meta" : { - "globalKey" : "24119d6" - }, - "settlementAmount" : { - "unit" : { - "currency" : { - "value" : "USD" - } - }, - "value" : 1292748.30, - "meta" : { - "globalKey" : "59b83060" - } + "buyer" : "Party1", + "seller" : "Party2" }, "settlementDate" : { "adjustableDate" : { + "unadjustedDate" : "2013-10-29", "dateAdjustments" : { "businessDayConvention" : "NONE", "meta" : { @@ -177,36 +137,35 @@ }, "meta" : { "globalKey" : "ec535e95" - }, - "unadjustedDate" : "2013-10-29" + } }, "meta" : { "globalKey" : "ec535e95" } - } - }, { - "buyerSeller" : { - "buyer" : "PARTY_2", - "seller" : "PARTY_1" - }, - "deliveryMethod" : "DELIVERY_VERSUS_PAYMENT", - "meta" : { - "externalKey" : "forwardLeg", - "globalKey" : "5c3ebcc4" }, "settlementAmount" : { + "value" : 1292748.30, "unit" : { "currency" : { "value" : "USD" } }, - "value" : 1292586.71, "meta" : { - "globalKey" : "eaa544d7" + "globalKey" : "59b83060" } }, + "deliveryMethod" : "DeliveryVersusPayment", + "meta" : { + "globalKey" : "1f48568c" + } + }, { + "buyerSeller" : { + "buyer" : "Party2", + "seller" : "Party1" + }, "settlementDate" : { "adjustableDate" : { + "unadjustedDate" : "2013-11-04", "dateAdjustments" : { "businessDayConvention" : "NONE", "meta" : { @@ -215,34 +174,56 @@ }, "meta" : { "globalKey" : "ec53f0fc" - }, - "unadjustedDate" : "2013-11-04" + } }, "meta" : { "globalKey" : "ec53f0fc" } + }, + "settlementAmount" : { + "value" : 1292586.71, + "unit" : { + "currency" : { + "value" : "USD" + } + }, + "meta" : { + "globalKey" : "eaa544d7" + } + }, + "deliveryMethod" : "DeliveryVersusPayment", + "meta" : { + "globalKey" : "f650339a", + "externalKey" : "forwardLeg" } } ], + "initialMargin" : { + "marginType" : "Cash", + "margin" : [ { + "haircut" : -0.04762 + } ] + }, + "repoDuration" : "Term", "securityValuation" : [ { "securityValuationModel" : { "bondValuationModel" : { - "bondPriceAndYieldModel" : { - "cleanOrDirtyPrice" : { - "cleanPrice" : { - "cleanPrice" : 112.334750 - } - } - }, "nominalAmount" : { + "value" : 1096000, "unit" : { "currency" : { "value" : "USD" } }, - "value" : 1096000, "meta" : { "globalKey" : "2d3b15b2" } + }, + "bondPriceAndYieldModel" : { + "cleanOrDirtyPrice" : { + "cleanPrice" : { + "cleanPrice" : 112.334750 + } + } } } }, @@ -254,133 +235,152 @@ } } ] } - } ] - } ] + } ], + "meta" : { + "globalKey" : "d56c1f6f" + } + } ], + "meta" : { + "globalKey" : "8d6beb42" + } } }, "meta" : { - "globalKey" : "62a30c68" + "globalKey" : "8d6beb42" } }, "meta" : { - "globalKey" : "62a30c68" + "globalKey" : "8d6beb42" } }, "tradeLot" : [ { "priceQuantity" : [ { - "meta" : { - "globalKey" : "2055a57c" - }, - "observable" : { - "meta" : { - "globalKey" : "8145c30a" - }, - "productIdentifier" : [ { - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "productIdentifier-1" - } ] - }, - "value" : { - "identifier" : { - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/instrument-id-ISIN-1-0" - }, - "value" : "XS" - }, - "meta" : { - "globalKey" : "8145c30a" - }, - "source" : "ISIN" - } - } ] - }, "price" : [ { - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-1" - } ] - }, "value" : { + "value" : -0.75, "unit" : { "currency" : { "value" : "USD" } }, - "value" : -0.75, "perUnitOf" : { "currency" : { "value" : "USD" } }, - "priceType" : "INTEREST_RATE" - } - } ], - "quantity" : [ { + "priceType" : "InterestRate" + }, "meta" : { "location" : [ { "scope" : "DOCUMENT", - "value" : "quantity-1" + "value" : "price-1" } ] - }, + } + } ], + "quantity" : [ { "value" : { + "value" : 1292748.30, "unit" : { "currency" : { "value" : "USD" } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] + } + } ], + "observable" : { + "productIdentifier" : [ { + "value" : { + "identifier" : { + "value" : "XS", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/instrument-id-ISIN-1-0" + } + }, + "source" : "ISIN", + "meta" : { + "globalKey" : "8145c30a" + } }, - "value" : 1292748.30 + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "productIdentifier-1" + } ] + } + } ], + "meta" : { + "globalKey" : "a7729e36" } - } ] + }, + "meta" : { + "globalKey" : "cd865d28" + } } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "33f59557", + "externalReference" : "Party1" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "33f59558", + "externalReference" : "Party2" + } } ] }, - "tradeDate" : { - "meta" : { - "globalKey" : "3eea9d" - }, - "value" : "2013-10-29" - }, - "tradeIdentifier" : [ { - "assignedIdentifier" : [ { + "party" : [ { + "partyId" : [ { "identifier" : { + "value" : "Party 1", "meta" : { - "scheme" : "http://www.party1.com/swaps/trade-id" - }, - "value" : "Party19235" + "scheme" : "http://www.fpml.org/coding-scheme/dummy-party-id" + } + }, + "meta" : { + "globalKey" : "33f59557" } } ], - "issuerReference" : { - "externalReference" : "Party1", - "globalReference" : "33f59557" - }, "meta" : { - "globalKey" : "f58e9891" + "globalKey" : "33f59557", + "externalKey" : "Party1" } }, { - "assignedIdentifier" : [ { + "partyId" : [ { "identifier" : { + "value" : "Party 2", "meta" : { - "scheme" : "http://www.party2.com/swaps/trade-id" - }, - "value" : "Party22000" + "scheme" : "http://www.fpml.org/coding-scheme/dummy-party-id" + } + }, + "meta" : { + "globalKey" : "33f59558" } } ], - "issuerReference" : { - "externalReference" : "Party2", - "globalReference" : "33f59558" - }, "meta" : { - "globalKey" : "1e654896" + "globalKey" : "33f59558", + "externalKey" : "Party2" } - } ] + } ], + "meta" : { + "globalKey" : "2ceb9d06" + } + }, + "meta" : { + "globalKey" : "2ceb9d06" } } } } ], - "intent" : "CONTRACT_FORMATION", + "intent" : "ContractFormation", "eventDate" : "2013-10-29", "effectiveDate" : null } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/cdm-sample-files/functions/business-event/contract-formation/contract-formation-swaption-func-input.json b/rosetta-source/src/main/resources/cdm-sample-files/functions/business-event/contract-formation/contract-formation-swaption-func-input.json index 6ca34f7abb..3611bdc359 100644 --- a/rosetta-source/src/main/resources/cdm-sample-files/functions/business-event/contract-formation/contract-formation-swaption-func-input.json +++ b/rosetta-source/src/main/resources/cdm-sample-files/functions/business-event/contract-formation/contract-formation-swaption-func-input.json @@ -2,69 +2,32 @@ "instruction" : [ { "before" : { "value" : { - "meta" : { - "globalKey" : "67818022" - }, "trade" : { - "meta" : { - "globalKey" : "81947077" - }, - "party" : [ { - "meta" : { - "externalKey" : "party1", - "globalKey" : "d4813763" + "tradeIdentifier" : [ { + "issuerReference" : { + "globalReference" : "d4813763", + "externalReference" : "party1" }, - "partyId" : [ { + "assignedIdentifier" : [ { "identifier" : { + "value" : "123", "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/iso9362" - }, - "value" : "party A" + "scheme" : "http://www.partyA.com/trade-id" + } }, - "identifierType" : "BIC", - "meta" : { - "globalKey" : "d4813763" - } - } ] - }, { + "version" : 1 + } ], "meta" : { - "externalKey" : "party2", - "globalKey" : "d4813764" - }, - "partyId" : [ { - "identifier" : { - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/iso9362" - }, - "value" : "party B" - }, - "identifierType" : "BIC", - "meta" : { - "globalKey" : "d4813764" - } - } ] + "globalKey" : "19d6067e" + } } ], + "tradeDate" : { + "value" : "2000-08-30", + "meta" : { + "globalKey" : "3e821e" + } + }, "tradableProduct" : { - "ancillaryParty" : [ { - "partyReference" : [ { - "externalReference" : "party2", - "globalReference" : "d4813764" - } ], - "role" : "CALCULATION_AGENT_INDEPENDENT" - } ], - "counterparty" : [ { - "partyReference" : { - "externalReference" : "party1", - "globalReference" : "d4813763" - }, - "role" : "PARTY_1" - }, { - "partyReference" : { - "externalReference" : "party2", - "globalReference" : "d4813764" - }, - "role" : "PARTY_2" - } ], "product" : { "contractualProduct" : { "productTaxonomy" : [ { @@ -72,45 +35,24 @@ "productQualifier" : "InterestRate_Option_Swaption" } ], "economicTerms" : { - "calculationAgent" : { - "calculationAgentParty" : "CALCULATION_AGENT_INDEPENDENT" - }, "payout" : { - "meta" : { - "globalKey" : "bdf2ac17" - }, "optionPayout" : [ { "payerReceiver" : { - "payer" : "PARTY_2", - "receiver" : "PARTY_1" + "payer" : "Party2", + "receiver" : "Party1" }, "buyerSeller" : { - "buyer" : "PARTY_1", - "seller" : "PARTY_2" + "buyer" : "Party1", + "seller" : "Party2" }, "exerciseTerms" : { - "exerciseProcedure" : { - "followUpConfirmation" : true, - "manualExercise" : { - "exerciseNotice" : { - "businessCenter" : { - "value" : "GBLO" - }, - "exerciseNoticeGiver" : "SELLER" - } - } - }, "optionStyle" : { "europeanExercise" : { - "earliestExerciseTime" : { - "businessCenter" : { - "value" : "BEBR" - }, - "hourMinuteTime" : "09:00:00" - }, "expirationDate" : [ { "adjustableDate" : { + "unadjustedDate" : "2001-08-28", "dateAdjustments" : { + "businessDayConvention" : "FOLLOWING", "businessCenters" : { "businessCenter" : [ { "value" : "EUTA" @@ -121,35 +63,47 @@ "globalKey" : "4158421" } }, - "businessDayConvention" : "FOLLOWING", "meta" : { "globalKey" : "da3b6050" } }, "meta" : { "globalKey" : "770e7eb4" - }, - "unadjustedDate" : "2001-08-28" + } }, "meta" : { "globalKey" : "770e7eb4" } } ], + "earliestExerciseTime" : { + "hourMinuteTime" : "09:00:00", + "businessCenter" : { + "value" : "BEBR" + } + }, "expirationTime" : { + "hourMinuteTime" : "11:00:00", "businessCenter" : { "value" : "BEBR" - }, - "hourMinuteTime" : "11:00:00" + } }, "meta" : { - "globalKey" : "70973195" + "globalKey" : "83fbdc15" } } + }, + "exerciseProcedure" : { + "manualExercise" : { + "exerciseNotice" : { + "exerciseNoticeGiver" : "Seller", + "businessCenter" : { + "value" : "GBLO" + } + } + }, + "followUpConfirmation" : true } }, - "meta" : { - "globalKey" : "bdf2ac17" - }, "underlier" : { "contractualProduct" : { "productTaxonomy" : [ { @@ -160,46 +114,42 @@ "payout" : { "interestRatePayout" : [ { "payerReceiver" : { - "payer" : "PARTY_1", - "receiver" : "PARTY_2" + "payer" : "Party1", + "receiver" : "Party2" }, "priceQuantity" : { - "meta" : { - "globalKey" : "0" - }, "quantitySchedule" : { "address" : { "scope" : "DOCUMENT", "value" : "quantity-1" } + }, + "meta" : { + "globalKey" : "0" } }, - "calculationPeriodDates" : { - "calculationPeriodDatesAdjustments" : { - "businessCenters" : { - "businessCentersReference" : { - "externalReference" : "accrualBusinessCenters0", - "globalReference" : "20a71d" - }, - "meta" : { - "globalKey" : "622268e1" + "rateSpecification" : { + "fixedRate" : { + "rateSchedule" : { + "price" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "price-1" + } } }, - "businessDayConvention" : "MODFOLLOWING", "meta" : { - "globalKey" : "985d6cb2" + "globalKey" : "0" } - }, - "calculationPeriodFrequency" : { - "meta" : { - "globalKey" : "2b934" - }, - "period" : "Y", - "periodMultiplier" : 1, - "rollConvention" : "30" - }, + } + }, + "dayCountFraction" : { + "value" : "30/360" + }, + "calculationPeriodDates" : { "effectiveDate" : { "adjustableDate" : { + "unadjustedDate" : "2001-08-30", "dateAdjustments" : { "businessDayConvention" : "NONE", "meta" : { @@ -208,135 +158,133 @@ }, "meta" : { "globalKey" : "eae921d6" - }, - "unadjustedDate" : "2001-08-30" + } }, "meta" : { "globalKey" : "eae921d6" } }, - "meta" : { - "externalKey" : "CalcPeriodDates0", - "globalKey" : "d530b040" - }, "terminationDate" : { "adjustableDate" : { + "unadjustedDate" : "2006-08-30", "dateAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", "businessCenters" : { "businessCenter" : [ { "value" : "EUTA" } ], "meta" : { - "externalKey" : "accrualBusinessCenters0", - "globalKey" : "20a71d" + "globalKey" : "20a71d", + "externalKey" : "accrualBusinessCenters0" } }, - "businessDayConvention" : "MODFOLLOWING", "meta" : { "globalKey" : "365baaee" } }, "meta" : { "globalKey" : "9ead9b90" - }, - "unadjustedDate" : "2006-08-30" + } }, "meta" : { "globalKey" : "9ead9b90" } + }, + "calculationPeriodDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCentersReference" : { + "globalReference" : "20a71d", + "externalReference" : "accrualBusinessCenters0" + }, + "meta" : { + "globalKey" : "622268e1" + } + }, + "meta" : { + "globalKey" : "985d6cb2" + } + }, + "calculationPeriodFrequency" : { + "periodMultiplier" : 1, + "period" : "Y", + "meta" : { + "globalKey" : "17984" + }, + "rollConvention" : "30" + }, + "meta" : { + "globalKey" : "d6a5a890", + "externalKey" : "CalcPeriodDates0" } }, - "dayCountFraction" : { - "value" : "30/360" - }, - "meta" : { - "globalKey" : "6e2bf001" - }, "paymentDates" : { - "meta" : { - "globalKey" : "4d64aef4" + "paymentFrequency" : { + "periodMultiplier" : 1, + "period" : "Y", + "meta" : { + "globalKey" : "78" + } }, - "payRelativeTo" : "CALCULATION_PERIOD_END_DATE", + "payRelativeTo" : "CalculationPeriodEndDate", "paymentDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", "businessCenters" : { "businessCenter" : [ { "value" : "EUTA" } ], "meta" : { - "externalKey" : "paymentBusinessCenters0", - "globalKey" : "20a71d" + "globalKey" : "20a71d", + "externalKey" : "paymentBusinessCenters0" } }, - "businessDayConvention" : "MODFOLLOWING", "meta" : { "globalKey" : "365baaee" } }, - "paymentFrequency" : { - "meta" : { - "globalKey" : "ac8" - }, - "period" : "Y", - "periodMultiplier" : 1 + "meta" : { + "globalKey" : "9b0d9350" } }, - "rateSpecification" : { - "fixedRate" : { - "meta" : { - "globalKey" : "0" - }, - "rateSchedule" : { - "price" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "price-1" - } - } - } - } + "meta" : { + "globalKey" : "86242c95" } }, { "payerReceiver" : { - "payer" : "PARTY_2", - "receiver" : "PARTY_1" + "payer" : "Party2", + "receiver" : "Party1" }, "priceQuantity" : { - "meta" : { - "globalKey" : "0" - }, "quantitySchedule" : { "address" : { "scope" : "DOCUMENT", "value" : "quantity-2" } + }, + "meta" : { + "globalKey" : "0" } }, - "calculationPeriodDates" : { - "calculationPeriodDatesAdjustments" : { - "businessCenters" : { - "businessCentersReference" : { - "externalReference" : "accrualBusinessCenters1", - "globalReference" : "20a71d" - }, - "meta" : { - "globalKey" : "622268e2" + "rateSpecification" : { + "floatingRate" : { + "rateOption" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "rateOption-1" } }, - "businessDayConvention" : "MODFOLLOWING", "meta" : { - "globalKey" : "985d6cb3" + "globalKey" : "0" } - }, - "calculationPeriodFrequency" : { - "meta" : { - "globalKey" : "28cc3" - }, - "period" : "M", - "periodMultiplier" : 6, - "rollConvention" : "30" - }, + } + }, + "dayCountFraction" : { + "value" : "ACT/360" + }, + "calculationPeriodDates" : { "effectiveDate" : { "adjustableDate" : { + "unadjustedDate" : "2001-08-30", "dateAdjustments" : { "businessDayConvention" : "NONE", "meta" : { @@ -345,312 +293,360 @@ }, "meta" : { "globalKey" : "eae921d6" - }, - "unadjustedDate" : "2001-08-30" + } }, "meta" : { "globalKey" : "eae921d6" } }, - "meta" : { - "externalKey" : "CalcPeriodDates1", - "globalKey" : "c8353f30" - }, "terminationDate" : { "adjustableDate" : { + "unadjustedDate" : "2006-08-30", "dateAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", "businessCenters" : { "businessCenter" : [ { "value" : "EUTA" } ], "meta" : { - "externalKey" : "accrualBusinessCenters1", - "globalKey" : "20a71d" + "globalKey" : "20a71d", + "externalKey" : "accrualBusinessCenters1" } }, - "businessDayConvention" : "MODFOLLOWING", "meta" : { "globalKey" : "365baaee" } }, "meta" : { "globalKey" : "9ead9b90" - }, - "unadjustedDate" : "2006-08-30" + } }, "meta" : { "globalKey" : "9ead9b90" } + }, + "calculationPeriodDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCentersReference" : { + "globalReference" : "20a71d", + "externalReference" : "accrualBusinessCenters1" + }, + "meta" : { + "globalKey" : "622268e2" + } + }, + "meta" : { + "globalKey" : "985d6cb3" + } + }, + "calculationPeriodFrequency" : { + "periodMultiplier" : 6, + "period" : "M", + "meta" : { + "globalKey" : "18ad5" + }, + "rollConvention" : "30" + }, + "meta" : { + "globalKey" : "d6b3d162", + "externalKey" : "CalcPeriodDates1" } }, - "dayCountFraction" : { - "value" : "ACT/360" - }, - "meta" : { - "globalKey" : "9ec5a1dd" - }, "paymentDates" : { - "meta" : { - "globalKey" : "4d64ad85" + "paymentFrequency" : { + "periodMultiplier" : 6, + "period" : "M", + "meta" : { + "globalKey" : "107" + } }, - "payRelativeTo" : "CALCULATION_PERIOD_END_DATE", + "payRelativeTo" : "CalculationPeriodEndDate", "paymentDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", "businessCenters" : { "businessCenter" : [ { "value" : "EUTA" } ], "meta" : { - "externalKey" : "paymentBusinessCenters1", - "globalKey" : "20a71d" + "globalKey" : "20a71d", + "externalKey" : "paymentBusinessCenters1" } }, - "businessDayConvention" : "MODFOLLOWING", "meta" : { "globalKey" : "365baaee" } }, - "paymentFrequency" : { - "meta" : { - "globalKey" : "959" - }, - "period" : "M", - "periodMultiplier" : 6 - } - }, - "rateSpecification" : { - "floatingRate" : { - "meta" : { - "globalKey" : "0" - }, - "rateOption" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "rateOption-1" - } - } + "meta" : { + "globalKey" : "8f129421" } }, "resetDates" : { "calculationPeriodDatesReference" : { - "externalReference" : "CalcPeriodDates1", - "globalReference" : "c8353f30" + "globalReference" : "d6b3d162", + "externalReference" : "CalcPeriodDates1" }, + "resetRelativeTo" : "CalculationPeriodStartDate", "fixingDates" : { + "periodMultiplier" : -2, + "period" : "D", "meta" : { - "globalKey" : "2d80ce65" + "globalKey" : "a5cb919" }, - "period" : "D", - "periodMultiplier" : -2, - "dayType" : "BUSINESS", + "dayType" : "Business", + "businessDayConvention" : "NONE", "businessCenters" : { "businessCenter" : [ { "value" : "EUTA" } ], "meta" : { - "externalKey" : "fixingBusinessCenters0", - "globalKey" : "20a71d" + "globalKey" : "20a71d", + "externalKey" : "fixingBusinessCenters0" } }, - "businessDayConvention" : "NONE", "dateRelativeTo" : { - "externalReference" : "resetDates0", - "globalReference" : "3522cca9" + "globalReference" : "dbaefb1", + "externalReference" : "resetDates0" } }, - "meta" : { - "externalKey" : "resetDates0", - "globalKey" : "3522cca9" + "resetFrequency" : { + "periodMultiplier" : 6, + "period" : "M", + "meta" : { + "globalKey" : "107" + } }, "resetDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", "businessCenters" : { "businessCentersReference" : { - "externalReference" : "paymentBusinessCenters1", - "globalReference" : "20a71d" + "globalReference" : "20a71d", + "externalReference" : "paymentBusinessCenters1" }, "meta" : { "globalKey" : "e30c2739" } }, - "businessDayConvention" : "MODFOLLOWING", "meta" : { "globalKey" : "19472b0a" } }, - "resetFrequency" : { - "meta" : { - "globalKey" : "959" - }, - "period" : "M", - "periodMultiplier" : 6 - }, - "resetRelativeTo" : "CALCULATION_PERIOD_START_DATE" + "meta" : { + "globalKey" : "dbaefb1", + "externalKey" : "resetDates0" + } + }, + "meta" : { + "globalKey" : "ad0fb833" } } ], "meta" : { - "globalKey" : "893cb5bc" + "globalKey" : "2d8d4cfe" } } }, "meta" : { - "globalKey" : "893cb5bc" + "globalKey" : "2d8d4cfe" } }, "meta" : { - "globalKey" : "893cb5bc" + "globalKey" : "2d8d4cfe" } + }, + "meta" : { + "globalKey" : "a68544e3" } - } ] + } ], + "meta" : { + "globalKey" : "a68544e3" + } + }, + "calculationAgent" : { + "calculationAgentParty" : "CalculationAgentIndependent" } }, "meta" : { - "globalKey" : "6af856ed" + "globalKey" : "6693810d" } }, "meta" : { - "globalKey" : "6af856ed" + "globalKey" : "6693810d" } }, "tradeLot" : [ { "priceQuantity" : [ { - "meta" : { - "globalKey" : "7f30bbe5" - }, "price" : [ { - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-1" - } ] - }, "value" : { + "value" : 0.05, "unit" : { "currency" : { "value" : "EUR" } }, - "value" : 0.05, "perUnitOf" : { "currency" : { "value" : "EUR" } }, - "priceType" : "INTEREST_RATE" + "priceType" : "InterestRate" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-1" + } ] } } ], "quantity" : [ { + "value" : { + "value" : 100000000, + "unit" : { + "currency" : { + "value" : "EUR" + } + } + }, "meta" : { "location" : [ { "scope" : "DOCUMENT", "value" : "quantity-1" } ] - }, + } + } ], + "meta" : { + "globalKey" : "66e6c0bb" + } + }, { + "quantity" : [ { "value" : { + "value" : 100000000, "unit" : { "currency" : { "value" : "EUR" } - }, - "value" : 100000000 + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } ] } - } ] - }, { - "meta" : { - "globalKey" : "65d139a0" - }, + } ], "observable" : { - "meta" : { - "globalKey" : "bf589e11" - }, "rateOption" : { - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "rateOption-1" - } ] - }, "value" : { "floatingRateIndex" : { "value" : "EUR-EURIBOR-Telerate" }, "indexTenor" : { - "meta" : { - "globalKey" : "959" - }, + "periodMultiplier" : 6, "period" : "M", - "periodMultiplier" : 6 + "meta" : { + "globalKey" : "107" + } } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "rateOption-1" + } ] } - } - }, - "quantity" : [ { - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } ] }, - "value" : { - "unit" : { - "currency" : { - "value" : "EUR" - } - }, - "value" : 100000000 + "meta" : { + "globalKey" : "2bba2221" } - } ] + }, + "meta" : { + "globalKey" : "4820adb2" + } + } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "d4813763", + "externalReference" : "party1" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "d4813764", + "externalReference" : "party2" + } + } ], + "ancillaryParty" : [ { + "role" : "CalculationAgentIndependent", + "partyReference" : [ { + "globalReference" : "d4813764", + "externalReference" : "party2" } ] } ] }, - "tradeDate" : { + "party" : [ { + "partyId" : [ { + "identifier" : { + "value" : "party A", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/iso9362" + } + }, + "identifierType" : "BIC", + "meta" : { + "globalKey" : "d4813763" + } + } ], "meta" : { - "globalKey" : "3e821e" - }, - "value" : "2000-08-30" - }, - "tradeIdentifier" : [ { - "assignedIdentifier" : [ { + "globalKey" : "d4813763", + "externalKey" : "party1" + } + }, { + "partyId" : [ { "identifier" : { + "value" : "party B", "meta" : { - "scheme" : "http://www.partyA.com/trade-id" - }, - "value" : "123" + "scheme" : "http://www.fpml.org/coding-scheme/external/iso9362" + } }, - "version" : 1 + "identifierType" : "BIC", + "meta" : { + "globalKey" : "d4813764" + } } ], - "issuerReference" : { - "externalReference" : "party1", - "globalReference" : "d4813763" - }, "meta" : { - "globalKey" : "c783533e" + "globalKey" : "d4813764", + "externalKey" : "party2" } - } ] + } ], + "meta" : { + "globalKey" : "d7d6a69d" + } }, "transferHistory" : [ { - "meta" : { - "globalKey" : "5ac63039" - }, "transfer" : { - "payerReceiver" : { - "payerPartyReference" : { - "externalReference" : "party1", - "globalReference" : "d4813763" - }, - "receiverPartyReference" : { - "externalReference" : "party2", - "globalReference" : "d4813764" - } - }, "quantity" : { + "value" : 100000, "unit" : { "currency" : { "value" : "EUR" } + } + }, + "payerReceiver" : { + "payerPartyReference" : { + "globalReference" : "d4813763", + "externalReference" : "party1" }, - "value" : 100000 + "receiverPartyReference" : { + "globalReference" : "d4813764", + "externalReference" : "party2" + } }, "settlementDate" : { + "unadjustedDate" : "2000-08-30", "dateAdjustments" : { + "businessDayConvention" : "FOLLOWING", "businessCenters" : { "businessCenter" : [ { "value" : "EUTA" @@ -659,22 +655,26 @@ "globalKey" : "20a71d" } }, - "businessDayConvention" : "FOLLOWING", "meta" : { "globalKey" : "211dc30c" } - }, - "unadjustedDate" : "2000-08-30" + } }, "transferExpression" : { - "priceTransfer" : "PREMIUM" + "priceTransfer" : "Premium" } + }, + "meta" : { + "globalKey" : "dc25c051" } - } ] + } ], + "meta" : { + "globalKey" : "9d164dd4" + } } } } ], - "intent" : "CONTRACT_FORMATION", + "intent" : "ContractFormation", "eventDate" : "2000-08-30", "effectiveDate" : null } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/cdm-sample-files/functions/business-event/corporate-actions/corporate-actions-func-input.json b/rosetta-source/src/main/resources/cdm-sample-files/functions/business-event/corporate-actions/corporate-actions-func-input.json index 6d47668ccd..142957ae2b 100644 --- a/rosetta-source/src/main/resources/cdm-sample-files/functions/business-event/corporate-actions/corporate-actions-func-input.json +++ b/rosetta-source/src/main/resources/cdm-sample-files/functions/business-event/corporate-actions/corporate-actions-func-input.json @@ -1,87 +1,78 @@ { "instruction" : [ { - "before" : { - "value" : { - "meta" : { - "globalKey" : "d7afd15d" - }, - "trade" : { - "contractDetails" : { - "documentation" : [ { - "agreementDate" : "2009-01-01", - "legalAgreementIdentification" : { - "agreementName" : { - "agreementType" : "MASTER_CONFIRMATION", - "masterConfirmationType" : { - "value" : "ISDA_2007_EQUITY_EUROPEAN" + "primitiveInstruction" : { + "observation" : { + "observationEvent" : { + "corporateAction" : { + "corporateActionType" : "StockSplit", + "exDate" : "2009-02-01", + "payDate" : "2009-02-01", + "underlier" : { + "security" : { + "productIdentifier" : [ { + "value" : { + "identifier" : { + "value" : "VOLKSWAGEN AG VZO O.N." + }, + "source" : "Name", + "meta" : { + "globalKey" : "9a053a24" + } } - } + } ], + "securityType" : "Equity" }, "meta" : { - "globalKey" : "1f32caf8" + "globalKey" : "20fd9d21" } - } ], - "meta" : { - "globalKey" : "1f32caf8" } - }, - "meta" : { - "globalKey" : "d7afd15d" - }, - "party" : [ { - "meta" : { - "externalKey" : "partyA", - "globalKey" : "f5d99210" - }, - "name" : { - "value" : "Party 1234 Ltd" + } + } + } + }, + "before" : { + "value" : { + "trade" : { + "tradeIdentifier" : [ { + "issuerReference" : { + "globalReference" : "4666b900", + "externalReference" : "partyA" }, - "partyId" : [ { + "assignedIdentifier" : [ { "identifier" : { + "value" : "1147071", "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/dummy-party-id" - }, - "value" : "PARTY1234" - }, - "meta" : { - "globalKey" : "3ba25808" + "scheme" : "http://www.tradeIdScheme.com/tradeIdScheme" + } } - } ] - }, { + } ], "meta" : { - "externalKey" : "partyB", - "globalKey" : "b2a7210" - }, - "name" : { - "value" : "Party 5678 Ltd" + "globalKey" : "c27138c" + } + }, { + "issuerReference" : { + "globalReference" : "c79dbb00", + "externalReference" : "partyB" }, - "partyId" : [ { + "assignedIdentifier" : [ { "identifier" : { + "value" : "1147071", "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/dummy-party-id" - }, - "value" : "PARTY5678" - }, - "meta" : { - "globalKey" : "3ba43908" + "scheme" : "http://www.tradeIdScheme.com/tradeIdScheme" + } } - } ] + } ], + "meta" : { + "globalKey" : "c2787eb" + } } ], + "tradeDate" : { + "value" : "2009-01-19", + "meta" : { + "globalKey" : "3ec853" + } + }, "tradableProduct" : { - "adjustment" : "STANDARD", - "counterparty" : [ { - "partyReference" : { - "externalReference" : "partyA", - "globalReference" : "f5d99210" - }, - "role" : "PARTY_1" - }, { - "partyReference" : { - "externalReference" : "partyB", - "globalReference" : "b2a7210" - }, - "role" : "PARTY_2" - } ], "product" : { "contractualProduct" : { "productTaxonomy" : [ { @@ -91,7 +82,9 @@ "economicTerms" : { "effectiveDate" : { "adjustableDate" : { + "unadjustedDate" : "2009-01-19", "dateAdjustments" : { + "businessDayConvention" : "FOLLOWING", "businessCenters" : { "businessCenter" : [ { "value" : "DEFR" @@ -100,40 +93,89 @@ "globalKey" : "1ff50d" } }, - "businessDayConvention" : "FOLLOWING", "meta" : { "globalKey" : "211d10fc" } }, "meta" : { "globalKey" : "6e7d8489" + } + }, + "meta" : { + "globalKey" : "6e7d8489", + "externalKey" : "equityEffectiveDate" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2009-03-19", + "dateAdjustments" : { + "businessDayConvention" : "FOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "DEFR" + } ], + "meta" : { + "globalKey" : "1ff50d" + } + }, + "meta" : { + "globalKey" : "211d10fc" + } }, - "unadjustedDate" : "2009-01-19" + "meta" : { + "globalKey" : "48e9d409" + } }, "meta" : { - "externalKey" : "equityEffectiveDate", - "globalKey" : "6e7d8489" + "globalKey" : "48e9d409" } }, "payout" : { "interestRatePayout" : [ { "payerReceiver" : { - "payer" : "PARTY_1", - "receiver" : "PARTY_2" + "payer" : "Party1", + "receiver" : "Party2" }, "priceQuantity" : { + "quantityReference" : { + "globalReference" : "4cf", + "externalReference" : "equityNotionalAmount" + }, "meta" : { "globalKey" : "54b65ddd" - }, - "quantityReference" : { - "externalReference" : "equityNotionalAmount", - "globalReference" : "4cf" } }, + "rateSpecification" : { + "floatingRate" : { + "rateOption" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "rateOption-1" + } + }, + "spreadSchedule" : { + "price" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "price-1" + } + } + }, + "meta" : { + "globalKey" : "0" + } + } + }, + "dayCountFraction" : { + "value" : "ACT/360" + }, "calculationPeriodDates" : { "effectiveDate" : { "adjustableDate" : { + "unadjustedDate" : "2009-01-21", "dateAdjustments" : { + "businessDayConvention" : "FOLLOWING", "businessCenters" : { "businessCenter" : [ { "value" : "EUTA" @@ -142,28 +184,24 @@ "globalKey" : "20a71d" } }, - "businessDayConvention" : "FOLLOWING", "meta" : { "globalKey" : "211dc30c" } }, "meta" : { "globalKey" : "71e7e7d7" - }, - "unadjustedDate" : "2009-01-21" + } }, "meta" : { - "externalKey" : "interestEffectiveDate", - "globalKey" : "71e7e7d7" + "globalKey" : "71e7e7d7", + "externalKey" : "interestEffectiveDate" } }, - "meta" : { - "externalKey" : "interestCalcPeriodDates", - "globalKey" : "3048096c" - }, "terminationDate" : { "adjustableDate" : { + "unadjustedDate" : "2009-03-23", "dateAdjustments" : { + "businessDayConvention" : "FOLLOWING", "businessCenters" : { "businessCenter" : [ { "value" : "EUTA" @@ -172,132 +210,108 @@ "globalKey" : "20a71d" } }, - "businessDayConvention" : "FOLLOWING", "meta" : { "globalKey" : "211dc30c" } }, "meta" : { "globalKey" : "4fbde895" - }, - "unadjustedDate" : "2009-03-23" + } }, "meta" : { - "externalKey" : "interestTerminationDate", - "globalKey" : "4fbde895" + "globalKey" : "4fbde895", + "externalKey" : "interestTerminationDate" } + }, + "meta" : { + "globalKey" : "3048096c", + "externalKey" : "interestCalcPeriodDates" } }, - "dayCountFraction" : { - "value" : "ACT/360" - }, - "meta" : { - "globalKey" : "8eb3683c" - }, "paymentDates" : { - "meta" : { - "externalKey" : "interestLegPaymentDates", - "globalKey" : "b6b78bb2" - }, "paymentDateSchedule" : { "interimPaymentDates" : [ { - "meta" : { - "globalKey" : "b6b78bb2" - }, "periodicDates" : { - "endDate" : { - "meta" : { - "globalKey" : "97eae877" - }, + "startDate" : { "relativeDate" : { + "periodMultiplier" : 0, + "period" : "D", "meta" : { - "globalKey" : "97eae877" + "globalKey" : "df205212" }, - "period" : "D", - "periodMultiplier" : 0, - "businessDayConvention" : "NOT_APPLICABLE", + "businessDayConvention" : "NotApplicable", "dateRelativeTo" : { - "externalReference" : "interestTerminationDate", - "globalReference" : "4fbde895" + "globalReference" : "71e7e7d7", + "externalReference" : "interestEffectiveDate" } + }, + "meta" : { + "globalKey" : "df205212" } }, - "periodDatesAdjustments" : { - "businessCenters" : { - "businessCenter" : [ { - "value" : "EUTA" - } ], + "endDate" : { + "relativeDate" : { + "periodMultiplier" : 0, + "period" : "D", "meta" : { - "globalKey" : "20a71d" + "globalKey" : "944b936f" + }, + "businessDayConvention" : "NotApplicable", + "dateRelativeTo" : { + "globalReference" : "4fbde895", + "externalReference" : "interestTerminationDate" } }, - "businessDayConvention" : "FOLLOWING", "meta" : { - "globalKey" : "211dc30c" + "globalKey" : "944b936f" } }, "periodFrequency" : { + "periodMultiplier" : 1, + "period" : "M", "meta" : { - "globalKey" : "28bf3" + "globalKey" : "177db" }, - "period" : "M", - "periodMultiplier" : 1, "rollConvention" : "19" }, - "startDate" : { - "meta" : { - "globalKey" : "e2bfa71a" - }, - "relativeDate" : { + "periodDatesAdjustments" : { + "businessDayConvention" : "FOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "EUTA" + } ], "meta" : { - "globalKey" : "e2bfa71a" - }, - "period" : "D", - "periodMultiplier" : 0, - "businessDayConvention" : "NOT_APPLICABLE", - "dateRelativeTo" : { - "externalReference" : "interestEffectiveDate", - "globalReference" : "71e7e7d7" + "globalKey" : "20a71d" } + }, + "meta" : { + "globalKey" : "211dc30c" } } + }, + "meta" : { + "globalKey" : "5c33c394" } } ] - } - }, - "rateSpecification" : { - "floatingRate" : { - "meta" : { - "globalKey" : "0" - }, - "rateOption" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "rateOption-1" - } - }, - "spreadSchedule" : { - "price" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "price-1" - } - } - } + }, + "meta" : { + "globalKey" : "5c33c394", + "externalKey" : "interestLegPaymentDates" } }, "resetDates" : { "calculationPeriodDatesReference" : { - "externalReference" : "interestCalcPeriodDates", - "globalReference" : "3048096c" + "globalReference" : "3048096c", + "externalReference" : "interestCalcPeriodDates" }, "fixingDates" : { + "periodMultiplier" : -2, + "period" : "D", "meta" : { - "globalKey" : "36741a11" + "globalKey" : "135004c5" }, - "period" : "D", - "periodMultiplier" : -2, - "dayType" : "CURRENCY_BUSINESS", + "dayType" : "CurrencyBusiness", + "businessDayConvention" : "PRECEDING", "businessCenters" : { "businessCenter" : [ { "value" : "EUTA" @@ -306,73 +320,169 @@ "globalKey" : "20a71d" } }, - "businessDayConvention" : "PRECEDING", "dateRelativeTo" : { - "externalReference" : "interestLegPaymentDates", - "globalReference" : "b6b78bb2" + "globalReference" : "5c33c394", + "externalReference" : "interestLegPaymentDates" } }, - "meta" : { - "globalKey" : "5dd36e9e" - }, "resetFrequency" : { - "meta" : { - "globalKey" : "954" - }, + "periodMultiplier" : 1, "period" : "M", - "periodMultiplier" : 1 + "meta" : { + "globalKey" : "6c" + } + }, + "meta" : { + "globalKey" : "f9c90e82" } + }, + "meta" : { + "globalKey" : "d7b4424e" } } ], - "meta" : { - "globalKey" : "a0be6872" - }, "performancePayout" : [ { "payerReceiver" : { - "payer" : "PARTY_2", - "receiver" : "PARTY_1" + "payer" : "Party2", + "receiver" : "Party1" }, "priceQuantity" : { - "meta" : { - "externalKey" : "equityNotionalAmount", - "globalKey" : "4cf" - }, "quantitySchedule" : { "address" : { "scope" : "DOCUMENT", "value" : "quantity-1" } }, - "reset" : true + "reset" : true, + "meta" : { + "globalKey" : "4cf", + "externalKey" : "equityNotionalAmount" + } }, "settlementTerms" : { - "meta" : { - "globalKey" : "10da2" - }, "settlementCurrency" : { "value" : "EUR" + }, + "meta" : { + "globalKey" : "10da2" } }, - "meta" : { - "externalKey" : "returnLeg", - "globalKey" : "8d30d436" + "valuationDates" : { + "valuationDatesInterim" : { + "determinationMethod" : "ValuationTime", + "valuationDates" : { + "periodicDates" : { + "startDate" : { + "relativeDate" : { + "periodMultiplier" : 0, + "period" : "D", + "meta" : { + "globalKey" : "9229ce57" + }, + "businessDayConvention" : "NotApplicable", + "dateRelativeTo" : { + "globalReference" : "6e7d8489", + "externalReference" : "equityEffectiveDate" + } + }, + "meta" : { + "globalKey" : "9229ce57" + } + }, + "endDate" : { + "relativeDate" : { + "periodMultiplier" : 0, + "period" : "D", + "meta" : { + "globalKey" : "b635d2a0" + }, + "businessDayConvention" : "NotApplicable", + "dateRelativeTo" : { + "globalReference" : "48e9d409", + "externalReference" : "finalValuationDate" + } + }, + "meta" : { + "globalKey" : "b635d2a0" + } + }, + "periodFrequency" : { + "periodMultiplier" : 1, + "period" : "M", + "meta" : { + "globalKey" : "177db" + }, + "rollConvention" : "19" + }, + "periodDatesAdjustments" : { + "businessDayConvention" : "FOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "DEFR" + } ], + "meta" : { + "globalKey" : "1ff50d" + } + }, + "meta" : { + "globalKey" : "211d10fc" + } + } + }, + "meta" : { + "globalKey" : "1cc8abb8", + "externalKey" : "interimValuationDate" + } + }, + "valuationTimeType" : "AsSpecifiedInMasterConfirmation", + "meta" : { + "globalKey" : "105dba0f" + } + }, + "valuationDatesFinal" : { + "determinationMethod" : "HedgeExecution", + "valuationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2009-03-19", + "dateAdjustments" : { + "businessDayConvention" : "FOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "DEFR" + } ], + "meta" : { + "globalKey" : "1ff50d" + } + }, + "meta" : { + "globalKey" : "211d10fc" + } + }, + "meta" : { + "globalKey" : "48e9d409" + } + }, + "meta" : { + "globalKey" : "48e9d409", + "externalKey" : "finalValuationDate" + } + }, + "valuationTimeType" : "AsSpecifiedInMasterConfirmation", + "meta" : { + "globalKey" : "1e864b5f" + } + } }, "paymentDates" : { - "meta" : { - "globalKey" : "99224396" - }, "paymentDateSchedule" : { - "finalPaymentDate" : { - "meta" : { - "globalKey" : "815a0f35" - }, - "relativeDate" : { + "interimPaymentDates" : [ { + "relativeDates" : { + "periodMultiplier" : 2, + "period" : "D", "meta" : { - "globalKey" : "815a0f35" + "globalKey" : "24ad6927" }, - "period" : "D", - "periodMultiplier" : 2, - "dayType" : "CURRENCY_BUSINESS", + "dayType" : "CurrencyBusiness", + "businessDayConvention" : "FOLLOWING", "businessCenters" : { "businessCenter" : [ { "value" : "EUTA" @@ -381,24 +491,24 @@ "globalKey" : "20a71d" } }, - "businessDayConvention" : "FOLLOWING", "dateRelativeTo" : { - "externalReference" : "finalValuationDate", - "globalReference" : "48e9d409" + "globalReference" : "1cc8abb8", + "externalReference" : "interimValuationDate" } - } - }, - "interimPaymentDates" : [ { - "meta" : { - "globalKey" : "964475eb" }, - "relativeDates" : { + "meta" : { + "globalKey" : "24ad6927" + } + } ], + "finalPaymentDate" : { + "relativeDate" : { + "periodMultiplier" : 2, + "period" : "D", "meta" : { - "globalKey" : "964475eb" + "globalKey" : "fc30271" }, - "period" : "D", - "periodMultiplier" : 2, - "dayType" : "CURRENCY_BUSINESS", + "dayType" : "CurrencyBusiness", + "businessDayConvention" : "FOLLOWING", "businessCenters" : { "businessCenter" : [ { "value" : "EUTA" @@ -407,33 +517,18 @@ "globalKey" : "20a71d" } }, - "businessDayConvention" : "FOLLOWING", "dateRelativeTo" : { - "externalReference" : "interimValuationDate", - "globalReference" : "b5ba6138" - } - } - } ] - } - }, - "returnTerms" : { - "dividendReturnTerms" : { - "dividendPayoutRatio" : [ { - "cashRatio" : 1, - "nonCashRatio" : 1, - "totalRatio" : 1 - } ], - "dividendPeriod" : [ { - "dividendPaymentDate" : { - "dividendDateReference" : { - "dateReference" : "CASH_SETTLEMENT_PAYMENT_DATE" + "globalReference" : "48e9d409", + "externalReference" : "finalValuationDate" } + }, + "meta" : { + "globalKey" : "fc30271" } - } ], - "firstOrSecondPeriod" : "SECOND_PERIOD" + } }, - "priceReturnTerms" : { - "returnType" : "TOTAL" + "meta" : { + "globalKey" : "35da2aea" } }, "underlier" : { @@ -454,367 +549,272 @@ "globalKey" : "0" } }, - "valuationDates" : { - "valuationDatesFinal" : { - "determinationMethod" : "HEDGE_EXECUTION", - "meta" : { - "globalKey" : "1e864b5f" - }, - "valuationDate" : { - "adjustableDate" : { - "dateAdjustments" : { - "businessCenters" : { - "businessCenter" : [ { - "value" : "DEFR" - } ], - "meta" : { - "globalKey" : "1ff50d" - } - }, - "businessDayConvention" : "FOLLOWING", - "meta" : { - "globalKey" : "211d10fc" - } - }, - "meta" : { - "globalKey" : "48e9d409" - }, - "unadjustedDate" : "2009-03-19" - }, - "meta" : { - "externalKey" : "finalValuationDate", - "globalKey" : "48e9d409" - } - }, - "valuationTimeType" : "AS_SPECIFIED_IN_MASTER_CONFIRMATION" + "returnTerms" : { + "priceReturnTerms" : { + "returnType" : "Total" }, - "valuationDatesInterim" : { - "determinationMethod" : "VALUATION_TIME", - "meta" : { - "globalKey" : "a94f6f8f" - }, - "valuationDates" : { - "meta" : { - "externalKey" : "interimValuationDate", - "globalKey" : "b5ba6138" - }, - "periodicDates" : { - "endDate" : { - "meta" : { - "globalKey" : "b9d527a8" - }, - "relativeDate" : { - "meta" : { - "globalKey" : "b9d527a8" - }, - "period" : "D", - "periodMultiplier" : 0, - "businessDayConvention" : "NOT_APPLICABLE", - "dateRelativeTo" : { - "externalReference" : "finalValuationDate", - "globalReference" : "48e9d409" - } - } - }, - "periodDatesAdjustments" : { - "businessCenters" : { - "businessCenter" : [ { - "value" : "DEFR" - } ], - "meta" : { - "globalKey" : "1ff50d" - } - }, - "businessDayConvention" : "FOLLOWING", - "meta" : { - "globalKey" : "211d10fc" - } - }, - "periodFrequency" : { - "meta" : { - "globalKey" : "28bf3" - }, - "period" : "M", - "periodMultiplier" : 1, - "rollConvention" : "19" - }, - "startDate" : { - "meta" : { - "globalKey" : "95c9235f" - }, - "relativeDate" : { - "meta" : { - "globalKey" : "95c9235f" - }, - "period" : "D", - "periodMultiplier" : 0, - "businessDayConvention" : "NOT_APPLICABLE", - "dateRelativeTo" : { - "externalReference" : "equityEffectiveDate", - "globalReference" : "6e7d8489" - } - } + "dividendReturnTerms" : { + "dividendPayoutRatio" : [ { + "totalRatio" : 1, + "cashRatio" : 1, + "nonCashRatio" : 1 + } ], + "firstOrSecondPeriod" : "SecondPeriod", + "dividendPeriod" : [ { + "dividendPaymentDate" : { + "dividendDateReference" : { + "dateReference" : "CashSettlementPaymentDate" } } - }, - "valuationTimeType" : "AS_SPECIFIED_IN_MASTER_CONFIRMATION" - } - } - } ] - }, - "terminationDate" : { - "adjustableDate" : { - "dateAdjustments" : { - "businessCenters" : { - "businessCenter" : [ { - "value" : "DEFR" - } ], - "meta" : { - "globalKey" : "1ff50d" - } - }, - "businessDayConvention" : "FOLLOWING", - "meta" : { - "globalKey" : "211d10fc" + } ] } }, "meta" : { - "globalKey" : "48e9d409" - }, - "unadjustedDate" : "2009-03-19" - }, + "globalKey" : "18839304", + "externalKey" : "returnLeg" + } + } ], "meta" : { - "globalKey" : "48e9d409" + "globalKey" : "755fdb52" } } }, "meta" : { - "globalKey" : "5081388d" + "globalKey" : "f7d8a7b" } }, "meta" : { - "globalKey" : "5081388d" + "globalKey" : "f7d8a7b" } }, "tradeLot" : [ { "priceQuantity" : [ { - "meta" : { - "globalKey" : "a822a61e" - }, - "observable" : { - "meta" : { - "globalKey" : "affa401e" - }, - "rateOption" : { - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "rateOption-1" - } ] - }, - "value" : { - "floatingRateIndex" : { - "value" : "EUR-EURIBOR-Reuters" - }, - "indexTenor" : { - "meta" : { - "globalKey" : "954" - }, - "period" : "M", - "periodMultiplier" : 1 - } - } - } - }, "price" : [ { - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-1" - } ] - }, "value" : { + "value" : 0.0001234, "unit" : { "currency" : { "value" : "EUR" } }, - "value" : 0.0001234, - "arithmeticOperator" : "ADD", "perUnitOf" : { "currency" : { "value" : "EUR" } }, - "priceType" : "INTEREST_RATE" + "priceType" : "InterestRate", + "arithmeticOperator" : "Add" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-1" + } ] } - } ] - }, { - "meta" : { - "globalKey" : "c3f90ce8" - }, + } ], "observable" : { - "meta" : { - "globalKey" : "9cba2463" - }, - "productIdentifier" : [ { - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "productIdentifier-1" - } ] - }, + "rateOption" : { "value" : { - "identifier" : { - "meta" : { - "scheme" : "http://www.fpml.org/instrument-id" - }, - "value" : ".GDAXI" - }, - "meta" : { - "globalKey" : "3901e477" + "floatingRateIndex" : { + "value" : "EUR-EURIBOR-Reuters" }, - "source" : "OTHER" - } - }, { + "indexTenor" : { + "periodMultiplier" : 1, + "period" : "M", + "meta" : { + "globalKey" : "6c" + } + } + }, "meta" : { "location" : [ { "scope" : "DOCUMENT", - "value" : "productIdentifier-2" + "value" : "rateOption-1" } ] - }, - "value" : { - "identifier" : { - "value" : "GERMAN SE XETRA DAX INDEX" - }, - "meta" : { - "globalKey" : "811cd67a" - }, - "source" : "NAME" } - } ] + }, + "meta" : { + "globalKey" : "4f4caf8a" + } }, + "meta" : { + "globalKey" : "79106fb2" + } + }, { "price" : [ { - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-2" - } ] - }, "value" : { + "value" : 100, "unit" : { "currency" : { "value" : "EUR" } }, - "value" : 100, "perUnitOf" : { - "financialUnit" : "SHARE" + "financialUnit" : "Share" }, - "priceType" : "ASSET_PRICE" + "priceType" : "AssetPrice" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-2" + } ] } } ], "quantity" : [ { + "value" : { + "value" : 100000, + "unit" : { + "financialUnit" : "IndexUnit" + } + }, "meta" : { "location" : [ { "scope" : "DOCUMENT", "value" : "quantity-2" } ] - }, - "value" : { - "unit" : { - "financialUnit" : "INDEX_UNIT" - }, - "value" : 100000 } }, { + "value" : { + "value" : 10000000, + "unit" : { + "currency" : { + "value" : "EUR" + } + } + }, "meta" : { "location" : [ { "scope" : "DOCUMENT", "value" : "quantity-1" } ] - }, - "value" : { - "unit" : { - "currency" : { - "value" : "EUR" + } + } ], + "observable" : { + "productIdentifier" : [ { + "value" : { + "identifier" : { + "value" : ".GDAXI", + "meta" : { + "scheme" : "http://www.fpml.org/instrument-id" + } + }, + "source" : "Other", + "meta" : { + "globalKey" : "3901e477" + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "productIdentifier-1" + } ] + } + }, { + "value" : { + "identifier" : { + "value" : "GERMAN SE XETRA DAX INDEX" + }, + "source" : "Name", + "meta" : { + "globalKey" : "811cd67a" } }, - "value" : 10000000 + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "productIdentifier-2" + } ] + } + } ], + "meta" : { + "globalKey" : "fa8a67fd" } - } ] + }, + "meta" : { + "globalKey" : "9e17d168" + } } ] - } ] - }, - "tradeDate" : { - "meta" : { - "globalKey" : "3ec853" - }, - "value" : "2009-01-19" + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "4666b900", + "externalReference" : "partyA" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "c79dbb00", + "externalReference" : "partyB" + } + } ], + "adjustment" : "Standard" }, - "tradeIdentifier" : [ { - "assignedIdentifier" : [ { + "party" : [ { + "partyId" : [ { "identifier" : { + "value" : "PARTY1234", "meta" : { - "scheme" : "http://www.tradeIdScheme.com/tradeIdScheme" - }, - "value" : "1147071" + "scheme" : "http://www.fpml.org/coding-scheme/dummy-party-id" + } + }, + "meta" : { + "globalKey" : "3ba25808" } } ], - "issuerReference" : { - "externalReference" : "partyA", - "globalReference" : "f5d99210" + "name" : { + "value" : "Party 1234 Ltd" }, "meta" : { - "globalKey" : "273acbe2" + "globalKey" : "4666b900", + "externalKey" : "partyA" } }, { - "assignedIdentifier" : [ { + "partyId" : [ { "identifier" : { + "value" : "PARTY5678", "meta" : { - "scheme" : "http://www.tradeIdScheme.com/tradeIdScheme" - }, - "value" : "1147071" + "scheme" : "http://www.fpml.org/coding-scheme/dummy-party-id" + } + }, + "meta" : { + "globalKey" : "3ba43908" } } ], - "issuerReference" : { - "externalReference" : "partyB", - "globalReference" : "b2a7210" + "name" : { + "value" : "Party 5678 Ltd" }, "meta" : { - "globalKey" : "273acbe3" + "globalKey" : "c79dbb00", + "externalKey" : "partyB" } - } ] - } - } - }, - "primitiveInstruction" : { - "observation" : { - "observationEvent" : { - "corporateAction" : { - "corporateActionType" : "STOCK_SPLIT", - "exDate" : "2009-02-01", - "payDate" : "2009-02-01", - "underlier" : { - "meta" : { - "globalKey" : "20fd9d21" - }, - "security" : { - "productIdentifier" : [ { - "value" : { - "identifier" : { - "value" : "VOLKSWAGEN AG VZO O.N." - }, - "meta" : { - "globalKey" : "9a053a24" - }, - "source" : "NAME" + } ], + "contractDetails" : { + "documentation" : [ { + "agreementDate" : "2009-01-01", + "legalAgreementIdentification" : { + "agreementName" : { + "agreementType" : "MasterConfirmation", + "masterConfirmationType" : { + "value" : "ISDA2007EquityEuropean" } - } ], - "securityType" : "EQUITY" + } + }, + "meta" : { + "globalKey" : "1f32caf8" } + } ], + "meta" : { + "globalKey" : "1f32caf8" } + }, + "meta" : { + "globalKey" : "cea17313" } + }, + "meta" : { + "globalKey" : "cea17313" } } } diff --git a/rosetta-source/src/main/resources/cdm-sample-files/functions/business-event/corporate-actions/corporate-actions-obs-func-input.json b/rosetta-source/src/main/resources/cdm-sample-files/functions/business-event/corporate-actions/corporate-actions-obs-func-input.json index d094e90b7f..c9e31a98af 100644 --- a/rosetta-source/src/main/resources/cdm-sample-files/functions/business-event/corporate-actions/corporate-actions-obs-func-input.json +++ b/rosetta-source/src/main/resources/cdm-sample-files/functions/business-event/corporate-actions/corporate-actions-obs-func-input.json @@ -1,113 +1,78 @@ { "instruction" : [ { - "before" : { - "value" : { - "meta" : { - "globalKey" : "b52a264f" - }, - "observationHistory" : [ { + "primitiveInstruction" : { + "observation" : { + "observationEvent" : { "corporateAction" : { - "corporateActionType" : "STOCK_SPLIT", - "exDate" : "2009-02-01", - "payDate" : "2009-02-01", + "corporateActionType" : "CashDividend", + "exDate" : "2009-02-13", + "payDate" : "2009-02-13", "underlier" : { - "meta" : { - "globalKey" : "20fd9d21" - }, "security" : { "productIdentifier" : [ { "value" : { "identifier" : { "value" : "VOLKSWAGEN AG VZO O.N." }, + "source" : "Name", "meta" : { "globalKey" : "9a053a24" - }, - "source" : "NAME" + } } } ], - "securityType" : "EQUITY" + "securityType" : "Equity" + }, + "meta" : { + "globalKey" : "20fd9d21" } } } - } ], + } + } + }, + "before" : { + "value" : { "trade" : { - "contractDetails" : { - "documentation" : [ { - "agreementDate" : "2009-01-01", - "legalAgreementIdentification" : { - "agreementName" : { - "agreementType" : "MASTER_CONFIRMATION", - "masterConfirmationType" : { - "value" : "ISDA_2007_EQUITY_EUROPEAN" - } + "tradeIdentifier" : [ { + "issuerReference" : { + "globalReference" : "4666b900", + "externalReference" : "partyA" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "1147071", + "meta" : { + "scheme" : "http://www.tradeIdScheme.com/tradeIdScheme" } - }, - "meta" : { - "globalKey" : "1f32caf8" } } ], "meta" : { - "globalKey" : "1f32caf8" + "globalKey" : "c27138c" } - }, - "meta" : { - "globalKey" : "d7afd15d" - }, - "party" : [ { - "meta" : { - "externalKey" : "partyA", - "globalKey" : "f5d99210" - }, - "name" : { - "value" : "Party 1234 Ltd" - }, - "partyId" : [ { - "identifier" : { - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/dummy-party-id" - }, - "value" : "PARTY1234" - }, - "meta" : { - "globalKey" : "3ba25808" - } - } ] }, { - "meta" : { - "externalKey" : "partyB", - "globalKey" : "b2a7210" - }, - "name" : { - "value" : "Party 5678 Ltd" + "issuerReference" : { + "globalReference" : "c79dbb00", + "externalReference" : "partyB" }, - "partyId" : [ { + "assignedIdentifier" : [ { "identifier" : { + "value" : "1147071", "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/dummy-party-id" - }, - "value" : "PARTY5678" - }, - "meta" : { - "globalKey" : "3ba43908" + "scheme" : "http://www.tradeIdScheme.com/tradeIdScheme" + } } - } ] + } ], + "meta" : { + "globalKey" : "c2787eb" + } } ], + "tradeDate" : { + "value" : "2009-01-19", + "meta" : { + "globalKey" : "3ec853" + } + }, "tradableProduct" : { - "adjustment" : "STANDARD", - "counterparty" : [ { - "partyReference" : { - "externalReference" : "partyA", - "globalReference" : "f5d99210" - }, - "role" : "PARTY_1" - }, { - "partyReference" : { - "externalReference" : "partyB", - "globalReference" : "b2a7210" - }, - "role" : "PARTY_2" - } ], "product" : { "contractualProduct" : { "productTaxonomy" : [ { @@ -117,7 +82,9 @@ "economicTerms" : { "effectiveDate" : { "adjustableDate" : { + "unadjustedDate" : "2009-01-19", "dateAdjustments" : { + "businessDayConvention" : "FOLLOWING", "businessCenters" : { "businessCenter" : [ { "value" : "DEFR" @@ -126,40 +93,89 @@ "globalKey" : "1ff50d" } }, - "businessDayConvention" : "FOLLOWING", "meta" : { "globalKey" : "211d10fc" } }, "meta" : { "globalKey" : "6e7d8489" + } + }, + "meta" : { + "globalKey" : "6e7d8489", + "externalKey" : "equityEffectiveDate" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2009-03-19", + "dateAdjustments" : { + "businessDayConvention" : "FOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "DEFR" + } ], + "meta" : { + "globalKey" : "1ff50d" + } + }, + "meta" : { + "globalKey" : "211d10fc" + } }, - "unadjustedDate" : "2009-01-19" + "meta" : { + "globalKey" : "48e9d409" + } }, "meta" : { - "externalKey" : "equityEffectiveDate", - "globalKey" : "6e7d8489" + "globalKey" : "48e9d409" } }, "payout" : { "interestRatePayout" : [ { "payerReceiver" : { - "payer" : "PARTY_1", - "receiver" : "PARTY_2" + "payer" : "Party1", + "receiver" : "Party2" }, "priceQuantity" : { + "quantityReference" : { + "globalReference" : "4cf", + "externalReference" : "equityNotionalAmount" + }, "meta" : { "globalKey" : "54b65ddd" - }, - "quantityReference" : { - "externalReference" : "equityNotionalAmount", - "globalReference" : "4cf" } }, + "rateSpecification" : { + "floatingRate" : { + "rateOption" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "rateOption-1" + } + }, + "spreadSchedule" : { + "price" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "price-1" + } + } + }, + "meta" : { + "globalKey" : "0" + } + } + }, + "dayCountFraction" : { + "value" : "ACT/360" + }, "calculationPeriodDates" : { "effectiveDate" : { "adjustableDate" : { + "unadjustedDate" : "2009-01-21", "dateAdjustments" : { + "businessDayConvention" : "FOLLOWING", "businessCenters" : { "businessCenter" : [ { "value" : "EUTA" @@ -168,28 +184,24 @@ "globalKey" : "20a71d" } }, - "businessDayConvention" : "FOLLOWING", "meta" : { "globalKey" : "211dc30c" } }, "meta" : { "globalKey" : "71e7e7d7" - }, - "unadjustedDate" : "2009-01-21" + } }, "meta" : { - "externalKey" : "interestEffectiveDate", - "globalKey" : "71e7e7d7" + "globalKey" : "71e7e7d7", + "externalKey" : "interestEffectiveDate" } }, - "meta" : { - "externalKey" : "interestCalcPeriodDates", - "globalKey" : "3048096c" - }, "terminationDate" : { "adjustableDate" : { + "unadjustedDate" : "2009-03-23", "dateAdjustments" : { + "businessDayConvention" : "FOLLOWING", "businessCenters" : { "businessCenter" : [ { "value" : "EUTA" @@ -198,132 +210,108 @@ "globalKey" : "20a71d" } }, - "businessDayConvention" : "FOLLOWING", "meta" : { "globalKey" : "211dc30c" } }, "meta" : { "globalKey" : "4fbde895" - }, - "unadjustedDate" : "2009-03-23" + } }, "meta" : { - "externalKey" : "interestTerminationDate", - "globalKey" : "4fbde895" + "globalKey" : "4fbde895", + "externalKey" : "interestTerminationDate" } + }, + "meta" : { + "globalKey" : "3048096c", + "externalKey" : "interestCalcPeriodDates" } }, - "dayCountFraction" : { - "value" : "ACT/360" - }, - "meta" : { - "globalKey" : "8eb3683c" - }, "paymentDates" : { - "meta" : { - "externalKey" : "interestLegPaymentDates", - "globalKey" : "b6b78bb2" - }, "paymentDateSchedule" : { "interimPaymentDates" : [ { - "meta" : { - "globalKey" : "b6b78bb2" - }, "periodicDates" : { - "endDate" : { - "meta" : { - "globalKey" : "97eae877" - }, + "startDate" : { "relativeDate" : { + "periodMultiplier" : 0, + "period" : "D", "meta" : { - "globalKey" : "97eae877" + "globalKey" : "df205212" }, - "period" : "D", - "periodMultiplier" : 0, - "businessDayConvention" : "NOT_APPLICABLE", + "businessDayConvention" : "NotApplicable", "dateRelativeTo" : { - "externalReference" : "interestTerminationDate", - "globalReference" : "4fbde895" + "globalReference" : "71e7e7d7", + "externalReference" : "interestEffectiveDate" } + }, + "meta" : { + "globalKey" : "df205212" } }, - "periodDatesAdjustments" : { - "businessCenters" : { - "businessCenter" : [ { - "value" : "EUTA" - } ], + "endDate" : { + "relativeDate" : { + "periodMultiplier" : 0, + "period" : "D", "meta" : { - "globalKey" : "20a71d" + "globalKey" : "944b936f" + }, + "businessDayConvention" : "NotApplicable", + "dateRelativeTo" : { + "globalReference" : "4fbde895", + "externalReference" : "interestTerminationDate" } }, - "businessDayConvention" : "FOLLOWING", "meta" : { - "globalKey" : "211dc30c" + "globalKey" : "944b936f" } }, "periodFrequency" : { + "periodMultiplier" : 1, + "period" : "M", "meta" : { - "globalKey" : "28bf3" + "globalKey" : "177db" }, - "period" : "M", - "periodMultiplier" : 1, "rollConvention" : "19" }, - "startDate" : { - "meta" : { - "globalKey" : "e2bfa71a" - }, - "relativeDate" : { + "periodDatesAdjustments" : { + "businessDayConvention" : "FOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "EUTA" + } ], "meta" : { - "globalKey" : "e2bfa71a" - }, - "period" : "D", - "periodMultiplier" : 0, - "businessDayConvention" : "NOT_APPLICABLE", - "dateRelativeTo" : { - "externalReference" : "interestEffectiveDate", - "globalReference" : "71e7e7d7" + "globalKey" : "20a71d" } + }, + "meta" : { + "globalKey" : "211dc30c" } } + }, + "meta" : { + "globalKey" : "5c33c394" } } ] - } - }, - "rateSpecification" : { - "floatingRate" : { - "meta" : { - "globalKey" : "0" - }, - "rateOption" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "rateOption-1" - } - }, - "spreadSchedule" : { - "price" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "price-1" - } - } - } + }, + "meta" : { + "globalKey" : "5c33c394", + "externalKey" : "interestLegPaymentDates" } }, "resetDates" : { "calculationPeriodDatesReference" : { - "externalReference" : "interestCalcPeriodDates", - "globalReference" : "3048096c" + "globalReference" : "3048096c", + "externalReference" : "interestCalcPeriodDates" }, "fixingDates" : { + "periodMultiplier" : -2, + "period" : "D", "meta" : { - "globalKey" : "36741a11" + "globalKey" : "135004c5" }, - "period" : "D", - "periodMultiplier" : -2, - "dayType" : "CURRENCY_BUSINESS", + "dayType" : "CurrencyBusiness", + "businessDayConvention" : "PRECEDING", "businessCenters" : { "businessCenter" : [ { "value" : "EUTA" @@ -332,73 +320,169 @@ "globalKey" : "20a71d" } }, - "businessDayConvention" : "PRECEDING", "dateRelativeTo" : { - "externalReference" : "interestLegPaymentDates", - "globalReference" : "b6b78bb2" + "globalReference" : "5c33c394", + "externalReference" : "interestLegPaymentDates" } }, - "meta" : { - "globalKey" : "5dd36e9e" - }, "resetFrequency" : { - "meta" : { - "globalKey" : "954" - }, + "periodMultiplier" : 1, "period" : "M", - "periodMultiplier" : 1 + "meta" : { + "globalKey" : "6c" + } + }, + "meta" : { + "globalKey" : "f9c90e82" } + }, + "meta" : { + "globalKey" : "d7b4424e" } } ], - "meta" : { - "globalKey" : "a0be6872" - }, "performancePayout" : [ { "payerReceiver" : { - "payer" : "PARTY_2", - "receiver" : "PARTY_1" + "payer" : "Party2", + "receiver" : "Party1" }, "priceQuantity" : { - "meta" : { - "externalKey" : "equityNotionalAmount", - "globalKey" : "4cf" - }, "quantitySchedule" : { "address" : { "scope" : "DOCUMENT", "value" : "quantity-1" } }, - "reset" : true + "reset" : true, + "meta" : { + "globalKey" : "4cf", + "externalKey" : "equityNotionalAmount" + } }, "settlementTerms" : { - "meta" : { - "globalKey" : "10da2" - }, "settlementCurrency" : { "value" : "EUR" + }, + "meta" : { + "globalKey" : "10da2" } }, - "meta" : { - "externalKey" : "returnLeg", - "globalKey" : "8d30d436" + "valuationDates" : { + "valuationDatesInterim" : { + "determinationMethod" : "ValuationTime", + "valuationDates" : { + "periodicDates" : { + "startDate" : { + "relativeDate" : { + "periodMultiplier" : 0, + "period" : "D", + "meta" : { + "globalKey" : "9229ce57" + }, + "businessDayConvention" : "NotApplicable", + "dateRelativeTo" : { + "globalReference" : "6e7d8489", + "externalReference" : "equityEffectiveDate" + } + }, + "meta" : { + "globalKey" : "9229ce57" + } + }, + "endDate" : { + "relativeDate" : { + "periodMultiplier" : 0, + "period" : "D", + "meta" : { + "globalKey" : "b635d2a0" + }, + "businessDayConvention" : "NotApplicable", + "dateRelativeTo" : { + "globalReference" : "48e9d409", + "externalReference" : "finalValuationDate" + } + }, + "meta" : { + "globalKey" : "b635d2a0" + } + }, + "periodFrequency" : { + "periodMultiplier" : 1, + "period" : "M", + "meta" : { + "globalKey" : "177db" + }, + "rollConvention" : "19" + }, + "periodDatesAdjustments" : { + "businessDayConvention" : "FOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "DEFR" + } ], + "meta" : { + "globalKey" : "1ff50d" + } + }, + "meta" : { + "globalKey" : "211d10fc" + } + } + }, + "meta" : { + "globalKey" : "1cc8abb8", + "externalKey" : "interimValuationDate" + } + }, + "valuationTimeType" : "AsSpecifiedInMasterConfirmation", + "meta" : { + "globalKey" : "105dba0f" + } + }, + "valuationDatesFinal" : { + "determinationMethod" : "HedgeExecution", + "valuationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2009-03-19", + "dateAdjustments" : { + "businessDayConvention" : "FOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "DEFR" + } ], + "meta" : { + "globalKey" : "1ff50d" + } + }, + "meta" : { + "globalKey" : "211d10fc" + } + }, + "meta" : { + "globalKey" : "48e9d409" + } + }, + "meta" : { + "globalKey" : "48e9d409", + "externalKey" : "finalValuationDate" + } + }, + "valuationTimeType" : "AsSpecifiedInMasterConfirmation", + "meta" : { + "globalKey" : "1e864b5f" + } + } }, "paymentDates" : { - "meta" : { - "globalKey" : "99224396" - }, "paymentDateSchedule" : { - "finalPaymentDate" : { - "meta" : { - "globalKey" : "815a0f35" - }, - "relativeDate" : { + "interimPaymentDates" : [ { + "relativeDates" : { + "periodMultiplier" : 2, + "period" : "D", "meta" : { - "globalKey" : "815a0f35" + "globalKey" : "24ad6927" }, - "period" : "D", - "periodMultiplier" : 2, - "dayType" : "CURRENCY_BUSINESS", + "dayType" : "CurrencyBusiness", + "businessDayConvention" : "FOLLOWING", "businessCenters" : { "businessCenter" : [ { "value" : "EUTA" @@ -407,24 +491,24 @@ "globalKey" : "20a71d" } }, - "businessDayConvention" : "FOLLOWING", "dateRelativeTo" : { - "externalReference" : "finalValuationDate", - "globalReference" : "48e9d409" + "globalReference" : "1cc8abb8", + "externalReference" : "interimValuationDate" } - } - }, - "interimPaymentDates" : [ { - "meta" : { - "globalKey" : "964475eb" }, - "relativeDates" : { + "meta" : { + "globalKey" : "24ad6927" + } + } ], + "finalPaymentDate" : { + "relativeDate" : { + "periodMultiplier" : 2, + "period" : "D", "meta" : { - "globalKey" : "964475eb" + "globalKey" : "fc30271" }, - "period" : "D", - "periodMultiplier" : 2, - "dayType" : "CURRENCY_BUSINESS", + "dayType" : "CurrencyBusiness", + "businessDayConvention" : "FOLLOWING", "businessCenters" : { "businessCenter" : [ { "value" : "EUTA" @@ -433,33 +517,18 @@ "globalKey" : "20a71d" } }, - "businessDayConvention" : "FOLLOWING", "dateRelativeTo" : { - "externalReference" : "interimValuationDate", - "globalReference" : "b5ba6138" - } - } - } ] - } - }, - "returnTerms" : { - "dividendReturnTerms" : { - "dividendPayoutRatio" : [ { - "cashRatio" : 1, - "nonCashRatio" : 1, - "totalRatio" : 1 - } ], - "dividendPeriod" : [ { - "dividendPaymentDate" : { - "dividendDateReference" : { - "dateReference" : "CASH_SETTLEMENT_PAYMENT_DATE" + "globalReference" : "48e9d409", + "externalReference" : "finalValuationDate" } + }, + "meta" : { + "globalKey" : "fc30271" } - } ], - "firstOrSecondPeriod" : "SECOND_PERIOD" + } }, - "priceReturnTerms" : { - "returnType" : "TOTAL" + "meta" : { + "globalKey" : "35da2aea" } }, "underlier" : { @@ -480,367 +549,298 @@ "globalKey" : "0" } }, - "valuationDates" : { - "valuationDatesFinal" : { - "determinationMethod" : "HEDGE_EXECUTION", - "meta" : { - "globalKey" : "1e864b5f" - }, - "valuationDate" : { - "adjustableDate" : { - "dateAdjustments" : { - "businessCenters" : { - "businessCenter" : [ { - "value" : "DEFR" - } ], - "meta" : { - "globalKey" : "1ff50d" - } - }, - "businessDayConvention" : "FOLLOWING", - "meta" : { - "globalKey" : "211d10fc" - } - }, - "meta" : { - "globalKey" : "48e9d409" - }, - "unadjustedDate" : "2009-03-19" - }, - "meta" : { - "externalKey" : "finalValuationDate", - "globalKey" : "48e9d409" - } - }, - "valuationTimeType" : "AS_SPECIFIED_IN_MASTER_CONFIRMATION" + "returnTerms" : { + "priceReturnTerms" : { + "returnType" : "Total" }, - "valuationDatesInterim" : { - "determinationMethod" : "VALUATION_TIME", - "meta" : { - "globalKey" : "a94f6f8f" - }, - "valuationDates" : { - "meta" : { - "externalKey" : "interimValuationDate", - "globalKey" : "b5ba6138" - }, - "periodicDates" : { - "endDate" : { - "meta" : { - "globalKey" : "b9d527a8" - }, - "relativeDate" : { - "meta" : { - "globalKey" : "b9d527a8" - }, - "period" : "D", - "periodMultiplier" : 0, - "businessDayConvention" : "NOT_APPLICABLE", - "dateRelativeTo" : { - "externalReference" : "finalValuationDate", - "globalReference" : "48e9d409" - } - } - }, - "periodDatesAdjustments" : { - "businessCenters" : { - "businessCenter" : [ { - "value" : "DEFR" - } ], - "meta" : { - "globalKey" : "1ff50d" - } - }, - "businessDayConvention" : "FOLLOWING", - "meta" : { - "globalKey" : "211d10fc" - } - }, - "periodFrequency" : { - "meta" : { - "globalKey" : "28bf3" - }, - "period" : "M", - "periodMultiplier" : 1, - "rollConvention" : "19" - }, - "startDate" : { - "meta" : { - "globalKey" : "95c9235f" - }, - "relativeDate" : { - "meta" : { - "globalKey" : "95c9235f" - }, - "period" : "D", - "periodMultiplier" : 0, - "businessDayConvention" : "NOT_APPLICABLE", - "dateRelativeTo" : { - "externalReference" : "equityEffectiveDate", - "globalReference" : "6e7d8489" - } - } + "dividendReturnTerms" : { + "dividendPayoutRatio" : [ { + "totalRatio" : 1, + "cashRatio" : 1, + "nonCashRatio" : 1 + } ], + "firstOrSecondPeriod" : "SecondPeriod", + "dividendPeriod" : [ { + "dividendPaymentDate" : { + "dividendDateReference" : { + "dateReference" : "CashSettlementPaymentDate" } } - }, - "valuationTimeType" : "AS_SPECIFIED_IN_MASTER_CONFIRMATION" - } - } - } ] - }, - "terminationDate" : { - "adjustableDate" : { - "dateAdjustments" : { - "businessCenters" : { - "businessCenter" : [ { - "value" : "DEFR" - } ], - "meta" : { - "globalKey" : "1ff50d" - } - }, - "businessDayConvention" : "FOLLOWING", - "meta" : { - "globalKey" : "211d10fc" + } ] } }, "meta" : { - "globalKey" : "48e9d409" - }, - "unadjustedDate" : "2009-03-19" - }, + "globalKey" : "18839304", + "externalKey" : "returnLeg" + } + } ], "meta" : { - "globalKey" : "48e9d409" + "globalKey" : "755fdb52" } } }, "meta" : { - "globalKey" : "5081388d" + "globalKey" : "f7d8a7b" } }, "meta" : { - "globalKey" : "5081388d" + "globalKey" : "f7d8a7b" } }, "tradeLot" : [ { "priceQuantity" : [ { - "meta" : { - "globalKey" : "a822a61e" - }, - "observable" : { - "meta" : { - "globalKey" : "affa401e" - }, - "rateOption" : { - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "rateOption-1" - } ] - }, - "value" : { - "floatingRateIndex" : { - "value" : "EUR-EURIBOR-Reuters" - }, - "indexTenor" : { - "meta" : { - "globalKey" : "954" - }, - "period" : "M", - "periodMultiplier" : 1 - } - } - } - }, "price" : [ { - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-1" - } ] - }, "value" : { + "value" : 0.0001234, "unit" : { "currency" : { "value" : "EUR" } }, - "value" : 0.0001234, - "arithmeticOperator" : "ADD", "perUnitOf" : { "currency" : { "value" : "EUR" } }, - "priceType" : "INTEREST_RATE" + "priceType" : "InterestRate", + "arithmeticOperator" : "Add" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-1" + } ] } - } ] - }, { - "meta" : { - "globalKey" : "c3f90ce8" - }, + } ], "observable" : { - "meta" : { - "globalKey" : "9cba2463" - }, - "productIdentifier" : [ { - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "productIdentifier-1" - } ] - }, + "rateOption" : { "value" : { - "identifier" : { - "meta" : { - "scheme" : "http://www.fpml.org/instrument-id" - }, - "value" : ".GDAXI" - }, - "meta" : { - "globalKey" : "3901e477" + "floatingRateIndex" : { + "value" : "EUR-EURIBOR-Reuters" }, - "source" : "OTHER" - } - }, { + "indexTenor" : { + "periodMultiplier" : 1, + "period" : "M", + "meta" : { + "globalKey" : "6c" + } + } + }, "meta" : { "location" : [ { "scope" : "DOCUMENT", - "value" : "productIdentifier-2" + "value" : "rateOption-1" } ] - }, - "value" : { - "identifier" : { - "value" : "GERMAN SE XETRA DAX INDEX" - }, - "meta" : { - "globalKey" : "811cd67a" - }, - "source" : "NAME" } - } ] + }, + "meta" : { + "globalKey" : "4f4caf8a" + } }, + "meta" : { + "globalKey" : "79106fb2" + } + }, { "price" : [ { - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-2" - } ] - }, "value" : { + "value" : 100, "unit" : { "currency" : { "value" : "EUR" } }, - "value" : 100, "perUnitOf" : { - "financialUnit" : "SHARE" + "financialUnit" : "Share" }, - "priceType" : "ASSET_PRICE" + "priceType" : "AssetPrice" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-2" + } ] } } ], "quantity" : [ { + "value" : { + "value" : 100000, + "unit" : { + "financialUnit" : "IndexUnit" + } + }, "meta" : { "location" : [ { "scope" : "DOCUMENT", "value" : "quantity-2" } ] - }, - "value" : { - "unit" : { - "financialUnit" : "INDEX_UNIT" - }, - "value" : 100000 } }, { + "value" : { + "value" : 10000000, + "unit" : { + "currency" : { + "value" : "EUR" + } + } + }, "meta" : { "location" : [ { "scope" : "DOCUMENT", "value" : "quantity-1" } ] - }, - "value" : { - "unit" : { - "currency" : { - "value" : "EUR" + } + } ], + "observable" : { + "productIdentifier" : [ { + "value" : { + "identifier" : { + "value" : ".GDAXI", + "meta" : { + "scheme" : "http://www.fpml.org/instrument-id" + } + }, + "source" : "Other", + "meta" : { + "globalKey" : "3901e477" + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "productIdentifier-1" + } ] + } + }, { + "value" : { + "identifier" : { + "value" : "GERMAN SE XETRA DAX INDEX" + }, + "source" : "Name", + "meta" : { + "globalKey" : "811cd67a" } }, - "value" : 10000000 + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "productIdentifier-2" + } ] + } + } ], + "meta" : { + "globalKey" : "fa8a67fd" } - } ] + }, + "meta" : { + "globalKey" : "9e17d168" + } } ] - } ] - }, - "tradeDate" : { - "meta" : { - "globalKey" : "3ec853" - }, - "value" : "2009-01-19" + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "4666b900", + "externalReference" : "partyA" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "c79dbb00", + "externalReference" : "partyB" + } + } ], + "adjustment" : "Standard" }, - "tradeIdentifier" : [ { - "assignedIdentifier" : [ { + "party" : [ { + "partyId" : [ { "identifier" : { + "value" : "PARTY1234", "meta" : { - "scheme" : "http://www.tradeIdScheme.com/tradeIdScheme" - }, - "value" : "1147071" + "scheme" : "http://www.fpml.org/coding-scheme/dummy-party-id" + } + }, + "meta" : { + "globalKey" : "3ba25808" } } ], - "issuerReference" : { - "externalReference" : "partyA", - "globalReference" : "f5d99210" + "name" : { + "value" : "Party 1234 Ltd" }, "meta" : { - "globalKey" : "273acbe2" + "globalKey" : "4666b900", + "externalKey" : "partyA" } }, { - "assignedIdentifier" : [ { + "partyId" : [ { "identifier" : { + "value" : "PARTY5678", "meta" : { - "scheme" : "http://www.tradeIdScheme.com/tradeIdScheme" - }, - "value" : "1147071" + "scheme" : "http://www.fpml.org/coding-scheme/dummy-party-id" + } + }, + "meta" : { + "globalKey" : "3ba43908" } } ], - "issuerReference" : { - "externalReference" : "partyB", - "globalReference" : "b2a7210" + "name" : { + "value" : "Party 5678 Ltd" }, "meta" : { - "globalKey" : "273acbe3" + "globalKey" : "c79dbb00", + "externalKey" : "partyB" } - } ] - } - } - }, - "primitiveInstruction" : { - "observation" : { - "observationEvent" : { + } ], + "contractDetails" : { + "documentation" : [ { + "agreementDate" : "2009-01-01", + "legalAgreementIdentification" : { + "agreementName" : { + "agreementType" : "MasterConfirmation", + "masterConfirmationType" : { + "value" : "ISDA2007EquityEuropean" + } + } + }, + "meta" : { + "globalKey" : "1f32caf8" + } + } ], + "meta" : { + "globalKey" : "1f32caf8" + } + }, + "meta" : { + "globalKey" : "cea17313" + } + }, + "observationHistory" : [ { "corporateAction" : { - "corporateActionType" : "CASH_DIVIDEND", - "exDate" : "2009-02-13", - "payDate" : "2009-02-13", + "corporateActionType" : "StockSplit", + "exDate" : "2009-02-01", + "payDate" : "2009-02-01", "underlier" : { - "meta" : { - "globalKey" : "20fd9d21" - }, "security" : { "productIdentifier" : [ { "value" : { "identifier" : { "value" : "VOLKSWAGEN AG VZO O.N." }, + "source" : "Name", "meta" : { "globalKey" : "9a053a24" - }, - "source" : "NAME" + } } } ], - "securityType" : "EQUITY" + "securityType" : "Equity" + }, + "meta" : { + "globalKey" : "20fd9d21" } } } + } ], + "meta" : { + "globalKey" : "1dc0cc3f" } } } diff --git a/rosetta-source/src/main/resources/cdm-sample-files/functions/business-event/credit-event/credit-event-func-input.json b/rosetta-source/src/main/resources/cdm-sample-files/functions/business-event/credit-event/credit-event-func-input.json index d5a0e745f9..4fdede2c23 100644 --- a/rosetta-source/src/main/resources/cdm-sample-files/functions/business-event/credit-event/credit-event-func-input.json +++ b/rosetta-source/src/main/resources/cdm-sample-files/functions/business-event/credit-event/credit-event-func-input.json @@ -1,88 +1,60 @@ { "instruction" : [ { + "primitiveInstruction" : { + "observation" : { + "observationEvent" : { + "creditEvent" : { + "creditEventType" : "Bankruptcy", + "eventDeterminationDate" : "2022-02-04", + "auctionDate" : "2022-03-03", + "referenceInformation" : { + "referenceEntity" : { + "entityId" : [ { + "value" : "UE2136O97NLB5BYP9H04" + } ], + "name" : { + "value" : "McDonald's Corporation" + }, + "meta" : { + "globalKey" : "17442720" + } + }, + "noReferenceObligation" : true + } + } + } + } + }, "before" : { "value" : { - "meta" : { - "globalKey" : "7d4b406" - }, "trade" : { - "contractDetails" : { - "documentation" : [ { - "agreementDate" : "2004-10-18", - "legalAgreementIdentification" : { - "agreementName" : { - "agreementType" : "MASTER_CONFIRMATION", - "masterConfirmationType" : { - "value" : "DJ.CDX.NA" - } - } - }, + "tradeIdentifier" : [ { + "issuer" : { + "value" : "1031234567", "meta" : { - "globalKey" : "ae7fb3d4" + "scheme" : "http://www.fpml.org/coding-scheme/external/nsa/cftc" } - } ], - "meta" : { - "globalKey" : "ae7fb3d4" - } - }, - "meta" : { - "globalKey" : "fbc7ed4" - }, - "party" : [ { - "meta" : { - "externalKey" : "party1", - "globalKey" : "7cec034c" - }, - "name" : { - "value" : "Party A" }, - "partyId" : [ { + "assignedIdentifier" : [ { "identifier" : { + "value" : "56323", "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/iso17442" - }, - "value" : "54930084UKLVMY22DS16" - }, - "identifierType" : "LEI", - "meta" : { - "globalKey" : "121d7965" + "scheme" : "http://www.fpml.org/coding-scheme/external/uti" + } } - } ] - }, { + } ], "meta" : { - "externalKey" : "party2", - "globalKey" : "490e5f44" - }, - "name" : { - "value" : "Party B" + "globalKey" : "1ecdb5a5" }, - "partyId" : [ { - "identifier" : { - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/iso17442" - }, - "value" : "48750084UKLVTR22DS78" - }, - "identifierType" : "LEI", - "meta" : { - "globalKey" : "de31bddc" - } - } ] + "identifierType" : "UniqueTransactionIdentifier" } ], + "tradeDate" : { + "value" : "2005-01-24", + "meta" : { + "globalKey" : "3ea858" + } + }, "tradableProduct" : { - "counterparty" : [ { - "partyReference" : { - "externalReference" : "party2", - "globalReference" : "490e5f44" - }, - "role" : "PARTY_1" - }, { - "partyReference" : { - "externalReference" : "party1", - "globalReference" : "7cec034c" - }, - "role" : "PARTY_2" - } ], "product" : { "contractualProduct" : { "productTaxonomy" : [ { @@ -92,239 +64,267 @@ "economicTerms" : { "effectiveDate" : { "adjustableDate" : { + "unadjustedDate" : "2004-03-23", "meta" : { "globalKey" : "3ea0d7" - }, - "unadjustedDate" : "2004-03-23" + } }, "meta" : { "globalKey" : "3ea0d7" } }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2009-03-20", + "meta" : { + "globalKey" : "3ec8d4" + } + }, + "meta" : { + "globalKey" : "3ec8d4" + } + }, "payout" : { - "creditDefaultPayout" : { + "interestRatePayout" : [ { "payerReceiver" : { - "payer" : "PARTY_1", - "receiver" : "PARTY_2" + "payer" : "Party2", + "receiver" : "Party1" }, "priceQuantity" : { - "meta" : { - "globalKey" : "0" - }, "quantitySchedule" : { "address" : { "scope" : "DOCUMENT", "value" : "quantity-1" } + }, + "meta" : { + "globalKey" : "0" } }, - "generalTerms" : { - "indexReferenceInformation" : { - "indexName" : { - "value" : "Dow Jones CDX NA IG.2" - }, - "indexAnnexDate" : "2004-07-06", - "indexAnnexSource" : { - "value" : "PUBLISHER" + "rateSpecification" : { + "fixedRate" : { + "rateSchedule" : { + "price" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "price-1" + } + } }, - "indexSeries" : 2, "meta" : { - "globalKey" : "92a91d81" + "globalKey" : "0" } } }, "meta" : { - "globalKey" : "c762cfa0" + "globalKey" : "5a5ff79f" } - }, - "interestRatePayout" : [ { + } ], + "creditDefaultPayout" : { "payerReceiver" : { - "payer" : "PARTY_2", - "receiver" : "PARTY_1" + "payer" : "Party1", + "receiver" : "Party2" }, "priceQuantity" : { - "meta" : { - "globalKey" : "0" - }, "quantitySchedule" : { "address" : { "scope" : "DOCUMENT", "value" : "quantity-1" } + }, + "meta" : { + "globalKey" : "0" } }, - "meta" : { - "globalKey" : "5a5ff79f" - }, - "rateSpecification" : { - "fixedRate" : { - "meta" : { - "globalKey" : "0" + "generalTerms" : { + "indexReferenceInformation" : { + "indexName" : { + "value" : "Dow Jones CDX NA IG.2" }, - "rateSchedule" : { - "price" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "price-1" - } - } + "indexSeries" : 2, + "indexAnnexDate" : "2004-07-06", + "indexAnnexSource" : { + "value" : "Publisher" + }, + "meta" : { + "globalKey" : "53b8689" } } - } - } ], - "meta" : { - "globalKey" : "a049273f" - } - }, - "terminationDate" : { - "adjustableDate" : { - "meta" : { - "globalKey" : "3ec8d4" }, - "unadjustedDate" : "2009-03-20" + "meta" : { + "globalKey" : "39f538a8" + } }, "meta" : { - "globalKey" : "3ec8d4" + "globalKey" : "383edb69" } } }, "meta" : { - "globalKey" : "2933c1d7" + "globalKey" : "ed169df" } }, "meta" : { - "globalKey" : "2933c1d7" + "globalKey" : "ed169df" } }, "tradeLot" : [ { "priceQuantity" : [ { - "meta" : { - "globalKey" : "56a5905f" - }, "price" : [ { - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-1" - } ] - }, "value" : { + "value" : 0.0060, "unit" : { "currency" : { "value" : "USD" } }, - "value" : 0.0060, "perUnitOf" : { "currency" : { "value" : "USD" } }, - "priceType" : "INTEREST_RATE" - } - } ] - }, { - "meta" : { - "globalKey" : "2ebbcc83" - }, - "quantity" : [ { + "priceType" : "InterestRate" + }, "meta" : { "location" : [ { "scope" : "DOCUMENT", - "value" : "quantity-1" + "value" : "price-1" } ] - }, + } + } ], + "meta" : { + "globalKey" : "7e0c7b81" + } + }, { + "quantity" : [ { "value" : { + "value" : 25000000, "unit" : { "currency" : { "value" : "USD" } - }, - "value" : 25000000 + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] } - } ] + } ], + "meta" : { + "globalKey" : "a8bdc3dd" + } } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "4caf4c44", + "externalReference" : "party2" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "349a498c", + "externalReference" : "party1" + } } ] }, - "tradeDate" : { - "meta" : { - "globalKey" : "3ea858" - }, - "value" : "2005-01-24" - }, - "tradeIdentifier" : [ { - "assignedIdentifier" : [ { + "party" : [ { + "partyId" : [ { "identifier" : { + "value" : "54930084UKLVMY22DS16", "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/uti" - }, - "value" : "56323" + "scheme" : "http://www.fpml.org/coding-scheme/external/iso17442" + } + }, + "identifierType" : "LEI", + "meta" : { + "globalKey" : "121d7965" } } ], - "issuer" : { - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/nsa/cftc" - }, - "value" : "1031234567" + "name" : { + "value" : "Party A" }, "meta" : { - "globalKey" : "84d7eae5" + "globalKey" : "349a498c", + "externalKey" : "party1" + } + }, { + "partyId" : [ { + "identifier" : { + "value" : "48750084UKLVTR22DS78", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/iso17442" + } + }, + "identifierType" : "LEI", + "meta" : { + "globalKey" : "de31bddc" + } + } ], + "name" : { + "value" : "Party B" }, - "identifierType" : "UNIQUE_TRANSACTION_IDENTIFIER" - } ] + "meta" : { + "globalKey" : "4caf4c44", + "externalKey" : "party2" + } + } ], + "contractDetails" : { + "documentation" : [ { + "agreementDate" : "2004-10-18", + "legalAgreementIdentification" : { + "agreementName" : { + "agreementType" : "MasterConfirmation", + "masterConfirmationType" : { + "value" : "DJ.CDX.NA" + } + } + }, + "meta" : { + "globalKey" : "ae7fb3d4" + } + } ], + "meta" : { + "globalKey" : "ae7fb3d4" + } + }, + "meta" : { + "globalKey" : "d3061dc6" + } }, "transferHistory" : [ { - "meta" : { - "globalKey" : "c918b832" - }, "transfer" : { - "payerReceiver" : { - "payerPartyReference" : { - "externalReference" : "party2", - "globalReference" : "490e5f44" - }, - "receiverPartyReference" : { - "externalReference" : "party1", - "globalReference" : "7cec034c" - } - }, "quantity" : { + "value" : 16000, "unit" : { "currency" : { "value" : "USD" } + } + }, + "payerReceiver" : { + "payerPartyReference" : { + "globalReference" : "4caf4c44", + "externalReference" : "party2" }, - "value" : 16000 + "receiverPartyReference" : { + "globalReference" : "349a498c", + "externalReference" : "party1" + } }, "transferExpression" : { - "priceTransfer" : "UPFRONT" - } - } - } ] - } - }, - "primitiveInstruction" : { - "observation" : { - "observationEvent" : { - "creditEvent" : { - "auctionDate" : "2022-03-03", - "creditEventType" : "BANKRUPTCY", - "eventDeterminationDate" : "2022-02-04", - "referenceInformation" : { - "noReferenceObligation" : true, - "referenceEntity" : { - "entityId" : [ { - "value" : "UE2136O97NLB5BYP9H04" - } ], - "meta" : { - "globalKey" : "17442720" - }, - "name" : { - "value" : "McDonald's Corporation" - } - } + "priceTransfer" : "Upfront" } + }, + "meta" : { + "globalKey" : "30a89faa" } + } ], + "meta" : { + "globalKey" : "9bec2af0" } } } diff --git a/rosetta-source/src/main/resources/cdm-sample-files/functions/business-event/credit-event/credit-event-obs-func-input.json b/rosetta-source/src/main/resources/cdm-sample-files/functions/business-event/credit-event/credit-event-obs-func-input.json index d28987dc79..f75895e8fc 100644 --- a/rosetta-source/src/main/resources/cdm-sample-files/functions/business-event/credit-event/credit-event-obs-func-input.json +++ b/rosetta-source/src/main/resources/cdm-sample-files/functions/business-event/credit-event/credit-event-obs-func-input.json @@ -1,109 +1,60 @@ { "instruction" : [ { - "before" : { - "value" : { - "meta" : { - "globalKey" : "76692749" - }, - "observationHistory" : [ { + "primitiveInstruction" : { + "observation" : { + "observationEvent" : { "creditEvent" : { - "auctionDate" : "2022-03-03", - "creditEventType" : "BANKRUPTCY", - "eventDeterminationDate" : "2022-02-04", + "creditEventType" : "FailureToPay", + "eventDeterminationDate" : "2023-02-04", + "auctionDate" : "2023-03-03", "referenceInformation" : { - "noReferenceObligation" : true, "referenceEntity" : { "entityId" : [ { "value" : "UE2136O97NLB5BYP9H04" } ], - "meta" : { - "globalKey" : "17442720" - }, "name" : { "value" : "McDonald's Corporation" + }, + "meta" : { + "globalKey" : "17442720" } - } + }, + "noReferenceObligation" : true } } - } ], + } + } + }, + "before" : { + "value" : { "trade" : { - "contractDetails" : { - "documentation" : [ { - "agreementDate" : "2004-10-18", - "legalAgreementIdentification" : { - "agreementName" : { - "agreementType" : "MASTER_CONFIRMATION", - "masterConfirmationType" : { - "value" : "DJ.CDX.NA" - } - } - }, + "tradeIdentifier" : [ { + "issuer" : { + "value" : "1031234567", "meta" : { - "globalKey" : "ae7fb3d4" + "scheme" : "http://www.fpml.org/coding-scheme/external/nsa/cftc" } - } ], - "meta" : { - "globalKey" : "ae7fb3d4" - } - }, - "meta" : { - "globalKey" : "fbc7ed4" - }, - "party" : [ { - "meta" : { - "externalKey" : "party1", - "globalKey" : "7cec034c" - }, - "name" : { - "value" : "Party A" }, - "partyId" : [ { + "assignedIdentifier" : [ { "identifier" : { + "value" : "56323", "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/iso17442" - }, - "value" : "54930084UKLVMY22DS16" - }, - "identifierType" : "LEI", - "meta" : { - "globalKey" : "121d7965" + "scheme" : "http://www.fpml.org/coding-scheme/external/uti" + } } - } ] - }, { + } ], "meta" : { - "externalKey" : "party2", - "globalKey" : "490e5f44" + "globalKey" : "1ecdb5a5" }, - "name" : { - "value" : "Party B" - }, - "partyId" : [ { - "identifier" : { - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/iso17442" - }, - "value" : "48750084UKLVTR22DS78" - }, - "identifierType" : "LEI", - "meta" : { - "globalKey" : "de31bddc" - } - } ] + "identifierType" : "UniqueTransactionIdentifier" } ], + "tradeDate" : { + "value" : "2005-01-24", + "meta" : { + "globalKey" : "3ea858" + } + }, "tradableProduct" : { - "counterparty" : [ { - "partyReference" : { - "externalReference" : "party2", - "globalReference" : "490e5f44" - }, - "role" : "PARTY_1" - }, { - "partyReference" : { - "externalReference" : "party1", - "globalReference" : "7cec034c" - }, - "role" : "PARTY_2" - } ], "product" : { "contractualProduct" : { "productTaxonomy" : [ { @@ -113,239 +64,288 @@ "economicTerms" : { "effectiveDate" : { "adjustableDate" : { + "unadjustedDate" : "2004-03-23", "meta" : { "globalKey" : "3ea0d7" - }, - "unadjustedDate" : "2004-03-23" + } }, "meta" : { "globalKey" : "3ea0d7" } }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2009-03-20", + "meta" : { + "globalKey" : "3ec8d4" + } + }, + "meta" : { + "globalKey" : "3ec8d4" + } + }, "payout" : { - "creditDefaultPayout" : { + "interestRatePayout" : [ { "payerReceiver" : { - "payer" : "PARTY_1", - "receiver" : "PARTY_2" + "payer" : "Party2", + "receiver" : "Party1" }, "priceQuantity" : { - "meta" : { - "globalKey" : "0" - }, "quantitySchedule" : { "address" : { "scope" : "DOCUMENT", "value" : "quantity-1" } + }, + "meta" : { + "globalKey" : "0" } }, - "generalTerms" : { - "indexReferenceInformation" : { - "indexName" : { - "value" : "Dow Jones CDX NA IG.2" - }, - "indexAnnexDate" : "2004-07-06", - "indexAnnexSource" : { - "value" : "PUBLISHER" + "rateSpecification" : { + "fixedRate" : { + "rateSchedule" : { + "price" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "price-1" + } + } }, - "indexSeries" : 2, "meta" : { - "globalKey" : "92a91d81" + "globalKey" : "0" } } }, "meta" : { - "globalKey" : "c762cfa0" + "globalKey" : "5a5ff79f" } - }, - "interestRatePayout" : [ { + } ], + "creditDefaultPayout" : { "payerReceiver" : { - "payer" : "PARTY_2", - "receiver" : "PARTY_1" + "payer" : "Party1", + "receiver" : "Party2" }, "priceQuantity" : { - "meta" : { - "globalKey" : "0" - }, "quantitySchedule" : { "address" : { "scope" : "DOCUMENT", "value" : "quantity-1" } + }, + "meta" : { + "globalKey" : "0" } }, - "meta" : { - "globalKey" : "5a5ff79f" - }, - "rateSpecification" : { - "fixedRate" : { - "meta" : { - "globalKey" : "0" + "generalTerms" : { + "indexReferenceInformation" : { + "indexName" : { + "value" : "Dow Jones CDX NA IG.2" }, - "rateSchedule" : { - "price" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "price-1" - } - } + "indexSeries" : 2, + "indexAnnexDate" : "2004-07-06", + "indexAnnexSource" : { + "value" : "Publisher" + }, + "meta" : { + "globalKey" : "53b8689" } } - } - } ], - "meta" : { - "globalKey" : "a049273f" - } - }, - "terminationDate" : { - "adjustableDate" : { - "meta" : { - "globalKey" : "3ec8d4" }, - "unadjustedDate" : "2009-03-20" + "meta" : { + "globalKey" : "39f538a8" + } }, "meta" : { - "globalKey" : "3ec8d4" + "globalKey" : "383edb69" } } }, "meta" : { - "globalKey" : "2933c1d7" + "globalKey" : "ed169df" } }, "meta" : { - "globalKey" : "2933c1d7" + "globalKey" : "ed169df" } }, "tradeLot" : [ { "priceQuantity" : [ { - "meta" : { - "globalKey" : "56a5905f" - }, "price" : [ { - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-1" - } ] - }, "value" : { + "value" : 0.0060, "unit" : { "currency" : { "value" : "USD" } }, - "value" : 0.0060, "perUnitOf" : { "currency" : { "value" : "USD" } }, - "priceType" : "INTEREST_RATE" - } - } ] - }, { - "meta" : { - "globalKey" : "2ebbcc83" - }, - "quantity" : [ { + "priceType" : "InterestRate" + }, "meta" : { "location" : [ { "scope" : "DOCUMENT", - "value" : "quantity-1" + "value" : "price-1" } ] - }, + } + } ], + "meta" : { + "globalKey" : "7e0c7b81" + } + }, { + "quantity" : [ { "value" : { + "value" : 25000000, "unit" : { "currency" : { "value" : "USD" } - }, - "value" : 25000000 + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] } - } ] + } ], + "meta" : { + "globalKey" : "a8bdc3dd" + } } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "4caf4c44", + "externalReference" : "party2" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "349a498c", + "externalReference" : "party1" + } } ] }, - "tradeDate" : { - "meta" : { - "globalKey" : "3ea858" - }, - "value" : "2005-01-24" - }, - "tradeIdentifier" : [ { - "assignedIdentifier" : [ { + "party" : [ { + "partyId" : [ { "identifier" : { + "value" : "54930084UKLVMY22DS16", "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/uti" - }, - "value" : "56323" + "scheme" : "http://www.fpml.org/coding-scheme/external/iso17442" + } + }, + "identifierType" : "LEI", + "meta" : { + "globalKey" : "121d7965" } } ], - "issuer" : { - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/nsa/cftc" - }, - "value" : "1031234567" + "name" : { + "value" : "Party A" }, "meta" : { - "globalKey" : "84d7eae5" + "globalKey" : "349a498c", + "externalKey" : "party1" + } + }, { + "partyId" : [ { + "identifier" : { + "value" : "48750084UKLVTR22DS78", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/iso17442" + } + }, + "identifierType" : "LEI", + "meta" : { + "globalKey" : "de31bddc" + } + } ], + "name" : { + "value" : "Party B" }, - "identifierType" : "UNIQUE_TRANSACTION_IDENTIFIER" - } ] + "meta" : { + "globalKey" : "4caf4c44", + "externalKey" : "party2" + } + } ], + "contractDetails" : { + "documentation" : [ { + "agreementDate" : "2004-10-18", + "legalAgreementIdentification" : { + "agreementName" : { + "agreementType" : "MasterConfirmation", + "masterConfirmationType" : { + "value" : "DJ.CDX.NA" + } + } + }, + "meta" : { + "globalKey" : "ae7fb3d4" + } + } ], + "meta" : { + "globalKey" : "ae7fb3d4" + } + }, + "meta" : { + "globalKey" : "d3061dc6" + } }, "transferHistory" : [ { - "meta" : { - "globalKey" : "c918b832" - }, "transfer" : { - "payerReceiver" : { - "payerPartyReference" : { - "externalReference" : "party2", - "globalReference" : "490e5f44" - }, - "receiverPartyReference" : { - "externalReference" : "party1", - "globalReference" : "7cec034c" - } - }, "quantity" : { + "value" : 16000, "unit" : { "currency" : { "value" : "USD" } + } + }, + "payerReceiver" : { + "payerPartyReference" : { + "globalReference" : "4caf4c44", + "externalReference" : "party2" }, - "value" : 16000 + "receiverPartyReference" : { + "globalReference" : "349a498c", + "externalReference" : "party1" + } }, "transferExpression" : { - "priceTransfer" : "UPFRONT" + "priceTransfer" : "Upfront" } + }, + "meta" : { + "globalKey" : "30a89faa" } - } ] - } - }, - "primitiveInstruction" : { - "observation" : { - "observationEvent" : { + } ], + "observationHistory" : [ { "creditEvent" : { - "auctionDate" : "2023-03-03", - "creditEventType" : "FAILURE_TO_PAY", - "eventDeterminationDate" : "2023-02-04", + "creditEventType" : "Bankruptcy", + "eventDeterminationDate" : "2022-02-04", + "auctionDate" : "2022-03-03", "referenceInformation" : { - "noReferenceObligation" : true, "referenceEntity" : { "entityId" : [ { "value" : "UE2136O97NLB5BYP9H04" } ], - "meta" : { - "globalKey" : "17442720" - }, "name" : { "value" : "McDonald's Corporation" + }, + "meta" : { + "globalKey" : "17442720" } - } + }, + "noReferenceObligation" : true } } + } ], + "meta" : { + "globalKey" : "d0de1da9" } } } diff --git a/rosetta-source/src/main/resources/cdm-sample-files/functions/business-event/execution/execution-basis-swap-func-input.json b/rosetta-source/src/main/resources/cdm-sample-files/functions/business-event/execution/execution-basis-swap-func-input.json index 598e5490bd..2b0464a7b2 100644 --- a/rosetta-source/src/main/resources/cdm-sample-files/functions/business-event/execution/execution-basis-swap-func-input.json +++ b/rosetta-source/src/main/resources/cdm-sample-files/functions/business-event/execution/execution-basis-swap-func-input.json @@ -2,247 +2,83 @@ "instruction" : [ { "primitiveInstruction" : { "execution" : { - "counterparty" : [ { - "partyReference" : { - "externalReference" : "party1", - "globalReference" : "27b20a6a" - }, - "role" : "PARTY_1" - }, { - "partyReference" : { - "externalReference" : "party2", - "globalReference" : "cc892602" - }, - "role" : "PARTY_2" - } ], - "parties" : [ { - "meta" : { - "externalKey" : "party1", - "globalKey" : "27b20a6a" - }, - "partyId" : [ { - "identifier" : { - "meta" : { - "scheme" : "http://www.lchclearnet.com/clearlink/coding-scheme/party-id" - }, - "value" : "COUNTERPARTY" - }, - "meta" : { - "globalKey" : "27b20a6a" - } - } ] - }, { - "meta" : { - "externalKey" : "party2", - "globalKey" : "cc892602" - }, - "partyId" : [ { - "identifier" : { - "meta" : { - "scheme" : "http://www.lchclearnet.com/clearlink/coding-scheme/party-id" - }, - "value" : "LCHLGB22XXX" - }, - "meta" : { - "globalKey" : "cc892602" - } - } ] - } ], - "priceQuantity" : [ { - "meta" : { - "globalKey" : "e1baed04" - }, - "observable" : { - "meta" : { - "globalKey" : "76074b0b" - }, - "rateOption" : { - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "rateOption-2" - } ] - }, - "value" : { - "floatingRateIndex" : { - "value" : "CAD-BA-CDOR" - }, - "indexTenor" : { - "meta" : { - "globalKey" : "956" - }, - "period" : "M", - "periodMultiplier" : 3 - } - } - } - }, - "quantity" : [ { - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] - }, - "value" : { - "unit" : { - "currency" : { - "value" : "CAD" - } - }, - "value" : 634000000 - } - } ] - }, { - "meta" : { - "globalKey" : "76391948" - }, - "observable" : { - "meta" : { - "globalKey" : "76074b09" - }, - "rateOption" : { - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "rateOption-1" - } ] - }, - "value" : { - "floatingRateIndex" : { - "value" : "CAD-BA-CDOR" - }, - "indexTenor" : { - "meta" : { - "globalKey" : "954" - }, - "period" : "M", - "periodMultiplier" : 1 - } - } - } - }, - "price" : [ { - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-1" - } ] - }, - "value" : { - "unit" : { - "currency" : { - "value" : "CAD" - } - }, - "value" : 0.00121, - "arithmeticOperator" : "ADD", - "perUnitOf" : { - "currency" : { - "value" : "CAD" - } - }, - "priceType" : "INTEREST_RATE" - } - } ], - "quantity" : [ { - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } ] - }, - "value" : { - "unit" : { - "currency" : { - "value" : "CAD" - } - }, - "value" : 634000000 - } - } ] - } ], "product" : { "contractualProduct" : { - "productIdentifier" : [ { - "value" : { - "identifier" : { - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/product-taxonomy" - }, - "value" : "InterestRate:IRSwap:Basis" - }, - "meta" : { - "globalKey" : "1d6b2aa0" - }, - "source" : "OTHER" - } - } ], "productTaxonomy" : [ { "primaryAssetClass" : { + "value" : "InterestRate", "meta" : { "scheme" : "http://www.fpml.org/coding-scheme/asset-class-simple" - }, - "value" : "INTEREST_RATE" + } } }, { "source" : "ISDA", "value" : { "name" : { + "value" : "InterestRate:IRSwap:Basis", "meta" : { "scheme" : "http://www.fpml.org/coding-scheme/product-taxonomy" - }, - "value" : "InterestRate:IRSwap:Basis" + } } } }, { "source" : "ISDA", "productQualifier" : "InterestRate_IRSwap_Basis" } ], + "productIdentifier" : [ { + "value" : { + "identifier" : { + "value" : "InterestRate:IRSwap:Basis", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/product-taxonomy" + } + }, + "source" : "Other", + "meta" : { + "globalKey" : "1d6b2aa0" + } + } + } ], "economicTerms" : { "payout" : { "interestRatePayout" : [ { "payerReceiver" : { - "payer" : "PARTY_1", - "receiver" : "PARTY_2" + "payer" : "Party1", + "receiver" : "Party2" }, "priceQuantity" : { - "meta" : { - "globalKey" : "0" - }, "quantitySchedule" : { "address" : { "scope" : "DOCUMENT", "value" : "quantity-1" } + }, + "meta" : { + "globalKey" : "0" } }, - "calculationPeriodDates" : { - "calculationPeriodDatesAdjustments" : { - "businessCenters" : { - "businessCenter" : [ { - "value" : "CATO" - } ], - "meta" : { - "globalKey" : "1f7359" + "rateSpecification" : { + "floatingRate" : { + "rateOption" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "rateOption-2" } }, - "businessDayConvention" : "MODFOLLOWING", "meta" : { - "globalKey" : "365a772a" + "globalKey" : "0" } - }, - "calculationPeriodFrequency" : { - "meta" : { - "globalKey" : "80f3fcc7" - }, - "period" : "M", - "periodMultiplier" : 3, - "rollConvention" : "IMMCAD" - }, + } + }, + "dayCountFraction" : { + "value" : "ACT/365.FIXED" + }, + "calculationPeriodDates" : { "effectiveDate" : { "adjustableDate" : { + "unadjustedDate" : "2020-12-14", "dateAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", "businessCenters" : { "businessCenter" : [ { "value" : "CATO" @@ -251,29 +87,23 @@ "globalKey" : "1f7359" } }, - "businessDayConvention" : "MODFOLLOWING", "meta" : { "globalKey" : "365a772a" } }, "meta" : { "globalKey" : "56fd0cdc" - }, - "unadjustedDate" : "2020-12-14" + } }, "meta" : { "globalKey" : "56fd0cdc" } }, - "firstRegularPeriodStartDate" : "2021-03-15", - "meta" : { - "externalKey" : "floatingCalcPeriodDates1", - "globalKey" : "bbe81c92" - }, - "stubPeriodType" : "LONG_INITIAL", "terminationDate" : { "adjustableDate" : { + "unadjustedDate" : "2022-12-19", "dateAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", "businessCenters" : { "businessCenter" : [ { "value" : "CATO" @@ -282,34 +112,20 @@ "globalKey" : "1f7359" } }, - "businessDayConvention" : "MODFOLLOWING", "meta" : { "globalKey" : "365a772a" } }, "meta" : { "globalKey" : "ad0f37f7" - }, - "unadjustedDate" : "2022-12-19" + } }, "meta" : { "globalKey" : "ad0f37f7" } - } - }, - "dayCountFraction" : { - "value" : "ACT/365.FIXED" - }, - "meta" : { - "globalKey" : "1405b24d" - }, - "paymentDates" : { - "meta" : { - "externalKey" : "paymentDates1", - "globalKey" : "c17da7c6" }, - "payRelativeTo" : "CALCULATION_PERIOD_END_DATE", - "paymentDatesAdjustments" : { + "calculationPeriodDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", "businessCenters" : { "businessCenter" : [ { "value" : "CATO" @@ -318,43 +134,66 @@ "globalKey" : "1f7359" } }, - "businessDayConvention" : "MODFOLLOWING", "meta" : { "globalKey" : "365a772a" } }, - "paymentFrequency" : { + "firstRegularPeriodStartDate" : "2021-03-15", + "stubPeriodType" : "LongInitial", + "calculationPeriodFrequency" : { + "periodMultiplier" : 3, + "period" : "M", "meta" : { - "globalKey" : "956" + "globalKey" : "80f2eff3" }, - "period" : "M", - "periodMultiplier" : 3 + "rollConvention" : "IMMCAD" + }, + "meta" : { + "globalKey" : "ccdefd78", + "externalKey" : "floatingCalcPeriodDates1" } }, - "rateSpecification" : { - "floatingRate" : { + "paymentDates" : { + "paymentFrequency" : { + "periodMultiplier" : 3, + "period" : "M", "meta" : { - "globalKey" : "0" - }, - "rateOption" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "rateOption-2" + "globalKey" : "aa" + } + }, + "payRelativeTo" : "CalculationPeriodEndDate", + "paymentDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "CATO" + } ], + "meta" : { + "globalKey" : "1f7359" } + }, + "meta" : { + "globalKey" : "365a772a" } + }, + "meta" : { + "globalKey" : "f05eae9a", + "externalKey" : "paymentDates1" } }, "resetDates" : { "calculationPeriodDatesReference" : { - "externalReference" : "floatingCalcPeriodDates1", - "globalReference" : "bbe81c92" + "globalReference" : "ccdefd78", + "externalReference" : "floatingCalcPeriodDates1" }, + "resetRelativeTo" : "CalculationPeriodStartDate", "fixingDates" : { + "periodMultiplier" : 0, + "period" : "D", "meta" : { - "globalKey" : "3bafa20d" + "globalKey" : "b1077415" }, - "period" : "D", - "periodMultiplier" : 0, + "businessDayConvention" : "PRECEDING", "businessCenters" : { "businessCenter" : [ { "value" : "CATO" @@ -363,17 +202,20 @@ "globalKey" : "1f7359" } }, - "businessDayConvention" : "PRECEDING", "dateRelativeTo" : { - "externalReference" : "resetDates1", - "globalReference" : "fb3cfbde" + "globalReference" : "1da74cba", + "externalReference" : "resetDates1" } }, - "meta" : { - "externalKey" : "resetDates1", - "globalKey" : "fb3cfbde" + "resetFrequency" : { + "periodMultiplier" : 3, + "period" : "M", + "meta" : { + "globalKey" : "aa" + } }, "resetDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", "businessCenters" : { "businessCenter" : [ { "value" : "CATO" @@ -382,62 +224,64 @@ "globalKey" : "1f7359" } }, - "businessDayConvention" : "MODFOLLOWING", "meta" : { "globalKey" : "365a772a" } }, - "resetFrequency" : { - "meta" : { - "globalKey" : "956" - }, - "period" : "M", - "periodMultiplier" : 3 - }, - "resetRelativeTo" : "CALCULATION_PERIOD_START_DATE" + "meta" : { + "globalKey" : "1da74cba", + "externalKey" : "resetDates1" + } + }, + "meta" : { + "globalKey" : "2a575d2f" } }, { "payerReceiver" : { - "payer" : "PARTY_2", - "receiver" : "PARTY_1" + "payer" : "Party2", + "receiver" : "Party1" }, "priceQuantity" : { - "meta" : { - "globalKey" : "0" - }, "quantitySchedule" : { "address" : { "scope" : "DOCUMENT", "value" : "quantity-2" } + }, + "meta" : { + "globalKey" : "0" } }, - "calculationPeriodDates" : { - "calculationPeriodDatesAdjustments" : { - "businessCenters" : { - "businessCenter" : [ { - "value" : "CATO" - } ], - "meta" : { - "globalKey" : "1f7359" + "rateSpecification" : { + "floatingRate" : { + "rateOption" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "rateOption-1" + } + }, + "spreadSchedule" : { + "price" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "price-1" + } } }, - "businessDayConvention" : "MODFOLLOWING", "meta" : { - "globalKey" : "365a772a" + "globalKey" : "0" } - }, - "calculationPeriodFrequency" : { - "meta" : { - "globalKey" : "80f3fc89" - }, - "period" : "M", - "periodMultiplier" : 1, - "rollConvention" : "IMMCAD" - }, + } + }, + "dayCountFraction" : { + "value" : "ACT/365.FIXED" + }, + "calculationPeriodDates" : { "effectiveDate" : { "adjustableDate" : { + "unadjustedDate" : "2020-12-14", "dateAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", "businessCenters" : { "businessCenter" : [ { "value" : "CATO" @@ -446,29 +290,23 @@ "globalKey" : "1f7359" } }, - "businessDayConvention" : "MODFOLLOWING", "meta" : { "globalKey" : "365a772a" } }, "meta" : { "globalKey" : "56fd0cdc" - }, - "unadjustedDate" : "2020-12-14" + } }, "meta" : { "globalKey" : "56fd0cdc" } }, - "firstRegularPeriodStartDate" : "2021-01-18", - "meta" : { - "externalKey" : "floatingCalcPeriodDates2", - "globalKey" : "362f2a17" - }, - "stubPeriodType" : "LONG_INITIAL", "terminationDate" : { "adjustableDate" : { + "unadjustedDate" : "2022-12-19", "dateAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", "businessCenters" : { "businessCenter" : [ { "value" : "CATO" @@ -477,36 +315,20 @@ "globalKey" : "1f7359" } }, - "businessDayConvention" : "MODFOLLOWING", "meta" : { "globalKey" : "365a772a" } }, "meta" : { "globalKey" : "ad0f37f7" - }, - "unadjustedDate" : "2022-12-19" + } }, "meta" : { "globalKey" : "ad0f37f7" } - } - }, - "compoundingMethod" : "FLAT", - "dayCountFraction" : { - "value" : "ACT/365.FIXED" - }, - "meta" : { - "globalKey" : "1532a8a" - }, - "paymentDates" : { - "firstPaymentDate" : "2021-03-15", - "meta" : { - "externalKey" : "paymentDates2", - "globalKey" : "992df7d7" }, - "payRelativeTo" : "CALCULATION_PERIOD_END_DATE", - "paymentDatesAdjustments" : { + "calculationPeriodDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", "businessCenters" : { "businessCenter" : [ { "value" : "CATO" @@ -515,51 +337,67 @@ "globalKey" : "1f7359" } }, - "businessDayConvention" : "MODFOLLOWING", "meta" : { "globalKey" : "365a772a" } }, - "paymentFrequency" : { + "firstRegularPeriodStartDate" : "2021-01-18", + "stubPeriodType" : "LongInitial", + "calculationPeriodFrequency" : { + "periodMultiplier" : 1, + "period" : "M", "meta" : { - "globalKey" : "956" + "globalKey" : "80f2e871" }, - "period" : "M", - "periodMultiplier" : 3 + "rollConvention" : "IMMCAD" + }, + "meta" : { + "globalKey" : "d049c7b9", + "externalKey" : "floatingCalcPeriodDates2" } }, - "rateSpecification" : { - "floatingRate" : { + "paymentDates" : { + "paymentFrequency" : { + "periodMultiplier" : 3, + "period" : "M", "meta" : { - "globalKey" : "0" - }, - "rateOption" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "rateOption-1" + "globalKey" : "aa" + } + }, + "firstPaymentDate" : "2021-03-15", + "payRelativeTo" : "CalculationPeriodEndDate", + "paymentDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "CATO" + } ], + "meta" : { + "globalKey" : "1f7359" } }, - "spreadSchedule" : { - "price" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "price-1" - } - } + "meta" : { + "globalKey" : "365a772a" } + }, + "meta" : { + "globalKey" : "c80efeab", + "externalKey" : "paymentDates2" } }, "resetDates" : { "calculationPeriodDatesReference" : { - "externalReference" : "floatingCalcPeriodDates2", - "globalReference" : "362f2a17" + "globalReference" : "d049c7b9", + "externalReference" : "floatingCalcPeriodDates2" }, + "resetRelativeTo" : "CalculationPeriodStartDate", "fixingDates" : { + "periodMultiplier" : 0, + "period" : "D", "meta" : { - "globalKey" : "3bafa20e" + "globalKey" : "b1077416" }, - "period" : "D", - "periodMultiplier" : 0, + "businessDayConvention" : "PRECEDING", "businessCenters" : { "businessCenter" : [ { "value" : "CATO" @@ -568,17 +406,20 @@ "globalKey" : "1f7359" } }, - "businessDayConvention" : "PRECEDING", "dateRelativeTo" : { - "externalReference" : "resetDates2", - "globalReference" : "54134cfc" + "globalReference" : "cb12758", + "externalReference" : "resetDates2" } }, - "meta" : { - "externalKey" : "resetDates2", - "globalKey" : "54134cfc" + "resetFrequency" : { + "periodMultiplier" : 1, + "period" : "M", + "meta" : { + "globalKey" : "6c" + } }, "resetDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", "businessCenters" : { "businessCenter" : [ { "value" : "CATO" @@ -587,53 +428,212 @@ "globalKey" : "1f7359" } }, - "businessDayConvention" : "MODFOLLOWING", "meta" : { "globalKey" : "365a772a" } }, - "resetFrequency" : { - "meta" : { - "globalKey" : "954" - }, - "period" : "M", - "periodMultiplier" : 1 - }, - "resetRelativeTo" : "CALCULATION_PERIOD_START_DATE" + "meta" : { + "globalKey" : "cb12758", + "externalKey" : "resetDates2" + } + }, + "compoundingMethod" : "Flat", + "meta" : { + "globalKey" : "d760bde8" } } ], "meta" : { - "globalKey" : "4c604717" + "globalKey" : "19c43d7" } } }, "meta" : { - "globalKey" : "198353b9" + "globalKey" : "93d7c335" } }, "meta" : { - "globalKey" : "198353b9" + "globalKey" : "93d7c335" } }, + "priceQuantity" : [ { + "quantity" : [ { + "value" : { + "value" : 634000000, + "unit" : { + "currency" : { + "value" : "CAD" + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] + } + } ], + "observable" : { + "rateOption" : { + "value" : { + "floatingRateIndex" : { + "value" : "CAD-BA-CDOR" + }, + "indexTenor" : { + "periodMultiplier" : 3, + "period" : "M", + "meta" : { + "globalKey" : "aa" + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "rateOption-2" + } ] + } + }, + "meta" : { + "globalKey" : "4ae10981" + } + }, + "meta" : { + "globalKey" : "30cdb530" + } + }, { + "price" : [ { + "value" : { + "value" : 0.00121, + "unit" : { + "currency" : { + "value" : "CAD" + } + }, + "perUnitOf" : { + "currency" : { + "value" : "CAD" + } + }, + "priceType" : "InterestRate", + "arithmeticOperator" : "Add" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-1" + } ] + } + } ], + "quantity" : [ { + "value" : { + "value" : 634000000, + "unit" : { + "currency" : { + "value" : "CAD" + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } ] + } + } ], + "observable" : { + "rateOption" : { + "value" : { + "floatingRateIndex" : { + "value" : "CAD-BA-CDOR" + }, + "indexTenor" : { + "periodMultiplier" : 1, + "period" : "M", + "meta" : { + "globalKey" : "6c" + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "rateOption-1" + } ] + } + }, + "meta" : { + "globalKey" : "4ae101ff" + } + }, + "meta" : { + "globalKey" : "35350988" + } + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "27b20a6a", + "externalReference" : "party1" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "cc892602", + "externalReference" : "party2" + } + } ], + "parties" : [ { + "partyId" : [ { + "identifier" : { + "value" : "COUNTERPARTY", + "meta" : { + "scheme" : "http://www.lchclearnet.com/clearlink/coding-scheme/party-id" + } + }, + "meta" : { + "globalKey" : "27b20a6a" + } + } ], + "meta" : { + "globalKey" : "27b20a6a", + "externalKey" : "party1" + } + }, { + "partyId" : [ { + "identifier" : { + "value" : "LCHLGB22XXX", + "meta" : { + "scheme" : "http://www.lchclearnet.com/clearlink/coding-scheme/party-id" + } + }, + "meta" : { + "globalKey" : "cc892602" + } + } ], + "meta" : { + "globalKey" : "cc892602", + "externalKey" : "party2" + } + } ], "tradeDate" : { "value" : "2017-12-18" }, "tradeIdentifier" : [ { + "issuerReference" : { + "globalReference" : "cc892602", + "externalReference" : "party2" + }, "assignedIdentifier" : [ { "identifier" : { + "value" : "LCH00023323008", "meta" : { "scheme" : "http://www.lchclearnet.com/clearlink/coding-scheme/trade-id" - }, - "value" : "LCH00023323008" + } }, "version" : 1 } ], - "issuerReference" : { - "externalReference" : "party2", - "globalReference" : "cc892602" - }, "meta" : { - "globalKey" : "7c2665f1" + "globalKey" : "71303531" } } ] } diff --git a/rosetta-source/src/main/resources/cdm-sample-files/functions/business-event/execution/execution-credit-default-swap-func-input.json b/rosetta-source/src/main/resources/cdm-sample-files/functions/business-event/execution/execution-credit-default-swap-func-input.json index 7d1df40960..872e14b603 100644 --- a/rosetta-source/src/main/resources/cdm-sample-files/functions/business-event/execution/execution-credit-default-swap-func-input.json +++ b/rosetta-source/src/main/resources/cdm-sample-files/functions/business-event/execution/execution-credit-default-swap-func-input.json @@ -2,130 +2,6 @@ "instruction" : [ { "primitiveInstruction" : { "execution" : { - "ancillaryParty" : [ { - "partyReference" : [ { - "externalReference" : "f845ge", - "globalReference" : "8e1db6b4" - } ], - "role" : "CALCULATION_AGENT_INDEPENDENT" - } ], - "counterparty" : [ { - "partyReference" : { - "externalReference" : "f845ge", - "globalReference" : "8e1db6b4" - }, - "role" : "PARTY_1" - }, { - "partyReference" : { - "externalReference" : "rsf765", - "globalReference" : "21f24e14" - }, - "role" : "PARTY_2" - } ], - "parties" : [ { - "meta" : { - "externalKey" : "f845ge", - "globalKey" : "8e1db6b4" - }, - "name" : { - "value" : "XYZ Bank" - }, - "partyId" : [ { - "identifier" : { - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/iso9362" - }, - "value" : "XYZBICXXX" - }, - "identifierType" : "BIC", - "meta" : { - "globalKey" : "26482791" - } - } ] - }, { - "meta" : { - "externalKey" : "rsf765", - "globalKey" : "21f24e14" - }, - "name" : { - "value" : "ABC Bank" - }, - "partyId" : [ { - "identifier" : { - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/iso9362" - }, - "value" : "ABCBICXXX" - }, - "identifierType" : "BIC", - "meta" : { - "globalKey" : "be37d39a" - } - } ] - } ], - "priceQuantity" : [ { - "meta" : { - "globalKey" : "a7b31de6" - }, - "price" : [ { - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-1" - } ] - }, - "value" : { - "unit" : { - "currency" : { - "value" : "JPY" - } - }, - "value" : 0.007, - "perUnitOf" : { - "currency" : { - "value" : "JPY" - } - }, - "priceType" : "INTEREST_RATE" - } - } ], - "quantity" : [ { - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] - }, - "value" : { - "unit" : { - "currency" : { - "value" : "JPY" - } - }, - "value" : 500000000.0 - } - } ] - }, { - "meta" : { - "globalKey" : "d74a447e" - }, - "quantity" : [ { - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } ] - }, - "value" : { - "unit" : { - "currency" : { - "value" : "JPY" - } - }, - "value" : 500000000.0 - } - } ] - } ], "product" : { "contractualProduct" : { "productTaxonomy" : [ { @@ -133,13 +9,54 @@ "productQualifier" : "CreditDefaultSwap_SingleName" } ], "economicTerms" : { - "calculationAgent" : { - "calculationAgentBusinessCenter" : { - "value" : "GBLO" + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2002-12-05", + "dateAdjustments" : { + "businessDayConvention" : "NONE", + "meta" : { + "globalKey" : "24a738" + } + }, + "meta" : { + "globalKey" : "eb0a8cfd" + } + }, + "meta" : { + "globalKey" : "eb0a8cfd" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2007-12-05", + "dateAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "GBLO" + }, { + "value" : "USNY" + }, { + "value" : "JPTO" + } ], + "meta" : { + "globalKey" : "81e56a96" + } + }, + "meta" : { + "globalKey" : "58681de7" + } + }, + "meta" : { + "globalKey" : "28faf882" + } }, - "calculationAgentParty" : "CALCULATION_AGENT_INDEPENDENT" + "meta" : { + "globalKey" : "28faf882" + } }, "dateAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", "businessCenters" : { "businessCenter" : [ { "value" : "GBLO" @@ -152,84 +69,130 @@ "globalKey" : "81e56a96" } }, - "businessDayConvention" : "MODFOLLOWING", "meta" : { "globalKey" : "58681de7" } }, - "effectiveDate" : { - "adjustableDate" : { - "dateAdjustments" : { - "businessDayConvention" : "NONE", + "payout" : { + "interestRatePayout" : [ { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } + }, "meta" : { - "globalKey" : "24a738" + "globalKey" : "0" } }, - "meta" : { - "globalKey" : "eb0a8cfd" + "rateSpecification" : { + "fixedRate" : { + "rateSchedule" : { + "price" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "price-1" + } + } + }, + "meta" : { + "globalKey" : "0" + } + } }, - "unadjustedDate" : "2002-12-05" - }, - "meta" : { - "globalKey" : "eb0a8cfd" - } - }, - "payout" : { + "dayCountFraction" : { + "value" : "ACT/360" + }, + "calculationPeriodDates" : { + "calculationPeriodFrequency" : { + "periodMultiplier" : 3, + "period" : "M", + "meta" : { + "globalKey" : "204c" + }, + "rollConvention" : "5" + }, + "meta" : { + "globalKey" : "204c" + } + }, + "paymentDates" : { + "paymentFrequency" : { + "periodMultiplier" : 3, + "period" : "M", + "meta" : { + "globalKey" : "aa" + } + }, + "firstPaymentDate" : "2003-03-05", + "meta" : { + "globalKey" : "7473f5c5" + } + }, + "meta" : { + "globalKey" : "c3ce76f8" + } + } ], "creditDefaultPayout" : { "payerReceiver" : { - "payer" : "PARTY_1", - "receiver" : "PARTY_2" + "payer" : "Party1", + "receiver" : "Party2" }, "priceQuantity" : { - "meta" : { - "globalKey" : "0" - }, "quantitySchedule" : { "address" : { "scope" : "DOCUMENT", "value" : "quantity-2" } + }, + "meta" : { + "globalKey" : "0" } }, "settlementTerms" : { - "meta" : { - "globalKey" : "45e0d7b2" - }, + "settlementType" : "Physical", "settlementCurrency" : { "value" : "JPY" }, - "settlementType" : "PHYSICAL", + "meta" : { + "globalKey" : "5f4774ca" + }, "physicalSettlementTerms" : { + "physicalSettlementPeriod" : { + "businessDays" : 30 + }, "deliverableObligations" : { "accruedInterest" : false, + "category" : "BondOrLoan", + "notSubordinated" : true, + "specifiedCurrency" : { + "applicable" : true + }, + "notContingent" : true, "assignableLoan" : { "applicable" : true }, - "category" : "BOND_OR_LOAN", "consentRequiredLoan" : { "applicable" : true }, + "transferable" : true, "maximumMaturity" : { - "meta" : { - "globalKey" : "ae5" - }, + "periodMultiplier" : 30, "period" : "Y", - "periodMultiplier" : 30 - }, - "notBearer" : true, - "notContingent" : true, - "notSubordinated" : true, - "specifiedCurrency" : { - "applicable" : true + "meta" : { + "globalKey" : "3fb" + } }, - "transferable" : true + "notBearer" : true }, "escrow" : true, "meta" : { - "globalKey" : "237559c8" - }, - "physicalSettlementPeriod" : { - "businessDays" : 30 + "globalKey" : "3cdbf6e0" } } }, @@ -237,240 +200,277 @@ "referenceInformation" : { "referenceEntity" : { "entityId" : [ { + "value" : "004CC9", "meta" : { "scheme" : "http://www.fpml.org/spec/2003/entity-id-RED-1-0" - }, - "value" : "004CC9" + } } ], - "meta" : { - "externalKey" : "fhjgt43", - "globalKey" : "e414546d" - }, "name" : { "value" : "ACOM CO., LTD." + }, + "meta" : { + "globalKey" : "e414546d", + "externalKey" : "fhjgt43" } }, "referenceObligation" : [ { - "primaryObligorReference" : { - "externalReference" : "fhjgt43", - "globalReference" : "e414546d" - }, "security" : { "productIdentifier" : [ { "value" : { "identifier" : { + "value" : "JP310860A032", "meta" : { "scheme" : "http://www.fpml.org/spec/2002/instrument-id-ISIN-1-0" - }, - "value" : "JP310860A032" + } }, + "source" : "ISIN", "meta" : { "globalKey" : "b94feaa3" - }, - "source" : "ISIN" + } } } ], - "securityType" : "DEBT" + "securityType" : "Debt" + }, + "primaryObligorReference" : { + "globalReference" : "e414546d", + "externalReference" : "fhjgt43" } } ], "referencePrice" : { + "value" : 1.0, "unit" : { "currency" : { "value" : "JPY" } }, - "value" : 1.0, "perUnitOf" : { "currency" : { "value" : "JPY" } }, - "priceType" : "ASSET_PRICE" + "priceType" : "AssetPrice" } } }, - "meta" : { - "globalKey" : "7e351080" - }, "protectionTerms" : [ { "creditEvents" : { "bankruptcy" : true, - "creditEventNotice" : { - "notifyingParty" : [ "PARTY_2", "PARTY_1" ], - "publiclyAvailableInformation" : { - "specifiedNumber" : 2, - "standardPublicSources" : true - } - }, - "defaultRequirement" : { - "unit" : { - "currency" : { - "value" : "JPY" - } - }, - "value" : 1000000000.0, - "meta" : { - "globalKey" : "57e64854" - } - }, "failureToPay" : { "applicable" : true, "paymentRequirement" : { + "value" : 100000000.0, "unit" : { "currency" : { "value" : "JPY" } }, - "value" : 100000000.0, "meta" : { "globalKey" : "b883af02" } } }, - "meta" : { - "globalKey" : "28728bbd" - }, "restructuring" : { "applicable" : true, "restructuringType" : { "value" : "R" } + }, + "defaultRequirement" : { + "value" : 1000000000.0, + "unit" : { + "currency" : { + "value" : "JPY" + } + }, + "meta" : { + "globalKey" : "57e64854" + } + }, + "creditEventNotice" : { + "notifyingParty" : [ "Party2", "Party1" ], + "publiclyAvailableInformation" : { + "standardPublicSources" : true, + "specifiedNumber" : 2 + } + }, + "meta" : { + "globalKey" : "8f38683" } }, - "meta" : { - "globalKey" : "53d2889d" - }, "obligations" : { - "category" : "BORROWED_MONEY", + "category" : "BorrowedMoney", "notSubordinated" : true - } - } ] - }, - "interestRatePayout" : [ { - "payerReceiver" : { - "payer" : "PARTY_2", - "receiver" : "PARTY_1" - }, - "priceQuantity" : { - "meta" : { - "globalKey" : "0" - }, - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } - } - }, - "calculationPeriodDates" : { - "calculationPeriodFrequency" : { - "meta" : { - "globalKey" : "12d20" - }, - "period" : "M", - "periodMultiplier" : 3, - "rollConvention" : "5" }, "meta" : { - "globalKey" : "12d20" + "globalKey" : "15515017" } - }, - "dayCountFraction" : { - "value" : "ACT/360" - }, + } ], "meta" : { - "globalKey" : "a52eef0e" - }, - "paymentDates" : { - "firstPaymentDate" : "2003-03-05", - "meta" : { - "globalKey" : "7473fe71" - }, - "paymentFrequency" : { - "meta" : { - "globalKey" : "956" - }, - "period" : "M", - "periodMultiplier" : 3 - } - }, - "rateSpecification" : { - "fixedRate" : { - "meta" : { - "globalKey" : "0" - }, - "rateSchedule" : { - "price" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "price-1" - } - } - } - } + "globalKey" : "5f5a496a" } - } ], + }, "meta" : { - "globalKey" : "d2b6bf8e" + "globalKey" : "21af7f72" } }, - "terminationDate" : { - "adjustableDate" : { - "dateAdjustments" : { - "businessCenters" : { - "businessCenter" : [ { - "value" : "GBLO" - }, { - "value" : "USNY" - }, { - "value" : "JPTO" - } ], - "meta" : { - "globalKey" : "81e56a96" - } - }, - "businessDayConvention" : "MODFOLLOWING", - "meta" : { - "globalKey" : "58681de7" - } - }, - "meta" : { - "globalKey" : "28faf882" - }, - "unadjustedDate" : "2007-12-05" - }, - "meta" : { - "globalKey" : "28faf882" + "calculationAgent" : { + "calculationAgentParty" : "CalculationAgentIndependent", + "calculationAgentBusinessCenter" : { + "value" : "GBLO" } } }, "meta" : { - "globalKey" : "351d378e" + "globalKey" : "e161c342" } }, "meta" : { - "globalKey" : "351d378e" + "globalKey" : "e161c342" } }, + "priceQuantity" : [ { + "price" : [ { + "value" : { + "value" : 0.007, + "unit" : { + "currency" : { + "value" : "JPY" + } + }, + "perUnitOf" : { + "currency" : { + "value" : "JPY" + } + }, + "priceType" : "InterestRate" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-1" + } ] + } + } ], + "quantity" : [ { + "value" : { + "value" : 500000000.0, + "unit" : { + "currency" : { + "value" : "JPY" + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] + } + } ], + "meta" : { + "globalKey" : "4eb09eda" + } + }, { + "quantity" : [ { + "value" : { + "value" : 500000000.0, + "unit" : { + "currency" : { + "value" : "JPY" + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } ] + } + } ], + "meta" : { + "globalKey" : "11fe4b42" + } + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "69c51ff4", + "externalReference" : "f845ge" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "87501c94", + "externalReference" : "rsf765" + } + } ], + "ancillaryParty" : [ { + "role" : "CalculationAgentIndependent", + "partyReference" : [ { + "globalReference" : "69c51ff4", + "externalReference" : "f845ge" + } ] + } ], + "parties" : [ { + "partyId" : [ { + "identifier" : { + "value" : "XYZBICXXX", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/iso9362" + } + }, + "identifierType" : "BIC", + "meta" : { + "globalKey" : "26482791" + } + } ], + "name" : { + "value" : "XYZ Bank" + }, + "meta" : { + "globalKey" : "69c51ff4", + "externalKey" : "f845ge" + } + }, { + "partyId" : [ { + "identifier" : { + "value" : "ABCBICXXX", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/iso9362" + } + }, + "identifierType" : "BIC", + "meta" : { + "globalKey" : "be37d39a" + } + } ], + "name" : { + "value" : "ABC Bank" + }, + "meta" : { + "globalKey" : "87501c94", + "externalKey" : "rsf765" + } + } ], "tradeDate" : { "value" : "2002-12-04" }, "tradeIdentifier" : [ { + "issuerReference" : { + "globalReference" : "69c51ff4", + "externalReference" : "f845ge" + }, "assignedIdentifier" : [ { "identifier" : { + "value" : "RTD3ERTF37209", "meta" : { "scheme" : "http://www.swapswire.com/spec/2001/trade-id-1-0" - }, - "value" : "RTD3ERTF37209" + } }, "version" : 1 } ], - "issuerReference" : { - "externalReference" : "f845ge", - "globalReference" : "8e1db6b4" - }, "meta" : { - "globalKey" : "d34a91b9" + "globalKey" : "bd11f339" } } ] } diff --git a/rosetta-source/src/main/resources/cdm-sample-files/functions/business-event/execution/execution-fra-func-input.json b/rosetta-source/src/main/resources/cdm-sample-files/functions/business-event/execution/execution-fra-func-input.json index a5fe2fc8b1..765b042203 100644 --- a/rosetta-source/src/main/resources/cdm-sample-files/functions/business-event/execution/execution-fra-func-input.json +++ b/rosetta-source/src/main/resources/cdm-sample-files/functions/business-event/execution/execution-fra-func-input.json @@ -2,142 +2,6 @@ "instruction" : [ { "primitiveInstruction" : { "execution" : { - "counterparty" : [ { - "partyReference" : { - "externalReference" : "party1", - "globalReference" : "e1284e85" - }, - "role" : "PARTY_1" - }, { - "partyReference" : { - "externalReference" : "party2", - "globalReference" : "cff0a7d6" - }, - "role" : "PARTY_2" - } ], - "parties" : [ { - "meta" : { - "externalKey" : "party1", - "globalKey" : "e1284e85" - }, - "partyId" : [ { - "identifier" : { - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/iso17442" - }, - "value" : "TR24TWEY5RVRQV65HD49" - }, - "identifierType" : "LEI", - "meta" : { - "globalKey" : "e1284e85" - } - } ] - }, { - "meta" : { - "externalKey" : "party2", - "globalKey" : "cff0a7d6" - }, - "partyId" : [ { - "identifier" : { - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/iso17442" - }, - "value" : "BFXS5XCH7N0Y05NIXW11" - }, - "identifierType" : "LEI", - "meta" : { - "globalKey" : "cff0a7d6" - } - } ] - } ], - "priceQuantity" : [ { - "meta" : { - "globalKey" : "103bf473" - }, - "price" : [ { - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-1" - } ] - }, - "value" : { - "unit" : { - "currency" : { - "value" : "CHF" - } - }, - "value" : 0.04, - "perUnitOf" : { - "currency" : { - "value" : "CHF" - } - }, - "priceType" : "INTEREST_RATE" - } - } ], - "quantity" : [ { - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] - }, - "value" : { - "unit" : { - "currency" : { - "value" : "CHF" - } - }, - "value" : 25000000.00 - } - } ] - }, { - "meta" : { - "globalKey" : "434a0131" - }, - "observable" : { - "meta" : { - "globalKey" : "6a18d5cd" - }, - "rateOption" : { - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "rateOption-1" - } ] - }, - "value" : { - "floatingRateIndex" : { - "value" : "CHF-LIBOR-BBA" - }, - "indexTenor" : { - "meta" : { - "globalKey" : "959" - }, - "period" : "M", - "periodMultiplier" : 6 - } - } - } - }, - "quantity" : [ { - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } ] - }, - "value" : { - "unit" : { - "currency" : { - "value" : "CHF" - } - }, - "value" : 25000000.00 - } - } ] - } ], "product" : { "contractualProduct" : { "productTaxonomy" : [ { @@ -148,48 +12,63 @@ "payout" : { "interestRatePayout" : [ { "payerReceiver" : { - "payer" : "PARTY_1", - "receiver" : "PARTY_2" + "payer" : "Party1", + "receiver" : "Party2" }, "priceQuantity" : { - "meta" : { - "globalKey" : "0" - }, "quantitySchedule" : { "address" : { "scope" : "DOCUMENT", "value" : "quantity-1" } + }, + "meta" : { + "globalKey" : "0" } }, + "rateSpecification" : { + "fixedRate" : { + "rateSchedule" : { + "price" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "price-1" + } + } + }, + "meta" : { + "globalKey" : "0" + } + } + }, + "dayCountFraction" : { + "value" : "ACT/360" + }, "calculationPeriodDates" : { "effectiveDate" : { "adjustableDate" : { "adjustedDate" : { + "value" : "1991-07-17", "meta" : { "globalKey" : "3e39d1" - }, - "value" : "1991-07-17" + } }, "meta" : { "globalKey" : "0" } }, "meta" : { - "externalKey" : "resetDate", - "globalKey" : "0" + "globalKey" : "0", + "externalKey" : "resetDate" } }, - "meta" : { - "globalKey" : "0" - }, "terminationDate" : { "adjustableDate" : { "adjustedDate" : { + "value" : "1992-01-17", "meta" : { "globalKey" : "3e4051" - }, - "value" : "1992-01-17" + } }, "meta" : { "globalKey" : "0" @@ -198,19 +77,15 @@ "meta" : { "globalKey" : "0" } + }, + "meta" : { + "globalKey" : "0" } }, - "dayCountFraction" : { - "value" : "ACT/360" - }, - "discountingMethod" : { - "discountingType" : "FRA" - }, - "meta" : { - "globalKey" : "4af42838" - }, "paymentDate" : { + "unadjustedDate" : "1991-07-17", "dateAdjustments" : { + "businessDayConvention" : "FOLLOWING", "businessCenters" : { "businessCenter" : [ { "value" : "CHZU" @@ -219,75 +94,77 @@ "globalKey" : "1f8e60" } }, - "businessDayConvention" : "FOLLOWING", "meta" : { "globalKey" : "211caa4f" } }, "meta" : { "globalKey" : "407eeb1e" - }, - "unadjustedDate" : "1991-07-17" - }, - "rateSpecification" : { - "fixedRate" : { - "meta" : { - "globalKey" : "0" - }, - "rateSchedule" : { - "price" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "price-1" - } - } - } } + }, + "discountingMethod" : { + "discountingType" : "FRA" + }, + "meta" : { + "globalKey" : "1d9421f4" } }, { "payerReceiver" : { - "payer" : "PARTY_2", - "receiver" : "PARTY_1" + "payer" : "Party2", + "receiver" : "Party1" }, "priceQuantity" : { - "meta" : { - "globalKey" : "0" - }, "quantitySchedule" : { "address" : { "scope" : "DOCUMENT", "value" : "quantity-2" } + }, + "meta" : { + "globalKey" : "0" + } + }, + "rateSpecification" : { + "floatingRate" : { + "rateOption" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "rateOption-1" + } + }, + "meta" : { + "globalKey" : "0" + } } }, + "dayCountFraction" : { + "value" : "ACT/360" + }, "calculationPeriodDates" : { "effectiveDate" : { "adjustableDate" : { "adjustedDate" : { + "value" : "1991-07-17", "meta" : { "globalKey" : "3e39d1" - }, - "value" : "1991-07-17" + } }, "meta" : { "globalKey" : "0" } }, "meta" : { - "externalKey" : "resetDate", - "globalKey" : "0" + "globalKey" : "0", + "externalKey" : "resetDate" } }, - "meta" : { - "globalKey" : "0" - }, "terminationDate" : { "adjustableDate" : { "adjustedDate" : { + "value" : "1992-01-17", "meta" : { "globalKey" : "3e4051" - }, - "value" : "1992-01-17" + } }, "meta" : { "globalKey" : "0" @@ -296,19 +173,15 @@ "meta" : { "globalKey" : "0" } + }, + "meta" : { + "globalKey" : "0" } }, - "dayCountFraction" : { - "value" : "ACT/360" - }, - "discountingMethod" : { - "discountingType" : "FRA" - }, - "meta" : { - "globalKey" : "dc55f19f" - }, "paymentDate" : { + "unadjustedDate" : "1991-07-17", "dateAdjustments" : { + "businessDayConvention" : "FOLLOWING", "businessCenters" : { "businessCenter" : [ { "value" : "CHZU" @@ -317,37 +190,23 @@ "globalKey" : "1f8e60" } }, - "businessDayConvention" : "FOLLOWING", "meta" : { "globalKey" : "211caa4f" } }, "meta" : { "globalKey" : "407eeb1e" - }, - "unadjustedDate" : "1991-07-17" - }, - "rateSpecification" : { - "floatingRate" : { - "meta" : { - "globalKey" : "0" - }, - "rateOption" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "rateOption-1" - } - } } }, "resetDates" : { "fixingDates" : { + "periodMultiplier" : -2, + "period" : "D", "meta" : { - "globalKey" : "f12537c9" + "globalKey" : "ce01227d" }, - "period" : "D", - "periodMultiplier" : -2, - "dayType" : "BUSINESS", + "dayType" : "Business", + "businessDayConvention" : "NONE", "businessCenters" : { "businessCenter" : [ { "value" : "GBLO" @@ -356,64 +215,205 @@ "globalKey" : "21479e" } }, - "businessDayConvention" : "NONE", "dateRelativeTo" : { - "externalReference" : "resetDate", - "globalReference" : "0" + "globalReference" : "0", + "externalReference" : "resetDate" } }, "meta" : { - "globalKey" : "f12537c9" + "globalKey" : "ce01227d" } + }, + "discountingMethod" : { + "discountingType" : "FRA" + }, + "meta" : { + "globalKey" : "44b30fd3" } } ], "meta" : { - "globalKey" : "1579b067" + "globalKey" : "842dfc5f" } } }, "meta" : { - "globalKey" : "1579b067" + "globalKey" : "842dfc5f" } }, "meta" : { - "globalKey" : "1579b067" + "globalKey" : "842dfc5f" } }, + "priceQuantity" : [ { + "price" : [ { + "value" : { + "value" : 0.04, + "unit" : { + "currency" : { + "value" : "CHF" + } + }, + "perUnitOf" : { + "currency" : { + "value" : "CHF" + } + }, + "priceType" : "InterestRate" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-1" + } ] + } + } ], + "quantity" : [ { + "value" : { + "value" : 25000000.00, + "unit" : { + "currency" : { + "value" : "CHF" + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] + } + } ], + "meta" : { + "globalKey" : "f74299ed" + } + }, { + "quantity" : [ { + "value" : { + "value" : 25000000.00, + "unit" : { + "currency" : { + "value" : "CHF" + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } ] + } + } ], + "observable" : { + "rateOption" : { + "value" : { + "floatingRateIndex" : { + "value" : "CHF-LIBOR-BBA" + }, + "indexTenor" : { + "periodMultiplier" : 6, + "period" : "M", + "meta" : { + "globalKey" : "107" + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "rateOption-1" + } ] + } + }, + "meta" : { + "globalKey" : "d900e1e5" + } + }, + "meta" : { + "globalKey" : "9965fc03" + } + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "e1284e85", + "externalReference" : "party1" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "cff0a7d6", + "externalReference" : "party2" + } + } ], + "parties" : [ { + "partyId" : [ { + "identifier" : { + "value" : "TR24TWEY5RVRQV65HD49", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/iso17442" + } + }, + "identifierType" : "LEI", + "meta" : { + "globalKey" : "e1284e85" + } + } ], + "meta" : { + "globalKey" : "e1284e85", + "externalKey" : "party1" + } + }, { + "partyId" : [ { + "identifier" : { + "value" : "BFXS5XCH7N0Y05NIXW11", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/iso17442" + } + }, + "identifierType" : "LEI", + "meta" : { + "globalKey" : "cff0a7d6" + } + } ], + "meta" : { + "globalKey" : "cff0a7d6", + "externalKey" : "party2" + } + } ], "tradeDate" : { "value" : "1991-05-14" }, "tradeIdentifier" : [ { + "issuerReference" : { + "globalReference" : "e1284e85", + "externalReference" : "party1" + }, "assignedIdentifier" : [ { "identifier" : { + "value" : "MB87623", "meta" : { "scheme" : "http://www.hsbc.com/swaps/trade-id" - }, - "value" : "MB87623" + } } } ], - "issuerReference" : { - "externalReference" : "party1", - "globalReference" : "e1284e85" - }, "meta" : { - "globalKey" : "1896266e" + "globalKey" : "f2891f38" } }, { + "issuerReference" : { + "globalReference" : "cff0a7d6", + "externalReference" : "party2" + }, "assignedIdentifier" : [ { "identifier" : { + "value" : "AA9876", "meta" : { "scheme" : "http://www.abnamro.com/swaps/trade-id" - }, - "value" : "AA9876" + } } } ], - "issuerReference" : { - "externalReference" : "party2", - "globalReference" : "cff0a7d6" - }, "meta" : { - "globalKey" : "f7bfdcea" + "globalKey" : "814acd2" } } ] } diff --git a/rosetta-source/src/main/resources/cdm-sample-files/functions/business-event/execution/execution-fx-forward-func-input.json b/rosetta-source/src/main/resources/cdm-sample-files/functions/business-event/execution/execution-fx-forward-func-input.json index 595c04398f..e7ba66f2d1 100644 --- a/rosetta-source/src/main/resources/cdm-sample-files/functions/business-event/execution/execution-fx-forward-func-input.json +++ b/rosetta-source/src/main/resources/cdm-sample-files/functions/business-event/execution/execution-fx-forward-func-input.json @@ -2,118 +2,6 @@ "instruction" : [ { "primitiveInstruction" : { "execution" : { - "counterparty" : [ { - "partyReference" : { - "externalReference" : "party2", - "globalReference" : "e05045d7" - }, - "role" : "PARTY_1" - }, { - "partyReference" : { - "externalReference" : "party1", - "globalReference" : "cff0a7d6" - }, - "role" : "PARTY_2" - } ], - "parties" : [ { - "meta" : { - "externalKey" : "party1", - "globalKey" : "cff0a7d6" - }, - "partyId" : [ { - "identifier" : { - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/iso17442" - }, - "value" : "BFXS5XCH7N0Y05NIXW11" - }, - "identifierType" : "LEI", - "meta" : { - "globalKey" : "cff0a7d6" - } - } ] - }, { - "meta" : { - "externalKey" : "party2", - "globalKey" : "e05045d7" - }, - "partyId" : [ { - "identifier" : { - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/iso17442" - }, - "value" : "213800QILIUD4ROSUO03" - }, - "identifierType" : "LEI", - "meta" : { - "globalKey" : "e05045d7" - } - } ] - } ], - "priceQuantity" : [ { - "meta" : { - "globalKey" : "1cc815e8" - }, - "price" : [ { - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-1" - } ] - }, - "value" : { - "unit" : { - "currency" : { - "value" : "USD" - } - }, - "value" : 0.9175, - "composite" : { - "arithmeticOperator" : "ADD", - "baseValue" : 0.9130, - "operand" : 0.0045, - "operandType" : "FORWARD_POINT" - }, - "perUnitOf" : { - "currency" : { - "value" : "EUR" - } - }, - "priceType" : "EXCHANGE_RATE" - } - } ], - "quantity" : [ { - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } ] - }, - "value" : { - "unit" : { - "currency" : { - "value" : "EUR" - } - }, - "value" : 10000000 - } - }, { - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] - }, - "value" : { - "unit" : { - "currency" : { - "value" : "USD" - } - }, - "value" : 9175000 - } - } ] - } ], "product" : { "contractualProduct" : { "productTaxonomy" : [ { @@ -124,35 +12,32 @@ "payout" : { "forwardPayout" : [ { "settlementTerms" : { - "meta" : { - "globalKey" : "3e8b15" - }, "settlementDate" : { + "valueDate" : "2001-12-21", "meta" : { "globalKey" : "3e8b15" - }, - "valueDate" : "2001-12-21" + } + }, + "meta" : { + "globalKey" : "3e8b15" } }, - "meta" : { - "globalKey" : "90c7297" - }, "underlier" : { "foreignExchange" : { "exchangedCurrency1" : { "payerReceiver" : { - "payer" : "PARTY_1", - "receiver" : "PARTY_2" + "payer" : "Party1", + "receiver" : "Party2" }, "priceQuantity" : { - "meta" : { - "globalKey" : "0" - }, "quantitySchedule" : { "address" : { "scope" : "DOCUMENT", "value" : "quantity-2" } + }, + "meta" : { + "globalKey" : "0" } }, "meta" : { @@ -161,18 +46,18 @@ }, "exchangedCurrency2" : { "payerReceiver" : { - "payer" : "PARTY_2", - "receiver" : "PARTY_1" + "payer" : "Party2", + "receiver" : "Party1" }, "priceQuantity" : { - "meta" : { - "globalKey" : "0" - }, "quantitySchedule" : { "address" : { "scope" : "DOCUMENT", "value" : "quantity-1" } + }, + "meta" : { + "globalKey" : "0" } }, "meta" : { @@ -183,6 +68,9 @@ "meta" : { "globalKey" : "c086df02" } + }, + "meta" : { + "globalKey" : "90c7297" } } ], "meta" : { @@ -198,40 +86,152 @@ "globalKey" : "90c7297" } }, + "priceQuantity" : [ { + "price" : [ { + "value" : { + "value" : 0.9175, + "unit" : { + "currency" : { + "value" : "USD" + } + }, + "perUnitOf" : { + "currency" : { + "value" : "EUR" + } + }, + "priceType" : "ExchangeRate", + "composite" : { + "baseValue" : 0.9130, + "operand" : 0.0045, + "arithmeticOperator" : "Add", + "operandType" : "ForwardPoint" + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-1" + } ] + } + } ], + "quantity" : [ { + "value" : { + "value" : 10000000, + "unit" : { + "currency" : { + "value" : "EUR" + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } ] + } + }, { + "value" : { + "value" : 9175000, + "unit" : { + "currency" : { + "value" : "USD" + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] + } + } ], + "meta" : { + "globalKey" : "2ab23d92" + } + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "e05045d7", + "externalReference" : "party2" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "cff0a7d6", + "externalReference" : "party1" + } + } ], + "parties" : [ { + "partyId" : [ { + "identifier" : { + "value" : "BFXS5XCH7N0Y05NIXW11", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/iso17442" + } + }, + "identifierType" : "LEI", + "meta" : { + "globalKey" : "cff0a7d6" + } + } ], + "meta" : { + "globalKey" : "cff0a7d6", + "externalKey" : "party1" + } + }, { + "partyId" : [ { + "identifier" : { + "value" : "213800QILIUD4ROSUO03", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/iso17442" + } + }, + "identifierType" : "LEI", + "meta" : { + "globalKey" : "e05045d7" + } + } ], + "meta" : { + "globalKey" : "e05045d7", + "externalKey" : "party2" + } + } ], "tradeDate" : { "value" : "2001-11-19" }, "tradeIdentifier" : [ { + "issuerReference" : { + "globalReference" : "cff0a7d6", + "externalReference" : "party1" + }, "assignedIdentifier" : [ { "identifier" : { + "value" : "ABN1234", "meta" : { "scheme" : "http://www.abn-amro.com/fx/trade-id" - }, - "value" : "ABN1234" + } } } ], - "issuerReference" : { - "externalReference" : "party1", - "globalReference" : "cff0a7d6" - }, "meta" : { - "globalKey" : "a6b5105a" + "globalKey" : "78f19424" } }, { + "issuerReference" : { + "globalReference" : "e05045d7", + "externalReference" : "party2" + }, "assignedIdentifier" : [ { "identifier" : { + "value" : "DB5678", "meta" : { "scheme" : "http://www.db.com/fx/trade-id" - }, - "value" : "DB5678" + } } } ], - "issuerReference" : { - "externalReference" : "party2", - "globalReference" : "e05045d7" - }, "meta" : { - "globalKey" : "5d5a14cc" + "globalKey" : "d3f7534" } } ] } diff --git a/rosetta-source/src/main/resources/cdm-sample-files/functions/business-event/execution/execution-ir-swap-func-input.json b/rosetta-source/src/main/resources/cdm-sample-files/functions/business-event/execution/execution-ir-swap-func-input.json index 2510e987d4..e48aeff5b9 100644 --- a/rosetta-source/src/main/resources/cdm-sample-files/functions/business-event/execution/execution-ir-swap-func-input.json +++ b/rosetta-source/src/main/resources/cdm-sample-files/functions/business-event/execution/execution-ir-swap-func-input.json @@ -2,157 +2,6 @@ "instruction" : [ { "primitiveInstruction" : { "execution" : { - "counterparty" : [ { - "partyReference" : { - "externalReference" : "party1", - "globalReference" : "a82d45fc" - }, - "role" : "PARTY_1" - }, { - "partyReference" : { - "externalReference" : "party2", - "globalReference" : "ca05a501" - }, - "role" : "PARTY_2" - } ], - "parties" : [ { - "meta" : { - "externalKey" : "party1", - "globalKey" : "a82d45fc" - }, - "name" : { - "value" : "Party A" - }, - "partyId" : [ { - "identifier" : { - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/iso9362" - }, - "value" : "PARTYAUS33" - }, - "identifierType" : "BIC", - "meta" : { - "globalKey" : "3d5ebc15" - } - } ] - }, { - "meta" : { - "externalKey" : "party2", - "globalKey" : "ca05a501" - }, - "partyId" : [ { - "identifier" : { - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/iso9362" - }, - "value" : "BARCGB2L" - }, - "identifierType" : "BIC", - "meta" : { - "globalKey" : "ca05a501" - } - } ] - } ], - "priceQuantity" : [ { - "meta" : { - "globalKey" : "3ce21b9b" - }, - "observable" : { - "meta" : { - "globalKey" : "53c66a4c" - }, - "rateOption" : { - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "rateOption-1" - } ] - }, - "value" : { - "floatingRateIndex" : { - "value" : "EUR-LIBOR-BBA" - }, - "indexTenor" : { - "meta" : { - "globalKey" : "959" - }, - "period" : "M", - "periodMultiplier" : 6 - } - } - } - }, - "quantity" : [ { - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] - }, - "value" : { - "unit" : { - "currency" : { - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/iso4217" - }, - "value" : "EUR" - } - }, - "value" : 50000000.00 - } - } ] - }, { - "meta" : { - "globalKey" : "4882fcbc" - }, - "price" : [ { - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-1" - } ] - }, - "value" : { - "unit" : { - "currency" : { - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/iso4217" - }, - "value" : "EUR" - } - }, - "value" : 0.06, - "perUnitOf" : { - "currency" : { - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/iso4217" - }, - "value" : "EUR" - } - }, - "priceType" : "INTEREST_RATE" - } - } ], - "quantity" : [ { - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } ] - }, - "value" : { - "unit" : { - "currency" : { - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/iso4217" - }, - "value" : "EUR" - } - }, - "value" : 50000000.00 - } - } ] - } ], "product" : { "contractualProduct" : { "productTaxonomy" : [ { @@ -163,46 +12,40 @@ "payout" : { "interestRatePayout" : [ { "payerReceiver" : { - "payer" : "PARTY_1", - "receiver" : "PARTY_2" + "payer" : "Party1", + "receiver" : "Party2" }, "priceQuantity" : { - "meta" : { - "globalKey" : "0" - }, "quantitySchedule" : { "address" : { "scope" : "DOCUMENT", "value" : "quantity-1" } + }, + "meta" : { + "globalKey" : "0" } }, - "calculationPeriodDates" : { - "calculationPeriodDatesAdjustments" : { - "businessCenters" : { - "businessCentersReference" : { - "externalReference" : "primaryBusinessCenters", - "globalReference" : "1ff50d" - }, - "meta" : { - "globalKey" : "eb13047c" + "rateSpecification" : { + "floatingRate" : { + "rateOption" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "rateOption-1" } }, - "businessDayConvention" : "MODFOLLOWING", "meta" : { - "globalKey" : "214e084d" + "globalKey" : "0" } - }, - "calculationPeriodFrequency" : { - "meta" : { - "globalKey" : "28c89" - }, - "period" : "M", - "periodMultiplier" : 6, - "rollConvention" : "14" - }, + } + }, + "dayCountFraction" : { + "value" : "ACT/360" + }, + "calculationPeriodDates" : { "effectiveDate" : { "adjustableDate" : { + "unadjustedDate" : "1994-12-14", "dateAdjustments" : { "businessDayConvention" : "NONE", "meta" : { @@ -211,103 +54,108 @@ }, "meta" : { "globalKey" : "ea1a6ec6" - }, - "unadjustedDate" : "1994-12-14" + } }, "meta" : { "globalKey" : "ea1a6ec6" } }, - "meta" : { - "externalKey" : "floatingCalcPeriodDates", - "globalKey" : "3e2554c0" - }, "terminationDate" : { "adjustableDate" : { + "unadjustedDate" : "1999-12-14", "dateAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", "businessCenters" : { "businessCenter" : [ { "value" : "DEFR" } ], "meta" : { - "externalKey" : "primaryBusinessCenters", - "globalKey" : "1ff50d" + "globalKey" : "1ff50d", + "externalKey" : "primaryBusinessCenters" } }, - "businessDayConvention" : "MODFOLLOWING", "meta" : { "globalKey" : "365af8de" } }, "meta" : { "globalKey" : "a8d53690" - }, - "unadjustedDate" : "1999-12-14" + } }, "meta" : { "globalKey" : "a8d53690" } - } - }, - "dayCountFraction" : { - "value" : "ACT/360" - }, - "meta" : { - "globalKey" : "97763931" - }, - "paymentDates" : { - "meta" : { - "globalKey" : "4fa45fc6" }, - "payRelativeTo" : "CALCULATION_PERIOD_END_DATE", - "paymentDatesAdjustments" : { + "calculationPeriodDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", "businessCenters" : { "businessCentersReference" : { - "externalReference" : "primaryBusinessCenters", - "globalReference" : "1ff50d" + "globalReference" : "1ff50d", + "externalReference" : "primaryBusinessCenters" }, "meta" : { "globalKey" : "eb13047c" } }, - "businessDayConvention" : "MODFOLLOWING", "meta" : { "globalKey" : "214e084d" } }, - "paymentFrequency" : { + "calculationPeriodFrequency" : { + "periodMultiplier" : 6, + "period" : "M", "meta" : { - "globalKey" : "959" + "globalKey" : "18a9b" }, - "period" : "M", - "periodMultiplier" : 6 + "rollConvention" : "14" + }, + "meta" : { + "globalKey" : "a26405d2", + "externalKey" : "floatingCalcPeriodDates" } }, - "rateSpecification" : { - "floatingRate" : { + "paymentDates" : { + "paymentFrequency" : { + "periodMultiplier" : 6, + "period" : "M", "meta" : { - "globalKey" : "0" - }, - "rateOption" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "rateOption-1" + "globalKey" : "107" + } + }, + "payRelativeTo" : "CalculationPeriodEndDate", + "paymentDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCentersReference" : { + "globalReference" : "1ff50d", + "externalReference" : "primaryBusinessCenters" + }, + "meta" : { + "globalKey" : "eb13047c" } + }, + "meta" : { + "globalKey" : "214e084d" } + }, + "meta" : { + "globalKey" : "7a04f180" } }, "resetDates" : { "calculationPeriodDatesReference" : { - "externalReference" : "floatingCalcPeriodDates", - "globalReference" : "3e2554c0" + "globalReference" : "a26405d2", + "externalReference" : "floatingCalcPeriodDates" }, + "resetRelativeTo" : "CalculationPeriodStartDate", "fixingDates" : { + "periodMultiplier" : -2, + "period" : "D", "meta" : { - "globalKey" : "131ae8a2" + "globalKey" : "eff6d356" }, - "period" : "D", - "periodMultiplier" : -2, - "dayType" : "BUSINESS", + "dayType" : "Business", + "businessDayConvention" : "NONE", "businessCenters" : { "businessCenter" : [ { "value" : "GBLO" @@ -316,82 +164,79 @@ "globalKey" : "21479e" } }, - "businessDayConvention" : "NONE", "dateRelativeTo" : { - "externalReference" : "resetDates", - "globalReference" : "dbde664a" + "globalReference" : "a5aeeeb8", + "externalReference" : "resetDates" } }, - "meta" : { - "externalKey" : "resetDates", - "globalKey" : "dbde664a" + "resetFrequency" : { + "periodMultiplier" : 6, + "period" : "M", + "meta" : { + "globalKey" : "107" + } }, "resetDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", "businessCenters" : { "businessCentersReference" : { - "externalReference" : "primaryBusinessCenters", - "globalReference" : "1ff50d" + "globalReference" : "1ff50d", + "externalReference" : "primaryBusinessCenters" }, "meta" : { "globalKey" : "eb13047c" } }, - "businessDayConvention" : "MODFOLLOWING", "meta" : { "globalKey" : "214e084d" } }, - "resetFrequency" : { - "meta" : { - "globalKey" : "959" - }, - "period" : "M", - "periodMultiplier" : 6 - }, - "resetRelativeTo" : "CALCULATION_PERIOD_START_DATE" + "meta" : { + "globalKey" : "a5aeeeb8", + "externalKey" : "resetDates" + } + }, + "meta" : { + "globalKey" : "2e03d8ab" } }, { "payerReceiver" : { - "payer" : "PARTY_2", - "receiver" : "PARTY_1" + "payer" : "Party2", + "receiver" : "Party1" }, "priceQuantity" : { - "meta" : { - "globalKey" : "0" - }, "quantitySchedule" : { "address" : { "scope" : "DOCUMENT", "value" : "quantity-2" } + }, + "meta" : { + "globalKey" : "0" } }, - "calculationPeriodDates" : { - "calculationPeriodDatesAdjustments" : { - "businessCenters" : { - "businessCentersReference" : { - "externalReference" : "primaryBusinessCenters", - "globalReference" : "1ff50d" - }, - "meta" : { - "globalKey" : "eb13047c" + "rateSpecification" : { + "fixedRate" : { + "rateSchedule" : { + "price" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "price-1" + } } }, - "businessDayConvention" : "MODFOLLOWING", "meta" : { - "globalKey" : "214e084d" + "globalKey" : "0" } - }, - "calculationPeriodFrequency" : { - "meta" : { - "globalKey" : "2b8fa" - }, - "period" : "Y", - "periodMultiplier" : 1, - "rollConvention" : "14" - }, + } + }, + "dayCountFraction" : { + "value" : "30E/360" + }, + "calculationPeriodDates" : { "effectiveDate" : { "adjustableDate" : { + "unadjustedDate" : "1994-12-14", "dateAdjustments" : { "businessDayConvention" : "NONE", "meta" : { @@ -400,126 +245,281 @@ }, "meta" : { "globalKey" : "ea1a6ec6" - }, - "unadjustedDate" : "1994-12-14" + } }, "meta" : { "globalKey" : "ea1a6ec6" } }, - "meta" : { - "externalKey" : "fixedCalcPeriodDates", - "globalKey" : "faa5b75e" - }, "terminationDate" : { "adjustableDate" : { + "unadjustedDate" : "1999-12-14", "dateAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", "businessCenters" : { "businessCentersReference" : { - "externalReference" : "primaryBusinessCenters", - "globalReference" : "1ff50d" + "globalReference" : "1ff50d", + "externalReference" : "primaryBusinessCenters" }, "meta" : { "globalKey" : "eb13047c" } }, - "businessDayConvention" : "MODFOLLOWING", "meta" : { "globalKey" : "214e084d" } }, "meta" : { "globalKey" : "93c845ff" - }, - "unadjustedDate" : "1999-12-14" + } }, "meta" : { "globalKey" : "93c845ff" } - } - }, - "dayCountFraction" : { - "value" : "30E/360" - }, - "meta" : { - "globalKey" : "f8158737" - }, - "paymentDates" : { - "meta" : { - "globalKey" : "4fa46135" }, - "payRelativeTo" : "CALCULATION_PERIOD_END_DATE", - "paymentDatesAdjustments" : { + "calculationPeriodDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", "businessCenters" : { "businessCentersReference" : { - "externalReference" : "primaryBusinessCenters", - "globalReference" : "1ff50d" + "globalReference" : "1ff50d", + "externalReference" : "primaryBusinessCenters" }, "meta" : { "globalKey" : "eb13047c" } }, - "businessDayConvention" : "MODFOLLOWING", "meta" : { "globalKey" : "214e084d" } }, - "paymentFrequency" : { + "calculationPeriodFrequency" : { + "periodMultiplier" : 1, + "period" : "Y", "meta" : { - "globalKey" : "ac8" + "globalKey" : "1794a" }, - "period" : "Y", - "periodMultiplier" : 1 + "rollConvention" : "14" + }, + "meta" : { + "globalKey" : "9249d1f2", + "externalKey" : "fixedCalcPeriodDates" } }, - "rateSpecification" : { - "fixedRate" : { + "paymentDates" : { + "paymentFrequency" : { + "periodMultiplier" : 1, + "period" : "Y", "meta" : { - "globalKey" : "0" - }, - "rateSchedule" : { - "price" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "price-1" - } + "globalKey" : "78" + } + }, + "payRelativeTo" : "CalculationPeriodEndDate", + "paymentDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCentersReference" : { + "globalReference" : "1ff50d", + "externalReference" : "primaryBusinessCenters" + }, + "meta" : { + "globalKey" : "eb13047c" } + }, + "meta" : { + "globalKey" : "214e084d" } + }, + "meta" : { + "globalKey" : "85fff0af" } + }, + "meta" : { + "globalKey" : "9c789d4b" } } ], "meta" : { - "globalKey" : "4f3ab328" + "globalKey" : "eee37036" } } }, "meta" : { - "globalKey" : "4f3ab328" + "globalKey" : "eee37036" } }, "meta" : { - "globalKey" : "4f3ab328" + "globalKey" : "eee37036" } }, + "priceQuantity" : [ { + "quantity" : [ { + "value" : { + "value" : 50000000.00, + "unit" : { + "currency" : { + "value" : "EUR", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/iso4217" + } + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] + } + } ], + "observable" : { + "rateOption" : { + "value" : { + "floatingRateIndex" : { + "value" : "EUR-LIBOR-BBA" + }, + "indexTenor" : { + "periodMultiplier" : 6, + "period" : "M", + "meta" : { + "globalKey" : "107" + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "rateOption-1" + } ] + } + }, + "meta" : { + "globalKey" : "2505dd46" + } + }, + "meta" : { + "globalKey" : "c0d07bed" + } + }, { + "price" : [ { + "value" : { + "value" : 0.06, + "unit" : { + "currency" : { + "value" : "EUR", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/iso4217" + } + } + }, + "perUnitOf" : { + "currency" : { + "value" : "EUR", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/iso4217" + } + } + }, + "priceType" : "InterestRate" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-1" + } ] + } + } ], + "quantity" : [ { + "value" : { + "value" : 50000000.00, + "unit" : { + "currency" : { + "value" : "EUR", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/iso4217" + } + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } ] + } + } ], + "meta" : { + "globalKey" : "c7dc9ac4" + } + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "9495a03c", + "externalReference" : "party1" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "ca05a501", + "externalReference" : "party2" + } + } ], + "parties" : [ { + "partyId" : [ { + "identifier" : { + "value" : "PARTYAUS33", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/iso9362" + } + }, + "identifierType" : "BIC", + "meta" : { + "globalKey" : "3d5ebc15" + } + } ], + "name" : { + "value" : "Party A" + }, + "meta" : { + "globalKey" : "9495a03c", + "externalKey" : "party1" + } + }, { + "partyId" : [ { + "identifier" : { + "value" : "BARCGB2L", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/iso9362" + } + }, + "identifierType" : "BIC", + "meta" : { + "globalKey" : "ca05a501" + } + } ], + "meta" : { + "globalKey" : "ca05a501", + "externalKey" : "party2" + } + } ], "tradeDate" : { "value" : "1994-12-12" }, "tradeIdentifier" : [ { + "issuerReference" : { + "globalReference" : "ca05a501", + "externalReference" : "party2" + }, "assignedIdentifier" : [ { "identifier" : { + "value" : "SW2000", "meta" : { "scheme" : "http://www.barclays.com/swaps/trade-id" - }, - "value" : "SW2000" + } }, "version" : 1 } ], - "issuerReference" : { - "externalReference" : "party2", - "globalReference" : "ca05a501" - }, "meta" : { - "globalKey" : "c506462f" + "globalKey" : "ac670cef" } } ] } diff --git a/rosetta-source/src/main/resources/cdm-sample-files/functions/business-event/execution/execution-ir-swap-with-fee-func-input.json b/rosetta-source/src/main/resources/cdm-sample-files/functions/business-event/execution/execution-ir-swap-with-fee-func-input.json index 5ab5480974..92f092a0ec 100644 --- a/rosetta-source/src/main/resources/cdm-sample-files/functions/business-event/execution/execution-ir-swap-with-fee-func-input.json +++ b/rosetta-source/src/main/resources/cdm-sample-files/functions/business-event/execution/execution-ir-swap-with-fee-func-input.json @@ -2,140 +2,6 @@ "instruction" : [ { "primitiveInstruction" : { "execution" : { - "counterparty" : [ { - "partyReference" : { - "externalReference" : "party1", - "globalReference" : "33f59557" - }, - "role" : "PARTY_1" - }, { - "partyReference" : { - "externalReference" : "party2", - "globalReference" : "33f59558" - }, - "role" : "PARTY_2" - } ], - "parties" : [ { - "meta" : { - "externalKey" : "party1", - "globalKey" : "33f59557" - }, - "partyId" : [ { - "identifier" : { - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external" - }, - "value" : "Party 1" - }, - "meta" : { - "globalKey" : "33f59557" - } - } ] - }, { - "meta" : { - "externalKey" : "party2", - "globalKey" : "33f59558" - }, - "partyId" : [ { - "identifier" : { - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external" - }, - "value" : "Party 2" - }, - "meta" : { - "globalKey" : "33f59558" - } - } ] - } ], - "priceQuantity" : [ { - "meta" : { - "globalKey" : "467212c2" - }, - "price" : [ { - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-1" - } ] - }, - "value" : { - "unit" : { - "currency" : { - "value" : "GBP" - } - }, - "value" : 0.03, - "perUnitOf" : { - "currency" : { - "value" : "GBP" - } - }, - "priceType" : "INTEREST_RATE" - } - } ], - "quantity" : [ { - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] - }, - "value" : { - "unit" : { - "currency" : { - "value" : "GBP" - } - }, - "value" : 100000 - } - } ] - }, { - "meta" : { - "globalKey" : "d1e8e568" - }, - "observable" : { - "meta" : { - "globalKey" : "e4650aae" - }, - "rateOption" : { - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "rateOption-1" - } ] - }, - "value" : { - "floatingRateIndex" : { - "value" : "GBP-LIBOR-ISDA" - }, - "indexTenor" : { - "meta" : { - "globalKey" : "956" - }, - "period" : "M", - "periodMultiplier" : 3 - } - } - } - }, - "quantity" : [ { - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } ] - }, - "value" : { - "unit" : { - "currency" : { - "value" : "GBP" - } - }, - "value" : 100000 - } - } ] - } ], "product" : { "contractualProduct" : { "productTaxonomy" : [ { @@ -146,46 +12,44 @@ "payout" : { "interestRatePayout" : [ { "payerReceiver" : { - "payer" : "PARTY_1", - "receiver" : "PARTY_2" + "payer" : "Party1", + "receiver" : "Party2" }, "priceQuantity" : { - "meta" : { - "globalKey" : "0" - }, "quantitySchedule" : { "address" : { "scope" : "DOCUMENT", "value" : "quantity-1" } + }, + "meta" : { + "globalKey" : "0" } }, - "calculationPeriodDates" : { - "calculationPeriodDatesAdjustments" : { - "businessCenters" : { - "businessCenter" : [ { - "value" : "GBLO" - } ], - "meta" : { - "globalKey" : "21479e" + "rateSpecification" : { + "fixedRate" : { + "rateSchedule" : { + "price" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "price-1" + } } }, - "businessDayConvention" : "MODFOLLOWING", "meta" : { - "globalKey" : "365c4b6f" + "globalKey" : "0" } - }, - "calculationPeriodFrequency" : { - "meta" : { - "globalKey" : "25e2ab" - }, - "period" : "T", - "periodMultiplier" : 1, - "rollConvention" : "NONE" - }, + } + }, + "dayCountFraction" : { + "value" : "30E/360" + }, + "calculationPeriodDates" : { "effectiveDate" : { "adjustableDate" : { + "unadjustedDate" : "2018-02-22", "dateAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", "businessCenters" : { "businessCenter" : [ { "value" : "GBLO" @@ -194,23 +58,23 @@ "globalKey" : "21479e" } }, - "businessDayConvention" : "MODFOLLOWING", "meta" : { "globalKey" : "365c4b6f" } }, "meta" : { "globalKey" : "d2fe2899" - }, - "unadjustedDate" : "2018-02-22" + } }, "meta" : { "globalKey" : "d2fe2899" } }, - "firstPeriodStartDate" : { + "terminationDate" : { "adjustableDate" : { + "unadjustedDate" : "2020-02-22", "dateAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", "businessCenters" : { "businessCenter" : [ { "value" : "GBLO" @@ -219,27 +83,37 @@ "globalKey" : "21479e" } }, - "businessDayConvention" : "MODFOLLOWING", "meta" : { "globalKey" : "365c4b6f" } }, "meta" : { - "globalKey" : "cf94775b" - }, - "unadjustedDate" : "2018-02-20" + "globalKey" : "20881899" + } }, "meta" : { - "globalKey" : "cf94775b" + "globalKey" : "20881899" } }, - "meta" : { - "externalKey" : "N10434", - "globalKey" : "2e920c27" + "calculationPeriodDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "GBLO" + } ], + "meta" : { + "globalKey" : "21479e" + } + }, + "meta" : { + "globalKey" : "365c4b6f" + } }, - "terminationDate" : { + "firstPeriodStartDate" : { "adjustableDate" : { + "unadjustedDate" : "2018-02-20", "dateAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", "businessCenters" : { "businessCenter" : [ { "value" : "GBLO" @@ -248,33 +122,42 @@ "globalKey" : "21479e" } }, - "businessDayConvention" : "MODFOLLOWING", "meta" : { "globalKey" : "365c4b6f" } }, "meta" : { - "globalKey" : "20881899" - }, - "unadjustedDate" : "2020-02-22" + "globalKey" : "cf94775b" + } }, "meta" : { - "globalKey" : "20881899" + "globalKey" : "cf94775b" } + }, + "calculationPeriodFrequency" : { + "periodMultiplier" : 1, + "period" : "T", + "meta" : { + "globalKey" : "24b525" + }, + "rollConvention" : "NONE" + }, + "meta" : { + "globalKey" : "f13835fd", + "externalKey" : "N10434" } }, - "dayCountFraction" : { - "value" : "30E/360" - }, - "meta" : { - "globalKey" : "310aa42b" - }, "paymentDates" : { - "meta" : { - "globalKey" : "965ab238" + "paymentFrequency" : { + "periodMultiplier" : 1, + "period" : "T", + "meta" : { + "globalKey" : "73" + } }, - "payRelativeTo" : "CALCULATION_PERIOD_END_DATE", + "payRelativeTo" : "CalculationPeriodEndDate", "paymentDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", "businessCenters" : { "businessCenter" : [ { "value" : "GBLO" @@ -283,68 +166,55 @@ "globalKey" : "21479e" } }, - "businessDayConvention" : "MODFOLLOWING", "meta" : { "globalKey" : "365c4b6f" } }, - "paymentFrequency" : { - "meta" : { - "globalKey" : "a2d" - }, - "period" : "T", - "periodMultiplier" : 1 + "meta" : { + "globalKey" : "9285f8b6" } }, - "rateSpecification" : { - "fixedRate" : { - "meta" : { - "globalKey" : "0" - }, - "rateSchedule" : { - "price" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "price-1" - } - } - } - } + "meta" : { + "globalKey" : "6f3e7a6b" } }, { "payerReceiver" : { - "payer" : "PARTY_2", - "receiver" : "PARTY_1" + "payer" : "Party2", + "receiver" : "Party1" }, "priceQuantity" : { - "meta" : { - "globalKey" : "0" - }, "quantitySchedule" : { "address" : { "scope" : "DOCUMENT", "value" : "quantity-2" } + }, + "meta" : { + "globalKey" : "0" } }, - "calculationPeriodDates" : { - "calculationPeriodDatesAdjustments" : { - "businessDayConvention" : "NONE", + "rateSpecification" : { + "floatingRate" : { + "rateOption" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "rateOption-1" + } + }, "meta" : { - "globalKey" : "24a738" + "globalKey" : "0" } - }, - "calculationPeriodFrequency" : { - "meta" : { - "globalKey" : "28c49" - }, - "period" : "M", - "periodMultiplier" : 3, - "rollConvention" : "22" - }, + } + }, + "dayCountFraction" : { + "value" : "ACT/360" + }, + "calculationPeriodDates" : { "effectiveDate" : { "adjustableDate" : { + "unadjustedDate" : "2018-02-22", "dateAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", "businessCenters" : { "businessCenter" : [ { "value" : "GBLO" @@ -353,44 +223,23 @@ "globalKey" : "21479e" } }, - "businessDayConvention" : "MODFOLLOWING", "meta" : { "globalKey" : "365c4b6f" } }, "meta" : { "globalKey" : "d2fe2899" - }, - "unadjustedDate" : "2018-02-22" + } }, "meta" : { "globalKey" : "d2fe2899" } }, - "firstPeriodStartDate" : { - "adjustableDate" : { - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "meta" : { - "globalKey" : "24a738" - } - }, - "meta" : { - "globalKey" : "ece1e2cc" - }, - "unadjustedDate" : "2018-02-20" - }, - "meta" : { - "globalKey" : "ece1e2cc" - } - }, - "meta" : { - "externalKey" : "N10277", - "globalKey" : "1c4f5a8b" - }, "terminationDate" : { "adjustableDate" : { + "unadjustedDate" : "2020-02-22", "dateAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", "businessCenters" : { "businessCenter" : [ { "value" : "GBLO" @@ -399,34 +248,65 @@ "globalKey" : "21479e" } }, - "businessDayConvention" : "MODFOLLOWING", "meta" : { "globalKey" : "365c4b6f" } }, "meta" : { "globalKey" : "20881899" - }, - "unadjustedDate" : "2020-02-22" + } }, "meta" : { "globalKey" : "20881899" } + }, + "calculationPeriodDatesAdjustments" : { + "businessDayConvention" : "NONE", + "meta" : { + "globalKey" : "24a738" + } + }, + "firstPeriodStartDate" : { + "adjustableDate" : { + "unadjustedDate" : "2018-02-20", + "dateAdjustments" : { + "businessDayConvention" : "NONE", + "meta" : { + "globalKey" : "24a738" + } + }, + "meta" : { + "globalKey" : "ece1e2cc" + } + }, + "meta" : { + "globalKey" : "ece1e2cc" + } + }, + "calculationPeriodFrequency" : { + "periodMultiplier" : 3, + "period" : "M", + "meta" : { + "globalKey" : "17f75" + }, + "rollConvention" : "22" + }, + "meta" : { + "globalKey" : "a633c897", + "externalKey" : "N10277" } }, - "compoundingMethod" : "FLAT", - "dayCountFraction" : { - "value" : "ACT/360" - }, - "meta" : { - "globalKey" : "c2b99513" - }, "paymentDates" : { - "meta" : { - "globalKey" : "965ab238" + "paymentFrequency" : { + "periodMultiplier" : 1, + "period" : "T", + "meta" : { + "globalKey" : "73" + } }, - "payRelativeTo" : "CALCULATION_PERIOD_END_DATE", + "payRelativeTo" : "CalculationPeriodEndDate", "paymentDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", "businessCenters" : { "businessCenter" : [ { "value" : "GBLO" @@ -435,44 +315,27 @@ "globalKey" : "21479e" } }, - "businessDayConvention" : "MODFOLLOWING", "meta" : { "globalKey" : "365c4b6f" } }, - "paymentFrequency" : { - "meta" : { - "globalKey" : "a2d" - }, - "period" : "T", - "periodMultiplier" : 1 - } - }, - "rateSpecification" : { - "floatingRate" : { - "meta" : { - "globalKey" : "0" - }, - "rateOption" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "rateOption-1" - } - } + "meta" : { + "globalKey" : "9285f8b6" } }, "resetDates" : { "calculationPeriodDatesReference" : { - "externalReference" : "N10277", - "globalReference" : "1c4f5a8b" + "globalReference" : "a633c897", + "externalReference" : "N10277" }, "fixingDates" : { + "periodMultiplier" : -2, + "period" : "D", "meta" : { - "globalKey" : "131ae8a2" + "globalKey" : "eff6d356" }, - "period" : "D", - "periodMultiplier" : -2, - "dayType" : "BUSINESS", + "dayType" : "Business", + "businessDayConvention" : "NONE", "businessCenters" : { "businessCenter" : [ { "value" : "GBLO" @@ -481,17 +344,20 @@ "globalKey" : "21479e" } }, - "businessDayConvention" : "NONE", "dateRelativeTo" : { - "externalReference" : "resetDates", - "globalReference" : "cdba576e" + "globalReference" : "c7301fa0", + "externalReference" : "resetDates" } }, - "meta" : { - "externalKey" : "resetDates", - "globalKey" : "cdba576e" + "resetFrequency" : { + "periodMultiplier" : 3, + "period" : "M", + "meta" : { + "globalKey" : "aa" + } }, "resetDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", "businessCenters" : { "businessCenter" : [ { "value" : "GBLO" @@ -500,81 +366,214 @@ "globalKey" : "21479e" } }, - "businessDayConvention" : "MODFOLLOWING", "meta" : { "globalKey" : "365c4b6f" } }, - "resetFrequency" : { - "meta" : { - "globalKey" : "956" - }, - "period" : "M", - "periodMultiplier" : 3 + "meta" : { + "globalKey" : "c7301fa0", + "externalKey" : "resetDates" } + }, + "compoundingMethod" : "Flat", + "meta" : { + "globalKey" : "8f9dfe7b" } } ], "meta" : { - "globalKey" : "d76553be" + "globalKey" : "fb567366" } } }, "meta" : { - "globalKey" : "d76553be" + "globalKey" : "fb567366" } }, "meta" : { - "globalKey" : "d76553be" + "globalKey" : "fb567366" } }, + "priceQuantity" : [ { + "price" : [ { + "value" : { + "value" : 0.03, + "unit" : { + "currency" : { + "value" : "GBP" + } + }, + "perUnitOf" : { + "currency" : { + "value" : "GBP" + } + }, + "priceType" : "InterestRate" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-1" + } ] + } + } ], + "quantity" : [ { + "value" : { + "value" : 100000, + "unit" : { + "currency" : { + "value" : "GBP" + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] + } + } ], + "meta" : { + "globalKey" : "87d0457e" + } + }, { + "quantity" : [ { + "value" : { + "value" : 100000, + "unit" : { + "currency" : { + "value" : "GBP" + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } ] + } + } ], + "observable" : { + "rateOption" : { + "value" : { + "floatingRateIndex" : { + "value" : "GBP-LIBOR-ISDA" + }, + "indexTenor" : { + "periodMultiplier" : 3, + "period" : "M", + "meta" : { + "globalKey" : "aa" + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "rateOption-1" + } ] + } + }, + "meta" : { + "globalKey" : "a83b3e3e" + } + }, + "meta" : { + "globalKey" : "28ba9a94" + } + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "33f59557", + "externalReference" : "party1" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "33f59558", + "externalReference" : "party2" + } + } ], + "parties" : [ { + "partyId" : [ { + "identifier" : { + "value" : "Party 1", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external" + } + }, + "meta" : { + "globalKey" : "33f59557" + } + } ], + "meta" : { + "globalKey" : "33f59557", + "externalKey" : "party1" + } + }, { + "partyId" : [ { + "identifier" : { + "value" : "Party 2", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external" + } + }, + "meta" : { + "globalKey" : "33f59558" + } + } ], + "meta" : { + "globalKey" : "33f59558", + "externalKey" : "party2" + } + } ], "tradeDate" : { "value" : "2018-02-20" }, "tradeIdentifier" : [ { + "issuerReference" : { + "globalReference" : "33f59557", + "externalReference" : "party1" + }, "assignedIdentifier" : [ { "identifier" : { + "value" : "IRS858TH30", "meta" : { "scheme" : "http://www.fpml.org/coding-scheme/external/uti" - }, - "value" : "IRS858TH30" + } }, "version" : 1 } ], - "issuerReference" : { - "externalReference" : "party1", - "globalReference" : "33f59557" - }, "meta" : { - "globalKey" : "f1cb8cae" + "globalKey" : "debddbee" } } ] }, "transfer" : { "transferState" : [ { - "meta" : { - "globalKey" : "55fee3ca" - }, "transfer" : { - "payerReceiver" : { - "payerPartyReference" : { - "externalReference" : "party1", - "globalReference" : "33f59557" - }, - "receiverPartyReference" : { - "externalReference" : "party2", - "globalReference" : "33f59558" - } - }, "quantity" : { + "value" : 200.00, "unit" : { "currency" : { "value" : "USD" } + } + }, + "payerReceiver" : { + "payerPartyReference" : { + "globalReference" : "33f59557", + "externalReference" : "party1" }, - "value" : 200.00 + "receiverPartyReference" : { + "globalReference" : "33f59558", + "externalReference" : "party2" + } }, "settlementDate" : { + "unadjustedDate" : "2018-02-22", "dateAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", "businessCenters" : { "businessCenter" : [ { "value" : "GBLO" @@ -583,16 +582,17 @@ "globalKey" : "21479e" } }, - "businessDayConvention" : "MODFOLLOWING", "meta" : { "globalKey" : "365c4b6f" } - }, - "unadjustedDate" : "2018-02-22" + } }, "transferExpression" : { - "priceTransfer" : "UPFRONT" + "priceTransfer" : "Upfront" } + }, + "meta" : { + "globalKey" : "9cf906a4" } } ] } diff --git a/rosetta-source/src/main/resources/cdm-sample-files/functions/business-event/execution/execution-ir-swap-with-other-party-payment-func-input.json b/rosetta-source/src/main/resources/cdm-sample-files/functions/business-event/execution/execution-ir-swap-with-other-party-payment-func-input.json index 3a7cfc33b9..769a9dd8e5 100644 --- a/rosetta-source/src/main/resources/cdm-sample-files/functions/business-event/execution/execution-ir-swap-with-other-party-payment-func-input.json +++ b/rosetta-source/src/main/resources/cdm-sample-files/functions/business-event/execution/execution-ir-swap-with-other-party-payment-func-input.json @@ -2,181 +2,6 @@ "instruction" : [ { "primitiveInstruction" : { "execution" : { - "counterparty" : [ { - "partyReference" : { - "externalReference" : "party1", - "globalReference" : "a82d45fc" - }, - "role" : "PARTY_1" - }, { - "partyReference" : { - "externalReference" : "party2", - "globalReference" : "ca05a501" - }, - "role" : "PARTY_2" - } ], - "parties" : [ { - "meta" : { - "externalKey" : "party1", - "globalKey" : "a82d45fc" - }, - "name" : { - "value" : "Party A" - }, - "partyId" : [ { - "identifier" : { - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/iso9362" - }, - "value" : "PARTYAUS33" - }, - "identifierType" : "BIC", - "meta" : { - "globalKey" : "3d5ebc15" - } - } ] - }, { - "meta" : { - "externalKey" : "party2", - "globalKey" : "ca05a501" - }, - "partyId" : [ { - "identifier" : { - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/iso9362" - }, - "value" : "BARCGB2L" - }, - "identifierType" : "BIC", - "meta" : { - "globalKey" : "ca05a501" - } - } ] - }, { - "meta" : { - "externalKey" : "party3", - "globalKey" : "7ade9dd5" - }, - "partyId" : [ { - "identifier" : { - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/iso9362" - }, - "value" : "Broker" - }, - "identifierType" : "BIC", - "meta" : { - "globalKey" : "7ade9dd5" - } - } ] - } ], - "partyRoles" : [ { - "partyReference" : { - "externalReference" : "party3", - "globalReference" : "7ade9dd5" - }, - "role" : "ARRANGING_BROKER" - } ], - "priceQuantity" : [ { - "meta" : { - "globalKey" : "3ce21b9b" - }, - "observable" : { - "meta" : { - "globalKey" : "53c66a4c" - }, - "rateOption" : { - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "rateOption-1" - } ] - }, - "value" : { - "floatingRateIndex" : { - "value" : "EUR-LIBOR-BBA" - }, - "indexTenor" : { - "meta" : { - "globalKey" : "959" - }, - "period" : "M", - "periodMultiplier" : 6 - } - } - } - }, - "quantity" : [ { - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] - }, - "value" : { - "unit" : { - "currency" : { - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/iso4217" - }, - "value" : "EUR" - } - }, - "value" : 50000000.00 - } - } ] - }, { - "meta" : { - "globalKey" : "4882fcbc" - }, - "price" : [ { - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-1" - } ] - }, - "value" : { - "unit" : { - "currency" : { - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/iso4217" - }, - "value" : "EUR" - } - }, - "value" : 0.06, - "perUnitOf" : { - "currency" : { - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/iso4217" - }, - "value" : "EUR" - } - }, - "priceType" : "INTEREST_RATE" - } - } ], - "quantity" : [ { - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } ] - }, - "value" : { - "unit" : { - "currency" : { - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/iso4217" - }, - "value" : "EUR" - } - }, - "value" : 50000000.00 - } - } ] - } ], "product" : { "contractualProduct" : { "productTaxonomy" : [ { @@ -187,46 +12,40 @@ "payout" : { "interestRatePayout" : [ { "payerReceiver" : { - "payer" : "PARTY_1", - "receiver" : "PARTY_2" + "payer" : "Party1", + "receiver" : "Party2" }, "priceQuantity" : { - "meta" : { - "globalKey" : "0" - }, "quantitySchedule" : { "address" : { "scope" : "DOCUMENT", "value" : "quantity-1" } + }, + "meta" : { + "globalKey" : "0" } }, - "calculationPeriodDates" : { - "calculationPeriodDatesAdjustments" : { - "businessCenters" : { - "businessCentersReference" : { - "externalReference" : "primaryBusinessCenters", - "globalReference" : "1ff50d" - }, - "meta" : { - "globalKey" : "eb13047c" + "rateSpecification" : { + "floatingRate" : { + "rateOption" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "rateOption-1" } }, - "businessDayConvention" : "MODFOLLOWING", "meta" : { - "globalKey" : "214e084d" + "globalKey" : "0" } - }, - "calculationPeriodFrequency" : { - "meta" : { - "globalKey" : "28c89" - }, - "period" : "M", - "periodMultiplier" : 6, - "rollConvention" : "14" - }, + } + }, + "dayCountFraction" : { + "value" : "ACT/360" + }, + "calculationPeriodDates" : { "effectiveDate" : { "adjustableDate" : { + "unadjustedDate" : "1994-12-14", "dateAdjustments" : { "businessDayConvention" : "NONE", "meta" : { @@ -235,103 +54,108 @@ }, "meta" : { "globalKey" : "ea1a6ec6" - }, - "unadjustedDate" : "1994-12-14" + } }, "meta" : { "globalKey" : "ea1a6ec6" } }, - "meta" : { - "externalKey" : "floatingCalcPeriodDates", - "globalKey" : "3e2554c0" - }, "terminationDate" : { "adjustableDate" : { + "unadjustedDate" : "1999-12-14", "dateAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", "businessCenters" : { "businessCenter" : [ { "value" : "DEFR" } ], "meta" : { - "externalKey" : "primaryBusinessCenters", - "globalKey" : "1ff50d" + "globalKey" : "1ff50d", + "externalKey" : "primaryBusinessCenters" } }, - "businessDayConvention" : "MODFOLLOWING", "meta" : { "globalKey" : "365af8de" } }, "meta" : { "globalKey" : "a8d53690" - }, - "unadjustedDate" : "1999-12-14" + } }, "meta" : { "globalKey" : "a8d53690" } - } - }, - "dayCountFraction" : { - "value" : "ACT/360" - }, - "meta" : { - "globalKey" : "97763931" - }, - "paymentDates" : { - "meta" : { - "globalKey" : "4fa45fc6" }, - "payRelativeTo" : "CALCULATION_PERIOD_END_DATE", - "paymentDatesAdjustments" : { + "calculationPeriodDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", "businessCenters" : { "businessCentersReference" : { - "externalReference" : "primaryBusinessCenters", - "globalReference" : "1ff50d" + "globalReference" : "1ff50d", + "externalReference" : "primaryBusinessCenters" }, "meta" : { "globalKey" : "eb13047c" } }, - "businessDayConvention" : "MODFOLLOWING", "meta" : { "globalKey" : "214e084d" } }, - "paymentFrequency" : { + "calculationPeriodFrequency" : { + "periodMultiplier" : 6, + "period" : "M", "meta" : { - "globalKey" : "959" + "globalKey" : "18a9b" }, - "period" : "M", - "periodMultiplier" : 6 + "rollConvention" : "14" + }, + "meta" : { + "globalKey" : "a26405d2", + "externalKey" : "floatingCalcPeriodDates" } }, - "rateSpecification" : { - "floatingRate" : { + "paymentDates" : { + "paymentFrequency" : { + "periodMultiplier" : 6, + "period" : "M", "meta" : { - "globalKey" : "0" - }, - "rateOption" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "rateOption-1" + "globalKey" : "107" + } + }, + "payRelativeTo" : "CalculationPeriodEndDate", + "paymentDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCentersReference" : { + "globalReference" : "1ff50d", + "externalReference" : "primaryBusinessCenters" + }, + "meta" : { + "globalKey" : "eb13047c" } + }, + "meta" : { + "globalKey" : "214e084d" } + }, + "meta" : { + "globalKey" : "7a04f180" } }, "resetDates" : { "calculationPeriodDatesReference" : { - "externalReference" : "floatingCalcPeriodDates", - "globalReference" : "3e2554c0" + "globalReference" : "a26405d2", + "externalReference" : "floatingCalcPeriodDates" }, + "resetRelativeTo" : "CalculationPeriodStartDate", "fixingDates" : { + "periodMultiplier" : -2, + "period" : "D", "meta" : { - "globalKey" : "131ae8a2" + "globalKey" : "eff6d356" }, - "period" : "D", - "periodMultiplier" : -2, - "dayType" : "BUSINESS", + "dayType" : "Business", + "businessDayConvention" : "NONE", "businessCenters" : { "businessCenter" : [ { "value" : "GBLO" @@ -340,82 +164,79 @@ "globalKey" : "21479e" } }, - "businessDayConvention" : "NONE", "dateRelativeTo" : { - "externalReference" : "resetDates", - "globalReference" : "dbde664a" + "globalReference" : "a5aeeeb8", + "externalReference" : "resetDates" } }, - "meta" : { - "externalKey" : "resetDates", - "globalKey" : "dbde664a" + "resetFrequency" : { + "periodMultiplier" : 6, + "period" : "M", + "meta" : { + "globalKey" : "107" + } }, "resetDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", "businessCenters" : { "businessCentersReference" : { - "externalReference" : "primaryBusinessCenters", - "globalReference" : "1ff50d" + "globalReference" : "1ff50d", + "externalReference" : "primaryBusinessCenters" }, "meta" : { "globalKey" : "eb13047c" } }, - "businessDayConvention" : "MODFOLLOWING", "meta" : { "globalKey" : "214e084d" } }, - "resetFrequency" : { - "meta" : { - "globalKey" : "959" - }, - "period" : "M", - "periodMultiplier" : 6 - }, - "resetRelativeTo" : "CALCULATION_PERIOD_START_DATE" + "meta" : { + "globalKey" : "a5aeeeb8", + "externalKey" : "resetDates" + } + }, + "meta" : { + "globalKey" : "2e03d8ab" } }, { "payerReceiver" : { - "payer" : "PARTY_2", - "receiver" : "PARTY_1" + "payer" : "Party2", + "receiver" : "Party1" }, "priceQuantity" : { - "meta" : { - "globalKey" : "0" - }, "quantitySchedule" : { "address" : { "scope" : "DOCUMENT", "value" : "quantity-2" } + }, + "meta" : { + "globalKey" : "0" } }, - "calculationPeriodDates" : { - "calculationPeriodDatesAdjustments" : { - "businessCenters" : { - "businessCentersReference" : { - "externalReference" : "primaryBusinessCenters", - "globalReference" : "1ff50d" - }, - "meta" : { - "globalKey" : "eb13047c" + "rateSpecification" : { + "fixedRate" : { + "rateSchedule" : { + "price" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "price-1" + } } }, - "businessDayConvention" : "MODFOLLOWING", "meta" : { - "globalKey" : "214e084d" + "globalKey" : "0" } - }, - "calculationPeriodFrequency" : { - "meta" : { - "globalKey" : "2b8fa" - }, - "period" : "Y", - "periodMultiplier" : 1, - "rollConvention" : "14" - }, + } + }, + "dayCountFraction" : { + "value" : "30E/360" + }, + "calculationPeriodDates" : { "effectiveDate" : { "adjustableDate" : { + "unadjustedDate" : "1994-12-14", "dateAdjustments" : { "businessDayConvention" : "NONE", "meta" : { @@ -424,164 +245,343 @@ }, "meta" : { "globalKey" : "ea1a6ec6" - }, - "unadjustedDate" : "1994-12-14" + } }, "meta" : { "globalKey" : "ea1a6ec6" } }, - "meta" : { - "externalKey" : "fixedCalcPeriodDates", - "globalKey" : "faa5b75e" - }, "terminationDate" : { "adjustableDate" : { + "unadjustedDate" : "1999-12-14", "dateAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", "businessCenters" : { "businessCentersReference" : { - "externalReference" : "primaryBusinessCenters", - "globalReference" : "1ff50d" + "globalReference" : "1ff50d", + "externalReference" : "primaryBusinessCenters" }, "meta" : { "globalKey" : "eb13047c" } }, - "businessDayConvention" : "MODFOLLOWING", "meta" : { "globalKey" : "214e084d" } }, "meta" : { "globalKey" : "93c845ff" - }, - "unadjustedDate" : "1999-12-14" + } }, "meta" : { "globalKey" : "93c845ff" } - } - }, - "dayCountFraction" : { - "value" : "30E/360" - }, - "meta" : { - "globalKey" : "f8158737" - }, - "paymentDates" : { - "meta" : { - "globalKey" : "4fa46135" }, - "payRelativeTo" : "CALCULATION_PERIOD_END_DATE", - "paymentDatesAdjustments" : { + "calculationPeriodDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", "businessCenters" : { "businessCentersReference" : { - "externalReference" : "primaryBusinessCenters", - "globalReference" : "1ff50d" + "globalReference" : "1ff50d", + "externalReference" : "primaryBusinessCenters" }, "meta" : { "globalKey" : "eb13047c" } }, - "businessDayConvention" : "MODFOLLOWING", "meta" : { "globalKey" : "214e084d" } }, - "paymentFrequency" : { + "calculationPeriodFrequency" : { + "periodMultiplier" : 1, + "period" : "Y", "meta" : { - "globalKey" : "ac8" + "globalKey" : "1794a" }, - "period" : "Y", - "periodMultiplier" : 1 + "rollConvention" : "14" + }, + "meta" : { + "globalKey" : "9249d1f2", + "externalKey" : "fixedCalcPeriodDates" } }, - "rateSpecification" : { - "fixedRate" : { + "paymentDates" : { + "paymentFrequency" : { + "periodMultiplier" : 1, + "period" : "Y", "meta" : { - "globalKey" : "0" - }, - "rateSchedule" : { - "price" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "price-1" - } + "globalKey" : "78" + } + }, + "payRelativeTo" : "CalculationPeriodEndDate", + "paymentDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCentersReference" : { + "globalReference" : "1ff50d", + "externalReference" : "primaryBusinessCenters" + }, + "meta" : { + "globalKey" : "eb13047c" } + }, + "meta" : { + "globalKey" : "214e084d" } + }, + "meta" : { + "globalKey" : "85fff0af" } + }, + "meta" : { + "globalKey" : "9c789d4b" } } ], "meta" : { - "globalKey" : "4f3ab328" + "globalKey" : "eee37036" } } }, "meta" : { - "globalKey" : "4f3ab328" + "globalKey" : "eee37036" } }, "meta" : { - "globalKey" : "4f3ab328" + "globalKey" : "eee37036" } }, + "priceQuantity" : [ { + "quantity" : [ { + "value" : { + "value" : 50000000.00, + "unit" : { + "currency" : { + "value" : "EUR", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/iso4217" + } + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] + } + } ], + "observable" : { + "rateOption" : { + "value" : { + "floatingRateIndex" : { + "value" : "EUR-LIBOR-BBA" + }, + "indexTenor" : { + "periodMultiplier" : 6, + "period" : "M", + "meta" : { + "globalKey" : "107" + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "rateOption-1" + } ] + } + }, + "meta" : { + "globalKey" : "2505dd46" + } + }, + "meta" : { + "globalKey" : "c0d07bed" + } + }, { + "price" : [ { + "value" : { + "value" : 0.06, + "unit" : { + "currency" : { + "value" : "EUR", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/iso4217" + } + } + }, + "perUnitOf" : { + "currency" : { + "value" : "EUR", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/iso4217" + } + } + }, + "priceType" : "InterestRate" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-1" + } ] + } + } ], + "quantity" : [ { + "value" : { + "value" : 50000000.00, + "unit" : { + "currency" : { + "value" : "EUR", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/iso4217" + } + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } ] + } + } ], + "meta" : { + "globalKey" : "c7dc9ac4" + } + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "9495a03c", + "externalReference" : "party1" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "ca05a501", + "externalReference" : "party2" + } + } ], + "parties" : [ { + "partyId" : [ { + "identifier" : { + "value" : "PARTYAUS33", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/iso9362" + } + }, + "identifierType" : "BIC", + "meta" : { + "globalKey" : "3d5ebc15" + } + } ], + "name" : { + "value" : "Party A" + }, + "meta" : { + "globalKey" : "9495a03c", + "externalKey" : "party1" + } + }, { + "partyId" : [ { + "identifier" : { + "value" : "BARCGB2L", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/iso9362" + } + }, + "identifierType" : "BIC", + "meta" : { + "globalKey" : "ca05a501" + } + } ], + "meta" : { + "globalKey" : "ca05a501", + "externalKey" : "party2" + } + }, { + "partyId" : [ { + "identifier" : { + "value" : "Broker", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/iso9362" + } + }, + "identifierType" : "BIC", + "meta" : { + "globalKey" : "7ade9dd5" + } + } ], + "meta" : { + "globalKey" : "7ade9dd5", + "externalKey" : "party3" + } + } ], + "partyRoles" : [ { + "partyReference" : { + "globalReference" : "7ade9dd5", + "externalReference" : "party3" + }, + "role" : "ArrangingBroker" + } ], "tradeDate" : { "value" : "1994-12-12" }, "tradeIdentifier" : [ { + "issuerReference" : { + "globalReference" : "ca05a501", + "externalReference" : "party2" + }, "assignedIdentifier" : [ { "identifier" : { + "value" : "SW2000", "meta" : { "scheme" : "http://www.barclays.com/swaps/trade-id" - }, - "value" : "SW2000" + } }, "version" : 1 } ], - "issuerReference" : { - "externalReference" : "party2", - "globalReference" : "ca05a501" - }, "meta" : { - "globalKey" : "c506462f" + "globalKey" : "ac670cef" } } ] }, "transfer" : { "transferState" : [ { - "meta" : { - "globalKey" : "a7297c49" - }, "transfer" : { - "payerReceiver" : { - "payerPartyReference" : { - "externalReference" : "party1", - "globalReference" : "a82d45fc" - }, - "receiverPartyReference" : { - "externalReference" : "party3", - "globalReference" : "7ade9dd5" - } - }, "quantity" : { + "value" : 2500.40, "unit" : { "currency" : { "value" : "USD" } + } + }, + "payerReceiver" : { + "payerPartyReference" : { + "globalReference" : "9495a03c", + "externalReference" : "party1" }, - "value" : 2500.40 + "receiverPartyReference" : { + "globalReference" : "7ade9dd5", + "externalReference" : "party3" + } }, "settlementDate" : { "adjustedDate" : { + "value" : "1994-12-14", "meta" : { "globalKey" : "3e530e" - }, - "value" : "1994-12-14" + } } }, "transferExpression" : { - "priceTransfer" : "UPFRONT" + "priceTransfer" : "Upfront" } + }, + "meta" : { + "globalKey" : "ebec4333" } } ] } diff --git a/rosetta-source/src/main/resources/cdm-sample-files/functions/business-event/execution/execution-ois-swap-func-input.json b/rosetta-source/src/main/resources/cdm-sample-files/functions/business-event/execution/execution-ois-swap-func-input.json index c86ee39081..2198d9ac63 100644 --- a/rosetta-source/src/main/resources/cdm-sample-files/functions/business-event/execution/execution-ois-swap-func-input.json +++ b/rosetta-source/src/main/resources/cdm-sample-files/functions/business-event/execution/execution-ois-swap-func-input.json @@ -2,148 +2,6 @@ "instruction" : [ { "primitiveInstruction" : { "execution" : { - "ancillaryParty" : [ { - "partyReference" : [ { - "externalReference" : "party1", - "globalReference" : "7cec034c" - } ], - "role" : "CALCULATION_AGENT_INDEPENDENT" - } ], - "counterparty" : [ { - "partyReference" : { - "externalReference" : "party1", - "globalReference" : "7cec034c" - }, - "role" : "PARTY_1" - }, { - "partyReference" : { - "externalReference" : "party2", - "globalReference" : "490e5f44" - }, - "role" : "PARTY_2" - } ], - "parties" : [ { - "meta" : { - "externalKey" : "party1", - "globalKey" : "7cec034c" - }, - "name" : { - "value" : "Party A" - }, - "partyId" : [ { - "identifier" : { - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/iso17442" - }, - "value" : "54930084UKLVMY22DS16" - }, - "identifierType" : "LEI", - "meta" : { - "globalKey" : "121d7965" - } - } ] - }, { - "meta" : { - "externalKey" : "party2", - "globalKey" : "490e5f44" - }, - "name" : { - "value" : "Party B" - }, - "partyId" : [ { - "identifier" : { - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/iso17442" - }, - "value" : "48750084UKLVTR22DS78" - }, - "identifierType" : "LEI", - "meta" : { - "globalKey" : "de31bddc" - } - } ] - } ], - "priceQuantity" : [ { - "meta" : { - "globalKey" : "f2809620" - }, - "observable" : { - "meta" : { - "globalKey" : "23c05191" - }, - "rateOption" : { - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "rateOption-1" - } ] - }, - "value" : { - "floatingRateIndex" : { - "value" : "EUR-EONIA-OIS-COMPOUND" - } - } - } - }, - "quantity" : [ { - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] - }, - "value" : { - "unit" : { - "currency" : { - "value" : "EUR" - } - }, - "value" : 100000000.00 - } - } ] - }, { - "meta" : { - "globalKey" : "27beb430" - }, - "price" : [ { - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-1" - } ] - }, - "value" : { - "unit" : { - "currency" : { - "value" : "EUR" - } - }, - "value" : 0.051, - "perUnitOf" : { - "currency" : { - "value" : "EUR" - } - }, - "priceType" : "INTEREST_RATE" - } - } ], - "quantity" : [ { - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } ] - }, - "value" : { - "unit" : { - "currency" : { - "value" : "EUR" - } - }, - "value" : 100000000.00 - } - } ] - } ], "product" : { "contractualProduct" : { "productTaxonomy" : [ { @@ -151,52 +9,43 @@ "productQualifier" : "InterestRate_IRSwap_FixedFloat_OIS" } ], "economicTerms" : { - "calculationAgent" : { - "calculationAgentParty" : "CALCULATION_AGENT_INDEPENDENT" - }, "payout" : { "interestRatePayout" : [ { "payerReceiver" : { - "payer" : "PARTY_1", - "receiver" : "PARTY_2" + "payer" : "Party1", + "receiver" : "Party2" }, "priceQuantity" : { - "meta" : { - "globalKey" : "0" - }, "quantitySchedule" : { "address" : { "scope" : "DOCUMENT", "value" : "quantity-1" } + }, + "meta" : { + "globalKey" : "0" } }, - "calculationPeriodDates" : { - "calculationPeriodDatesAdjustments" : { - "businessCenters" : { - "businessCentersReference" : { - "externalReference" : "primaryBusinessCenters", - "globalReference" : "20a71d" - }, - "meta" : { - "globalKey" : "eb13047c" + "rateSpecification" : { + "floatingRate" : { + "rateOption" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "rateOption-1" } }, - "businessDayConvention" : "MODFOLLOWING", "meta" : { - "globalKey" : "214e084d" + "globalKey" : "0" } - }, - "calculationPeriodFrequency" : { - "meta" : { - "globalKey" : "25e2ab" - }, - "period" : "T", - "periodMultiplier" : 1, - "rollConvention" : "NONE" - }, + } + }, + "dayCountFraction" : { + "value" : "ACT/360" + }, + "calculationPeriodDates" : { "effectiveDate" : { "adjustableDate" : { + "unadjustedDate" : "2001-01-29", "dateAdjustments" : { "businessDayConvention" : "NONE", "meta" : { @@ -205,110 +54,115 @@ }, "meta" : { "globalKey" : "eae28c55" - }, - "unadjustedDate" : "2001-01-29" + } }, "meta" : { "globalKey" : "eae28c55" } }, - "meta" : { - "externalKey" : "floatingCalcPeriodDates", - "globalKey" : "9919b9ce" - }, "terminationDate" : { "adjustableDate" : { + "unadjustedDate" : "2001-04-29", "dateAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", "businessCenters" : { "businessCenter" : [ { "value" : "EUTA" } ], "meta" : { - "externalKey" : "primaryBusinessCenters", - "globalKey" : "20a71d" + "globalKey" : "20a71d", + "externalKey" : "primaryBusinessCenters" } }, - "businessDayConvention" : "MODFOLLOWING", "meta" : { "globalKey" : "365baaee" } }, "meta" : { "globalKey" : "a6474bf1" - }, - "unadjustedDate" : "2001-04-29" + } }, "meta" : { "globalKey" : "a6474bf1" } - } - }, - "dayCountFraction" : { - "value" : "ACT/360" - }, - "meta" : { - "globalKey" : "886a9443" - }, - "paymentDates" : { - "meta" : { - "globalKey" : "dcfb3c17" }, - "payRelativeTo" : "CALCULATION_PERIOD_END_DATE", - "paymentDatesAdjustments" : { + "calculationPeriodDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", "businessCenters" : { "businessCentersReference" : { - "externalReference" : "primaryBusinessCenters", - "globalReference" : "20a71d" + "globalReference" : "20a71d", + "externalReference" : "primaryBusinessCenters" }, "meta" : { "globalKey" : "eb13047c" } }, - "businessDayConvention" : "MODFOLLOWING", "meta" : { "globalKey" : "214e084d" } }, - "paymentDaysOffset" : { - "meta" : { - "globalKey" : "ea4baf23" - }, - "period" : "D", + "calculationPeriodFrequency" : { "periodMultiplier" : 1, - "dayType" : "BUSINESS" - }, - "paymentFrequency" : { + "period" : "T", "meta" : { - "globalKey" : "a2d" + "globalKey" : "24b525" }, - "period" : "T", - "periodMultiplier" : 1 + "rollConvention" : "NONE" + }, + "meta" : { + "globalKey" : "37c36a6c", + "externalKey" : "floatingCalcPeriodDates" } }, - "rateSpecification" : { - "floatingRate" : { + "paymentDates" : { + "paymentFrequency" : { + "periodMultiplier" : 1, + "period" : "T", "meta" : { - "globalKey" : "0" + "globalKey" : "73" + } + }, + "payRelativeTo" : "CalculationPeriodEndDate", + "paymentDaysOffset" : { + "periodMultiplier" : 1, + "period" : "D", + "meta" : { + "globalKey" : "ea4abbbd" }, - "rateOption" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "rateOption-1" + "dayType" : "Business" + }, + "paymentDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCentersReference" : { + "globalReference" : "20a71d", + "externalReference" : "primaryBusinessCenters" + }, + "meta" : { + "globalKey" : "eb13047c" } + }, + "meta" : { + "globalKey" : "214e084d" } + }, + "meta" : { + "globalKey" : "1b77cc77" } }, "resetDates" : { "calculationPeriodDatesReference" : { - "externalReference" : "floatingCalcPeriodDates", - "globalReference" : "9919b9ce" + "globalReference" : "37c36a6c", + "externalReference" : "floatingCalcPeriodDates" }, + "resetRelativeTo" : "CalculationPeriodEndDate", "fixingDates" : { + "periodMultiplier" : 0, + "period" : "D", "meta" : { - "globalKey" : "23728acc" + "globalKey" : "98ca5cd4" }, - "period" : "D", - "periodMultiplier" : 0, + "businessDayConvention" : "PRECEDING", "businessCenters" : { "businessCenter" : [ { "value" : "EUTA" @@ -317,82 +171,79 @@ "globalKey" : "20a71d" } }, - "businessDayConvention" : "PRECEDING", "dateRelativeTo" : { - "externalReference" : "resetDates", - "globalReference" : "b44a57c9" + "globalReference" : "d5a6f6cb", + "externalReference" : "resetDates" } }, - "meta" : { - "externalKey" : "resetDates", - "globalKey" : "b44a57c9" + "resetFrequency" : { + "periodMultiplier" : 1, + "period" : "T", + "meta" : { + "globalKey" : "73" + } }, "resetDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", "businessCenters" : { "businessCentersReference" : { - "externalReference" : "primaryBusinessCenters", - "globalReference" : "20a71d" + "globalReference" : "20a71d", + "externalReference" : "primaryBusinessCenters" }, "meta" : { "globalKey" : "eb13047c" } }, - "businessDayConvention" : "MODFOLLOWING", "meta" : { "globalKey" : "214e084d" } }, - "resetFrequency" : { - "meta" : { - "globalKey" : "a2d" - }, - "period" : "T", - "periodMultiplier" : 1 - }, - "resetRelativeTo" : "CALCULATION_PERIOD_END_DATE" + "meta" : { + "globalKey" : "d5a6f6cb", + "externalKey" : "resetDates" + } + }, + "meta" : { + "globalKey" : "c4dd9e87" } }, { "payerReceiver" : { - "payer" : "PARTY_2", - "receiver" : "PARTY_1" + "payer" : "Party2", + "receiver" : "Party1" }, "priceQuantity" : { - "meta" : { - "globalKey" : "0" - }, "quantitySchedule" : { "address" : { "scope" : "DOCUMENT", "value" : "quantity-2" } + }, + "meta" : { + "globalKey" : "0" } }, - "calculationPeriodDates" : { - "calculationPeriodDatesAdjustments" : { - "businessCenters" : { - "businessCentersReference" : { - "externalReference" : "primaryBusinessCenters", - "globalReference" : "20a71d" - }, - "meta" : { - "globalKey" : "eb13047c" + "rateSpecification" : { + "fixedRate" : { + "rateSchedule" : { + "price" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "price-1" + } } }, - "businessDayConvention" : "MODFOLLOWING", "meta" : { - "globalKey" : "214e084d" + "globalKey" : "0" } - }, - "calculationPeriodFrequency" : { - "meta" : { - "globalKey" : "25e2ab" - }, - "period" : "T", - "periodMultiplier" : 1, - "rollConvention" : "NONE" - }, + } + }, + "dayCountFraction" : { + "value" : "ACT/360" + }, + "calculationPeriodDates" : { "effectiveDate" : { "adjustableDate" : { + "unadjustedDate" : "2001-01-29", "dateAdjustments" : { "businessDayConvention" : "NONE", "meta" : { @@ -401,129 +252,278 @@ }, "meta" : { "globalKey" : "eae28c55" - }, - "unadjustedDate" : "2001-01-29" + } }, "meta" : { "globalKey" : "eae28c55" } }, - "meta" : { - "externalKey" : "fixedCalcPeriodDates", - "globalKey" : "840c172d" - }, "terminationDate" : { "adjustableDate" : { + "unadjustedDate" : "2001-04-29", "dateAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", "businessCenters" : { "businessCentersReference" : { - "externalReference" : "primaryBusinessCenters", - "globalReference" : "20a71d" + "globalReference" : "20a71d", + "externalReference" : "primaryBusinessCenters" }, "meta" : { "globalKey" : "eb13047c" } }, - "businessDayConvention" : "MODFOLLOWING", "meta" : { "globalKey" : "214e084d" } }, "meta" : { "globalKey" : "9139a950" - }, - "unadjustedDate" : "2001-04-29" + } }, "meta" : { "globalKey" : "9139a950" } - } - }, - "dayCountFraction" : { - "value" : "ACT/360" - }, - "meta" : { - "globalKey" : "239597a" - }, - "paymentDates" : { - "meta" : { - "globalKey" : "4fa4609a" }, - "payRelativeTo" : "CALCULATION_PERIOD_END_DATE", - "paymentDatesAdjustments" : { + "calculationPeriodDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", "businessCenters" : { "businessCentersReference" : { - "externalReference" : "primaryBusinessCenters", - "globalReference" : "20a71d" + "globalReference" : "20a71d", + "externalReference" : "primaryBusinessCenters" }, "meta" : { "globalKey" : "eb13047c" } }, - "businessDayConvention" : "MODFOLLOWING", "meta" : { "globalKey" : "214e084d" } }, - "paymentFrequency" : { + "calculationPeriodFrequency" : { + "periodMultiplier" : 1, + "period" : "T", "meta" : { - "globalKey" : "a2d" + "globalKey" : "24b525" }, - "period" : "T", - "periodMultiplier" : 1 + "rollConvention" : "NONE" + }, + "meta" : { + "globalKey" : "d26aa7ed", + "externalKey" : "fixedCalcPeriodDates" } }, - "rateSpecification" : { - "fixedRate" : { + "paymentDates" : { + "paymentFrequency" : { + "periodMultiplier" : 1, + "period" : "T", "meta" : { - "globalKey" : "0" - }, - "rateSchedule" : { - "price" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "price-1" - } + "globalKey" : "73" + } + }, + "payRelativeTo" : "CalculationPeriodEndDate", + "paymentDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCentersReference" : { + "globalReference" : "20a71d", + "externalReference" : "primaryBusinessCenters" + }, + "meta" : { + "globalKey" : "eb13047c" } + }, + "meta" : { + "globalKey" : "214e084d" } + }, + "meta" : { + "globalKey" : "7d77b594" } + }, + "meta" : { + "globalKey" : "a422f862" } } ], "meta" : { - "globalKey" : "3a4ae9fd" + "globalKey" : "4c9c7e29" } + }, + "calculationAgent" : { + "calculationAgentParty" : "CalculationAgentIndependent" } }, "meta" : { - "globalKey" : "8fb047d3" + "globalKey" : "e3c180d3" } }, "meta" : { - "globalKey" : "8fb047d3" + "globalKey" : "e3c180d3" } }, + "priceQuantity" : [ { + "quantity" : [ { + "value" : { + "value" : 100000000.00, + "unit" : { + "currency" : { + "value" : "EUR" + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] + } + } ], + "observable" : { + "rateOption" : { + "value" : { + "floatingRateIndex" : { + "value" : "EUR-EONIA-OIS-COMPOUND" + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "rateOption-1" + } ] + } + }, + "meta" : { + "globalKey" : "5449e08f" + } + }, + "meta" : { + "globalKey" : "9894669e" + } + }, { + "price" : [ { + "value" : { + "value" : 0.051, + "unit" : { + "currency" : { + "value" : "EUR" + } + }, + "perUnitOf" : { + "currency" : { + "value" : "EUR" + } + }, + "priceType" : "InterestRate" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-1" + } ] + } + } ], + "quantity" : [ { + "value" : { + "value" : 100000000.00, + "unit" : { + "currency" : { + "value" : "EUR" + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } ] + } + } ], + "meta" : { + "globalKey" : "d017d1d0" + } + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "349a498c", + "externalReference" : "party1" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "4caf4c44", + "externalReference" : "party2" + } + } ], + "ancillaryParty" : [ { + "role" : "CalculationAgentIndependent", + "partyReference" : [ { + "globalReference" : "349a498c", + "externalReference" : "party1" + } ] + } ], + "parties" : [ { + "partyId" : [ { + "identifier" : { + "value" : "54930084UKLVMY22DS16", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/iso17442" + } + }, + "identifierType" : "LEI", + "meta" : { + "globalKey" : "121d7965" + } + } ], + "name" : { + "value" : "Party A" + }, + "meta" : { + "globalKey" : "349a498c", + "externalKey" : "party1" + } + }, { + "partyId" : [ { + "identifier" : { + "value" : "48750084UKLVTR22DS78", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/iso17442" + } + }, + "identifierType" : "LEI", + "meta" : { + "globalKey" : "de31bddc" + } + } ], + "name" : { + "value" : "Party B" + }, + "meta" : { + "globalKey" : "4caf4c44", + "externalKey" : "party2" + } + } ], "tradeDate" : { "value" : "2001-01-25" }, "tradeIdentifier" : [ { + "issuer" : { + "value" : "54930084UKLVMY22DS16", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/iso17442" + } + }, "assignedIdentifier" : [ { "identifier" : { + "value" : "UITD7895394", "meta" : { "scheme" : "http://www.fpml.org/coding-scheme/external/uti" - }, - "value" : "UITD7895394" + } } } ], - "issuer" : { - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/iso17442" - }, - "value" : "54930084UKLVMY22DS16" - }, "meta" : { - "globalKey" : "335bf1d6" + "globalKey" : "3eac3060" }, - "identifierType" : "UNIQUE_TRANSACTION_IDENTIFIER" + "identifierType" : "UniqueTransactionIdentifier" } ] } } diff --git a/rosetta-source/src/main/resources/cdm-sample-files/functions/business-event/execution/execution-repo-fixed-rate-func-input.json b/rosetta-source/src/main/resources/cdm-sample-files/functions/business-event/execution/execution-repo-fixed-rate-func-input.json index 3d49482b64..9d2433c94a 100644 --- a/rosetta-source/src/main/resources/cdm-sample-files/functions/business-event/execution/execution-repo-fixed-rate-func-input.json +++ b/rosetta-source/src/main/resources/cdm-sample-files/functions/business-event/execution/execution-repo-fixed-rate-func-input.json @@ -2,139 +2,44 @@ "instruction" : [ { "primitiveInstruction" : { "execution" : { - "counterparty" : [ { - "partyReference" : { - "externalReference" : "Party1", - "globalReference" : "33f59557" - }, - "role" : "PARTY_1" - }, { - "partyReference" : { - "externalReference" : "Party2", - "globalReference" : "33f59558" - }, - "role" : "PARTY_2" - } ], - "parties" : [ { - "meta" : { - "externalKey" : "Party1", - "globalKey" : "33f59557" - }, - "partyId" : [ { - "identifier" : { - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/dummy-party-id" - }, - "value" : "Party 1" - }, - "meta" : { - "globalKey" : "33f59557" - } - } ] - }, { - "meta" : { - "externalKey" : "Party2", - "globalKey" : "33f59558" - }, - "partyId" : [ { - "identifier" : { - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/dummy-party-id" - }, - "value" : "Party 2" - }, - "meta" : { - "globalKey" : "33f59558" - } - } ] - } ], - "priceQuantity" : [ { - "meta" : { - "globalKey" : "2055a57c" - }, - "observable" : { - "meta" : { - "globalKey" : "8145c30a" - }, - "productIdentifier" : [ { - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "productIdentifier-1" - } ] - }, - "value" : { - "identifier" : { - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/instrument-id-ISIN-1-0" - }, - "value" : "XS" - }, - "meta" : { - "globalKey" : "8145c30a" - }, - "source" : "ISIN" - } - } ] - }, - "price" : [ { - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-1" - } ] - }, - "value" : { - "unit" : { - "currency" : { - "value" : "USD" - } - }, - "value" : -0.75, - "perUnitOf" : { - "currency" : { - "value" : "USD" - } - }, - "priceType" : "INTEREST_RATE" - } - } ], - "quantity" : [ { - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] - }, - "value" : { - "unit" : { - "currency" : { - "value" : "USD" - } - }, - "value" : 1292748.30 - } - } ] - } ], "product" : { "contractualProduct" : { "economicTerms" : { "payout" : { "interestRatePayout" : [ { "priceQuantity" : { - "meta" : { - "globalKey" : "0" - }, "quantitySchedule" : { "address" : { "scope" : "DOCUMENT", "value" : "quantity-1" } + }, + "meta" : { + "globalKey" : "0" } }, + "rateSpecification" : { + "fixedRate" : { + "rateSchedule" : { + "price" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "price-1" + } + } + }, + "meta" : { + "globalKey" : "0" + } + } + }, + "dayCountFraction" : { + "value" : "ACT/365.FIXED" + }, "calculationPeriodDates" : { "effectiveDate" : { "adjustableDate" : { + "unadjustedDate" : "2013-10-29", "dateAdjustments" : { "businessDayConvention" : "NONE", "meta" : { @@ -143,18 +48,15 @@ }, "meta" : { "globalKey" : "ec535e95" - }, - "unadjustedDate" : "2013-10-29" + } }, "meta" : { "globalKey" : "ec535e95" } }, - "meta" : { - "globalKey" : "21ad6787" - }, "terminationDate" : { "adjustableDate" : { + "unadjustedDate" : "2013-11-04", "dateAdjustments" : { "businessDayConvention" : "NONE", "meta" : { @@ -163,72 +65,29 @@ }, "meta" : { "globalKey" : "ec53f0fc" - }, - "unadjustedDate" : "2013-11-04" + } }, "meta" : { "globalKey" : "ec53f0fc" } + }, + "meta" : { + "globalKey" : "21ad6787" } }, - "dayCountFraction" : { - "value" : "ACT/365.FIXED" - }, "meta" : { - "globalKey" : "965f0f1f" - }, - "rateSpecification" : { - "fixedRate" : { - "meta" : { - "globalKey" : "0" - }, - "rateSchedule" : { - "price" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "price-1" - } - } - } - } + "globalKey" : "c84f9bcd" } } ], - "meta" : { - "globalKey" : "62a30c68" - }, "securityPayout" : [ { - "initialMargin" : { - "margin" : [ { - "haircut" : -0.04762 - } ], - "marginType" : "CASH" - }, - "meta" : { - "globalKey" : "5edb1da7" - }, - "repoDuration" : "TERM", "securityLeg" : [ { "buyerSeller" : { - "buyer" : "PARTY_1", - "seller" : "PARTY_2" - }, - "deliveryMethod" : "DELIVERY_VERSUS_PAYMENT", - "meta" : { - "globalKey" : "24119d6" - }, - "settlementAmount" : { - "unit" : { - "currency" : { - "value" : "USD" - } - }, - "value" : 1292748.30, - "meta" : { - "globalKey" : "59b83060" - } + "buyer" : "Party1", + "seller" : "Party2" }, "settlementDate" : { "adjustableDate" : { + "unadjustedDate" : "2013-10-29", "dateAdjustments" : { "businessDayConvention" : "NONE", "meta" : { @@ -237,36 +96,35 @@ }, "meta" : { "globalKey" : "ec535e95" - }, - "unadjustedDate" : "2013-10-29" + } }, "meta" : { "globalKey" : "ec535e95" } - } - }, { - "buyerSeller" : { - "buyer" : "PARTY_2", - "seller" : "PARTY_1" - }, - "deliveryMethod" : "DELIVERY_VERSUS_PAYMENT", - "meta" : { - "externalKey" : "forwardLeg", - "globalKey" : "5c3ebcc4" }, "settlementAmount" : { + "value" : 1292748.30, "unit" : { "currency" : { "value" : "USD" } }, - "value" : 1292586.71, "meta" : { - "globalKey" : "eaa544d7" + "globalKey" : "59b83060" } }, + "deliveryMethod" : "DeliveryVersusPayment", + "meta" : { + "globalKey" : "1f48568c" + } + }, { + "buyerSeller" : { + "buyer" : "Party2", + "seller" : "Party1" + }, "settlementDate" : { "adjustableDate" : { + "unadjustedDate" : "2013-11-04", "dateAdjustments" : { "businessDayConvention" : "NONE", "meta" : { @@ -275,34 +133,56 @@ }, "meta" : { "globalKey" : "ec53f0fc" - }, - "unadjustedDate" : "2013-11-04" + } }, "meta" : { "globalKey" : "ec53f0fc" } + }, + "settlementAmount" : { + "value" : 1292586.71, + "unit" : { + "currency" : { + "value" : "USD" + } + }, + "meta" : { + "globalKey" : "eaa544d7" + } + }, + "deliveryMethod" : "DeliveryVersusPayment", + "meta" : { + "globalKey" : "f650339a", + "externalKey" : "forwardLeg" } } ], + "initialMargin" : { + "marginType" : "Cash", + "margin" : [ { + "haircut" : -0.04762 + } ] + }, + "repoDuration" : "Term", "securityValuation" : [ { "securityValuationModel" : { "bondValuationModel" : { - "bondPriceAndYieldModel" : { - "cleanOrDirtyPrice" : { - "cleanPrice" : { - "cleanPrice" : 112.334750 - } - } - }, "nominalAmount" : { + "value" : 1096000, "unit" : { "currency" : { "value" : "USD" } }, - "value" : 1096000, "meta" : { "globalKey" : "2d3b15b2" } + }, + "bondPriceAndYieldModel" : { + "cleanOrDirtyPrice" : { + "cleanPrice" : { + "cleanPrice" : 112.334750 + } + } } } }, @@ -314,52 +194,172 @@ } } ] } - } ] - } ] + } ], + "meta" : { + "globalKey" : "d56c1f6f" + } + } ], + "meta" : { + "globalKey" : "8d6beb42" + } } }, "meta" : { - "globalKey" : "62a30c68" + "globalKey" : "8d6beb42" } }, "meta" : { - "globalKey" : "62a30c68" + "globalKey" : "8d6beb42" } }, + "priceQuantity" : [ { + "price" : [ { + "value" : { + "value" : -0.75, + "unit" : { + "currency" : { + "value" : "USD" + } + }, + "perUnitOf" : { + "currency" : { + "value" : "USD" + } + }, + "priceType" : "InterestRate" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-1" + } ] + } + } ], + "quantity" : [ { + "value" : { + "value" : 1292748.30, + "unit" : { + "currency" : { + "value" : "USD" + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] + } + } ], + "observable" : { + "productIdentifier" : [ { + "value" : { + "identifier" : { + "value" : "XS", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/instrument-id-ISIN-1-0" + } + }, + "source" : "ISIN", + "meta" : { + "globalKey" : "8145c30a" + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "productIdentifier-1" + } ] + } + } ], + "meta" : { + "globalKey" : "a7729e36" + } + }, + "meta" : { + "globalKey" : "cd865d28" + } + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "33f59557", + "externalReference" : "Party1" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "33f59558", + "externalReference" : "Party2" + } + } ], + "parties" : [ { + "partyId" : [ { + "identifier" : { + "value" : "Party 1", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/dummy-party-id" + } + }, + "meta" : { + "globalKey" : "33f59557" + } + } ], + "meta" : { + "globalKey" : "33f59557", + "externalKey" : "Party1" + } + }, { + "partyId" : [ { + "identifier" : { + "value" : "Party 2", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/dummy-party-id" + } + }, + "meta" : { + "globalKey" : "33f59558" + } + } ], + "meta" : { + "globalKey" : "33f59558", + "externalKey" : "Party2" + } + } ], "tradeDate" : { "value" : "2013-10-29" }, "tradeIdentifier" : [ { + "issuerReference" : { + "globalReference" : "33f59557", + "externalReference" : "Party1" + }, "assignedIdentifier" : [ { "identifier" : { + "value" : "Party19235", "meta" : { "scheme" : "http://www.party1.com/swaps/trade-id" - }, - "value" : "Party19235" + } } } ], - "issuerReference" : { - "externalReference" : "Party1", - "globalReference" : "33f59557" - }, "meta" : { - "globalKey" : "f58e9891" + "globalKey" : "9dae69db" } }, { + "issuerReference" : { + "globalReference" : "33f59558", + "externalReference" : "Party2" + }, "assignedIdentifier" : [ { "identifier" : { + "value" : "Party22000", "meta" : { "scheme" : "http://www.party2.com/swaps/trade-id" - }, - "value" : "Party22000" + } } } ], - "issuerReference" : { - "externalReference" : "Party2", - "globalReference" : "33f59558" - }, "meta" : { - "globalKey" : "1e654896" + "globalKey" : "9db9bf3e" } } ] } diff --git a/rosetta-source/src/main/resources/cdm-sample-files/functions/business-event/execution/execution-swaption-func-input.json b/rosetta-source/src/main/resources/cdm-sample-files/functions/business-event/execution/execution-swaption-func-input.json index 56b6ebf21e..8b267257e2 100644 --- a/rosetta-source/src/main/resources/cdm-sample-files/functions/business-event/execution/execution-swaption-func-input.json +++ b/rosetta-source/src/main/resources/cdm-sample-files/functions/business-event/execution/execution-swaption-func-input.json @@ -2,149 +2,6 @@ "instruction" : [ { "primitiveInstruction" : { "execution" : { - "ancillaryParty" : [ { - "partyReference" : [ { - "externalReference" : "party2", - "globalReference" : "d4813764" - } ], - "role" : "CALCULATION_AGENT_INDEPENDENT" - } ], - "counterparty" : [ { - "partyReference" : { - "externalReference" : "party1", - "globalReference" : "d4813763" - }, - "role" : "PARTY_1" - }, { - "partyReference" : { - "externalReference" : "party2", - "globalReference" : "d4813764" - }, - "role" : "PARTY_2" - } ], - "parties" : [ { - "meta" : { - "externalKey" : "party1", - "globalKey" : "d4813763" - }, - "partyId" : [ { - "identifier" : { - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/iso9362" - }, - "value" : "party A" - }, - "identifierType" : "BIC", - "meta" : { - "globalKey" : "d4813763" - } - } ] - }, { - "meta" : { - "externalKey" : "party2", - "globalKey" : "d4813764" - }, - "partyId" : [ { - "identifier" : { - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/iso9362" - }, - "value" : "party B" - }, - "identifierType" : "BIC", - "meta" : { - "globalKey" : "d4813764" - } - } ] - } ], - "priceQuantity" : [ { - "meta" : { - "globalKey" : "7f30bbe5" - }, - "price" : [ { - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-1" - } ] - }, - "value" : { - "unit" : { - "currency" : { - "value" : "EUR" - } - }, - "value" : 0.05, - "perUnitOf" : { - "currency" : { - "value" : "EUR" - } - }, - "priceType" : "INTEREST_RATE" - } - } ], - "quantity" : [ { - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] - }, - "value" : { - "unit" : { - "currency" : { - "value" : "EUR" - } - }, - "value" : 100000000 - } - } ] - }, { - "meta" : { - "globalKey" : "65d139a0" - }, - "observable" : { - "meta" : { - "globalKey" : "bf589e11" - }, - "rateOption" : { - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "rateOption-1" - } ] - }, - "value" : { - "floatingRateIndex" : { - "value" : "EUR-EURIBOR-Telerate" - }, - "indexTenor" : { - "meta" : { - "globalKey" : "959" - }, - "period" : "M", - "periodMultiplier" : 6 - } - } - } - }, - "quantity" : [ { - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } ] - }, - "value" : { - "unit" : { - "currency" : { - "value" : "EUR" - } - }, - "value" : 100000000 - } - } ] - } ], "product" : { "contractualProduct" : { "productTaxonomy" : [ { @@ -152,45 +9,24 @@ "productQualifier" : "InterestRate_Option_Swaption" } ], "economicTerms" : { - "calculationAgent" : { - "calculationAgentParty" : "CALCULATION_AGENT_INDEPENDENT" - }, "payout" : { - "meta" : { - "globalKey" : "bdf2ac17" - }, "optionPayout" : [ { "payerReceiver" : { - "payer" : "PARTY_2", - "receiver" : "PARTY_1" + "payer" : "Party2", + "receiver" : "Party1" }, "buyerSeller" : { - "buyer" : "PARTY_1", - "seller" : "PARTY_2" + "buyer" : "Party1", + "seller" : "Party2" }, "exerciseTerms" : { - "exerciseProcedure" : { - "followUpConfirmation" : true, - "manualExercise" : { - "exerciseNotice" : { - "businessCenter" : { - "value" : "GBLO" - }, - "exerciseNoticeGiver" : "SELLER" - } - } - }, "optionStyle" : { "europeanExercise" : { - "earliestExerciseTime" : { - "businessCenter" : { - "value" : "BEBR" - }, - "hourMinuteTime" : "09:00:00" - }, "expirationDate" : [ { "adjustableDate" : { + "unadjustedDate" : "2001-08-28", "dateAdjustments" : { + "businessDayConvention" : "FOLLOWING", "businessCenters" : { "businessCenter" : [ { "value" : "EUTA" @@ -201,35 +37,47 @@ "globalKey" : "4158421" } }, - "businessDayConvention" : "FOLLOWING", "meta" : { "globalKey" : "da3b6050" } }, "meta" : { "globalKey" : "770e7eb4" - }, - "unadjustedDate" : "2001-08-28" + } }, "meta" : { "globalKey" : "770e7eb4" } } ], + "earliestExerciseTime" : { + "hourMinuteTime" : "09:00:00", + "businessCenter" : { + "value" : "BEBR" + } + }, "expirationTime" : { + "hourMinuteTime" : "11:00:00", "businessCenter" : { "value" : "BEBR" - }, - "hourMinuteTime" : "11:00:00" + } }, "meta" : { - "globalKey" : "70973195" + "globalKey" : "83fbdc15" } } + }, + "exerciseProcedure" : { + "manualExercise" : { + "exerciseNotice" : { + "exerciseNoticeGiver" : "Seller", + "businessCenter" : { + "value" : "GBLO" + } + } + }, + "followUpConfirmation" : true } }, - "meta" : { - "globalKey" : "bdf2ac17" - }, "underlier" : { "contractualProduct" : { "productTaxonomy" : [ { @@ -240,46 +88,42 @@ "payout" : { "interestRatePayout" : [ { "payerReceiver" : { - "payer" : "PARTY_1", - "receiver" : "PARTY_2" + "payer" : "Party1", + "receiver" : "Party2" }, "priceQuantity" : { - "meta" : { - "globalKey" : "0" - }, "quantitySchedule" : { "address" : { "scope" : "DOCUMENT", "value" : "quantity-1" } + }, + "meta" : { + "globalKey" : "0" } }, - "calculationPeriodDates" : { - "calculationPeriodDatesAdjustments" : { - "businessCenters" : { - "businessCentersReference" : { - "externalReference" : "accrualBusinessCenters0", - "globalReference" : "20a71d" - }, - "meta" : { - "globalKey" : "622268e1" + "rateSpecification" : { + "fixedRate" : { + "rateSchedule" : { + "price" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "price-1" + } } }, - "businessDayConvention" : "MODFOLLOWING", "meta" : { - "globalKey" : "985d6cb2" + "globalKey" : "0" } - }, - "calculationPeriodFrequency" : { - "meta" : { - "globalKey" : "2b934" - }, - "period" : "Y", - "periodMultiplier" : 1, - "rollConvention" : "30" - }, + } + }, + "dayCountFraction" : { + "value" : "30/360" + }, + "calculationPeriodDates" : { "effectiveDate" : { "adjustableDate" : { + "unadjustedDate" : "2001-08-30", "dateAdjustments" : { "businessDayConvention" : "NONE", "meta" : { @@ -288,135 +132,133 @@ }, "meta" : { "globalKey" : "eae921d6" - }, - "unadjustedDate" : "2001-08-30" + } }, "meta" : { "globalKey" : "eae921d6" } }, - "meta" : { - "externalKey" : "CalcPeriodDates0", - "globalKey" : "d530b040" - }, "terminationDate" : { "adjustableDate" : { + "unadjustedDate" : "2006-08-30", "dateAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", "businessCenters" : { "businessCenter" : [ { "value" : "EUTA" } ], "meta" : { - "externalKey" : "accrualBusinessCenters0", - "globalKey" : "20a71d" + "globalKey" : "20a71d", + "externalKey" : "accrualBusinessCenters0" } }, - "businessDayConvention" : "MODFOLLOWING", "meta" : { "globalKey" : "365baaee" } }, "meta" : { "globalKey" : "9ead9b90" - }, - "unadjustedDate" : "2006-08-30" + } }, "meta" : { "globalKey" : "9ead9b90" } + }, + "calculationPeriodDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCentersReference" : { + "globalReference" : "20a71d", + "externalReference" : "accrualBusinessCenters0" + }, + "meta" : { + "globalKey" : "622268e1" + } + }, + "meta" : { + "globalKey" : "985d6cb2" + } + }, + "calculationPeriodFrequency" : { + "periodMultiplier" : 1, + "period" : "Y", + "meta" : { + "globalKey" : "17984" + }, + "rollConvention" : "30" + }, + "meta" : { + "globalKey" : "d6a5a890", + "externalKey" : "CalcPeriodDates0" } }, - "dayCountFraction" : { - "value" : "30/360" - }, - "meta" : { - "globalKey" : "6e2bf001" - }, "paymentDates" : { - "meta" : { - "globalKey" : "4d64aef4" + "paymentFrequency" : { + "periodMultiplier" : 1, + "period" : "Y", + "meta" : { + "globalKey" : "78" + } }, - "payRelativeTo" : "CALCULATION_PERIOD_END_DATE", + "payRelativeTo" : "CalculationPeriodEndDate", "paymentDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", "businessCenters" : { "businessCenter" : [ { "value" : "EUTA" } ], "meta" : { - "externalKey" : "paymentBusinessCenters0", - "globalKey" : "20a71d" + "globalKey" : "20a71d", + "externalKey" : "paymentBusinessCenters0" } }, - "businessDayConvention" : "MODFOLLOWING", "meta" : { "globalKey" : "365baaee" } }, - "paymentFrequency" : { - "meta" : { - "globalKey" : "ac8" - }, - "period" : "Y", - "periodMultiplier" : 1 + "meta" : { + "globalKey" : "9b0d9350" } }, - "rateSpecification" : { - "fixedRate" : { - "meta" : { - "globalKey" : "0" - }, - "rateSchedule" : { - "price" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "price-1" - } - } - } - } + "meta" : { + "globalKey" : "86242c95" } }, { "payerReceiver" : { - "payer" : "PARTY_2", - "receiver" : "PARTY_1" + "payer" : "Party2", + "receiver" : "Party1" }, "priceQuantity" : { - "meta" : { - "globalKey" : "0" - }, "quantitySchedule" : { "address" : { "scope" : "DOCUMENT", "value" : "quantity-2" } + }, + "meta" : { + "globalKey" : "0" } }, - "calculationPeriodDates" : { - "calculationPeriodDatesAdjustments" : { - "businessCenters" : { - "businessCentersReference" : { - "externalReference" : "accrualBusinessCenters1", - "globalReference" : "20a71d" - }, - "meta" : { - "globalKey" : "622268e2" + "rateSpecification" : { + "floatingRate" : { + "rateOption" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "rateOption-1" } }, - "businessDayConvention" : "MODFOLLOWING", "meta" : { - "globalKey" : "985d6cb3" + "globalKey" : "0" } - }, - "calculationPeriodFrequency" : { - "meta" : { - "globalKey" : "28cc3" - }, - "period" : "M", - "periodMultiplier" : 6, - "rollConvention" : "30" - }, + } + }, + "dayCountFraction" : { + "value" : "ACT/360" + }, + "calculationPeriodDates" : { "effectiveDate" : { "adjustableDate" : { + "unadjustedDate" : "2001-08-30", "dateAdjustments" : { "businessDayConvention" : "NONE", "meta" : { @@ -425,219 +267,376 @@ }, "meta" : { "globalKey" : "eae921d6" - }, - "unadjustedDate" : "2001-08-30" + } }, "meta" : { "globalKey" : "eae921d6" } }, - "meta" : { - "externalKey" : "CalcPeriodDates1", - "globalKey" : "c8353f30" - }, "terminationDate" : { "adjustableDate" : { + "unadjustedDate" : "2006-08-30", "dateAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", "businessCenters" : { "businessCenter" : [ { "value" : "EUTA" } ], "meta" : { - "externalKey" : "accrualBusinessCenters1", - "globalKey" : "20a71d" + "globalKey" : "20a71d", + "externalKey" : "accrualBusinessCenters1" } }, - "businessDayConvention" : "MODFOLLOWING", "meta" : { "globalKey" : "365baaee" } }, "meta" : { "globalKey" : "9ead9b90" - }, - "unadjustedDate" : "2006-08-30" + } }, "meta" : { "globalKey" : "9ead9b90" } + }, + "calculationPeriodDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCentersReference" : { + "globalReference" : "20a71d", + "externalReference" : "accrualBusinessCenters1" + }, + "meta" : { + "globalKey" : "622268e2" + } + }, + "meta" : { + "globalKey" : "985d6cb3" + } + }, + "calculationPeriodFrequency" : { + "periodMultiplier" : 6, + "period" : "M", + "meta" : { + "globalKey" : "18ad5" + }, + "rollConvention" : "30" + }, + "meta" : { + "globalKey" : "d6b3d162", + "externalKey" : "CalcPeriodDates1" } }, - "dayCountFraction" : { - "value" : "ACT/360" - }, - "meta" : { - "globalKey" : "9ec5a1dd" - }, "paymentDates" : { - "meta" : { - "globalKey" : "4d64ad85" + "paymentFrequency" : { + "periodMultiplier" : 6, + "period" : "M", + "meta" : { + "globalKey" : "107" + } }, - "payRelativeTo" : "CALCULATION_PERIOD_END_DATE", + "payRelativeTo" : "CalculationPeriodEndDate", "paymentDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", "businessCenters" : { "businessCenter" : [ { "value" : "EUTA" } ], "meta" : { - "externalKey" : "paymentBusinessCenters1", - "globalKey" : "20a71d" + "globalKey" : "20a71d", + "externalKey" : "paymentBusinessCenters1" } }, - "businessDayConvention" : "MODFOLLOWING", "meta" : { "globalKey" : "365baaee" } }, - "paymentFrequency" : { - "meta" : { - "globalKey" : "959" - }, - "period" : "M", - "periodMultiplier" : 6 - } - }, - "rateSpecification" : { - "floatingRate" : { - "meta" : { - "globalKey" : "0" - }, - "rateOption" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "rateOption-1" - } - } + "meta" : { + "globalKey" : "8f129421" } }, "resetDates" : { "calculationPeriodDatesReference" : { - "externalReference" : "CalcPeriodDates1", - "globalReference" : "c8353f30" + "globalReference" : "d6b3d162", + "externalReference" : "CalcPeriodDates1" }, + "resetRelativeTo" : "CalculationPeriodStartDate", "fixingDates" : { + "periodMultiplier" : -2, + "period" : "D", "meta" : { - "globalKey" : "2d80ce65" + "globalKey" : "a5cb919" }, - "period" : "D", - "periodMultiplier" : -2, - "dayType" : "BUSINESS", + "dayType" : "Business", + "businessDayConvention" : "NONE", "businessCenters" : { "businessCenter" : [ { "value" : "EUTA" } ], "meta" : { - "externalKey" : "fixingBusinessCenters0", - "globalKey" : "20a71d" + "globalKey" : "20a71d", + "externalKey" : "fixingBusinessCenters0" } }, - "businessDayConvention" : "NONE", "dateRelativeTo" : { - "externalReference" : "resetDates0", - "globalReference" : "3522cca9" + "globalReference" : "dbaefb1", + "externalReference" : "resetDates0" } }, - "meta" : { - "externalKey" : "resetDates0", - "globalKey" : "3522cca9" + "resetFrequency" : { + "periodMultiplier" : 6, + "period" : "M", + "meta" : { + "globalKey" : "107" + } }, "resetDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", "businessCenters" : { "businessCentersReference" : { - "externalReference" : "paymentBusinessCenters1", - "globalReference" : "20a71d" + "globalReference" : "20a71d", + "externalReference" : "paymentBusinessCenters1" }, "meta" : { "globalKey" : "e30c2739" } }, - "businessDayConvention" : "MODFOLLOWING", "meta" : { "globalKey" : "19472b0a" } }, - "resetFrequency" : { - "meta" : { - "globalKey" : "959" - }, - "period" : "M", - "periodMultiplier" : 6 - }, - "resetRelativeTo" : "CALCULATION_PERIOD_START_DATE" + "meta" : { + "globalKey" : "dbaefb1", + "externalKey" : "resetDates0" + } + }, + "meta" : { + "globalKey" : "ad0fb833" } } ], "meta" : { - "globalKey" : "893cb5bc" + "globalKey" : "2d8d4cfe" } } }, "meta" : { - "globalKey" : "893cb5bc" + "globalKey" : "2d8d4cfe" } }, "meta" : { - "globalKey" : "893cb5bc" + "globalKey" : "2d8d4cfe" } + }, + "meta" : { + "globalKey" : "a68544e3" } - } ] + } ], + "meta" : { + "globalKey" : "a68544e3" + } + }, + "calculationAgent" : { + "calculationAgentParty" : "CalculationAgentIndependent" } }, "meta" : { - "globalKey" : "6af856ed" + "globalKey" : "6693810d" } }, "meta" : { - "globalKey" : "6af856ed" + "globalKey" : "6693810d" } }, + "priceQuantity" : [ { + "price" : [ { + "value" : { + "value" : 0.05, + "unit" : { + "currency" : { + "value" : "EUR" + } + }, + "perUnitOf" : { + "currency" : { + "value" : "EUR" + } + }, + "priceType" : "InterestRate" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-1" + } ] + } + } ], + "quantity" : [ { + "value" : { + "value" : 100000000, + "unit" : { + "currency" : { + "value" : "EUR" + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] + } + } ], + "meta" : { + "globalKey" : "66e6c0bb" + } + }, { + "quantity" : [ { + "value" : { + "value" : 100000000, + "unit" : { + "currency" : { + "value" : "EUR" + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } ] + } + } ], + "observable" : { + "rateOption" : { + "value" : { + "floatingRateIndex" : { + "value" : "EUR-EURIBOR-Telerate" + }, + "indexTenor" : { + "periodMultiplier" : 6, + "period" : "M", + "meta" : { + "globalKey" : "107" + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "rateOption-1" + } ] + } + }, + "meta" : { + "globalKey" : "2bba2221" + } + }, + "meta" : { + "globalKey" : "4820adb2" + } + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "d4813763", + "externalReference" : "party1" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "d4813764", + "externalReference" : "party2" + } + } ], + "ancillaryParty" : [ { + "role" : "CalculationAgentIndependent", + "partyReference" : [ { + "globalReference" : "d4813764", + "externalReference" : "party2" + } ] + } ], + "parties" : [ { + "partyId" : [ { + "identifier" : { + "value" : "party A", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/iso9362" + } + }, + "identifierType" : "BIC", + "meta" : { + "globalKey" : "d4813763" + } + } ], + "meta" : { + "globalKey" : "d4813763", + "externalKey" : "party1" + } + }, { + "partyId" : [ { + "identifier" : { + "value" : "party B", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/iso9362" + } + }, + "identifierType" : "BIC", + "meta" : { + "globalKey" : "d4813764" + } + } ], + "meta" : { + "globalKey" : "d4813764", + "externalKey" : "party2" + } + } ], "tradeDate" : { "value" : "2000-08-30" }, "tradeIdentifier" : [ { + "issuerReference" : { + "globalReference" : "d4813763", + "externalReference" : "party1" + }, "assignedIdentifier" : [ { "identifier" : { + "value" : "123", "meta" : { "scheme" : "http://www.partyA.com/trade-id" - }, - "value" : "123" + } }, "version" : 1 } ], - "issuerReference" : { - "externalReference" : "party1", - "globalReference" : "d4813763" - }, "meta" : { - "globalKey" : "c783533e" + "globalKey" : "19d6067e" } } ] }, "transfer" : { "transferState" : [ { - "meta" : { - "globalKey" : "5ac63039" - }, "transfer" : { - "payerReceiver" : { - "payerPartyReference" : { - "externalReference" : "party1", - "globalReference" : "d4813763" - }, - "receiverPartyReference" : { - "externalReference" : "party2", - "globalReference" : "d4813764" - } - }, "quantity" : { + "value" : 100000, "unit" : { "currency" : { "value" : "EUR" } + } + }, + "payerReceiver" : { + "payerPartyReference" : { + "globalReference" : "d4813763", + "externalReference" : "party1" }, - "value" : 100000 + "receiverPartyReference" : { + "globalReference" : "d4813764", + "externalReference" : "party2" + } }, "settlementDate" : { + "unadjustedDate" : "2000-08-30", "dateAdjustments" : { + "businessDayConvention" : "FOLLOWING", "businessCenters" : { "businessCenter" : [ { "value" : "EUTA" @@ -646,16 +645,17 @@ "globalKey" : "20a71d" } }, - "businessDayConvention" : "FOLLOWING", "meta" : { "globalKey" : "211dc30c" } - }, - "unadjustedDate" : "2000-08-30" + } }, "transferExpression" : { - "priceTransfer" : "PREMIUM" + "priceTransfer" : "Premium" } + }, + "meta" : { + "globalKey" : "dc25c051" } } ] } diff --git a/rosetta-source/src/main/resources/cdm-sample-files/functions/business-event/exercise/exercise-cancellable-option-func-input.json b/rosetta-source/src/main/resources/cdm-sample-files/functions/business-event/exercise/exercise-cancellable-option-func-input.json index 824ce510f7..edeb788d23 100644 --- a/rosetta-source/src/main/resources/cdm-sample-files/functions/business-event/exercise/exercise-cancellable-option-func-input.json +++ b/rosetta-source/src/main/resources/cdm-sample-files/functions/business-event/exercise/exercise-cancellable-option-func-input.json @@ -1,144 +1,103 @@ { "instruction" : [ { - "before" : { - "value" : { - "meta" : { - "globalKey" : "50f87154" - }, - "trade" : { - "meta" : { - "globalKey" : "50f87154" - }, - "party" : [ { - "businessUnit" : [ { - "meta" : { - "externalKey" : "desk1", - "globalKey" : "5c10b72e" - }, - "name" : "NY Swaps Desk" - } ], - "meta" : { - "externalKey" : "party1", - "globalKey" : "fdda73db" - }, - "name" : { - "value" : "Bank X" - }, - "partyId" : [ { - "identifier" : { - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/iso17442" - }, - "value" : "LEI1RPT0001" - }, - "identifierType" : "LEI", - "meta" : { - "globalKey" : "b8962566" + "primitiveInstruction" : { + "quantityChange" : { + "change" : [ { + "quantity" : [ { + "value" : { + "value" : 12000, + "unit" : { + "currency" : { + "value" : "EUR" + } } - } ], - "person" : [ { - "firstName" : "jjone", - "meta" : { - "externalKey" : "trader", - "globalKey" : "d3962233" - }, - "personId" : [ { - "value" : { - "identifier" : { - "value" : "jjones" - }, + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT" + } ] + } + } ], + "meta" : { + "globalKey" : "8bb50ed3" + } + } ], + "direction" : "Replace" + }, + "transfer" : { + "transferState" : [ { + "transfer" : { + "quantity" : { + "value" : 2000, + "unit" : { + "currency" : { + "value" : "EUR", "meta" : { - "globalKey" : "baeb8c0d" + "scheme" : "http://www.fpml.org/coding-scheme/external/iso4217" } } - } ] - } ] - }, { - "meta" : { - "externalKey" : "party2", - "globalKey" : "ee963b6" - }, - "name" : { - "value" : "Bank Y" + } }, - "partyId" : [ { - "identifier" : { - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/iso17442" - }, - "value" : "LEI2CP0002" + "payerReceiver" : { + "payerPartyReference" : { + "globalReference" : "74dee05b", + "externalReference" : "party1" }, - "identifierType" : "LEI", - "meta" : { - "globalKey" : "eb8edea1" + "receiverPartyReference" : { + "globalReference" : "b97c11f6", + "externalReference" : "party2" } - } ] - }, { - "meta" : { - "externalKey" : "broker1", - "globalKey" : "ed0cc6d1" - }, - "name" : { - "value" : "Up&Atem" }, - "partyId" : [ { - "identifier" : { + "settlementDate" : { + "adjustedDate" : { + "value" : "2019-04-03", "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/iso17442" - }, - "value" : "549300OL8KL0WCQ34V31" - }, - "identifierType" : "LEI", - "meta" : { - "globalKey" : "8ffabe4b" + "globalKey" : "3f1903" + } } - } ] - }, { - "meta" : { - "externalKey" : "clearing-svc", - "globalKey" : "611719a0" }, - "name" : { - "value" : "ClearItAll" + "transferExpression" : { + "scheduledTransfer" : { + "transferType" : "Exercise" + } + } + }, + "meta" : { + "globalKey" : "78d00c0b" + } + } ] + } + }, + "before" : { + "value" : { + "trade" : { + "tradeIdentifier" : [ { + "issuer" : { + "value" : "LEI1RPT0001", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/cftc/issuer-identifier" + } }, - "partyId" : [ { + "assignedIdentifier" : [ { "identifier" : { + "value" : "LEI1RPT0001JJJJ", "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/iso17442" - }, - "value" : "549300IB5Q45JGNPND58" - }, - "identifierType" : "LEI", - "meta" : { - "globalKey" : "e213e7d7" + "scheme" : "http://www.fpml.org/coding-scheme/external/unique-transaction-identifier" + } } - } ] - } ], - "partyRole" : [ { - "ownershipPartyReference" : { - "externalReference" : "party1", - "globalReference" : "fdda73db" - }, - "partyReference" : { - "externalReference" : "clearing-svc", - "globalReference" : "611719a0" + } ], + "meta" : { + "globalKey" : "7ac64538" }, - "role" : "CLEARING_ORGANIZATION" + "identifierType" : "UniqueTransactionIdentifier" } ], + "tradeDate" : { + "value" : "2018-04-01", + "meta" : { + "globalKey" : "3f1101" + } + }, "tradableProduct" : { - "counterparty" : [ { - "partyReference" : { - "externalReference" : "party1", - "globalReference" : "fdda73db" - }, - "role" : "PARTY_1" - }, { - "partyReference" : { - "externalReference" : "party2", - "globalReference" : "ee963b6" - }, - "role" : "PARTY_2" - } ], "product" : { "contractualProduct" : { "productTaxonomy" : [ { @@ -149,46 +108,42 @@ "payout" : { "interestRatePayout" : [ { "payerReceiver" : { - "payer" : "PARTY_1", - "receiver" : "PARTY_2" + "payer" : "Party1", + "receiver" : "Party2" }, "priceQuantity" : { - "meta" : { - "globalKey" : "0" - }, "quantitySchedule" : { "address" : { "scope" : "DOCUMENT", "value" : "quantity-1" } + }, + "meta" : { + "globalKey" : "0" } }, - "calculationPeriodDates" : { - "calculationPeriodDatesAdjustments" : { - "businessCenters" : { - "businessCentersReference" : { - "externalReference" : "accrualBusinessCenters0", - "globalReference" : "20a71d" - }, - "meta" : { - "globalKey" : "622268e1" + "rateSpecification" : { + "fixedRate" : { + "rateSchedule" : { + "price" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "price-1" + } } }, - "businessDayConvention" : "MODFOLLOWING", "meta" : { - "globalKey" : "985d6cb2" + "globalKey" : "0" } - }, - "calculationPeriodFrequency" : { - "meta" : { - "globalKey" : "2b934" - }, - "period" : "Y", - "periodMultiplier" : 1, - "rollConvention" : "30" - }, + } + }, + "dayCountFraction" : { + "value" : "30/360" + }, + "calculationPeriodDates" : { "effectiveDate" : { "adjustableDate" : { + "unadjustedDate" : "2018-04-03", "dateAdjustments" : { "businessDayConvention" : "NONE", "meta" : { @@ -197,135 +152,133 @@ }, "meta" : { "globalKey" : "ece3837b" - }, - "unadjustedDate" : "2018-04-03" + } }, "meta" : { "globalKey" : "ece3837b" } }, - "meta" : { - "externalKey" : "CalcPeriodDates0", - "globalKey" : "c2b8fce5" - }, "terminationDate" : { "adjustableDate" : { + "unadjustedDate" : "2026-08-30", "dateAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", "businessCenters" : { "businessCenter" : [ { "value" : "EUTA" } ], "meta" : { - "externalKey" : "accrualBusinessCenters0", - "globalKey" : "20a71d" + "globalKey" : "20a71d", + "externalKey" : "accrualBusinessCenters0" } }, - "businessDayConvention" : "MODFOLLOWING", "meta" : { "globalKey" : "365baaee" } }, "meta" : { "globalKey" : "a610fb90" - }, - "unadjustedDate" : "2026-08-30" + } }, "meta" : { "globalKey" : "a610fb90" } + }, + "calculationPeriodDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCentersReference" : { + "globalReference" : "20a71d", + "externalReference" : "accrualBusinessCenters0" + }, + "meta" : { + "globalKey" : "622268e1" + } + }, + "meta" : { + "globalKey" : "985d6cb2" + } + }, + "calculationPeriodFrequency" : { + "periodMultiplier" : 1, + "period" : "Y", + "meta" : { + "globalKey" : "17984" + }, + "rollConvention" : "30" + }, + "meta" : { + "globalKey" : "e308c58b", + "externalKey" : "CalcPeriodDates0" } }, - "dayCountFraction" : { - "value" : "30/360" - }, - "meta" : { - "globalKey" : "708624bc" - }, "paymentDates" : { - "meta" : { - "globalKey" : "4d64aef4" + "paymentFrequency" : { + "periodMultiplier" : 1, + "period" : "Y", + "meta" : { + "globalKey" : "78" + } }, - "payRelativeTo" : "CALCULATION_PERIOD_END_DATE", + "payRelativeTo" : "CalculationPeriodEndDate", "paymentDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", "businessCenters" : { "businessCenter" : [ { "value" : "EUTA" } ], "meta" : { - "externalKey" : "paymentBusinessCenters0", - "globalKey" : "20a71d" + "globalKey" : "20a71d", + "externalKey" : "paymentBusinessCenters0" } }, - "businessDayConvention" : "MODFOLLOWING", "meta" : { "globalKey" : "365baaee" } }, - "paymentFrequency" : { - "meta" : { - "globalKey" : "ac8" - }, - "period" : "Y", - "periodMultiplier" : 1 + "meta" : { + "globalKey" : "9b0d9350" } }, - "rateSpecification" : { - "fixedRate" : { - "meta" : { - "globalKey" : "0" - }, - "rateSchedule" : { - "price" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "price-1" - } - } - } - } + "meta" : { + "globalKey" : "b28f8bd0" } }, { "payerReceiver" : { - "payer" : "PARTY_2", - "receiver" : "PARTY_1" + "payer" : "Party2", + "receiver" : "Party1" }, "priceQuantity" : { - "meta" : { - "globalKey" : "0" - }, "quantitySchedule" : { "address" : { "scope" : "DOCUMENT", "value" : "quantity-2" } + }, + "meta" : { + "globalKey" : "0" } }, - "calculationPeriodDates" : { - "calculationPeriodDatesAdjustments" : { - "businessCenters" : { - "businessCentersReference" : { - "externalReference" : "accrualBusinessCenters1", - "globalReference" : "20a71d" - }, - "meta" : { - "globalKey" : "622268e2" + "rateSpecification" : { + "floatingRate" : { + "rateOption" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "rateOption-1" } }, - "businessDayConvention" : "MODFOLLOWING", "meta" : { - "globalKey" : "985d6cb3" + "globalKey" : "0" } - }, - "calculationPeriodFrequency" : { - "meta" : { - "globalKey" : "28cc3" - }, - "period" : "M", - "periodMultiplier" : 6, - "rollConvention" : "30" - }, + } + }, + "dayCountFraction" : { + "value" : "ACT/360" + }, + "calculationPeriodDates" : { "effectiveDate" : { "adjustableDate" : { + "unadjustedDate" : "2018-04-03", "dateAdjustments" : { "businessDayConvention" : "NONE", "meta" : { @@ -334,165 +287,167 @@ }, "meta" : { "globalKey" : "ece3837b" - }, - "unadjustedDate" : "2018-04-03" + } }, "meta" : { "globalKey" : "ece3837b" } }, - "meta" : { - "externalKey" : "CalcPeriodDates1", - "globalKey" : "b5bd8bd5" - }, "terminationDate" : { "adjustableDate" : { + "unadjustedDate" : "2026-08-30", "dateAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", "businessCenters" : { "businessCenter" : [ { "value" : "EUTA" } ], "meta" : { - "externalKey" : "accrualBusinessCenters1", - "globalKey" : "20a71d" + "globalKey" : "20a71d", + "externalKey" : "accrualBusinessCenters1" } }, - "businessDayConvention" : "MODFOLLOWING", "meta" : { "globalKey" : "365baaee" } }, "meta" : { "globalKey" : "a610fb90" - }, - "unadjustedDate" : "2026-08-30" + } }, "meta" : { "globalKey" : "a610fb90" } + }, + "calculationPeriodDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCentersReference" : { + "globalReference" : "20a71d", + "externalReference" : "accrualBusinessCenters1" + }, + "meta" : { + "globalKey" : "622268e2" + } + }, + "meta" : { + "globalKey" : "985d6cb3" + } + }, + "calculationPeriodFrequency" : { + "periodMultiplier" : 6, + "period" : "M", + "meta" : { + "globalKey" : "18ad5" + }, + "rollConvention" : "30" + }, + "meta" : { + "globalKey" : "e316ee5d", + "externalKey" : "CalcPeriodDates1" } }, - "dayCountFraction" : { - "value" : "ACT/360" - }, - "meta" : { - "globalKey" : "e6434002" - }, "paymentDates" : { - "meta" : { - "globalKey" : "4d64ad85" + "paymentFrequency" : { + "periodMultiplier" : 6, + "period" : "M", + "meta" : { + "globalKey" : "107" + } }, - "payRelativeTo" : "CALCULATION_PERIOD_END_DATE", + "payRelativeTo" : "CalculationPeriodEndDate", "paymentDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", "businessCenters" : { "businessCenter" : [ { "value" : "EUTA" } ], "meta" : { - "externalKey" : "paymentBusinessCenters1", - "globalKey" : "20a71d" + "globalKey" : "20a71d", + "externalKey" : "paymentBusinessCenters1" } }, - "businessDayConvention" : "MODFOLLOWING", "meta" : { "globalKey" : "365baaee" } }, - "paymentFrequency" : { - "meta" : { - "globalKey" : "959" - }, - "period" : "M", - "periodMultiplier" : 6 - } - }, - "rateSpecification" : { - "floatingRate" : { - "meta" : { - "globalKey" : "0" - }, - "rateOption" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "rateOption-1" - } - } + "meta" : { + "globalKey" : "8f129421" } }, "resetDates" : { "calculationPeriodDatesReference" : { - "externalReference" : "CalcPeriodDates1", - "globalReference" : "b5bd8bd5" + "globalReference" : "e316ee5d", + "externalReference" : "CalcPeriodDates1" }, + "resetRelativeTo" : "CalculationPeriodStartDate", "fixingDates" : { + "periodMultiplier" : -2, + "period" : "D", "meta" : { - "globalKey" : "2d80ce65" + "globalKey" : "a5cb919" }, - "period" : "D", - "periodMultiplier" : -2, - "dayType" : "BUSINESS", + "dayType" : "Business", + "businessDayConvention" : "NONE", "businessCenters" : { "businessCenter" : [ { "value" : "EUTA" } ], "meta" : { - "externalKey" : "fixingBusinessCenters0", - "globalKey" : "20a71d" + "globalKey" : "20a71d", + "externalKey" : "fixingBusinessCenters0" } }, - "businessDayConvention" : "NONE", "dateRelativeTo" : { - "externalReference" : "resetDates0", - "globalReference" : "3522cca9" + "globalReference" : "dbaefb1", + "externalReference" : "resetDates0" } }, - "meta" : { - "externalKey" : "resetDates0", - "globalKey" : "3522cca9" + "resetFrequency" : { + "periodMultiplier" : 6, + "period" : "M", + "meta" : { + "globalKey" : "107" + } }, "resetDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", "businessCenters" : { "businessCentersReference" : { - "externalReference" : "paymentBusinessCenters1", - "globalReference" : "20a71d" + "globalReference" : "20a71d", + "externalReference" : "paymentBusinessCenters1" }, "meta" : { "globalKey" : "e30c2739" } }, - "businessDayConvention" : "MODFOLLOWING", "meta" : { "globalKey" : "19472b0a" } }, - "resetFrequency" : { - "meta" : { - "globalKey" : "959" - }, - "period" : "M", - "periodMultiplier" : 6 - }, - "resetRelativeTo" : "CALCULATION_PERIOD_START_DATE" + "meta" : { + "globalKey" : "dbaefb1", + "externalKey" : "resetDates0" + } + }, + "meta" : { + "globalKey" : "6888292e" } } ], "meta" : { - "globalKey" : "f0c773c6" + "globalKey" : "fc06635e" } - }, - "terminationProvision" : { - "cancelableProvision" : { - "buyer" : "PARTY_2", - "seller" : "PARTY_1", - "europeanExercise" : { - "earliestExerciseTime" : { - "businessCenter" : { - "value" : "BEBR" - }, - "hourMinuteTime" : "09:00:00" - }, + }, + "terminationProvision" : { + "cancelableProvision" : { + "buyer" : "Party2", + "seller" : "Party1", + "europeanExercise" : { "expirationDate" : [ { "adjustableDate" : { + "unadjustedDate" : "2026-08-15", "dateAdjustments" : { + "businessDayConvention" : "FOLLOWING", "businessCenters" : { "businessCenter" : [ { "value" : "GBLO" @@ -503,32 +458,23 @@ "globalKey" : "428533f" } }, - "businessDayConvention" : "FOLLOWING", "meta" : { "globalKey" : "da4e2f6e" } }, "meta" : { "globalKey" : "1bc03e7f" - }, - "unadjustedDate" : "2026-08-15" + } }, "meta" : { "globalKey" : "1bc03e7f" } } ], - "expirationTime" : { - "businessCenter" : { - "value" : "BEBR" - }, - "hourMinuteTime" : "11:00:00" - }, - "meta" : { - "globalKey" : "e66f478e" - }, "relevantUnderlyingDate" : { "adjustableDates" : { + "unadjustedDate" : [ "2026-08-30" ], "dateAdjustments" : { + "businessDayConvention" : "FOLLOWING", "businessCenters" : { "businessCenter" : [ { "value" : "EUTA" @@ -537,19 +483,32 @@ "globalKey" : "20a71d" } }, - "businessDayConvention" : "FOLLOWING", "meta" : { "globalKey" : "211dc30c" } }, "meta" : { "globalKey" : "90d313ae" - }, - "unadjustedDate" : [ "2026-08-30" ] + } }, "meta" : { "globalKey" : "90d313ae" } + }, + "earliestExerciseTime" : { + "hourMinuteTime" : "09:00:00", + "businessCenter" : { + "value" : "BEBR" + } + }, + "expirationTime" : { + "hourMinuteTime" : "11:00:00", + "businessCenter" : { + "value" : "BEBR" + } + }, + "meta" : { + "globalKey" : "b88a378e" } }, "exerciseNotice" : { @@ -562,203 +521,244 @@ } }, "meta" : { - "globalKey" : "5efbcc89" + "globalKey" : "52e705f1" } }, "meta" : { - "globalKey" : "5efbcc89" + "globalKey" : "52e705f1" } }, "tradeLot" : [ { "priceQuantity" : [ { - "meta" : { - "globalKey" : "25fb1aeb" - }, "price" : [ { - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-1" - } ] - }, "value" : { + "value" : 0.05, "unit" : { "currency" : { "value" : "EUR" } }, - "value" : 0.05, "perUnitOf" : { "currency" : { "value" : "EUR" } }, - "priceType" : "INTEREST_RATE" + "priceType" : "InterestRate" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-1" + } ] } } ], "quantity" : [ { + "value" : { + "value" : 16000, + "unit" : { + "currency" : { + "value" : "EUR" + } + } + }, "meta" : { "location" : [ { "scope" : "DOCUMENT", "value" : "quantity-1" } ] - }, + } + } ], + "meta" : { + "globalKey" : "99684275" + } + }, { + "quantity" : [ { "value" : { + "value" : 16000, "unit" : { "currency" : { "value" : "EUR" } - }, - "value" : 16000 + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } ] } - } ] - }, { - "meta" : { - "globalKey" : "c9b98a6" - }, + } ], "observable" : { - "meta" : { - "globalKey" : "bf589e11" - }, "rateOption" : { - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "rateOption-1" - } ] - }, "value" : { "floatingRateIndex" : { "value" : "EUR-EURIBOR-Telerate" }, "indexTenor" : { - "meta" : { - "globalKey" : "959" - }, + "periodMultiplier" : 6, "period" : "M", - "periodMultiplier" : 6 + "meta" : { + "globalKey" : "107" + } } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "rateOption-1" + } ] } - } - }, - "quantity" : [ { - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } ] }, - "value" : { - "unit" : { - "currency" : { - "value" : "EUR" - } - }, - "value" : 16000 + "meta" : { + "globalKey" : "2bba2221" } - } ] + }, + "meta" : { + "globalKey" : "d61c7d38" + } } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "74dee05b", + "externalReference" : "party1" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "b97c11f6", + "externalReference" : "party2" + } } ] }, - "tradeDate" : { - "meta" : { - "globalKey" : "3f1101" - }, - "value" : "2018-04-01" - }, - "tradeIdentifier" : [ { - "assignedIdentifier" : [ { + "party" : [ { + "partyId" : [ { "identifier" : { + "value" : "LEI1RPT0001", "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/unique-transaction-identifier" - }, - "value" : "LEI1RPT0001JJJJ" + "scheme" : "http://www.fpml.org/coding-scheme/external/iso17442" + } + }, + "identifierType" : "LEI", + "meta" : { + "globalKey" : "b8962566" } } ], - "issuer" : { - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/cftc/issuer-identifier" - }, - "value" : "LEI1RPT0001" - }, - "meta" : { - "globalKey" : "28b31d8c" - }, - "identifierType" : "UNIQUE_TRANSACTION_IDENTIFIER" - } ] - } - } - }, - "primitiveInstruction" : { - "quantityChange" : { - "change" : [ { - "meta" : { - "globalKey" : "8bb50ed3" - }, - "quantity" : [ { - "meta" : { - "location" : [ { - "scope" : "DOCUMENT" - } ] + "name" : { + "value" : "Bank X" }, - "value" : { - "unit" : { - "currency" : { - "value" : "EUR" + "businessUnit" : [ { + "name" : "NY Swaps Desk", + "meta" : { + "globalKey" : "5c10b72e", + "externalKey" : "desk1" + } + } ], + "person" : [ { + "personId" : [ { + "value" : { + "identifier" : { + "value" : "jjones" + }, + "meta" : { + "globalKey" : "baeb8c0d" + } } - }, - "value" : 12000 + } ], + "firstName" : "jjone", + "meta" : { + "globalKey" : "d3962233", + "externalKey" : "trader" + } + } ], + "meta" : { + "globalKey" : "74dee05b", + "externalKey" : "party1" } - } ] - } ], - "direction" : "REPLACE" - }, - "transfer" : { - "transferState" : [ { - "meta" : { - "globalKey" : "ac5b9c85" - }, - "transfer" : { - "payerReceiver" : { - "payerPartyReference" : { - "externalReference" : "party1", - "globalReference" : "fdda73db" + }, { + "partyId" : [ { + "identifier" : { + "value" : "LEI2CP0002", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/iso17442" + } }, - "receiverPartyReference" : { - "externalReference" : "party2", - "globalReference" : "ee963b6" + "identifierType" : "LEI", + "meta" : { + "globalKey" : "eb8edea1" } + } ], + "name" : { + "value" : "Bank Y" }, - "quantity" : { - "unit" : { - "currency" : { - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/iso4217" - }, - "value" : "EUR" + "meta" : { + "globalKey" : "b97c11f6", + "externalKey" : "party2" + } + }, { + "partyId" : [ { + "identifier" : { + "value" : "549300OL8KL0WCQ34V31", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/iso17442" } }, - "value" : 2000 + "identifierType" : "LEI", + "meta" : { + "globalKey" : "8ffabe4b" + } + } ], + "name" : { + "value" : "Up&Atem" }, - "settlementDate" : { - "adjustedDate" : { + "meta" : { + "globalKey" : "ce0b9311", + "externalKey" : "broker1" + } + }, { + "partyId" : [ { + "identifier" : { + "value" : "549300IB5Q45JGNPND58", "meta" : { - "globalKey" : "3f1903" - }, - "value" : "2019-04-03" + "scheme" : "http://www.fpml.org/coding-scheme/external/iso17442" + } + }, + "identifierType" : "LEI", + "meta" : { + "globalKey" : "e213e7d7" } + } ], + "name" : { + "value" : "ClearItAll" }, - "transferExpression" : { - "scheduledTransfer" : { - "transferType" : "EXERCISE" - } + "meta" : { + "globalKey" : "f6a6cc60", + "externalKey" : "clearing-svc" + } + } ], + "partyRole" : [ { + "partyReference" : { + "globalReference" : "f6a6cc60", + "externalReference" : "clearing-svc" + }, + "role" : "ClearingOrganization", + "ownershipPartyReference" : { + "globalReference" : "74dee05b", + "externalReference" : "party1" } + } ], + "meta" : { + "globalKey" : "51e2b498" } - } ] + }, + "meta" : { + "globalKey" : "51e2b498" + } } } } ], - "intent" : "OPTION_EXERCISE", + "intent" : "OptionExercise", "eventDate" : "2019-04-01", "effectiveDate" : null } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/cdm-sample-files/functions/business-event/exercise/exercise-cash-settled-func-input.json b/rosetta-source/src/main/resources/cdm-sample-files/functions/business-event/exercise/exercise-cash-settled-func-input.json index 4e1ae68ba3..d7acd7f2d1 100644 --- a/rosetta-source/src/main/resources/cdm-sample-files/functions/business-event/exercise/exercise-cash-settled-func-input.json +++ b/rosetta-source/src/main/resources/cdm-sample-files/functions/business-event/exercise/exercise-cash-settled-func-input.json @@ -1,131 +1,103 @@ { "instruction" : [ { - "before" : { - "value" : { - "meta" : { - "globalKey" : "6693b599" - }, - "trade" : { - "meta" : { - "globalKey" : "bdced67d" - }, - "party" : [ { - "businessUnit" : [ { - "meta" : { - "externalKey" : "desk1", - "globalKey" : "5c10b72e" - }, - "name" : "NY Swaps Desk" - } ], - "meta" : { - "externalKey" : "party1", - "globalKey" : "fdda73db" - }, - "name" : { - "value" : "Bank X" - }, - "partyId" : [ { - "identifier" : { - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/iso17442" - }, - "value" : "LEI1RPT0001" - }, - "identifierType" : "LEI", - "meta" : { - "globalKey" : "b8962566" + "primitiveInstruction" : { + "quantityChange" : { + "change" : [ { + "quantity" : [ { + "value" : { + "value" : 0, + "unit" : { + "currency" : { + "value" : "EUR" + } } - } ], - "person" : [ { - "firstName" : "jjone", - "meta" : { - "externalKey" : "trader", - "globalKey" : "d3962233" - }, - "personId" : [ { - "value" : { - "identifier" : { - "value" : "jjones" - }, + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT" + } ] + } + } ], + "meta" : { + "globalKey" : "16df72" + } + } ], + "direction" : "Replace" + }, + "transfer" : { + "transferState" : [ { + "transfer" : { + "quantity" : { + "value" : 2000, + "unit" : { + "currency" : { + "value" : "EUR", "meta" : { - "globalKey" : "baeb8c0d" + "scheme" : "http://www.fpml.org/coding-scheme/external/iso4217" } } - } ] - } ] - }, { - "meta" : { - "externalKey" : "party2", - "globalKey" : "ee963b6" + } }, - "name" : { - "value" : "Bank Y" + "payerReceiver" : { + "payerPartyReference" : { + "globalReference" : "74dee05b", + "externalReference" : "party1" + }, + "receiverPartyReference" : { + "globalReference" : "b97c11f6", + "externalReference" : "party2" + } }, - "partyId" : [ { - "identifier" : { + "settlementDate" : { + "adjustedDate" : { + "value" : "2019-04-03", "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/iso17442" - }, - "value" : "LEI2CP0002" - }, - "identifierType" : "LEI", - "meta" : { - "globalKey" : "eb8edea1" + "globalKey" : "3f1903" + } } - } ] - }, { - "meta" : { - "externalKey" : "broker1", - "globalKey" : "ed0cc6d1" }, - "name" : { - "value" : "Up&Atem" + "transferExpression" : { + "scheduledTransfer" : { + "transferType" : "Exercise" + } + } + }, + "meta" : { + "globalKey" : "78d00c0b" + } + } ] + } + }, + "before" : { + "value" : { + "trade" : { + "tradeIdentifier" : [ { + "issuer" : { + "value" : "LEI1RPT0001", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/cftc/issuer-identifier" + } }, - "partyId" : [ { + "assignedIdentifier" : [ { "identifier" : { + "value" : "LEI1RPT0001HHH", "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/iso17442" - }, - "value" : "549300OL8KL0WCQ34V31" - }, - "identifierType" : "LEI", - "meta" : { - "globalKey" : "8ffabe4b" + "scheme" : "http://www.fpml.org/coding-scheme/external/unique-transaction-identifier" + } } - } ] - } ], - "partyRole" : [ { - "ownershipPartyReference" : { - "externalReference" : "party1", - "globalReference" : "fdda73db" - }, - "partyReference" : { - "externalReference" : "broker1", - "globalReference" : "ed0cc6d1" + } ], + "meta" : { + "globalKey" : "fe909b9c" }, - "role" : "ARRANGING_BROKER" + "identifierType" : "UniqueTransactionIdentifier" } ], + "tradeDate" : { + "value" : "2018-04-01", + "meta" : { + "globalKey" : "3f1101" + } + }, "tradableProduct" : { - "ancillaryParty" : [ { - "partyReference" : [ { - "externalReference" : "party2", - "globalReference" : "ee963b6" - } ], - "role" : "CALCULATION_AGENT_INDEPENDENT" - } ], - "counterparty" : [ { - "partyReference" : { - "externalReference" : "party1", - "globalReference" : "fdda73db" - }, - "role" : "PARTY_1" - }, { - "partyReference" : { - "externalReference" : "party2", - "globalReference" : "ee963b6" - }, - "role" : "PARTY_2" - } ], "product" : { "contractualProduct" : { "productTaxonomy" : [ { @@ -133,31 +105,23 @@ "productQualifier" : "InterestRate_Option_Swaption" } ], "economicTerms" : { - "calculationAgent" : { - "calculationAgentParty" : "CALCULATION_AGENT_INDEPENDENT" - }, "payout" : { - "meta" : { - "globalKey" : "815e6b91" - }, "optionPayout" : [ { "payerReceiver" : { - "payer" : "PARTY_2", - "receiver" : "PARTY_1" + "payer" : "Party2", + "receiver" : "Party1" }, "settlementTerms" : { - "meta" : { - "globalKey" : "75041c4" - }, "settlementDate" : { "adjustableOrRelativeDate" : { "relativeDate" : { + "periodMultiplier" : 2, + "period" : "D", "meta" : { - "globalKey" : "6e5a630" + "globalKey" : "954e996c" }, - "period" : "D", - "periodMultiplier" : 2, - "dayType" : "BUSINESS", + "dayType" : "Business", + "businessDayConvention" : "NONE", "businessCenters" : { "businessCenter" : [ { "value" : "EUTA" @@ -166,39 +130,22 @@ "globalKey" : "20a71d" } }, - "businessDayConvention" : "NONE", "dateRelativeTo" : { - "externalReference" : "europeanExercise0", - "globalReference" : "3f30e6b8" + "globalReference" : "c04e26de", + "externalReference" : "europeanExercise0" } } }, "meta" : { - "globalKey" : "6e5a630" + "globalKey" : "954e996c" } }, + "meta" : { + "globalKey" : "940c5744" + }, "cashSettlementTerms" : [ { - "cashSettlementMethod" : "PAR_YIELD_CURVE_UNADJUSTED_METHOD", - "meta" : { - "externalKey" : "cashSettlement0", - "globalKey" : "d90b9394" - }, - "valuationDate" : { - "valuationDate" : { - "meta" : { - "globalKey" : "7e857845" - }, - "period" : "D", - "periodMultiplier" : 0, - "businessDayConvention" : "NONE", - "dateRelativeTo" : { - "externalReference" : "europeanExercise0", - "globalReference" : "3f30e6b8" - } - } - }, + "cashSettlementMethod" : "ParYieldCurveUnadjustedMethod", "valuationMethod" : { - "quotationMethod" : "MID", "valuationSource" : { "informationSource" : { "primarySource" : { @@ -207,72 +154,48 @@ } } } + }, + "quotationMethod" : "Mid" + }, + "valuationDate" : { + "valuationDate" : { + "periodMultiplier" : 0, + "period" : "D", + "meta" : { + "globalKey" : "7ae6233d" + }, + "businessDayConvention" : "NONE", + "dateRelativeTo" : { + "globalReference" : "c04e26de", + "externalReference" : "europeanExercise0" + } } }, "valuationTime" : { + "hourMinuteTime" : "11:00:00", "businessCenter" : { "value" : "EUTA" - }, - "hourMinuteTime" : "11:00:00" + } + }, + "meta" : { + "globalKey" : "f67cabd8", + "externalKey" : "cashSettlement0" } } ] }, "buyerSeller" : { - "buyer" : "PARTY_1", - "seller" : "PARTY_2" + "buyer" : "Party1", + "seller" : "Party2" }, + "optionType" : "Straddle", "exerciseTerms" : { - "exerciseProcedure" : { - "followUpConfirmation" : true, - "manualExercise" : { - "exerciseNotice" : { - "businessCenter" : { - "value" : "BEBR" - }, - "exerciseNoticeGiver" : "BUYER" - } - } - }, "optionStyle" : { "europeanExercise" : { - "earliestExerciseTime" : { - "businessCenter" : { - "value" : "GBLO" - }, - "hourMinuteTime" : "09:00:00" - }, - "exerciseFee" : { - "payer" : "PARTY_1", - "receiver" : "PARTY_2", - "feeAmount" : 100000, - "feePaymentDate" : { - "meta" : { - "globalKey" : "d2cddbaa" - }, - "period" : "D", - "periodMultiplier" : 0, - "businessCenters" : { - "businessCenter" : [ { - "value" : "EUTA" - } ], - "meta" : { - "globalKey" : "20a71d" - } - }, - "businessDayConvention" : "NONE", - "dateRelativeTo" : { - "externalReference" : "europeanExercise0", - "globalReference" : "3f30e6b8" - } - }, - "notionalReference" : { - "externalReference" : "notional0", - "globalReference" : "0" - } - }, "expirationDate" : [ { "adjustableDate" : { + "unadjustedDate" : "2019-04-01", "dateAdjustments" : { + "businessDayConvention" : "FOLLOWING", "businessCenters" : { "businessCenter" : [ { "value" : "EUTA" @@ -283,37 +206,77 @@ "globalKey" : "4158421" } }, - "businessDayConvention" : "FOLLOWING", "meta" : { "globalKey" : "da3b6050" } }, "meta" : { "globalKey" : "4a5f542f" - }, - "unadjustedDate" : "2019-04-01" + } }, "meta" : { "globalKey" : "4a5f542f" } } ], + "earliestExerciseTime" : { + "hourMinuteTime" : "09:00:00", + "businessCenter" : { + "value" : "GBLO" + } + }, "expirationTime" : { + "hourMinuteTime" : "11:00:00", "businessCenter" : { "value" : "GBLO" + } + }, + "exerciseFee" : { + "payer" : "Party1", + "receiver" : "Party2", + "notionalReference" : { + "globalReference" : "0", + "externalReference" : "notional0" }, - "hourMinuteTime" : "11:00:00" + "feeAmount" : 100000, + "feePaymentDate" : { + "periodMultiplier" : 0, + "period" : "D", + "meta" : { + "globalKey" : "4825adb2" + }, + "businessDayConvention" : "NONE", + "businessCenters" : { + "businessCenter" : [ { + "value" : "EUTA" + } ], + "meta" : { + "globalKey" : "20a71d" + } + }, + "dateRelativeTo" : { + "globalReference" : "c04e26de", + "externalReference" : "europeanExercise0" + } + } }, "meta" : { - "externalKey" : "europeanExercise0", - "globalKey" : "3f30e6b8" + "globalKey" : "c04e26de", + "externalKey" : "europeanExercise0" } } - } - }, - "meta" : { - "globalKey" : "815e6b91" + }, + "exerciseProcedure" : { + "manualExercise" : { + "exerciseNotice" : { + "exerciseNoticeGiver" : "Buyer", + "businessCenter" : { + "value" : "BEBR" + } + } + }, + "followUpConfirmation" : true + } }, - "optionType" : "STRADDLE", "underlier" : { "contractualProduct" : { "productTaxonomy" : [ { @@ -324,47 +287,43 @@ "payout" : { "interestRatePayout" : [ { "payerReceiver" : { - "payer" : "PARTY_1", - "receiver" : "PARTY_2" + "payer" : "Party1", + "receiver" : "Party2" }, "priceQuantity" : { - "meta" : { - "externalKey" : "notional0", - "globalKey" : "0" - }, "quantitySchedule" : { "address" : { "scope" : "DOCUMENT", "value" : "quantity-1" } + }, + "meta" : { + "globalKey" : "0", + "externalKey" : "notional0" } }, - "calculationPeriodDates" : { - "calculationPeriodDatesAdjustments" : { - "businessCenters" : { - "businessCentersReference" : { - "externalReference" : "accrualBusinessCenters0", - "globalReference" : "20a71d" - }, - "meta" : { - "globalKey" : "622268e1" + "rateSpecification" : { + "fixedRate" : { + "rateSchedule" : { + "price" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "price-1" + } } }, - "businessDayConvention" : "MODFOLLOWING", "meta" : { - "globalKey" : "985d6cb2" + "globalKey" : "0" } - }, - "calculationPeriodFrequency" : { - "meta" : { - "globalKey" : "2b934" - }, - "period" : "Y", - "periodMultiplier" : 1, - "rollConvention" : "30" - }, + } + }, + "dayCountFraction" : { + "value" : "30/360" + }, + "calculationPeriodDates" : { "effectiveDate" : { "adjustableDate" : { + "unadjustedDate" : "2019-04-03", "dateAdjustments" : { "businessDayConvention" : "NONE", "meta" : { @@ -373,135 +332,133 @@ }, "meta" : { "globalKey" : "ed018b7b" - }, - "unadjustedDate" : "2019-04-03" + } }, "meta" : { "globalKey" : "ed018b7b" } }, - "meta" : { - "externalKey" : "CalcPeriodDates0", - "globalKey" : "b7d99d20" - }, "terminationDate" : { "adjustableDate" : { + "unadjustedDate" : "2024-04-03", "dateAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", "businessCenters" : { "businessCenter" : [ { "value" : "EUTA" } ], "meta" : { - "externalKey" : "accrualBusinessCenters0", - "globalKey" : "20a71d" + "globalKey" : "20a71d", + "externalKey" : "accrualBusinessCenters0" } }, - "businessDayConvention" : "MODFOLLOWING", "meta" : { "globalKey" : "365baaee" } }, "meta" : { "globalKey" : "759b93cb" - }, - "unadjustedDate" : "2024-04-03" + } }, "meta" : { "globalKey" : "759b93cb" } + }, + "calculationPeriodDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCentersReference" : { + "globalReference" : "20a71d", + "externalReference" : "accrualBusinessCenters0" + }, + "meta" : { + "globalKey" : "622268e1" + } + }, + "meta" : { + "globalKey" : "985d6cb2" + } + }, + "calculationPeriodFrequency" : { + "periodMultiplier" : 1, + "period" : "Y", + "meta" : { + "globalKey" : "17984" + }, + "rollConvention" : "30" + }, + "meta" : { + "globalKey" : "e58937b0", + "externalKey" : "CalcPeriodDates0" } }, - "dayCountFraction" : { - "value" : "30/360" - }, - "meta" : { - "globalKey" : "beafa721" - }, "paymentDates" : { - "meta" : { - "globalKey" : "4d64aef4" + "paymentFrequency" : { + "periodMultiplier" : 1, + "period" : "Y", + "meta" : { + "globalKey" : "78" + } }, - "payRelativeTo" : "CALCULATION_PERIOD_END_DATE", + "payRelativeTo" : "CalculationPeriodEndDate", "paymentDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", "businessCenters" : { "businessCenter" : [ { "value" : "EUTA" } ], "meta" : { - "externalKey" : "paymentBusinessCenters0", - "globalKey" : "20a71d" + "globalKey" : "20a71d", + "externalKey" : "paymentBusinessCenters0" } }, - "businessDayConvention" : "MODFOLLOWING", "meta" : { "globalKey" : "365baaee" } }, - "paymentFrequency" : { - "meta" : { - "globalKey" : "ac8" - }, - "period" : "Y", - "periodMultiplier" : 1 + "meta" : { + "globalKey" : "9b0d9350" } }, - "rateSpecification" : { - "fixedRate" : { - "meta" : { - "globalKey" : "0" - }, - "rateSchedule" : { - "price" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "price-1" - } - } - } - } + "meta" : { + "globalKey" : "f1b753b5" } }, { "payerReceiver" : { - "payer" : "PARTY_2", - "receiver" : "PARTY_1" + "payer" : "Party2", + "receiver" : "Party1" }, "priceQuantity" : { - "meta" : { - "globalKey" : "0" - }, "quantitySchedule" : { "address" : { "scope" : "DOCUMENT", "value" : "quantity-2" } + }, + "meta" : { + "globalKey" : "0" } }, - "calculationPeriodDates" : { - "calculationPeriodDatesAdjustments" : { - "businessCenters" : { - "businessCentersReference" : { - "externalReference" : "accrualBusinessCenters1", - "globalReference" : "20a71d" - }, - "meta" : { - "globalKey" : "622268e2" + "rateSpecification" : { + "floatingRate" : { + "rateOption" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "rateOption-1" } }, - "businessDayConvention" : "MODFOLLOWING", "meta" : { - "globalKey" : "985d6cb3" + "globalKey" : "0" } - }, - "calculationPeriodFrequency" : { - "meta" : { - "globalKey" : "28cc3" - }, - "period" : "M", - "periodMultiplier" : 6, - "rollConvention" : "30" - }, + } + }, + "dayCountFraction" : { + "value" : "ACT/360" + }, + "calculationPeriodDates" : { "effectiveDate" : { "adjustableDate" : { + "unadjustedDate" : "2019-04-03", "dateAdjustments" : { "businessDayConvention" : "NONE", "meta" : { @@ -510,314 +467,421 @@ }, "meta" : { "globalKey" : "ed018b7b" - }, - "unadjustedDate" : "2019-04-03" + } }, "meta" : { "globalKey" : "ed018b7b" } }, - "meta" : { - "externalKey" : "CalcPeriodDates1", - "globalKey" : "aade2c10" - }, "terminationDate" : { "adjustableDate" : { + "unadjustedDate" : "2024-04-03", "dateAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", "businessCenters" : { "businessCenter" : [ { "value" : "EUTA" } ], "meta" : { - "externalKey" : "accrualBusinessCenters1", - "globalKey" : "20a71d" + "globalKey" : "20a71d", + "externalKey" : "accrualBusinessCenters1" } }, - "businessDayConvention" : "MODFOLLOWING", "meta" : { "globalKey" : "365baaee" } }, "meta" : { "globalKey" : "759b93cb" - }, - "unadjustedDate" : "2024-04-03" + } }, "meta" : { "globalKey" : "759b93cb" } + }, + "calculationPeriodDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCentersReference" : { + "globalReference" : "20a71d", + "externalReference" : "accrualBusinessCenters1" + }, + "meta" : { + "globalKey" : "622268e2" + } + }, + "meta" : { + "globalKey" : "985d6cb3" + } + }, + "calculationPeriodFrequency" : { + "periodMultiplier" : 6, + "period" : "M", + "meta" : { + "globalKey" : "18ad5" + }, + "rollConvention" : "30" + }, + "meta" : { + "globalKey" : "e5976082", + "externalKey" : "CalcPeriodDates1" } }, - "dayCountFraction" : { - "value" : "ACT/360" - }, - "meta" : { - "globalKey" : "37419ebd" - }, "paymentDates" : { - "meta" : { - "globalKey" : "4d64ad85" + "paymentFrequency" : { + "periodMultiplier" : 6, + "period" : "M", + "meta" : { + "globalKey" : "107" + } }, - "payRelativeTo" : "CALCULATION_PERIOD_END_DATE", + "payRelativeTo" : "CalculationPeriodEndDate", "paymentDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", "businessCenters" : { "businessCenter" : [ { "value" : "EUTA" } ], "meta" : { - "externalKey" : "paymentBusinessCenters1", - "globalKey" : "20a71d" + "globalKey" : "20a71d", + "externalKey" : "paymentBusinessCenters1" } }, - "businessDayConvention" : "MODFOLLOWING", "meta" : { "globalKey" : "365baaee" } }, - "paymentFrequency" : { - "meta" : { - "globalKey" : "959" - }, - "period" : "M", - "periodMultiplier" : 6 - } - }, - "rateSpecification" : { - "floatingRate" : { - "meta" : { - "globalKey" : "0" - }, - "rateOption" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "rateOption-1" - } - } + "meta" : { + "globalKey" : "8f129421" } }, "resetDates" : { "calculationPeriodDatesReference" : { - "externalReference" : "CalcPeriodDates1", - "globalReference" : "aade2c10" + "globalReference" : "e5976082", + "externalReference" : "CalcPeriodDates1" }, + "resetRelativeTo" : "CalculationPeriodStartDate", "fixingDates" : { + "periodMultiplier" : -2, + "period" : "D", "meta" : { - "globalKey" : "2d80ce65" + "globalKey" : "a5cb919" }, - "period" : "D", - "periodMultiplier" : -2, - "dayType" : "BUSINESS", + "dayType" : "Business", + "businessDayConvention" : "NONE", "businessCenters" : { "businessCenter" : [ { "value" : "EUTA" } ], "meta" : { - "externalKey" : "fixingBusinessCenters0", - "globalKey" : "20a71d" + "globalKey" : "20a71d", + "externalKey" : "fixingBusinessCenters0" } }, - "businessDayConvention" : "NONE", "dateRelativeTo" : { - "externalReference" : "resetDates0", - "globalReference" : "3522cca9" + "globalReference" : "dbaefb1", + "externalReference" : "resetDates0" } }, - "meta" : { - "externalKey" : "resetDates0", - "globalKey" : "3522cca9" + "resetFrequency" : { + "periodMultiplier" : 6, + "period" : "M", + "meta" : { + "globalKey" : "107" + } }, "resetDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", "businessCenters" : { "businessCentersReference" : { - "externalReference" : "paymentBusinessCenters1", - "globalReference" : "20a71d" + "globalReference" : "20a71d", + "externalReference" : "paymentBusinessCenters1" }, "meta" : { "globalKey" : "e30c2739" } }, - "businessDayConvention" : "MODFOLLOWING", "meta" : { "globalKey" : "19472b0a" } }, - "resetFrequency" : { - "meta" : { - "globalKey" : "959" - }, - "period" : "M", - "periodMultiplier" : 6 - }, - "resetRelativeTo" : "CALCULATION_PERIOD_START_DATE" + "meta" : { + "globalKey" : "dbaefb1", + "externalKey" : "resetDates0" + } + }, + "meta" : { + "globalKey" : "aceec753" } } ], "meta" : { - "globalKey" : "f2ba977c" + "globalKey" : "2f30d0fe" } } }, "meta" : { - "globalKey" : "8caed6ad" + "globalKey" : "c925102f" } }, "meta" : { - "globalKey" : "8caed6ad" + "globalKey" : "c925102f" } + }, + "meta" : { + "globalKey" : "cabdd40b" } - } ] + } ], + "meta" : { + "globalKey" : "cabdd40b" + } + }, + "calculationAgent" : { + "calculationAgentParty" : "CalculationAgentIndependent" } }, "meta" : { - "globalKey" : "57c1b9c" + "globalKey" : "358d8a6a" } }, "meta" : { - "globalKey" : "57c1b9c" + "globalKey" : "358d8a6a" } }, "tradeLot" : [ { "priceQuantity" : [ { - "meta" : { - "globalKey" : "87486928" - }, "price" : [ { - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-1" - } ] - }, "value" : { + "value" : 0.05, "unit" : { "currency" : { "value" : "EUR" } }, - "value" : 0.05, "perUnitOf" : { "currency" : { "value" : "EUR" } }, - "priceType" : "INTEREST_RATE" + "priceType" : "InterestRate" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-1" + } ] } } ], "quantity" : [ { + "value" : { + "value" : 13000, + "unit" : { + "currency" : { + "value" : "EUR" + } + } + }, "meta" : { "location" : [ { "scope" : "DOCUMENT", "value" : "quantity-1" } ] - }, + } + } ], + "meta" : { + "globalKey" : "61c4bbd8" + } + }, { + "quantity" : [ { "value" : { + "value" : 13000, "unit" : { "currency" : { "value" : "EUR" } - }, - "value" : 13000 + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } ] } - } ] - }, { - "meta" : { - "globalKey" : "6de8e6e3" - }, + } ], "observable" : { - "meta" : { - "globalKey" : "bf589e11" - }, "rateOption" : { - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "rateOption-1" - } ] - }, "value" : { "floatingRateIndex" : { "value" : "EUR-EURIBOR-Telerate" }, "indexTenor" : { - "meta" : { - "globalKey" : "959" - }, + "periodMultiplier" : 6, "period" : "M", - "periodMultiplier" : 6 + "meta" : { + "globalKey" : "107" + } } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "rateOption-1" + } ] } - } - }, - "quantity" : [ { - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } ] }, - "value" : { - "unit" : { - "currency" : { - "value" : "EUR" - } - }, - "value" : 13000 + "meta" : { + "globalKey" : "2bba2221" } - } ] + }, + "meta" : { + "globalKey" : "e41ee335" + } + } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "74dee05b", + "externalReference" : "party1" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "b97c11f6", + "externalReference" : "party2" + } + } ], + "ancillaryParty" : [ { + "role" : "CalculationAgentIndependent", + "partyReference" : [ { + "globalReference" : "b97c11f6", + "externalReference" : "party2" } ] } ] }, - "tradeDate" : { - "meta" : { - "globalKey" : "3f1101" - }, - "value" : "2018-04-01" - }, - "tradeIdentifier" : [ { - "assignedIdentifier" : [ { + "party" : [ { + "partyId" : [ { "identifier" : { + "value" : "LEI1RPT0001", "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/unique-transaction-identifier" - }, - "value" : "LEI1RPT0001HHH" + "scheme" : "http://www.fpml.org/coding-scheme/external/iso17442" + } + }, + "identifierType" : "LEI", + "meta" : { + "globalKey" : "b8962566" } } ], - "issuer" : { + "name" : { + "value" : "Bank X" + }, + "businessUnit" : [ { + "name" : "NY Swaps Desk", "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/cftc/issuer-identifier" + "globalKey" : "5c10b72e", + "externalKey" : "desk1" + } + } ], + "person" : [ { + "personId" : [ { + "value" : { + "identifier" : { + "value" : "jjones" + }, + "meta" : { + "globalKey" : "baeb8c0d" + } + } + } ], + "firstName" : "jjone", + "meta" : { + "globalKey" : "d3962233", + "externalKey" : "trader" + } + } ], + "meta" : { + "globalKey" : "74dee05b", + "externalKey" : "party1" + } + }, { + "partyId" : [ { + "identifier" : { + "value" : "LEI2CP0002", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/iso17442" + } }, - "value" : "LEI1RPT0001" + "identifierType" : "LEI", + "meta" : { + "globalKey" : "eb8edea1" + } + } ], + "name" : { + "value" : "Bank Y" }, "meta" : { - "globalKey" : "e3416af0" + "globalKey" : "b97c11f6", + "externalKey" : "party2" + } + }, { + "partyId" : [ { + "identifier" : { + "value" : "549300OL8KL0WCQ34V31", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/iso17442" + } + }, + "identifierType" : "LEI", + "meta" : { + "globalKey" : "8ffabe4b" + } + } ], + "name" : { + "value" : "Up&Atem" }, - "identifierType" : "UNIQUE_TRANSACTION_IDENTIFIER" - } ] + "meta" : { + "globalKey" : "ce0b9311", + "externalKey" : "broker1" + } + } ], + "partyRole" : [ { + "partyReference" : { + "globalReference" : "ce0b9311", + "externalReference" : "broker1" + }, + "role" : "ArrangingBroker", + "ownershipPartyReference" : { + "globalReference" : "74dee05b", + "externalReference" : "party1" + } + } ], + "meta" : { + "globalKey" : "55f0ab75" + } }, "transferHistory" : [ { - "meta" : { - "globalKey" : "5e54abf6" - }, "transfer" : { - "payerReceiver" : { - "payerPartyReference" : { - "externalReference" : "party1", - "globalReference" : "fdda73db" - }, - "receiverPartyReference" : { - "externalReference" : "party2", - "globalReference" : "ee963b6" - } - }, "quantity" : { + "value" : 100000, "unit" : { "currency" : { "value" : "EUR" } + } + }, + "payerReceiver" : { + "payerPartyReference" : { + "globalReference" : "74dee05b", + "externalReference" : "party1" }, - "value" : 100000 + "receiverPartyReference" : { + "globalReference" : "b97c11f6", + "externalReference" : "party2" + } }, "settlementDate" : { + "unadjustedDate" : "2018-04-01", "dateAdjustments" : { + "businessDayConvention" : "FOLLOWING", "businessCenters" : { "businessCenter" : [ { "value" : "EUTA" @@ -826,90 +890,26 @@ "globalKey" : "20a71d" } }, - "businessDayConvention" : "FOLLOWING", "meta" : { "globalKey" : "211dc30c" } - }, - "unadjustedDate" : "2018-04-01" + } }, "transferExpression" : { - "priceTransfer" : "PREMIUM" + "priceTransfer" : "Premium" } - } - } ] - } - }, - "primitiveInstruction" : { - "quantityChange" : { - "change" : [ { - "meta" : { - "globalKey" : "16df72" }, - "quantity" : [ { - "meta" : { - "location" : [ { - "scope" : "DOCUMENT" - } ] - }, - "value" : { - "unit" : { - "currency" : { - "value" : "EUR" - } - }, - "value" : 0 - } - } ] - } ], - "direction" : "REPLACE" - }, - "transfer" : { - "transferState" : [ { "meta" : { - "globalKey" : "ac5b9c85" - }, - "transfer" : { - "payerReceiver" : { - "payerPartyReference" : { - "externalReference" : "party1", - "globalReference" : "fdda73db" - }, - "receiverPartyReference" : { - "externalReference" : "party2", - "globalReference" : "ee963b6" - } - }, - "quantity" : { - "unit" : { - "currency" : { - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/iso4217" - }, - "value" : "EUR" - } - }, - "value" : 2000 - }, - "settlementDate" : { - "adjustedDate" : { - "meta" : { - "globalKey" : "3f1903" - }, - "value" : "2019-04-03" - } - }, - "transferExpression" : { - "scheduledTransfer" : { - "transferType" : "EXERCISE" - } - } + "globalKey" : "dfb43c0e" } - } ] + } ], + "meta" : { + "globalKey" : "6e8abbb9" + } } } } ], - "intent" : "OPTION_EXERCISE", + "intent" : "OptionExercise", "eventDate" : "2019-04-01", "effectiveDate" : null } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/cdm-sample-files/functions/business-event/exercise/exercise-partial-exercise-func-input.json b/rosetta-source/src/main/resources/cdm-sample-files/functions/business-event/exercise/exercise-partial-exercise-func-input.json index 8db07241b4..f44b19b106 100644 --- a/rosetta-source/src/main/resources/cdm-sample-files/functions/business-event/exercise/exercise-partial-exercise-func-input.json +++ b/rosetta-source/src/main/resources/cdm-sample-files/functions/business-event/exercise/exercise-partial-exercise-func-input.json @@ -1,131 +1,84 @@ { "instruction" : [ { - "before" : { - "value" : { - "meta" : { - "globalKey" : "cdd57fa9" - }, - "trade" : { - "meta" : { - "globalKey" : "e21426ab" - }, - "party" : [ { - "businessUnit" : [ { - "meta" : { - "externalKey" : "desk1", - "globalKey" : "5c10b72e" - }, - "name" : "NY Swaps Desk" - } ], - "meta" : { - "externalKey" : "party1", - "globalKey" : "fdda73db" - }, - "name" : { - "value" : "Bank X" - }, - "partyId" : [ { - "identifier" : { - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/iso17442" + "primitiveInstruction" : { + "exercise" : { + "exerciseQuantity" : { + "quantityChange" : { + "change" : [ { + "quantity" : [ { + "value" : { + "value" : 11000, + "unit" : { + "currency" : { + "value" : "EUR" + } + } }, - "value" : "LEI1RPT0001" - }, - "identifierType" : "LEI", + "meta" : { + "location" : [ { + "scope" : "DOCUMENT" + } ] + } + } ], "meta" : { - "globalKey" : "b8962566" + "globalKey" : "56ced392" } } ], - "person" : [ { - "firstName" : "jjone", - "meta" : { - "externalKey" : "trader", - "globalKey" : "d3962233" - }, - "personId" : [ { - "value" : { - "identifier" : { - "value" : "jjones" - }, - "meta" : { - "globalKey" : "baeb8c0d" - } - } - } ] - } ] - }, { + "direction" : "Replace" + } + }, + "replacementTradeIdentifier" : [ { + "issuer" : { + "value" : "LEI1RPT0001", "meta" : { - "externalKey" : "party2", - "globalKey" : "ee963b6" - }, - "name" : { - "value" : "Bank Y" - }, - "partyId" : [ { - "identifier" : { - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/iso17442" - }, - "value" : "LEI2CP0002" - }, - "identifierType" : "LEI", + "scheme" : "http://www.fpml.org/coding-scheme/external/cftc/issuer-identifier" + } + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "LEI1RPT0001IIIIEx", "meta" : { - "globalKey" : "eb8edea1" + "scheme" : "http://www.fpml.org/coding-scheme/external/unique-transaction-identifier" + } + } + } ], + "meta" : { + "globalKey" : "9069ec85" + }, + "identifierType" : "UniqueTransactionIdentifier" + } ] + } + }, + "before" : { + "value" : { + "trade" : { + "tradeIdentifier" : [ { + "issuer" : { + "value" : "LEI1RPT0001", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/cftc/issuer-identifier" } - } ] - }, { - "meta" : { - "externalKey" : "broker1", - "globalKey" : "ed0cc6d1" - }, - "name" : { - "value" : "Up&Atem" }, - "partyId" : [ { + "assignedIdentifier" : [ { "identifier" : { + "value" : "LEI1RPT0001IIII", "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/iso17442" - }, - "value" : "549300OL8KL0WCQ34V31" - }, - "identifierType" : "LEI", - "meta" : { - "globalKey" : "8ffabe4b" + "scheme" : "http://www.fpml.org/coding-scheme/external/unique-transaction-identifier" + } } - } ] - } ], - "partyRole" : [ { - "ownershipPartyReference" : { - "externalReference" : "party1", - "globalReference" : "fdda73db" - }, - "partyReference" : { - "externalReference" : "broker1", - "globalReference" : "ed0cc6d1" + } ], + "meta" : { + "globalKey" : "7ab7b578" }, - "role" : "ARRANGING_BROKER" + "identifierType" : "UniqueTransactionIdentifier" } ], + "tradeDate" : { + "value" : "2018-05-01", + "meta" : { + "globalKey" : "3f1141" + } + }, "tradableProduct" : { - "ancillaryParty" : [ { - "partyReference" : [ { - "externalReference" : "party2", - "globalReference" : "ee963b6" - } ], - "role" : "CALCULATION_AGENT_INDEPENDENT" - } ], - "counterparty" : [ { - "partyReference" : { - "externalReference" : "party1", - "globalReference" : "fdda73db" - }, - "role" : "PARTY_1" - }, { - "partyReference" : { - "externalReference" : "party2", - "globalReference" : "ee963b6" - }, - "role" : "PARTY_2" - } ], "product" : { "contractualProduct" : { "productTaxonomy" : [ { @@ -133,17 +86,11 @@ "productQualifier" : "InterestRate_Option_Swaption" } ], "economicTerms" : { - "calculationAgent" : { - "calculationAgentParty" : "CALCULATION_AGENT_INDEPENDENT" - }, "payout" : { - "meta" : { - "globalKey" : "f1ddc0e9" - }, "optionPayout" : [ { "payerReceiver" : { - "payer" : "PARTY_2", - "receiver" : "PARTY_1" + "payer" : "Party2", + "receiver" : "Party1" }, "settlementTerms" : { "meta" : { @@ -157,32 +104,17 @@ } }, "buyerSeller" : { - "buyer" : "PARTY_1", - "seller" : "PARTY_2" + "buyer" : "Party1", + "seller" : "Party2" }, "exerciseTerms" : { - "exerciseProcedure" : { - "followUpConfirmation" : true, - "manualExercise" : { - "exerciseNotice" : { - "businessCenter" : { - "value" : "GBLO" - }, - "exerciseNoticeGiver" : "SELLER" - } - } - }, "optionStyle" : { "europeanExercise" : { - "earliestExerciseTime" : { - "businessCenter" : { - "value" : "BEBR" - }, - "hourMinuteTime" : "09:00:00" - }, "expirationDate" : [ { "adjustableDate" : { + "unadjustedDate" : "2021-12-30", "dateAdjustments" : { + "businessDayConvention" : "FOLLOWING", "businessCenters" : { "businessCenter" : [ { "value" : "EUTA" @@ -193,35 +125,47 @@ "globalKey" : "4158421" } }, - "businessDayConvention" : "FOLLOWING", "meta" : { "globalKey" : "da3b6050" } }, "meta" : { "globalKey" : "e4091772" - }, - "unadjustedDate" : "2021-12-30" + } }, "meta" : { "globalKey" : "e4091772" } } ], + "earliestExerciseTime" : { + "hourMinuteTime" : "09:00:00", + "businessCenter" : { + "value" : "BEBR" + } + }, "expirationTime" : { + "hourMinuteTime" : "11:00:00", "businessCenter" : { "value" : "BEBR" - }, - "hourMinuteTime" : "11:00:00" + } }, "meta" : { - "globalKey" : "38fb3b53" + "globalKey" : "3a8d6d3" } } + }, + "exerciseProcedure" : { + "manualExercise" : { + "exerciseNotice" : { + "exerciseNoticeGiver" : "Seller", + "businessCenter" : { + "value" : "GBLO" + } + } + }, + "followUpConfirmation" : true } }, - "meta" : { - "globalKey" : "f1ddc0e9" - }, "underlier" : { "contractualProduct" : { "productTaxonomy" : [ { @@ -232,46 +176,42 @@ "payout" : { "interestRatePayout" : [ { "payerReceiver" : { - "payer" : "PARTY_1", - "receiver" : "PARTY_2" + "payer" : "Party1", + "receiver" : "Party2" }, "priceQuantity" : { - "meta" : { - "globalKey" : "0" - }, "quantitySchedule" : { "address" : { "scope" : "DOCUMENT", "value" : "quantity-1" } + }, + "meta" : { + "globalKey" : "0" } }, - "calculationPeriodDates" : { - "calculationPeriodDatesAdjustments" : { - "businessCenters" : { - "businessCentersReference" : { - "externalReference" : "accrualBusinessCenters0", - "globalReference" : "20a71d" - }, - "meta" : { - "globalKey" : "622268e1" + "rateSpecification" : { + "fixedRate" : { + "rateSchedule" : { + "price" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "price-1" + } } }, - "businessDayConvention" : "MODFOLLOWING", "meta" : { - "globalKey" : "985d6cb2" + "globalKey" : "0" } - }, - "calculationPeriodFrequency" : { - "meta" : { - "globalKey" : "2b934" - }, - "period" : "Y", - "periodMultiplier" : 1, - "rollConvention" : "30" - }, + } + }, + "dayCountFraction" : { + "value" : "30/360" + }, + "calculationPeriodDates" : { "effectiveDate" : { "adjustableDate" : { + "unadjustedDate" : "2019-04-03", "dateAdjustments" : { "businessDayConvention" : "NONE", "meta" : { @@ -280,135 +220,133 @@ }, "meta" : { "globalKey" : "ed018b7b" - }, - "unadjustedDate" : "2019-04-03" + } }, "meta" : { "globalKey" : "ed018b7b" } }, - "meta" : { - "externalKey" : "CalcPeriodDates0", - "globalKey" : "5b4ecbe5" - }, "terminationDate" : { "adjustableDate" : { + "unadjustedDate" : "2021-12-30", "dateAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", "businessCenters" : { "businessCenter" : [ { "value" : "EUTA" } ], "meta" : { - "externalKey" : "accrualBusinessCenters0", - "globalKey" : "20a71d" + "globalKey" : "20a71d", + "externalKey" : "accrualBusinessCenters0" } }, - "businessDayConvention" : "MODFOLLOWING", "meta" : { "globalKey" : "365baaee" } }, "meta" : { "globalKey" : "1910c290" - }, - "unadjustedDate" : "2021-12-30" + } }, "meta" : { "globalKey" : "1910c290" } - } - }, - "dayCountFraction" : { - "value" : "30/360" - }, - "meta" : { - "globalKey" : "edb875bc" - }, - "paymentDates" : { - "meta" : { - "globalKey" : "4d64aef4" }, - "payRelativeTo" : "CALCULATION_PERIOD_END_DATE", - "paymentDatesAdjustments" : { + "calculationPeriodDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", "businessCenters" : { - "businessCenter" : [ { - "value" : "EUTA" - } ], + "businessCentersReference" : { + "globalReference" : "20a71d", + "externalReference" : "accrualBusinessCenters0" + }, "meta" : { - "externalKey" : "paymentBusinessCenters0", - "globalKey" : "20a71d" + "globalKey" : "622268e1" } }, - "businessDayConvention" : "MODFOLLOWING", "meta" : { - "globalKey" : "365baaee" + "globalKey" : "985d6cb2" } }, - "paymentFrequency" : { + "calculationPeriodFrequency" : { + "periodMultiplier" : 1, + "period" : "Y", "meta" : { - "globalKey" : "ac8" + "globalKey" : "17984" }, - "period" : "Y", - "periodMultiplier" : 1 + "rollConvention" : "30" + }, + "meta" : { + "globalKey" : "848bd68b", + "externalKey" : "CalcPeriodDates0" } }, - "rateSpecification" : { - "fixedRate" : { - "meta" : { - "globalKey" : "0" - }, - "rateSchedule" : { - "price" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "price-1" - } + "paymentDates" : { + "paymentFrequency" : { + "periodMultiplier" : 1, + "period" : "Y", + "meta" : { + "globalKey" : "78" + } + }, + "payRelativeTo" : "CalculationPeriodEndDate", + "paymentDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "EUTA" + } ], + "meta" : { + "globalKey" : "20a71d", + "externalKey" : "paymentBusinessCenters0" } + }, + "meta" : { + "globalKey" : "365baaee" } + }, + "meta" : { + "globalKey" : "9b0d9350" } + }, + "meta" : { + "globalKey" : "bc315cd0" } }, { "payerReceiver" : { - "payer" : "PARTY_2", - "receiver" : "PARTY_1" + "payer" : "Party2", + "receiver" : "Party1" }, "priceQuantity" : { - "meta" : { - "globalKey" : "0" - }, "quantitySchedule" : { "address" : { "scope" : "DOCUMENT", "value" : "quantity-2" } + }, + "meta" : { + "globalKey" : "0" } }, - "calculationPeriodDates" : { - "calculationPeriodDatesAdjustments" : { - "businessCenters" : { - "businessCentersReference" : { - "externalReference" : "accrualBusinessCenters1", - "globalReference" : "20a71d" - }, - "meta" : { - "globalKey" : "622268e2" + "rateSpecification" : { + "floatingRate" : { + "rateOption" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "rateOption-1" } }, - "businessDayConvention" : "MODFOLLOWING", "meta" : { - "globalKey" : "985d6cb3" + "globalKey" : "0" } - }, - "calculationPeriodFrequency" : { - "meta" : { - "globalKey" : "28cc3" - }, - "period" : "M", - "periodMultiplier" : 6, - "rollConvention" : "30" - }, + } + }, + "dayCountFraction" : { + "value" : "ACT/360" + }, + "calculationPeriodDates" : { "effectiveDate" : { "adjustableDate" : { + "unadjustedDate" : "2019-04-03", "dateAdjustments" : { "businessDayConvention" : "NONE", "meta" : { @@ -417,314 +355,421 @@ }, "meta" : { "globalKey" : "ed018b7b" - }, - "unadjustedDate" : "2019-04-03" + } }, "meta" : { "globalKey" : "ed018b7b" } }, - "meta" : { - "externalKey" : "CalcPeriodDates1", - "globalKey" : "4e535ad5" - }, "terminationDate" : { "adjustableDate" : { + "unadjustedDate" : "2021-12-30", "dateAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", "businessCenters" : { "businessCenter" : [ { "value" : "EUTA" } ], "meta" : { - "externalKey" : "accrualBusinessCenters1", - "globalKey" : "20a71d" + "globalKey" : "20a71d", + "externalKey" : "accrualBusinessCenters1" } }, - "businessDayConvention" : "MODFOLLOWING", "meta" : { "globalKey" : "365baaee" } }, "meta" : { "globalKey" : "1910c290" - }, - "unadjustedDate" : "2021-12-30" + } }, "meta" : { "globalKey" : "1910c290" } + }, + "calculationPeriodDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCentersReference" : { + "globalReference" : "20a71d", + "externalReference" : "accrualBusinessCenters1" + }, + "meta" : { + "globalKey" : "622268e2" + } + }, + "meta" : { + "globalKey" : "985d6cb3" + } + }, + "calculationPeriodFrequency" : { + "periodMultiplier" : 6, + "period" : "M", + "meta" : { + "globalKey" : "18ad5" + }, + "rollConvention" : "30" + }, + "meta" : { + "globalKey" : "8499ff5d", + "externalKey" : "CalcPeriodDates1" } }, - "dayCountFraction" : { - "value" : "ACT/360" - }, - "meta" : { - "globalKey" : "4c5d8f02" - }, "paymentDates" : { - "meta" : { - "globalKey" : "4d64ad85" + "paymentFrequency" : { + "periodMultiplier" : 6, + "period" : "M", + "meta" : { + "globalKey" : "107" + } }, - "payRelativeTo" : "CALCULATION_PERIOD_END_DATE", + "payRelativeTo" : "CalculationPeriodEndDate", "paymentDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", "businessCenters" : { "businessCenter" : [ { "value" : "EUTA" } ], "meta" : { - "externalKey" : "paymentBusinessCenters1", - "globalKey" : "20a71d" + "globalKey" : "20a71d", + "externalKey" : "paymentBusinessCenters1" } }, - "businessDayConvention" : "MODFOLLOWING", "meta" : { "globalKey" : "365baaee" } }, - "paymentFrequency" : { - "meta" : { - "globalKey" : "959" - }, - "period" : "M", - "periodMultiplier" : 6 - } - }, - "rateSpecification" : { - "floatingRate" : { - "meta" : { - "globalKey" : "0" - }, - "rateOption" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "rateOption-1" - } - } + "meta" : { + "globalKey" : "8f129421" } }, "resetDates" : { "calculationPeriodDatesReference" : { - "externalReference" : "CalcPeriodDates1", - "globalReference" : "4e535ad5" + "globalReference" : "8499ff5d", + "externalReference" : "CalcPeriodDates1" }, + "resetRelativeTo" : "CalculationPeriodStartDate", "fixingDates" : { + "periodMultiplier" : -2, + "period" : "D", "meta" : { - "globalKey" : "2d80ce65" + "globalKey" : "a5cb919" }, - "period" : "D", - "periodMultiplier" : -2, - "dayType" : "BUSINESS", + "dayType" : "Business", + "businessDayConvention" : "NONE", "businessCenters" : { "businessCenter" : [ { "value" : "EUTA" } ], "meta" : { - "externalKey" : "fixingBusinessCenters0", - "globalKey" : "20a71d" + "globalKey" : "20a71d", + "externalKey" : "fixingBusinessCenters0" } }, - "businessDayConvention" : "NONE", "dateRelativeTo" : { - "externalReference" : "resetDates0", - "globalReference" : "3522cca9" + "globalReference" : "dbaefb1", + "externalReference" : "resetDates0" } }, - "meta" : { - "externalKey" : "resetDates0", - "globalKey" : "3522cca9" + "resetFrequency" : { + "periodMultiplier" : 6, + "period" : "M", + "meta" : { + "globalKey" : "107" + } }, "resetDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", "businessCenters" : { "businessCentersReference" : { - "externalReference" : "paymentBusinessCenters1", - "globalReference" : "20a71d" + "globalReference" : "20a71d", + "externalReference" : "paymentBusinessCenters1" }, "meta" : { "globalKey" : "e30c2739" } }, - "businessDayConvention" : "MODFOLLOWING", "meta" : { "globalKey" : "19472b0a" } }, - "resetFrequency" : { - "meta" : { - "globalKey" : "959" - }, - "period" : "M", - "periodMultiplier" : 6 - }, - "resetRelativeTo" : "CALCULATION_PERIOD_START_DATE" + "meta" : { + "globalKey" : "dbaefb1", + "externalKey" : "resetDates0" + } + }, + "meta" : { + "globalKey" : "91873a2e" } } ], "meta" : { - "globalKey" : "ada951c6" + "globalKey" : "9f6d835e" } } }, "meta" : { - "globalKey" : "479d90f7" + "globalKey" : "3961c28f" } }, "meta" : { - "globalKey" : "479d90f7" + "globalKey" : "3961c28f" } + }, + "meta" : { + "globalKey" : "9a7d7b" } - } ] + } ], + "meta" : { + "globalKey" : "9a7d7b" + } + }, + "calculationAgent" : { + "calculationAgentParty" : "CalculationAgentIndependent" } }, "meta" : { - "globalKey" : "76817c34" + "globalKey" : "e3ccfc9a" } }, "meta" : { - "globalKey" : "76817c34" + "globalKey" : "e3ccfc9a" } }, "tradeLot" : [ { "priceQuantity" : [ { - "meta" : { - "globalKey" : "25fb1aeb" - }, "price" : [ { - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-1" - } ] - }, "value" : { + "value" : 0.05, "unit" : { "currency" : { "value" : "EUR" } }, - "value" : 0.05, "perUnitOf" : { "currency" : { "value" : "EUR" } }, - "priceType" : "INTEREST_RATE" + "priceType" : "InterestRate" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-1" + } ] } } ], "quantity" : [ { + "value" : { + "value" : 16000, + "unit" : { + "currency" : { + "value" : "EUR" + } + } + }, "meta" : { "location" : [ { "scope" : "DOCUMENT", "value" : "quantity-1" } ] - }, + } + } ], + "meta" : { + "globalKey" : "99684275" + } + }, { + "quantity" : [ { "value" : { + "value" : 16000, "unit" : { "currency" : { "value" : "EUR" } - }, - "value" : 16000 + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } ] } - } ] - }, { - "meta" : { - "globalKey" : "c9b98a6" - }, + } ], "observable" : { - "meta" : { - "globalKey" : "bf589e11" - }, "rateOption" : { - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "rateOption-1" - } ] - }, "value" : { "floatingRateIndex" : { "value" : "EUR-EURIBOR-Telerate" }, "indexTenor" : { - "meta" : { - "globalKey" : "959" - }, + "periodMultiplier" : 6, "period" : "M", - "periodMultiplier" : 6 + "meta" : { + "globalKey" : "107" + } } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "rateOption-1" + } ] } - } - }, - "quantity" : [ { - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } ] }, - "value" : { - "unit" : { - "currency" : { - "value" : "EUR" - } - }, - "value" : 16000 + "meta" : { + "globalKey" : "2bba2221" } - } ] + }, + "meta" : { + "globalKey" : "d61c7d38" + } + } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "74dee05b", + "externalReference" : "party1" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "b97c11f6", + "externalReference" : "party2" + } + } ], + "ancillaryParty" : [ { + "role" : "CalculationAgentIndependent", + "partyReference" : [ { + "globalReference" : "b97c11f6", + "externalReference" : "party2" } ] } ] }, - "tradeDate" : { - "meta" : { - "globalKey" : "3f1141" - }, - "value" : "2018-05-01" - }, - "tradeIdentifier" : [ { - "assignedIdentifier" : [ { + "party" : [ { + "partyId" : [ { "identifier" : { + "value" : "LEI1RPT0001", "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/unique-transaction-identifier" - }, - "value" : "LEI1RPT0001IIII" + "scheme" : "http://www.fpml.org/coding-scheme/external/iso17442" + } + }, + "identifierType" : "LEI", + "meta" : { + "globalKey" : "b8962566" } } ], - "issuer" : { + "name" : { + "value" : "Bank X" + }, + "businessUnit" : [ { + "name" : "NY Swaps Desk", "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/cftc/issuer-identifier" + "globalKey" : "5c10b72e", + "externalKey" : "desk1" + } + } ], + "person" : [ { + "personId" : [ { + "value" : { + "identifier" : { + "value" : "jjones" + }, + "meta" : { + "globalKey" : "baeb8c0d" + } + } + } ], + "firstName" : "jjone", + "meta" : { + "globalKey" : "d3962233", + "externalKey" : "trader" + } + } ], + "meta" : { + "globalKey" : "74dee05b", + "externalKey" : "party1" + } + }, { + "partyId" : [ { + "identifier" : { + "value" : "LEI2CP0002", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/iso17442" + } }, - "value" : "LEI1RPT0001" + "identifierType" : "LEI", + "meta" : { + "globalKey" : "eb8edea1" + } + } ], + "name" : { + "value" : "Bank Y" + }, + "meta" : { + "globalKey" : "b97c11f6", + "externalKey" : "party2" + } + }, { + "partyId" : [ { + "identifier" : { + "value" : "549300OL8KL0WCQ34V31", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/iso17442" + } + }, + "identifierType" : "LEI", + "meta" : { + "globalKey" : "8ffabe4b" + } + } ], + "name" : { + "value" : "Up&Atem" }, "meta" : { - "globalKey" : "f2097dcc" + "globalKey" : "ce0b9311", + "externalKey" : "broker1" + } + } ], + "partyRole" : [ { + "partyReference" : { + "globalReference" : "ce0b9311", + "externalReference" : "broker1" }, - "identifierType" : "UNIQUE_TRANSACTION_IDENTIFIER" - } ] + "role" : "ArrangingBroker", + "ownershipPartyReference" : { + "globalReference" : "74dee05b", + "externalReference" : "party1" + } + } ], + "meta" : { + "globalKey" : "b73f8e1" + } }, "transferHistory" : [ { - "meta" : { - "globalKey" : "26623d74" - }, "transfer" : { - "payerReceiver" : { - "payerPartyReference" : { - "externalReference" : "party1", - "globalReference" : "fdda73db" - }, - "receiverPartyReference" : { - "externalReference" : "party2", - "globalReference" : "ee963b6" - } - }, "quantity" : { + "value" : 100000, "unit" : { "currency" : { "value" : "EUR" } + } + }, + "payerReceiver" : { + "payerPartyReference" : { + "globalReference" : "74dee05b", + "externalReference" : "party1" }, - "value" : 100000 + "receiverPartyReference" : { + "globalReference" : "b97c11f6", + "externalReference" : "party2" + } }, "settlementDate" : { + "unadjustedDate" : "2018-05-03", "dateAdjustments" : { + "businessDayConvention" : "FOLLOWING", "businessCenters" : { "businessCenter" : [ { "value" : "EUTA" @@ -733,71 +778,26 @@ "globalKey" : "20a71d" } }, - "businessDayConvention" : "FOLLOWING", "meta" : { "globalKey" : "211dc30c" } - }, - "unadjustedDate" : "2018-05-03" + } }, "transferExpression" : { - "priceTransfer" : "PREMIUM" - } - } - } ] - } - }, - "primitiveInstruction" : { - "exercise" : { - "exerciseQuantity" : { - "quantityChange" : { - "change" : [ { - "meta" : { - "globalKey" : "56ced392" - }, - "quantity" : [ { - "meta" : { - "location" : [ { - "scope" : "DOCUMENT" - } ] - }, - "value" : { - "unit" : { - "currency" : { - "value" : "EUR" - } - }, - "value" : 11000 - } - } ] - } ], - "direction" : "REPLACE" - } - }, - "replacementTradeIdentifier" : [ { - "assignedIdentifier" : [ { - "identifier" : { - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/unique-transaction-identifier" - }, - "value" : "LEI1RPT0001IIIIEx" + "priceTransfer" : "Premium" } - } ], - "issuer" : { - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/cftc/issuer-identifier" - }, - "value" : "LEI1RPT0001" }, "meta" : { - "globalKey" : "640a2599" - }, - "identifierType" : "UNIQUE_TRANSACTION_IDENTIFIER" - } ] + "globalKey" : "a7c1cd8c" + } + } ], + "meta" : { + "globalKey" : "1a81db4b" + } } } } ], - "intent" : "OPTION_EXERCISE", + "intent" : "OptionExercise", "eventDate" : "2019-04-01", "effectiveDate" : null } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/cdm-sample-files/functions/business-event/exercise/exercise-swaption-full-physical-func-input.json b/rosetta-source/src/main/resources/cdm-sample-files/functions/business-event/exercise/exercise-swaption-full-physical-func-input.json index 8ece561f92..2e3da6a0c6 100644 --- a/rosetta-source/src/main/resources/cdm-sample-files/functions/business-event/exercise/exercise-swaption-full-physical-func-input.json +++ b/rosetta-source/src/main/resources/cdm-sample-files/functions/business-event/exercise/exercise-swaption-full-physical-func-input.json @@ -1,70 +1,62 @@ { "instruction" : [ { + "primitiveInstruction" : { + "exercise" : { + "exerciseQuantity" : { + "quantityChange" : { + "change" : [ { + "quantity" : [ { + "value" : { + "value" : 0, + "unit" : { + "currency" : { + "value" : "EUR" + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT" + } ] + } + } ], + "meta" : { + "globalKey" : "16df72" + } + } ], + "direction" : "Replace" + } + } + } + }, "before" : { "value" : { - "meta" : { - "globalKey" : "4fe83285" - }, "trade" : { - "meta" : { - "globalKey" : "85eba634" - }, - "party" : [ { - "meta" : { - "externalKey" : "party1", - "globalKey" : "d4813763" + "tradeIdentifier" : [ { + "issuerReference" : { + "globalReference" : "d4813763", + "externalReference" : "party1" }, - "partyId" : [ { + "assignedIdentifier" : [ { "identifier" : { + "value" : "123", "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/iso9362" - }, - "value" : "party A" + "scheme" : "http://www.partyA.com/trade-id" + } }, - "identifierType" : "BIC", - "meta" : { - "globalKey" : "d4813763" - } - } ] - }, { + "version" : 1 + } ], "meta" : { - "externalKey" : "party2", - "globalKey" : "d4813764" - }, - "partyId" : [ { - "identifier" : { - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/iso9362" - }, - "value" : "party B" - }, - "identifierType" : "BIC", - "meta" : { - "globalKey" : "d4813764" - } - } ] + "globalKey" : "19d6067e" + } } ], + "tradeDate" : { + "value" : "2000-08-30", + "meta" : { + "globalKey" : "3e821e" + } + }, "tradableProduct" : { - "ancillaryParty" : [ { - "partyReference" : [ { - "externalReference" : "party2", - "globalReference" : "d4813764" - } ], - "role" : "CALCULATION_AGENT_INDEPENDENT" - } ], - "counterparty" : [ { - "partyReference" : { - "externalReference" : "party1", - "globalReference" : "d4813763" - }, - "role" : "PARTY_1" - }, { - "partyReference" : { - "externalReference" : "party2", - "globalReference" : "d4813764" - }, - "role" : "PARTY_2" - } ], "product" : { "contractualProduct" : { "productTaxonomy" : [ { @@ -72,17 +64,11 @@ "productQualifier" : "InterestRate_Option_Swaption" } ], "economicTerms" : { - "calculationAgent" : { - "calculationAgentParty" : "CALCULATION_AGENT_INDEPENDENT" - }, "payout" : { - "meta" : { - "globalKey" : "7a5236a1" - }, "optionPayout" : [ { "payerReceiver" : { - "payer" : "PARTY_2", - "receiver" : "PARTY_1" + "payer" : "Party2", + "receiver" : "Party1" }, "settlementTerms" : { "meta" : { @@ -96,32 +82,17 @@ } }, "buyerSeller" : { - "buyer" : "PARTY_1", - "seller" : "PARTY_2" + "buyer" : "Party1", + "seller" : "Party2" }, "exerciseTerms" : { - "exerciseProcedure" : { - "followUpConfirmation" : true, - "manualExercise" : { - "exerciseNotice" : { - "businessCenter" : { - "value" : "GBLO" - }, - "exerciseNoticeGiver" : "SELLER" - } - } - }, "optionStyle" : { "europeanExercise" : { - "earliestExerciseTime" : { - "businessCenter" : { - "value" : "BEBR" - }, - "hourMinuteTime" : "09:00:00" - }, "expirationDate" : [ { "adjustableDate" : { + "unadjustedDate" : "2001-08-28", "dateAdjustments" : { + "businessDayConvention" : "FOLLOWING", "businessCenters" : { "businessCenter" : [ { "value" : "EUTA" @@ -132,35 +103,47 @@ "globalKey" : "4158421" } }, - "businessDayConvention" : "FOLLOWING", "meta" : { "globalKey" : "da3b6050" } }, "meta" : { "globalKey" : "770e7eb4" - }, - "unadjustedDate" : "2001-08-28" + } }, "meta" : { "globalKey" : "770e7eb4" } } ], + "earliestExerciseTime" : { + "hourMinuteTime" : "09:00:00", + "businessCenter" : { + "value" : "BEBR" + } + }, "expirationTime" : { + "hourMinuteTime" : "11:00:00", "businessCenter" : { "value" : "BEBR" - }, - "hourMinuteTime" : "11:00:00" + } }, "meta" : { - "globalKey" : "70973195" + "globalKey" : "83fbdc15" } } + }, + "exerciseProcedure" : { + "manualExercise" : { + "exerciseNotice" : { + "exerciseNoticeGiver" : "Seller", + "businessCenter" : { + "value" : "GBLO" + } + } + }, + "followUpConfirmation" : true } }, - "meta" : { - "globalKey" : "7a5236a1" - }, "underlier" : { "contractualProduct" : { "productTaxonomy" : [ { @@ -171,46 +154,42 @@ "payout" : { "interestRatePayout" : [ { "payerReceiver" : { - "payer" : "PARTY_1", - "receiver" : "PARTY_2" + "payer" : "Party1", + "receiver" : "Party2" }, "priceQuantity" : { - "meta" : { - "globalKey" : "0" - }, "quantitySchedule" : { "address" : { "scope" : "DOCUMENT", "value" : "quantity-1" } + }, + "meta" : { + "globalKey" : "0" } }, - "calculationPeriodDates" : { - "calculationPeriodDatesAdjustments" : { - "businessCenters" : { - "businessCentersReference" : { - "externalReference" : "accrualBusinessCenters0", - "globalReference" : "20a71d" - }, - "meta" : { - "globalKey" : "622268e1" + "rateSpecification" : { + "fixedRate" : { + "rateSchedule" : { + "price" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "price-1" + } } }, - "businessDayConvention" : "MODFOLLOWING", "meta" : { - "globalKey" : "985d6cb2" + "globalKey" : "0" } - }, - "calculationPeriodFrequency" : { - "meta" : { - "globalKey" : "2b934" - }, - "period" : "Y", - "periodMultiplier" : 1, - "rollConvention" : "30" - }, + } + }, + "dayCountFraction" : { + "value" : "30/360" + }, + "calculationPeriodDates" : { "effectiveDate" : { "adjustableDate" : { + "unadjustedDate" : "2001-08-30", "dateAdjustments" : { "businessDayConvention" : "NONE", "meta" : { @@ -219,135 +198,133 @@ }, "meta" : { "globalKey" : "eae921d6" - }, - "unadjustedDate" : "2001-08-30" + } }, "meta" : { "globalKey" : "eae921d6" } }, - "meta" : { - "externalKey" : "CalcPeriodDates0", - "globalKey" : "d530b040" - }, "terminationDate" : { "adjustableDate" : { + "unadjustedDate" : "2006-08-30", "dateAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", "businessCenters" : { "businessCenter" : [ { "value" : "EUTA" } ], "meta" : { - "externalKey" : "accrualBusinessCenters0", - "globalKey" : "20a71d" + "globalKey" : "20a71d", + "externalKey" : "accrualBusinessCenters0" } }, - "businessDayConvention" : "MODFOLLOWING", "meta" : { "globalKey" : "365baaee" } }, "meta" : { "globalKey" : "9ead9b90" - }, - "unadjustedDate" : "2006-08-30" + } }, "meta" : { "globalKey" : "9ead9b90" } + }, + "calculationPeriodDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCentersReference" : { + "globalReference" : "20a71d", + "externalReference" : "accrualBusinessCenters0" + }, + "meta" : { + "globalKey" : "622268e1" + } + }, + "meta" : { + "globalKey" : "985d6cb2" + } + }, + "calculationPeriodFrequency" : { + "periodMultiplier" : 1, + "period" : "Y", + "meta" : { + "globalKey" : "17984" + }, + "rollConvention" : "30" + }, + "meta" : { + "globalKey" : "d6a5a890", + "externalKey" : "CalcPeriodDates0" } }, - "dayCountFraction" : { - "value" : "30/360" - }, - "meta" : { - "globalKey" : "6e2bf001" - }, "paymentDates" : { - "meta" : { - "globalKey" : "4d64aef4" + "paymentFrequency" : { + "periodMultiplier" : 1, + "period" : "Y", + "meta" : { + "globalKey" : "78" + } }, - "payRelativeTo" : "CALCULATION_PERIOD_END_DATE", + "payRelativeTo" : "CalculationPeriodEndDate", "paymentDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", "businessCenters" : { "businessCenter" : [ { "value" : "EUTA" } ], "meta" : { - "externalKey" : "paymentBusinessCenters0", - "globalKey" : "20a71d" + "globalKey" : "20a71d", + "externalKey" : "paymentBusinessCenters0" } }, - "businessDayConvention" : "MODFOLLOWING", "meta" : { "globalKey" : "365baaee" } }, - "paymentFrequency" : { - "meta" : { - "globalKey" : "ac8" - }, - "period" : "Y", - "periodMultiplier" : 1 + "meta" : { + "globalKey" : "9b0d9350" } }, - "rateSpecification" : { - "fixedRate" : { - "meta" : { - "globalKey" : "0" - }, - "rateSchedule" : { - "price" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "price-1" - } - } - } - } + "meta" : { + "globalKey" : "86242c95" } }, { "payerReceiver" : { - "payer" : "PARTY_2", - "receiver" : "PARTY_1" + "payer" : "Party2", + "receiver" : "Party1" }, "priceQuantity" : { - "meta" : { - "globalKey" : "0" - }, "quantitySchedule" : { "address" : { "scope" : "DOCUMENT", "value" : "quantity-2" } + }, + "meta" : { + "globalKey" : "0" } }, - "calculationPeriodDates" : { - "calculationPeriodDatesAdjustments" : { - "businessCenters" : { - "businessCentersReference" : { - "externalReference" : "accrualBusinessCenters1", - "globalReference" : "20a71d" - }, - "meta" : { - "globalKey" : "622268e2" + "rateSpecification" : { + "floatingRate" : { + "rateOption" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "rateOption-1" } }, - "businessDayConvention" : "MODFOLLOWING", "meta" : { - "globalKey" : "985d6cb3" + "globalKey" : "0" } - }, - "calculationPeriodFrequency" : { - "meta" : { - "globalKey" : "28cc3" - }, - "period" : "M", - "periodMultiplier" : 6, - "rollConvention" : "30" - }, + } + }, + "dayCountFraction" : { + "value" : "ACT/360" + }, + "calculationPeriodDates" : { "effectiveDate" : { "adjustableDate" : { + "unadjustedDate" : "2001-08-30", "dateAdjustments" : { "businessDayConvention" : "NONE", "meta" : { @@ -356,312 +333,360 @@ }, "meta" : { "globalKey" : "eae921d6" - }, - "unadjustedDate" : "2001-08-30" + } }, "meta" : { "globalKey" : "eae921d6" } }, - "meta" : { - "externalKey" : "CalcPeriodDates1", - "globalKey" : "c8353f30" - }, "terminationDate" : { "adjustableDate" : { + "unadjustedDate" : "2006-08-30", "dateAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", "businessCenters" : { "businessCenter" : [ { "value" : "EUTA" } ], "meta" : { - "externalKey" : "accrualBusinessCenters1", - "globalKey" : "20a71d" + "globalKey" : "20a71d", + "externalKey" : "accrualBusinessCenters1" } }, - "businessDayConvention" : "MODFOLLOWING", "meta" : { "globalKey" : "365baaee" } }, "meta" : { "globalKey" : "9ead9b90" - }, - "unadjustedDate" : "2006-08-30" + } }, "meta" : { "globalKey" : "9ead9b90" } + }, + "calculationPeriodDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCentersReference" : { + "globalReference" : "20a71d", + "externalReference" : "accrualBusinessCenters1" + }, + "meta" : { + "globalKey" : "622268e2" + } + }, + "meta" : { + "globalKey" : "985d6cb3" + } + }, + "calculationPeriodFrequency" : { + "periodMultiplier" : 6, + "period" : "M", + "meta" : { + "globalKey" : "18ad5" + }, + "rollConvention" : "30" + }, + "meta" : { + "globalKey" : "d6b3d162", + "externalKey" : "CalcPeriodDates1" } }, - "dayCountFraction" : { - "value" : "ACT/360" - }, - "meta" : { - "globalKey" : "9ec5a1dd" - }, "paymentDates" : { - "meta" : { - "globalKey" : "4d64ad85" + "paymentFrequency" : { + "periodMultiplier" : 6, + "period" : "M", + "meta" : { + "globalKey" : "107" + } }, - "payRelativeTo" : "CALCULATION_PERIOD_END_DATE", + "payRelativeTo" : "CalculationPeriodEndDate", "paymentDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", "businessCenters" : { "businessCenter" : [ { "value" : "EUTA" } ], "meta" : { - "externalKey" : "paymentBusinessCenters1", - "globalKey" : "20a71d" + "globalKey" : "20a71d", + "externalKey" : "paymentBusinessCenters1" } }, - "businessDayConvention" : "MODFOLLOWING", "meta" : { "globalKey" : "365baaee" } }, - "paymentFrequency" : { - "meta" : { - "globalKey" : "959" - }, - "period" : "M", - "periodMultiplier" : 6 - } - }, - "rateSpecification" : { - "floatingRate" : { - "meta" : { - "globalKey" : "0" - }, - "rateOption" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "rateOption-1" - } - } + "meta" : { + "globalKey" : "8f129421" } }, "resetDates" : { "calculationPeriodDatesReference" : { - "externalReference" : "CalcPeriodDates1", - "globalReference" : "c8353f30" + "globalReference" : "d6b3d162", + "externalReference" : "CalcPeriodDates1" }, + "resetRelativeTo" : "CalculationPeriodStartDate", "fixingDates" : { + "periodMultiplier" : -2, + "period" : "D", "meta" : { - "globalKey" : "2d80ce65" + "globalKey" : "a5cb919" }, - "period" : "D", - "periodMultiplier" : -2, - "dayType" : "BUSINESS", + "dayType" : "Business", + "businessDayConvention" : "NONE", "businessCenters" : { "businessCenter" : [ { "value" : "EUTA" } ], "meta" : { - "externalKey" : "fixingBusinessCenters0", - "globalKey" : "20a71d" + "globalKey" : "20a71d", + "externalKey" : "fixingBusinessCenters0" } }, - "businessDayConvention" : "NONE", "dateRelativeTo" : { - "externalReference" : "resetDates0", - "globalReference" : "3522cca9" + "globalReference" : "dbaefb1", + "externalReference" : "resetDates0" } }, - "meta" : { - "externalKey" : "resetDates0", - "globalKey" : "3522cca9" + "resetFrequency" : { + "periodMultiplier" : 6, + "period" : "M", + "meta" : { + "globalKey" : "107" + } }, "resetDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", "businessCenters" : { "businessCentersReference" : { - "externalReference" : "paymentBusinessCenters1", - "globalReference" : "20a71d" + "globalReference" : "20a71d", + "externalReference" : "paymentBusinessCenters1" }, "meta" : { "globalKey" : "e30c2739" } }, - "businessDayConvention" : "MODFOLLOWING", "meta" : { "globalKey" : "19472b0a" } }, - "resetFrequency" : { - "meta" : { - "globalKey" : "959" - }, - "period" : "M", - "periodMultiplier" : 6 - }, - "resetRelativeTo" : "CALCULATION_PERIOD_START_DATE" + "meta" : { + "globalKey" : "dbaefb1", + "externalKey" : "resetDates0" + } + }, + "meta" : { + "globalKey" : "ad0fb833" } } ], "meta" : { - "globalKey" : "893cb5bc" + "globalKey" : "2d8d4cfe" } } }, "meta" : { - "globalKey" : "2330f4ed" + "globalKey" : "c7818c2f" } }, "meta" : { - "globalKey" : "2330f4ed" + "globalKey" : "c7818c2f" } + }, + "meta" : { + "globalKey" : "5bd3e819" } - } ] + } ], + "meta" : { + "globalKey" : "5bd3e819" + } + }, + "calculationAgent" : { + "calculationAgentParty" : "CalculationAgentIndependent" } }, "meta" : { - "globalKey" : "fef5f1ec" + "globalKey" : "565637b8" } }, "meta" : { - "globalKey" : "fef5f1ec" + "globalKey" : "565637b8" } }, "tradeLot" : [ { "priceQuantity" : [ { - "meta" : { - "globalKey" : "7f30bbe5" - }, "price" : [ { - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-1" - } ] - }, "value" : { + "value" : 0.05, "unit" : { "currency" : { "value" : "EUR" } }, - "value" : 0.05, "perUnitOf" : { "currency" : { "value" : "EUR" } }, - "priceType" : "INTEREST_RATE" + "priceType" : "InterestRate" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-1" + } ] } } ], "quantity" : [ { + "value" : { + "value" : 100000000, + "unit" : { + "currency" : { + "value" : "EUR" + } + } + }, "meta" : { "location" : [ { "scope" : "DOCUMENT", "value" : "quantity-1" } ] - }, + } + } ], + "meta" : { + "globalKey" : "66e6c0bb" + } + }, { + "quantity" : [ { "value" : { + "value" : 100000000, "unit" : { "currency" : { "value" : "EUR" } - }, - "value" : 100000000 + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } ] } - } ] - }, { - "meta" : { - "globalKey" : "65d139a0" - }, + } ], "observable" : { - "meta" : { - "globalKey" : "bf589e11" - }, "rateOption" : { - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "rateOption-1" - } ] - }, "value" : { "floatingRateIndex" : { "value" : "EUR-EURIBOR-Telerate" }, "indexTenor" : { - "meta" : { - "globalKey" : "959" - }, + "periodMultiplier" : 6, "period" : "M", - "periodMultiplier" : 6 + "meta" : { + "globalKey" : "107" + } } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "rateOption-1" + } ] } - } - }, - "quantity" : [ { - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } ] }, - "value" : { - "unit" : { - "currency" : { - "value" : "EUR" - } - }, - "value" : 100000000 + "meta" : { + "globalKey" : "2bba2221" } - } ] + }, + "meta" : { + "globalKey" : "4820adb2" + } + } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "d4813763", + "externalReference" : "party1" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "d4813764", + "externalReference" : "party2" + } + } ], + "ancillaryParty" : [ { + "role" : "CalculationAgentIndependent", + "partyReference" : [ { + "globalReference" : "d4813764", + "externalReference" : "party2" } ] } ] }, - "tradeDate" : { + "party" : [ { + "partyId" : [ { + "identifier" : { + "value" : "party A", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/iso9362" + } + }, + "identifierType" : "BIC", + "meta" : { + "globalKey" : "d4813763" + } + } ], "meta" : { - "globalKey" : "3e821e" - }, - "value" : "2000-08-30" - }, - "tradeIdentifier" : [ { - "assignedIdentifier" : [ { + "globalKey" : "d4813763", + "externalKey" : "party1" + } + }, { + "partyId" : [ { "identifier" : { + "value" : "party B", "meta" : { - "scheme" : "http://www.partyA.com/trade-id" - }, - "value" : "123" + "scheme" : "http://www.fpml.org/coding-scheme/external/iso9362" + } }, - "version" : 1 + "identifierType" : "BIC", + "meta" : { + "globalKey" : "d4813764" + } } ], - "issuerReference" : { - "externalReference" : "party1", - "globalReference" : "d4813763" - }, "meta" : { - "globalKey" : "c783533e" + "globalKey" : "d4813764", + "externalKey" : "party2" } - } ] + } ], + "meta" : { + "globalKey" : "feb6ffd6" + } }, "transferHistory" : [ { - "meta" : { - "globalKey" : "5ac63039" - }, "transfer" : { - "payerReceiver" : { - "payerPartyReference" : { - "externalReference" : "party1", - "globalReference" : "d4813763" - }, - "receiverPartyReference" : { - "externalReference" : "party2", - "globalReference" : "d4813764" - } - }, "quantity" : { + "value" : 100000, "unit" : { "currency" : { "value" : "EUR" } + } + }, + "payerReceiver" : { + "payerPartyReference" : { + "globalReference" : "d4813763", + "externalReference" : "party1" }, - "value" : 100000 + "receiverPartyReference" : { + "globalReference" : "d4813764", + "externalReference" : "party2" + } }, "settlementDate" : { + "unadjustedDate" : "2000-08-30", "dateAdjustments" : { + "businessDayConvention" : "FOLLOWING", "businessCenters" : { "businessCenter" : [ { "value" : "EUTA" @@ -670,51 +695,26 @@ "globalKey" : "20a71d" } }, - "businessDayConvention" : "FOLLOWING", "meta" : { "globalKey" : "211dc30c" } - }, - "unadjustedDate" : "2000-08-30" + } }, "transferExpression" : { - "priceTransfer" : "PREMIUM" + "priceTransfer" : "Premium" } + }, + "meta" : { + "globalKey" : "dc25c051" } - } ] - } - }, - "primitiveInstruction" : { - "exercise" : { - "exerciseQuantity" : { - "quantityChange" : { - "change" : [ { - "meta" : { - "globalKey" : "16df72" - }, - "quantity" : [ { - "meta" : { - "location" : [ { - "scope" : "DOCUMENT" - } ] - }, - "value" : { - "unit" : { - "currency" : { - "value" : "EUR" - } - }, - "value" : 0 - } - } ] - } ], - "direction" : "REPLACE" - } + } ], + "meta" : { + "globalKey" : "f3de223b" } } } } ], - "intent" : "OPTION_EXERCISE", + "intent" : "OptionExercise", "eventDate" : "2001-08-28", "effectiveDate" : null } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/cdm-sample-files/functions/business-event/index-transition/index-transition-vanilla-swap-func-input.json b/rosetta-source/src/main/resources/cdm-sample-files/functions/business-event/index-transition/index-transition-vanilla-swap-func-input.json index 906df4fa7c..c4faffb7cb 100644 --- a/rosetta-source/src/main/resources/cdm-sample-files/functions/business-event/index-transition/index-transition-vanilla-swap-func-input.json +++ b/rosetta-source/src/main/resources/cdm-sample-files/functions/business-event/index-transition/index-transition-vanilla-swap-func-input.json @@ -1,69 +1,72 @@ { "instruction" : [ { + "primitiveInstruction" : { + "indexTransition" : { + "priceQuantity" : [ { + "price" : [ { + "value" : { + "value" : 0.003, + "unit" : { + "currency" : { + "value" : "EUR" + } + }, + "perUnitOf" : { + "currency" : { + "value" : "EUR" + } + }, + "priceType" : "InterestRate", + "arithmeticOperator" : "Add" + } + } ], + "observable" : { + "rateOption" : { + "value" : { + "floatingRateIndex" : { + "value" : "EUR-EURIBOR-Reuters" + }, + "indexTenor" : { + "periodMultiplier" : 6, + "period" : "M" + } + } + } + } + } ], + "effectiveDate" : "2000-10-03" + } + }, "before" : { "value" : { - "meta" : { - "globalKey" : "84df6f3f" - }, "trade" : { - "meta" : { - "globalKey" : "84df6f3f" - }, - "party" : [ { - "meta" : { - "externalKey" : "party1", - "globalKey" : "7cec034c" - }, - "name" : { - "value" : "Party A" - }, - "partyId" : [ { - "identifier" : { - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/iso17442" - }, - "value" : "54930084UKLVMY22DS16" - }, - "identifierType" : "LEI", + "tradeIdentifier" : [ { + "issuer" : { + "value" : "54930084UKLVMY22DS16", "meta" : { - "globalKey" : "121d7965" + "scheme" : "http://www.fpml.org/coding-scheme/external/iso17442" } - } ] - }, { - "meta" : { - "externalKey" : "party2", - "globalKey" : "490e5f44" - }, - "name" : { - "value" : "Party B" }, - "partyId" : [ { + "assignedIdentifier" : [ { "identifier" : { + "value" : "UITD7895394", "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/iso17442" - }, - "value" : "48750084UKLVTR22DS78" - }, - "identifierType" : "LEI", - "meta" : { - "globalKey" : "de31bddc" + "scheme" : "http://www.fpml.org/coding-scheme/external/uti" + } } - } ] + } ], + "meta" : { + "globalKey" : "3eac3060" + }, + "identifierType" : "UniqueTransactionIdentifier" } ], + "tradeDate" : { + "value" : "2000-04-03", + "meta" : { + "globalKey" : "3e8103" + } + }, "tradableProduct" : { - "counterparty" : [ { - "partyReference" : { - "externalReference" : "party1", - "globalReference" : "7cec034c" - }, - "role" : "PARTY_1" - }, { - "partyReference" : { - "externalReference" : "party2", - "globalReference" : "490e5f44" - }, - "role" : "PARTY_2" - } ], "product" : { "contractualProduct" : { "productTaxonomy" : [ { @@ -74,46 +77,48 @@ "payout" : { "interestRatePayout" : [ { "payerReceiver" : { - "payer" : "PARTY_1", - "receiver" : "PARTY_2" + "payer" : "Party1", + "receiver" : "Party2" }, "priceQuantity" : { - "meta" : { - "globalKey" : "0" - }, "quantitySchedule" : { "address" : { "scope" : "DOCUMENT", "value" : "quantity-1" } + }, + "meta" : { + "globalKey" : "0" } }, - "calculationPeriodDates" : { - "calculationPeriodDatesAdjustments" : { - "businessCenters" : { - "businessCentersReference" : { - "externalReference" : "primaryBusinessCenters", - "globalReference" : "20a71d" - }, - "meta" : { - "globalKey" : "eb13047c" + "rateSpecification" : { + "floatingRate" : { + "rateOption" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "rateOption-1" + } + }, + "spreadSchedule" : { + "price" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "price-1" + } } }, - "businessDayConvention" : "FOLLOWING", "meta" : { - "globalKey" : "c10206b" + "globalKey" : "0" } - }, - "calculationPeriodFrequency" : { - "meta" : { - "globalKey" : "12d7d" - }, - "period" : "M", - "periodMultiplier" : 6, - "rollConvention" : "5" - }, + } + }, + "dayCountFraction" : { + "value" : "ACT/360" + }, + "calculationPeriodDates" : { "effectiveDate" : { "adjustableDate" : { + "unadjustedDate" : "2000-04-05", "dateAdjustments" : { "businessDayConvention" : "NONE", "meta" : { @@ -122,131 +127,128 @@ }, "meta" : { "globalKey" : "eac6fafd" - }, - "unadjustedDate" : "2000-04-05" + } }, "meta" : { "globalKey" : "eac6fafd" } }, - "firstPeriodStartDate" : { - "adjustableDate" : { - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "meta" : { - "globalKey" : "24a738" - } - }, - "meta" : { - "globalKey" : "eac60abd" - }, - "unadjustedDate" : "2000-03-05" - }, - "meta" : { - "globalKey" : "eac60abd" - } - }, - "firstRegularPeriodStartDate" : "2000-10-05", - "lastRegularPeriodEndDate" : "2004-10-05", - "meta" : { - "externalKey" : "floatingCalcPeriodDates", - "globalKey" : "dc5b058f" - }, "terminationDate" : { "adjustableDate" : { + "unadjustedDate" : "2005-01-05", "dateAdjustments" : { + "businessDayConvention" : "FOLLOWING", "businessCenters" : { "businessCenter" : [ { "value" : "EUTA" } ], "meta" : { - "externalKey" : "primaryBusinessCenters", - "globalKey" : "20a71d" + "globalKey" : "20a71d", + "externalKey" : "primaryBusinessCenters" } }, - "businessDayConvention" : "FOLLOWING", "meta" : { "globalKey" : "211dc30c" } }, "meta" : { "globalKey" : "bb867de7" - }, - "unadjustedDate" : "2005-01-05" + } }, "meta" : { "globalKey" : "bb867de7" } - } - }, - "dayCountFraction" : { - "value" : "ACT/360" - }, - "meta" : { - "globalKey" : "dff3d312" - }, - "paymentDates" : { - "firstPaymentDate" : "2000-10-05", - "meta" : { - "globalKey" : "fbb46e03" }, - "payRelativeTo" : "CALCULATION_PERIOD_END_DATE", - "paymentDatesAdjustments" : { + "calculationPeriodDatesAdjustments" : { + "businessDayConvention" : "FOLLOWING", "businessCenters" : { "businessCentersReference" : { - "externalReference" : "primaryBusinessCenters", - "globalReference" : "20a71d" + "globalReference" : "20a71d", + "externalReference" : "primaryBusinessCenters" }, "meta" : { "globalKey" : "eb13047c" } }, - "businessDayConvention" : "FOLLOWING", "meta" : { "globalKey" : "c10206b" } }, - "paymentFrequency" : { - "meta" : { - "globalKey" : "959" + "firstPeriodStartDate" : { + "adjustableDate" : { + "unadjustedDate" : "2000-03-05", + "dateAdjustments" : { + "businessDayConvention" : "NONE", + "meta" : { + "globalKey" : "24a738" + } + }, + "meta" : { + "globalKey" : "eac60abd" + } }, + "meta" : { + "globalKey" : "eac60abd" + } + }, + "firstRegularPeriodStartDate" : "2000-10-05", + "lastRegularPeriodEndDate" : "2004-10-05", + "calculationPeriodFrequency" : { + "periodMultiplier" : 6, "period" : "M", - "periodMultiplier" : 6 + "meta" : { + "globalKey" : "2b8f" + }, + "rollConvention" : "5" + }, + "meta" : { + "globalKey" : "fc57005", + "externalKey" : "floatingCalcPeriodDates" } }, - "rateSpecification" : { - "floatingRate" : { + "paymentDates" : { + "paymentFrequency" : { + "periodMultiplier" : 6, + "period" : "M", "meta" : { - "globalKey" : "0" - }, - "rateOption" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "rateOption-1" + "globalKey" : "107" + } + }, + "firstPaymentDate" : "2000-10-05", + "payRelativeTo" : "CalculationPeriodEndDate", + "paymentDatesAdjustments" : { + "businessDayConvention" : "FOLLOWING", + "businessCenters" : { + "businessCentersReference" : { + "globalReference" : "20a71d", + "externalReference" : "primaryBusinessCenters" + }, + "meta" : { + "globalKey" : "eb13047c" } }, - "spreadSchedule" : { - "price" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "price-1" - } - } + "meta" : { + "globalKey" : "c10206b" } + }, + "meta" : { + "globalKey" : "ffe28cb9" } }, "resetDates" : { "calculationPeriodDatesReference" : { - "externalReference" : "floatingCalcPeriodDates", - "globalReference" : "dc5b058f" + "globalReference" : "fc57005", + "externalReference" : "floatingCalcPeriodDates" }, + "resetRelativeTo" : "CalculationPeriodStartDate", "fixingDates" : { + "periodMultiplier" : -2, + "period" : "D", "meta" : { - "globalKey" : "10c06461" + "globalKey" : "ed9c4f15" }, - "period" : "D", - "periodMultiplier" : -2, - "dayType" : "BUSINESS", + "dayType" : "Business", + "businessDayConvention" : "NONE", "businessCenters" : { "businessCenter" : [ { "value" : "EUTA" @@ -255,103 +257,100 @@ "globalKey" : "20a71d" } }, - "businessDayConvention" : "NONE", "dateRelativeTo" : { - "externalReference" : "resetDates", - "globalReference" : "f5dc3e2b" + "globalReference" : "997a5395", + "externalReference" : "resetDates" } }, - "meta" : { - "externalKey" : "resetDates", - "globalKey" : "f5dc3e2b" + "resetFrequency" : { + "periodMultiplier" : 6, + "period" : "M", + "meta" : { + "globalKey" : "107" + } }, "resetDatesAdjustments" : { + "businessDayConvention" : "FOLLOWING", "businessCenters" : { "businessCentersReference" : { - "externalReference" : "primaryBusinessCenters", - "globalReference" : "20a71d" + "globalReference" : "20a71d", + "externalReference" : "primaryBusinessCenters" }, "meta" : { "globalKey" : "eb13047c" } }, - "businessDayConvention" : "FOLLOWING", "meta" : { "globalKey" : "c10206b" } }, - "resetFrequency" : { - "meta" : { - "globalKey" : "959" - }, - "period" : "M", - "periodMultiplier" : 6 - }, - "resetRelativeTo" : "CALCULATION_PERIOD_START_DATE" + "meta" : { + "globalKey" : "997a5395", + "externalKey" : "resetDates" + } }, "stubPeriod" : { "calculationPeriodDatesReference" : { - "externalReference" : "floatingCalcPeriodDates", - "globalReference" : "dc5b058f" + "globalReference" : "fc57005", + "externalReference" : "floatingCalcPeriodDates" + }, + "initialStub" : { + "stubRate" : 0.05125 }, "finalStub" : { "floatingRate" : [ { "floatingRateIndex" : "EUR-EURIBOR-Telerate", "indexTenor" : { - "meta" : { - "globalKey" : "956" - }, + "periodMultiplier" : 3, "period" : "M", - "periodMultiplier" : 3 + "meta" : { + "globalKey" : "aa" + } } } ] - }, - "initialStub" : { - "stubRate" : 0.05125 } + }, + "meta" : { + "globalKey" : "280c6b54" } }, { "payerReceiver" : { - "payer" : "PARTY_2", - "receiver" : "PARTY_1" + "payer" : "Party2", + "receiver" : "Party1" }, "priceQuantity" : { - "meta" : { - "globalKey" : "0" - }, "quantitySchedule" : { "address" : { "scope" : "DOCUMENT", "value" : "quantity-2" } + }, + "meta" : { + "globalKey" : "0" } }, - "calculationPeriodDates" : { - "calculationPeriodDatesAdjustments" : { - "businessCenters" : { - "businessCentersReference" : { - "externalReference" : "primaryBusinessCenters", - "globalReference" : "20a71d" - }, - "meta" : { - "globalKey" : "eb13047c" + "rateSpecification" : { + "fixedRate" : { + "rateSchedule" : { + "price" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "price-2" + } } }, - "businessDayConvention" : "FOLLOWING", "meta" : { - "globalKey" : "c10206b" + "globalKey" : "0" } - }, - "calculationPeriodFrequency" : { - "meta" : { - "globalKey" : "159ee" - }, - "period" : "Y", - "periodMultiplier" : 1, - "rollConvention" : "5" - }, + } + }, + "dayCountFraction" : { + "value" : "30/360" + }, + "calculationPeriodDates" : { "effectiveDate" : { "adjustableDate" : { + "unadjustedDate" : "2000-04-05", "dateAdjustments" : { "businessDayConvention" : "NONE", "meta" : { @@ -360,309 +359,310 @@ }, "meta" : { "globalKey" : "eac6fafd" - }, - "unadjustedDate" : "2000-04-05" + } }, "meta" : { "globalKey" : "eac6fafd" } }, - "firstPeriodStartDate" : { - "adjustableDate" : { - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "meta" : { - "globalKey" : "24a738" - } - }, - "meta" : { - "globalKey" : "eac60abd" - }, - "unadjustedDate" : "2000-03-05" - }, - "meta" : { - "globalKey" : "eac60abd" - } - }, - "firstRegularPeriodStartDate" : "2000-10-05", - "lastRegularPeriodEndDate" : "2004-10-05", - "meta" : { - "externalKey" : "fixedCalcPeriodDates", - "globalKey" : "d84fb51f" - }, "terminationDate" : { "adjustableDate" : { + "unadjustedDate" : "2005-01-05", "dateAdjustments" : { + "businessDayConvention" : "FOLLOWING", "businessCenters" : { "businessCentersReference" : { - "externalReference" : "primaryBusinessCenters", - "globalReference" : "20a71d" + "globalReference" : "20a71d", + "externalReference" : "primaryBusinessCenters" }, "meta" : { "globalKey" : "eb13047c" } }, - "businessDayConvention" : "FOLLOWING", "meta" : { "globalKey" : "c10206b" } }, "meta" : { "globalKey" : "a678db46" - }, - "unadjustedDate" : "2005-01-05" + } }, "meta" : { "globalKey" : "a678db46" } - } - }, - "dayCountFraction" : { - "value" : "30/360" - }, - "meta" : { - "globalKey" : "e1e3b658" - }, - "paymentDates" : { - "firstPaymentDate" : "2000-10-05", - "meta" : { - "globalKey" : "fbb46f72" }, - "payRelativeTo" : "CALCULATION_PERIOD_END_DATE", - "paymentDatesAdjustments" : { + "calculationPeriodDatesAdjustments" : { + "businessDayConvention" : "FOLLOWING", "businessCenters" : { "businessCentersReference" : { - "externalReference" : "primaryBusinessCenters", - "globalReference" : "20a71d" + "globalReference" : "20a71d", + "externalReference" : "primaryBusinessCenters" }, "meta" : { "globalKey" : "eb13047c" } }, - "businessDayConvention" : "FOLLOWING", "meta" : { "globalKey" : "c10206b" } }, - "paymentFrequency" : { - "meta" : { - "globalKey" : "ac8" + "firstPeriodStartDate" : { + "adjustableDate" : { + "unadjustedDate" : "2000-03-05", + "dateAdjustments" : { + "businessDayConvention" : "NONE", + "meta" : { + "globalKey" : "24a738" + } + }, + "meta" : { + "globalKey" : "eac60abd" + } }, + "meta" : { + "globalKey" : "eac60abd" + } + }, + "firstRegularPeriodStartDate" : "2000-10-05", + "lastRegularPeriodEndDate" : "2004-10-05", + "calculationPeriodFrequency" : { + "periodMultiplier" : 1, "period" : "Y", - "periodMultiplier" : 1 + "meta" : { + "globalKey" : "1a3e" + }, + "rollConvention" : "5" + }, + "meta" : { + "globalKey" : "f93d69d3", + "externalKey" : "fixedCalcPeriodDates" } }, - "rateSpecification" : { - "fixedRate" : { + "paymentDates" : { + "paymentFrequency" : { + "periodMultiplier" : 1, + "period" : "Y", "meta" : { - "globalKey" : "0" - }, - "rateSchedule" : { - "price" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "price-2" - } + "globalKey" : "78" + } + }, + "firstPaymentDate" : "2000-10-05", + "payRelativeTo" : "CalculationPeriodEndDate", + "paymentDatesAdjustments" : { + "businessDayConvention" : "FOLLOWING", + "businessCenters" : { + "businessCentersReference" : { + "globalReference" : "20a71d", + "externalReference" : "primaryBusinessCenters" + }, + "meta" : { + "globalKey" : "eb13047c" } + }, + "meta" : { + "globalKey" : "c10206b" } + }, + "meta" : { + "globalKey" : "bdd8be8" } + }, + "meta" : { + "globalKey" : "4efba80c" } } ], "meta" : { - "globalKey" : "a864e0ea" + "globalKey" : "2b1d1660" } } }, "meta" : { - "globalKey" : "a864e0ea" + "globalKey" : "2b1d1660" } }, "meta" : { - "globalKey" : "a864e0ea" + "globalKey" : "2b1d1660" } }, "tradeLot" : [ { "priceQuantity" : [ { - "meta" : { - "globalKey" : "d1e27334" - }, - "observable" : { - "meta" : { - "globalKey" : "bf589e11" - }, - "rateOption" : { - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "rateOption-1" - } ] - }, - "value" : { - "floatingRateIndex" : { - "value" : "EUR-EURIBOR-Telerate" - }, - "indexTenor" : { - "meta" : { - "globalKey" : "959" - }, - "period" : "M", - "periodMultiplier" : 6 - } - } - } - }, "price" : [ { - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-1" - } ] - }, "value" : { + "value" : 0.001, "unit" : { "currency" : { "value" : "EUR" } }, - "value" : 0.001, - "arithmeticOperator" : "ADD", "perUnitOf" : { "currency" : { "value" : "EUR" } }, - "priceType" : "INTEREST_RATE" - } - } ], - "quantity" : [ { + "priceType" : "InterestRate", + "arithmeticOperator" : "Add" + }, "meta" : { "location" : [ { "scope" : "DOCUMENT", - "value" : "quantity-1" + "value" : "price-1" } ] - }, + } + } ], + "quantity" : [ { "value" : { + "value" : 75000000.00, "unit" : { "currency" : { "value" : "EUR" } - }, - "value" : 75000000.00 - } - } ] - }, { - "meta" : { - "globalKey" : "389ebddb" - }, - "price" : [ { + } + }, "meta" : { "location" : [ { "scope" : "DOCUMENT", - "value" : "price-2" + "value" : "quantity-1" } ] + } + } ], + "observable" : { + "rateOption" : { + "value" : { + "floatingRateIndex" : { + "value" : "EUR-EURIBOR-Telerate" + }, + "indexTenor" : { + "periodMultiplier" : 6, + "period" : "M", + "meta" : { + "globalKey" : "107" + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "rateOption-1" + } ] + } }, + "meta" : { + "globalKey" : "2bba2221" + } + }, + "meta" : { + "globalKey" : "d218229e" + } + }, { + "price" : [ { "value" : { + "value" : 0.0525, "unit" : { "currency" : { "value" : "EUR" } }, - "value" : 0.0525, "perUnitOf" : { "currency" : { "value" : "EUR" } }, - "priceType" : "INTEREST_RATE" - } - } ], - "quantity" : [ { + "priceType" : "InterestRate" + }, "meta" : { "location" : [ { "scope" : "DOCUMENT", - "value" : "quantity-2" + "value" : "price-2" } ] - }, + } + } ], + "quantity" : [ { "value" : { + "value" : 75000000.00, "unit" : { "currency" : { "value" : "EUR" } - }, - "value" : 75000000.00 + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } ] } - } ] + } ], + "meta" : { + "globalKey" : "db38fd85" + } } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "349a498c", + "externalReference" : "party1" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "4caf4c44", + "externalReference" : "party2" + } } ] }, - "tradeDate" : { - "meta" : { - "globalKey" : "3e8103" - }, - "value" : "2000-04-03" - }, - "tradeIdentifier" : [ { - "assignedIdentifier" : [ { + "party" : [ { + "partyId" : [ { "identifier" : { + "value" : "54930084UKLVMY22DS16", "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/uti" - }, - "value" : "UITD7895394" + "scheme" : "http://www.fpml.org/coding-scheme/external/iso17442" + } + }, + "identifierType" : "LEI", + "meta" : { + "globalKey" : "121d7965" } } ], - "issuer" : { - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/iso17442" - }, - "value" : "54930084UKLVMY22DS16" + "name" : { + "value" : "Party A" }, "meta" : { - "globalKey" : "335bf1d6" - }, - "identifierType" : "UNIQUE_TRANSACTION_IDENTIFIER" - } ] - } - } - }, - "primitiveInstruction" : { - "indexTransition" : { - "effectiveDate" : "2000-10-03", - "priceQuantity" : [ { - "observable" : { - "rateOption" : { - "value" : { - "floatingRateIndex" : { - "value" : "EUR-EURIBOR-Reuters" - }, - "indexTenor" : { - "period" : "M", - "periodMultiplier" : 6 - } - } + "globalKey" : "349a498c", + "externalKey" : "party1" } - }, - "price" : [ { - "value" : { - "unit" : { - "currency" : { - "value" : "EUR" - } - }, - "value" : 0.003, - "arithmeticOperator" : "ADD", - "perUnitOf" : { - "currency" : { - "value" : "EUR" + }, { + "partyId" : [ { + "identifier" : { + "value" : "48750084UKLVTR22DS78", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/iso17442" } }, - "priceType" : "INTEREST_RATE" + "identifierType" : "LEI", + "meta" : { + "globalKey" : "de31bddc" + } + } ], + "name" : { + "value" : "Party B" + }, + "meta" : { + "globalKey" : "4caf4c44", + "externalKey" : "party2" } - } ] - } ] + } ], + "meta" : { + "globalKey" : "989983d5" + } + }, + "meta" : { + "globalKey" : "989983d5" + } } } } ], - "intent" : "INDEX_TRANSITION", + "intent" : "IndexTransition", "eventDate" : "2000-10-01", "effectiveDate" : null } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/cdm-sample-files/functions/business-event/index-transition/index-transition-xccy-swap-func-input.json b/rosetta-source/src/main/resources/cdm-sample-files/functions/business-event/index-transition/index-transition-xccy-swap-func-input.json index 10b49c64db..c2ebbdfee8 100644 --- a/rosetta-source/src/main/resources/cdm-sample-files/functions/business-event/index-transition/index-transition-xccy-swap-func-input.json +++ b/rosetta-source/src/main/resources/cdm-sample-files/functions/business-event/index-transition/index-transition-xccy-swap-func-input.json @@ -1,153 +1,204 @@ { "instruction" : [ { + "primitiveInstruction" : { + "indexTransition" : { + "priceQuantity" : [ { + "price" : [ { + "value" : { + "value" : 0.002, + "unit" : { + "currency" : { + "value" : "USD" + } + }, + "perUnitOf" : { + "currency" : { + "value" : "USD" + } + }, + "priceType" : "InterestRate", + "arithmeticOperator" : "Add" + } + } ], + "observable" : { + "rateOption" : { + "value" : { + "floatingRateIndex" : { + "value" : "USD-LIBOR-ISDA", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/floating-rate-index" + } + }, + "indexTenor" : { + "periodMultiplier" : 3, + "period" : "M" + } + } + } + } + }, { + "price" : [ { + "value" : { + "value" : 0.001, + "unit" : { + "currency" : { + "value" : "EUR" + } + }, + "perUnitOf" : { + "currency" : { + "value" : "EUR" + } + }, + "priceType" : "InterestRate", + "arithmeticOperator" : "Add" + } + } ], + "observable" : { + "rateOption" : { + "value" : { + "floatingRateIndex" : { + "value" : "EUR-EURIBOR-Reuters", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/floating-rate-index" + } + }, + "indexTenor" : { + "periodMultiplier" : 3, + "period" : "M" + } + } + } + } + } ], + "effectiveDate" : "2018-06-19" + } + }, "before" : { "value" : { - "meta" : { - "globalKey" : "389248a7" - }, "trade" : { - "meta" : { - "globalKey" : "f91ded71" - }, - "party" : [ { - "meta" : { - "externalKey" : "party1", - "globalKey" : "7cec034c" - }, - "name" : { - "value" : "Party A" + "tradeIdentifier" : [ { + "issuer" : { + "value" : "54930084UKLVMY22DS16", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/iso17442" + } }, - "partyId" : [ { + "assignedIdentifier" : [ { "identifier" : { + "value" : "DRTY123456", "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/iso17442" - }, - "value" : "54930084UKLVMY22DS16" - }, - "identifierType" : "LEI", - "meta" : { - "globalKey" : "121d7965" + "scheme" : "http://www.fpml.org/coding-scheme/external/uti" + } } - } ] - }, { + } ], "meta" : { - "externalKey" : "party2", - "globalKey" : "490e5f44" + "globalKey" : "717b78f7" }, - "name" : { - "value" : "Party B" + "identifierType" : "UniqueTransactionIdentifier" + }, { + "issuer" : { + "value" : "1031234567", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/nsa/cftc" + } }, - "partyId" : [ { + "assignedIdentifier" : [ { "identifier" : { + "value" : "UITD7895394", "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/iso17442" - }, - "value" : "48750084UKLVTR22DS78" - }, - "identifierType" : "LEI", - "meta" : { - "globalKey" : "de31bddc" + "scheme" : "http://www.fpml.org/coding-scheme/external/usi" + } } - } ] + } ], + "meta" : { + "globalKey" : "af42d69a" + }, + "identifierType" : "UniqueSwapIdentifier" } ], + "tradeDate" : { + "value" : "2018-03-19", + "meta" : { + "globalKey" : "3f10d3", + "externalKey" : "tradeDate" + } + }, "tradableProduct" : { - "counterparty" : [ { - "partyReference" : { - "externalReference" : "party1", - "globalReference" : "7cec034c" - }, - "role" : "PARTY_1" - }, { - "partyReference" : { - "externalReference" : "party2", - "globalReference" : "490e5f44" - }, - "role" : "PARTY_2" - } ], "product" : { "contractualProduct" : { - "productIdentifier" : [ { - "value" : { - "identifier" : { - "meta" : { - "scheme" : "http://www.dtcc.com/coding-scheme/external/GTR-Product-Id" - }, - "value" : "InterestRate:CrossCurrency:Basis" - }, - "meta" : { - "globalKey" : "b0bf3e75" - }, - "source" : "OTHER" - } - } ], "productTaxonomy" : [ { "primaryAssetClass" : { - "value" : "INTEREST_RATE" + "value" : "InterestRate" } }, { "source" : "CFI", "value" : { "name" : { + "value" : "SRAXCC", "meta" : { "scheme" : "http://www.fpml.org/coding-scheme/external/product-classification/iso10962" - }, - "value" : "SRAXCC" + } } } }, { "source" : "EMIR", "value" : { "name" : { + "value" : "SW", "meta" : { "scheme" : "http://www.dtcc.com/coding-scheme/external/product-classification/emir-contract-type" - }, - "value" : "SW" + } } } }, { "source" : "ISDA", "productQualifier" : "InterestRate_CrossCurrency_Basis" } ], + "productIdentifier" : [ { + "value" : { + "identifier" : { + "value" : "InterestRate:CrossCurrency:Basis", + "meta" : { + "scheme" : "http://www.dtcc.com/coding-scheme/external/GTR-Product-Id" + } + }, + "source" : "Other", + "meta" : { + "globalKey" : "b0bf3e75" + } + } + } ], "economicTerms" : { "payout" : { "interestRatePayout" : [ { "payerReceiver" : { - "payer" : "PARTY_1", - "receiver" : "PARTY_2" + "payer" : "Party1", + "receiver" : "Party2" }, "priceQuantity" : { - "meta" : { - "globalKey" : "658381c3" + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } + }, + "quantityReference" : { + "globalReference" : "0", + "externalReference" : "fixed_notional_schedule" }, "quantityMultiplier" : { "fxLinkedNotionalSchedule" : { - "fixingTime" : { - "businessCenter" : { - "value" : "GBLO" - }, - "hourMinuteTime" : "11:00:00" - }, - "fxSpotRateSource" : { - "primarySource" : { - "sourcePage" : { - "value" : "WM Company LDN 11am Mid" - }, - "sourcePageHeading" : "USD/EUR", - "sourceProvider" : { - "value" : "TELERATE" - } - } - }, "varyingNotionalCurrency" : { "value" : "USD" }, "varyingNotionalFixingDates" : { + "periodMultiplier" : 2, + "period" : "D", "meta" : { - "globalKey" : "937e4a3" + "globalKey" : "97a0d7df" }, - "period" : "D", - "periodMultiplier" : 2, - "dayType" : "BUSINESS", + "dayType" : "Business", + "businessDayConvention" : "MODFOLLOWING", "businessCenters" : { "businessCenter" : [ { "value" : "GBLO" @@ -156,19 +207,36 @@ "globalKey" : "21479e" } }, - "businessDayConvention" : "MODFOLLOWING", "dateRelativeTo" : { - "externalReference" : "tradeDate", - "globalReference" : "3f10d3" + "globalReference" : "3f10d3", + "externalReference" : "tradeDate" + } + }, + "fxSpotRateSource" : { + "primarySource" : { + "sourceProvider" : { + "value" : "Telerate" + }, + "sourcePage" : { + "value" : "WM Company LDN 11am Mid" + }, + "sourcePageHeading" : "USD/EUR" + } + }, + "fixingTime" : { + "hourMinuteTime" : "11:00:00", + "businessCenter" : { + "value" : "GBLO" } }, "varyingNotionalInterimExchangePaymentDates" : { + "periodMultiplier" : 2, + "period" : "D", "meta" : { - "globalKey" : "937e4a3" + "globalKey" : "97a0d7df" }, - "period" : "D", - "periodMultiplier" : 2, - "dayType" : "BUSINESS", + "dayType" : "Business", + "businessDayConvention" : "MODFOLLOWING", "businessCenters" : { "businessCenter" : [ { "value" : "GBLO" @@ -177,71 +245,63 @@ "globalKey" : "21479e" } }, - "businessDayConvention" : "MODFOLLOWING", "dateRelativeTo" : { - "externalReference" : "tradeDate", - "globalReference" : "3f10d3" + "globalReference" : "3f10d3", + "externalReference" : "tradeDate" } } } }, - "quantityReference" : { - "externalReference" : "fixed_notional_schedule", - "globalReference" : "0" - }, - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } + "meta" : { + "globalKey" : "c2caef9f" } }, "principalPayment" : { - "finalPayment" : false, "initialPayment" : false, + "finalPayment" : false, "intermediatePayment" : true, "meta" : { "globalKey" : "12be2f" } }, "settlementTerms" : { - "meta" : { - "globalKey" : "14966" - }, "settlementCurrency" : { "value" : "USD" + }, + "meta" : { + "globalKey" : "14966" } }, - "calculationPeriodDates" : { - "calculationPeriodDatesAdjustments" : { - "businessCenters" : { - "businessCenter" : [ { - "value" : "GBLO" - }, { - "value" : "USNY" - }, { - "value" : "EUTA" - } ], - "meta" : { - "globalKey" : "81e33772" + "rateSpecification" : { + "floatingRate" : { + "rateOption" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "rateOption-2" + } + }, + "spreadSchedule" : { + "price" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "price-1" + } } }, - "businessDayConvention" : "MODFOLLOWING", "meta" : { - "globalKey" : "5865eac3" + "globalKey" : "0" } - }, - "calculationPeriodFrequency" : { - "meta" : { - "globalKey" : "28c48" - }, - "period" : "M", - "periodMultiplier" : 3, - "rollConvention" : "21" - }, + } + }, + "dayCountFraction" : { + "value" : "ACT/360" + }, + "calculationPeriodDates" : { "effectiveDate" : { "adjustableDate" : { + "unadjustedDate" : "2018-03-21", "dateAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", "businessCenters" : { "businessCenter" : [ { "value" : "GBLO" @@ -254,33 +314,23 @@ "globalKey" : "81e33772" } }, - "businessDayConvention" : "MODFOLLOWING", "meta" : { "globalKey" : "5865eac3" } }, "meta" : { "globalKey" : "733f98e" - }, - "unadjustedDate" : "2018-03-21" + } }, "meta" : { "globalKey" : "733f98e" } }, - "meta" : { - "externalKey" : "d0e5304", - "globalKey" : "40e712a7" - }, "terminationDate" : { "adjustableDate" : { - "adjustedDate" : { - "meta" : { - "globalKey" : "3f38d5" - }, - "value" : "2023-03-21" - }, + "unadjustedDate" : "2023-03-21", "dateAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", "businessCenters" : { "businessCenter" : [ { "value" : "GBLO" @@ -293,38 +343,26 @@ "globalKey" : "81e33772" } }, - "businessDayConvention" : "MODFOLLOWING", "meta" : { "globalKey" : "5865eac3" } }, + "adjustedDate" : { + "value" : "2023-03-21", + "meta" : { + "globalKey" : "3f38d5" + } + }, "meta" : { "globalKey" : "80e0d18e" - }, - "unadjustedDate" : "2023-03-21" + } }, "meta" : { "globalKey" : "80e0d18e" } - } - }, - "cashflowRepresentation" : { - "cashflowsMatchParameters" : false - }, - "compoundingMethod" : "NONE", - "dayCountFraction" : { - "value" : "ACT/360" - }, - "meta" : { - "globalKey" : "6965de00" - }, - "paymentDates" : { - "firstPaymentDate" : "2018-06-21", - "meta" : { - "globalKey" : "b7434d18" }, - "payRelativeTo" : "CALCULATION_PERIOD_END_DATE", - "paymentDatesAdjustments" : { + "calculationPeriodDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", "businessCenters" : { "businessCenter" : [ { "value" : "GBLO" @@ -337,52 +375,69 @@ "globalKey" : "81e33772" } }, - "businessDayConvention" : "MODFOLLOWING", "meta" : { "globalKey" : "5865eac3" } }, - "paymentFrequency" : { + "calculationPeriodFrequency" : { + "periodMultiplier" : 3, + "period" : "M", "meta" : { - "globalKey" : "956" + "globalKey" : "17f74" }, - "period" : "M", - "periodMultiplier" : 3 + "rollConvention" : "21" + }, + "meta" : { + "globalKey" : "a071381b", + "externalKey" : "d0e5304" } }, - "rateSpecification" : { - "floatingRate" : { + "paymentDates" : { + "paymentFrequency" : { + "periodMultiplier" : 3, + "period" : "M", "meta" : { - "globalKey" : "0" - }, - "rateOption" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "rateOption-2" + "globalKey" : "aa" + } + }, + "firstPaymentDate" : "2018-06-21", + "payRelativeTo" : "CalculationPeriodEndDate", + "paymentDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "GBLO" + }, { + "value" : "USNY" + }, { + "value" : "EUTA" + } ], + "meta" : { + "globalKey" : "81e33772" } }, - "spreadSchedule" : { - "price" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "price-1" - } - } + "meta" : { + "globalKey" : "5865eac3" } + }, + "meta" : { + "globalKey" : "4c3bd2be" } }, "resetDates" : { "calculationPeriodDatesReference" : { - "externalReference" : "d0e5304", - "globalReference" : "40e712a7" + "globalReference" : "a071381b", + "externalReference" : "d0e5304" }, + "resetRelativeTo" : "CalculationPeriodStartDate", "fixingDates" : { + "periodMultiplier" : -2, + "period" : "D", "meta" : { - "globalKey" : "7a0be842" + "globalKey" : "56e7d2f6" }, - "period" : "D", - "periodMultiplier" : -2, - "dayType" : "BUSINESS", + "dayType" : "Business", + "businessDayConvention" : "NONE", "businessCenters" : { "businessCenter" : [ { "value" : "GBLO" @@ -391,17 +446,20 @@ "globalKey" : "21479e" } }, - "businessDayConvention" : "NONE", "dateRelativeTo" : { - "externalReference" : "d0e5651", - "globalReference" : "3c25fa77" + "globalReference" : "359bc2a9", + "externalReference" : "d0e5651" } }, - "meta" : { - "externalKey" : "d0e5651", - "globalKey" : "3c25fa77" + "resetFrequency" : { + "periodMultiplier" : 3, + "period" : "M", + "meta" : { + "globalKey" : "aa" + } }, "resetDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", "businessCenters" : { "businessCenter" : [ { "value" : "GBLO" @@ -410,147 +468,149 @@ "globalKey" : "21479e" } }, - "businessDayConvention" : "MODFOLLOWING", "meta" : { "globalKey" : "365c4b6f" } }, - "resetFrequency" : { - "meta" : { - "globalKey" : "956" - }, - "period" : "M", - "periodMultiplier" : 3 - }, - "resetRelativeTo" : "CALCULATION_PERIOD_START_DATE" + "meta" : { + "globalKey" : "359bc2a9", + "externalKey" : "d0e5651" + } + }, + "compoundingMethod" : "None", + "cashflowRepresentation" : { + "cashflowsMatchParameters" : false + }, + "meta" : { + "globalKey" : "7d73d82" } }, { "payerReceiver" : { - "payer" : "PARTY_2", - "receiver" : "PARTY_1" + "payer" : "Party2", + "receiver" : "Party1" }, "priceQuantity" : { - "meta" : { - "externalKey" : "fixed_notional_schedule", - "globalKey" : "0" - }, "quantitySchedule" : { "address" : { "scope" : "DOCUMENT", "value" : "quantity-2" } + }, + "meta" : { + "globalKey" : "0", + "externalKey" : "fixed_notional_schedule" } }, "principalPayment" : { - "finalPayment" : true, "initialPayment" : true, + "finalPayment" : true, "intermediatePayment" : true, - "meta" : { - "globalKey" : "747c1b93" - }, "principalPaymentSchedule" : { - "finalPrincipalPayment" : { - "meta" : { - "globalKey" : "37cbd860" + "initialPrincipalPayment" : { + "principalPaymentDate" : { + "adjustedDate" : { + "value" : "2018-03-21", + "meta" : { + "globalKey" : "3f10d5" + } + }, + "meta" : { + "globalKey" : "0" + } }, "payerReceiver" : { - "payer" : "PARTY_2", - "receiver" : "PARTY_1" + "payer" : "Party1", + "receiver" : "Party2" }, "principalAmount" : { + "value" : 1400.00, "unit" : { "currency" : { "value" : "EUR" } }, - "value" : 1400.00, "meta" : { "globalKey" : "7b889f5f" } }, + "meta" : { + "globalKey" : "39f638fe" + } + }, + "finalPrincipalPayment" : { "principalPaymentDate" : { "adjustedDate" : { + "value" : "2023-03-21", "meta" : { "globalKey" : "3f38d5" - }, - "value" : "2023-03-21" + } }, "meta" : { "globalKey" : "0" } - } - }, - "initialPrincipalPayment" : { - "meta" : { - "globalKey" : "4d0e6c2" }, "payerReceiver" : { - "payer" : "PARTY_1", - "receiver" : "PARTY_2" + "payer" : "Party2", + "receiver" : "Party1" }, "principalAmount" : { + "value" : 1400.00, "unit" : { "currency" : { "value" : "EUR" } }, - "value" : 1400.00, "meta" : { "globalKey" : "7b889f5f" } }, - "principalPaymentDate" : { - "adjustedDate" : { - "meta" : { - "globalKey" : "3f10d5" - }, - "value" : "2018-03-21" - }, - "meta" : { - "globalKey" : "0" - } + "meta" : { + "globalKey" : "6d279ba0" } } + }, + "meta" : { + "globalKey" : "5aab838f" } }, "settlementTerms" : { - "meta" : { - "globalKey" : "10da2" - }, "settlementCurrency" : { "value" : "EUR" + }, + "meta" : { + "globalKey" : "10da2" } }, - "calculationPeriodDates" : { - "calculationPeriodDatesAdjustments" : { - "businessCenters" : { - "businessCenter" : [ { - "value" : "GBLO" - }, { - "value" : "USNY" - }, { - "value" : "EUTA" - } ], - "meta" : { - "globalKey" : "81e33772" + "rateSpecification" : { + "floatingRate" : { + "rateOption" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "rateOption-1" + } + }, + "spreadSchedule" : { + "price" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "price-2" + } } }, - "businessDayConvention" : "MODFOLLOWING", "meta" : { - "globalKey" : "5865eac3" + "globalKey" : "0" } - }, - "calculationPeriodFrequency" : { - "meta" : { - "globalKey" : "28c48" - }, - "period" : "M", - "periodMultiplier" : 3, - "rollConvention" : "21" - }, + } + }, + "dayCountFraction" : { + "value" : "ACT/360" + }, + "calculationPeriodDates" : { "effectiveDate" : { "adjustableDate" : { + "unadjustedDate" : "2018-03-21", "dateAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", "businessCenters" : { "businessCenter" : [ { "value" : "GBLO" @@ -563,33 +623,23 @@ "globalKey" : "81e33772" } }, - "businessDayConvention" : "MODFOLLOWING", "meta" : { "globalKey" : "5865eac3" } }, "meta" : { "globalKey" : "733f98e" - }, - "unadjustedDate" : "2018-03-21" + } }, "meta" : { "globalKey" : "733f98e" } }, - "meta" : { - "externalKey" : "d0e6023", - "globalKey" : "40e712a7" - }, "terminationDate" : { "adjustableDate" : { - "adjustedDate" : { - "meta" : { - "globalKey" : "3f38d5" - }, - "value" : "2023-03-21" - }, + "unadjustedDate" : "2023-03-21", "dateAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", "businessCenters" : { "businessCenter" : [ { "value" : "GBLO" @@ -602,38 +652,26 @@ "globalKey" : "81e33772" } }, - "businessDayConvention" : "MODFOLLOWING", "meta" : { "globalKey" : "5865eac3" } }, + "adjustedDate" : { + "value" : "2023-03-21", + "meta" : { + "globalKey" : "3f38d5" + } + }, "meta" : { "globalKey" : "80e0d18e" - }, - "unadjustedDate" : "2023-03-21" + } }, "meta" : { "globalKey" : "80e0d18e" } - } - }, - "cashflowRepresentation" : { - "cashflowsMatchParameters" : false - }, - "compoundingMethod" : "NONE", - "dayCountFraction" : { - "value" : "ACT/360" - }, - "meta" : { - "globalKey" : "8c9fc8ff" - }, - "paymentDates" : { - "firstPaymentDate" : "2018-06-21", - "meta" : { - "globalKey" : "b7434d18" }, - "payRelativeTo" : "CALCULATION_PERIOD_END_DATE", - "paymentDatesAdjustments" : { + "calculationPeriodDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", "businessCenters" : { "businessCenter" : [ { "value" : "GBLO" @@ -646,52 +684,69 @@ "globalKey" : "81e33772" } }, - "businessDayConvention" : "MODFOLLOWING", "meta" : { "globalKey" : "5865eac3" } }, - "paymentFrequency" : { + "calculationPeriodFrequency" : { + "periodMultiplier" : 3, + "period" : "M", "meta" : { - "globalKey" : "956" + "globalKey" : "17f74" }, - "period" : "M", - "periodMultiplier" : 3 + "rollConvention" : "21" + }, + "meta" : { + "globalKey" : "a071381b", + "externalKey" : "d0e6023" } }, - "rateSpecification" : { - "floatingRate" : { + "paymentDates" : { + "paymentFrequency" : { + "periodMultiplier" : 3, + "period" : "M", "meta" : { - "globalKey" : "0" - }, - "rateOption" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "rateOption-1" + "globalKey" : "aa" + } + }, + "firstPaymentDate" : "2018-06-21", + "payRelativeTo" : "CalculationPeriodEndDate", + "paymentDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "GBLO" + }, { + "value" : "USNY" + }, { + "value" : "EUTA" + } ], + "meta" : { + "globalKey" : "81e33772" } }, - "spreadSchedule" : { - "price" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "price-2" - } - } + "meta" : { + "globalKey" : "5865eac3" } + }, + "meta" : { + "globalKey" : "4c3bd2be" } }, "resetDates" : { "calculationPeriodDatesReference" : { - "externalReference" : "d0e6023", - "globalReference" : "40e712a7" + "globalReference" : "a071381b", + "externalReference" : "d0e6023" }, + "resetRelativeTo" : "CalculationPeriodStartDate", "fixingDates" : { + "periodMultiplier" : -2, + "period" : "D", "meta" : { - "globalKey" : "77b1cd44" + "globalKey" : "548db7f8" }, - "period" : "D", - "periodMultiplier" : -2, - "dayType" : "BUSINESS", + "dayType" : "Business", + "businessDayConvention" : "NONE", "businessCenters" : { "businessCenter" : [ { "value" : "EUTA" @@ -700,17 +755,20 @@ "globalKey" : "20a71d" } }, - "businessDayConvention" : "NONE", "dateRelativeTo" : { - "externalReference" : "d0e6369", - "globalReference" : "3dfddeb3" + "globalReference" : "80690a43", + "externalReference" : "d0e6369" } }, - "meta" : { - "externalKey" : "d0e6369", - "globalKey" : "3dfddeb3" + "resetFrequency" : { + "periodMultiplier" : 3, + "period" : "M", + "meta" : { + "globalKey" : "aa" + } }, "resetDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", "businessCenters" : { "businessCenter" : [ { "value" : "EUTA" @@ -719,342 +777,284 @@ "globalKey" : "20a71d" } }, - "businessDayConvention" : "MODFOLLOWING", "meta" : { "globalKey" : "365baaee" } }, - "resetFrequency" : { - "meta" : { - "globalKey" : "956" - }, - "period" : "M", - "periodMultiplier" : 3 - }, - "resetRelativeTo" : "CALCULATION_PERIOD_START_DATE" + "meta" : { + "globalKey" : "80690a43", + "externalKey" : "d0e6369" + } + }, + "compoundingMethod" : "None", + "cashflowRepresentation" : { + "cashflowsMatchParameters" : false + }, + "meta" : { + "globalKey" : "38597d7f" } } ], "meta" : { - "globalKey" : "44e92aff" + "globalKey" : "ec9094bd" } } }, "meta" : { - "globalKey" : "2e757162" + "globalKey" : "6ec177a" } }, "meta" : { - "globalKey" : "2e757162" + "globalKey" : "6ec177a" } }, "tradeLot" : [ { "priceQuantity" : [ { - "meta" : { - "globalKey" : "fe8da185" - }, - "observable" : { - "meta" : { - "globalKey" : "5f0c6d05" - }, - "rateOption" : { - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "rateOption-2" - } ] - }, - "value" : { - "floatingRateIndex" : { - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/floating-rate-index" - }, - "value" : "USD-LIBOR-BBA" - }, - "indexTenor" : { - "meta" : { - "globalKey" : "956" - }, - "period" : "M", - "periodMultiplier" : 3 - } - } - } - }, "price" : [ { - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-1" - } ] - }, "value" : { + "value" : 0.0, "unit" : { "currency" : { "value" : "USD" } }, - "value" : 0.0, - "arithmeticOperator" : "ADD", "perUnitOf" : { "currency" : { "value" : "USD" } }, - "priceType" : "INTEREST_RATE" - } - } ], - "quantity" : [ { + "priceType" : "InterestRate", + "arithmeticOperator" : "Add" + }, "meta" : { "location" : [ { "scope" : "DOCUMENT", - "value" : "quantity-1" + "value" : "price-1" } ] - }, + } + } ], + "quantity" : [ { "value" : { + "value" : 1726.62, "unit" : { "currency" : { "value" : "USD" } - }, - "value" : 1726.62 + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] } - } ] - }, { - "meta" : { - "globalKey" : "16825d59" - }, + } ], "observable" : { - "meta" : { - "globalKey" : "bf589e0e" - }, "rateOption" : { - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "rateOption-1" - } ] - }, "value" : { "floatingRateIndex" : { + "value" : "USD-LIBOR-BBA", "meta" : { "scheme" : "http://www.fpml.org/coding-scheme/floating-rate-index" - }, - "value" : "EUR-EURIBOR-Telerate" + } }, "indexTenor" : { - "meta" : { - "globalKey" : "956" - }, + "periodMultiplier" : 3, "period" : "M", - "periodMultiplier" : 3 + "meta" : { + "globalKey" : "aa" + } } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "rateOption-2" + } ] } + }, + "meta" : { + "globalKey" : "828026c7" } }, + "meta" : { + "globalKey" : "9869dec9" + } + }, { "price" : [ { - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-2" - } ] - }, "value" : { + "value" : -0.0045, "unit" : { "currency" : { "value" : "EUR" } }, - "value" : -0.0045, - "arithmeticOperator" : "ADD", "perUnitOf" : { "currency" : { "value" : "EUR" } }, - "priceType" : "INTEREST_RATE" - } - } ], - "quantity" : [ { + "priceType" : "InterestRate", + "arithmeticOperator" : "Add" + }, "meta" : { "location" : [ { "scope" : "DOCUMENT", - "value" : "quantity-2" + "value" : "price-2" } ] - }, + } + } ], + "quantity" : [ { "value" : { + "value" : 1400, "unit" : { "currency" : { "value" : "EUR" } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } ] + } + } ], + "observable" : { + "rateOption" : { + "value" : { + "floatingRateIndex" : { + "value" : "EUR-EURIBOR-Telerate", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/floating-rate-index" + } + }, + "indexTenor" : { + "periodMultiplier" : 3, + "period" : "M", + "meta" : { + "globalKey" : "aa" + } + } }, - "value" : 1400 + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "rateOption-1" + } ] + } + }, + "meta" : { + "globalKey" : "2bba16de" } - } ] + }, + "meta" : { + "globalKey" : "ae6f5a1d" + } } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "349a498c", + "externalReference" : "party1" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "4caf4c44", + "externalReference" : "party2" + } } ] }, - "tradeDate" : { - "meta" : { - "externalKey" : "tradeDate", - "globalKey" : "3f10d3" - }, - "value" : "2018-03-19" - }, - "tradeIdentifier" : [ { - "assignedIdentifier" : [ { + "party" : [ { + "partyId" : [ { "identifier" : { + "value" : "54930084UKLVMY22DS16", "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/uti" - }, - "value" : "DRTY123456" + "scheme" : "http://www.fpml.org/coding-scheme/external/iso17442" + } + }, + "identifierType" : "LEI", + "meta" : { + "globalKey" : "121d7965" } } ], - "issuer" : { - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/iso17442" - }, - "value" : "54930084UKLVMY22DS16" + "name" : { + "value" : "Party A" }, "meta" : { - "globalKey" : "ef7b70ad" - }, - "identifierType" : "UNIQUE_TRANSACTION_IDENTIFIER" + "globalKey" : "349a498c", + "externalKey" : "party1" + } }, { - "assignedIdentifier" : [ { + "partyId" : [ { "identifier" : { + "value" : "48750084UKLVTR22DS78", "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/usi" - }, - "value" : "UITD7895394" + "scheme" : "http://www.fpml.org/coding-scheme/external/iso17442" + } + }, + "identifierType" : "LEI", + "meta" : { + "globalKey" : "de31bddc" } } ], - "issuer" : { - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/nsa/cftc" - }, - "value" : "1031234567" + "name" : { + "value" : "Party B" }, "meta" : { - "globalKey" : "81c425a" - }, - "identifierType" : "UNIQUE_SWAP_IDENTIFIER" - } ] + "globalKey" : "4caf4c44", + "externalKey" : "party2" + } + } ], + "meta" : { + "globalKey" : "4f00e52f" + } }, "transferHistory" : [ { - "meta" : { - "externalKey" : "SDB123-AB5.EUR.20180209.0", - "globalKey" : "9384e638" - }, "transfer" : { - "payerReceiver" : { - "payerPartyReference" : { - "externalReference" : "party1", - "globalReference" : "7cec034c" - }, - "receiverPartyReference" : { - "externalReference" : "party2", - "globalReference" : "490e5f44" - } - }, "quantity" : { + "value" : 5.00, "unit" : { "currency" : { "value" : "EUR" } + } + }, + "payerReceiver" : { + "payerPartyReference" : { + "globalReference" : "349a498c", + "externalReference" : "party1" }, - "value" : 5.00 + "receiverPartyReference" : { + "globalReference" : "4caf4c44", + "externalReference" : "party2" + } }, "settlementDate" : { "adjustedDate" : { + "value" : "2018-02-09", "meta" : { "globalKey" : "3f1089" - }, - "value" : "2018-02-09" + } } }, "transferExpression" : { - "priceTransfer" : "UPFRONT" - } - } - } ] - } - }, - "primitiveInstruction" : { - "indexTransition" : { - "effectiveDate" : "2018-06-19", - "priceQuantity" : [ { - "observable" : { - "rateOption" : { - "value" : { - "floatingRateIndex" : { - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/floating-rate-index" - }, - "value" : "USD-LIBOR-ISDA" - }, - "indexTenor" : { - "period" : "M", - "periodMultiplier" : 3 - } - } - } - }, - "price" : [ { - "value" : { - "unit" : { - "currency" : { - "value" : "USD" - } - }, - "value" : 0.002, - "arithmeticOperator" : "ADD", - "perUnitOf" : { - "currency" : { - "value" : "USD" - } - }, - "priceType" : "INTEREST_RATE" - } - } ] - }, { - "observable" : { - "rateOption" : { - "value" : { - "floatingRateIndex" : { - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/floating-rate-index" - }, - "value" : "EUR-EURIBOR-Reuters" - }, - "indexTenor" : { - "period" : "M", - "periodMultiplier" : 3 - } - } + "priceTransfer" : "Upfront" } }, - "price" : [ { - "value" : { - "unit" : { - "currency" : { - "value" : "EUR" - } - }, - "value" : 0.001, - "arithmeticOperator" : "ADD", - "perUnitOf" : { - "currency" : { - "value" : "EUR" - } - }, - "priceType" : "INTEREST_RATE" - } - } ] - } ] + "meta" : { + "globalKey" : "26fe0be4", + "externalKey" : "SDB123-AB5.EUR.20180209.0" + } + } ], + "meta" : { + "globalKey" : "dd3e42d5" + } } } } ], - "intent" : "INDEX_TRANSITION", + "intent" : "IndexTransition", "eventDate" : "2018-06-17", "effectiveDate" : null } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/cdm-sample-files/functions/business-event/novation/full-novation-func-input.json b/rosetta-source/src/main/resources/cdm-sample-files/functions/business-event/novation/full-novation-func-input.json index 5dec14490e..eed34c1276 100644 --- a/rosetta-source/src/main/resources/cdm-sample-files/functions/business-event/novation/full-novation-func-input.json +++ b/rosetta-source/src/main/resources/cdm-sample-files/functions/business-event/novation/full-novation-func-input.json @@ -1,158 +1,125 @@ { "instruction" : [ { - "before" : { - "value" : { - "meta" : { - "globalKey" : "7e59e1e" - }, - "trade" : { - "meta" : { - "globalKey" : "7e59e1e" - }, - "party" : [ { - "businessUnit" : [ { - "meta" : { - "externalKey" : "desk1", - "globalKey" : "5c10b72e" - }, - "name" : "NY Swaps Desk" - } ], - "meta" : { - "externalKey" : "party1", - "globalKey" : "fdda73db" - }, - "name" : { - "value" : "Bank X" - }, - "partyId" : [ { - "identifier" : { - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/iso17442" - }, - "value" : "LEI1RPT0001" - }, - "identifierType" : "LEI", - "meta" : { - "globalKey" : "b8962566" - } - } ], - "person" : [ { - "firstName" : "jjone", - "meta" : { - "externalKey" : "trader", - "globalKey" : "d3962233" - }, - "personId" : [ { + "primitiveInstruction" : { + "split" : { + "breakdown" : [ { + "partyChange" : { + "counterparty" : { + "role" : "Party1", + "partyReference" : { "value" : { - "identifier" : { - "value" : "jjones" + "partyId" : [ { + "identifier" : { + "value" : "LEI3RPT0003", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/iso17442" + } + }, + "identifierType" : "LEI", + "meta" : { + "globalKey" : "88587f26" + } + } ], + "name" : { + "value" : "Bank Z" }, "meta" : { - "globalKey" : "baeb8c0d" + "globalKey" : "4a5fa53c", + "externalKey" : "party3" } } - } ] - } ] - }, { - "meta" : { - "externalKey" : "party2", - "globalKey" : "ee963b6" - }, - "name" : { - "value" : "Bank Y" + } }, - "partyId" : [ { - "identifier" : { + "tradeId" : [ { + "issuer" : { + "value" : "LEI3RPT0003", "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/iso17442" - }, - "value" : "LEI2CP0002" + "scheme" : "http://www.fpml.org/coding-scheme/external/cftc/issuer-identifier" + } }, - "identifierType" : "LEI", + "assignedIdentifier" : [ { + "identifier" : { + "value" : "LEI3RPT0003CCC", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/unique-transaction-identifier" + } + } + } ], "meta" : { - "globalKey" : "eb8edea1" - } - } ] - }, { - "meta" : { - "externalKey" : "broker1", - "globalKey" : "ed0cc6d1" - }, - "name" : { - "value" : "Up&Atem" - }, - "partyId" : [ { - "identifier" : { - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/iso17442" - }, - "value" : "549300OL8KL0WCQ34V31" + "globalKey" : "1d8d35e1" }, - "identifierType" : "LEI", + "identifierType" : "UniqueTransactionIdentifier" + } ] + } + }, { + "quantityChange" : { + "change" : [ { + "quantity" : [ { + "value" : { + "value" : 0.0, + "unit" : { + "currency" : { + "value" : "USD", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/iso4217" + } + } + } + } + } ], "meta" : { - "globalKey" : "8ffabe4b" + "globalKey" : "171b36" + } + } ], + "direction" : "Replace" + } + } ] + } + }, + "before" : { + "value" : { + "trade" : { + "tradeIdentifier" : [ { + "issuer" : { + "value" : "LEI1RPT0001", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/cftc/issuer-identifier" } - } ] - }, { - "meta" : { - "externalKey" : "clearing-svc", - "globalKey" : "611719a0" - }, - "name" : { - "value" : "ClearItAll" }, - "partyId" : [ { + "assignedIdentifier" : [ { "identifier" : { + "value" : "LEI1RPT0001CCCC", "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/iso17442" - }, - "value" : "549300IB5Q45JGNPND58" - }, - "identifierType" : "LEI", - "meta" : { - "globalKey" : "e213e7d7" + "scheme" : "http://www.fpml.org/coding-scheme/external/unique-transaction-identifier" + } } - } ] - } ], - "partyRole" : [ { - "ownershipPartyReference" : { - "externalReference" : "party1", - "globalReference" : "fdda73db" - }, - "partyReference" : { - "externalReference" : "clearing-svc", - "globalReference" : "611719a0" + } ], + "meta" : { + "globalKey" : "7a6056f8" }, - "role" : "CLEARING_ORGANIZATION" + "identifierType" : "UniqueTransactionIdentifier" } ], + "tradeDate" : { + "value" : "2018-04-01", + "meta" : { + "globalKey" : "3f1101" + } + }, "tradableProduct" : { - "counterparty" : [ { - "partyReference" : { - "externalReference" : "party1", - "globalReference" : "fdda73db" - }, - "role" : "PARTY_1" - }, { - "partyReference" : { - "externalReference" : "party2", - "globalReference" : "ee963b6" - }, - "role" : "PARTY_2" - } ], "product" : { "contractualProduct" : { "productTaxonomy" : [ { "primaryAssetClass" : { - "value" : "INTEREST_RATE" + "value" : "InterestRate" } }, { "source" : "ISDA", "value" : { "name" : { + "value" : "InterestRate:IRSwap:FixedFloat", "meta" : { "scheme" : "http://www.fpml.org/coding-scheme/product-taxonomy" - }, - "value" : "InterestRate:IRSwap:FixedFloat" + } } } }, { @@ -163,46 +130,40 @@ "payout" : { "interestRatePayout" : [ { "payerReceiver" : { - "payer" : "PARTY_1", - "receiver" : "PARTY_2" + "payer" : "Party1", + "receiver" : "Party2" }, "priceQuantity" : { - "meta" : { - "globalKey" : "0" - }, "quantitySchedule" : { "address" : { "scope" : "DOCUMENT", "value" : "quantity-1" } + }, + "meta" : { + "globalKey" : "0" } }, - "calculationPeriodDates" : { - "calculationPeriodDatesAdjustments" : { - "businessCenters" : { - "businessCentersReference" : { - "externalReference" : "primaryBusinessCenters", - "globalReference" : "27e4e9" - }, - "meta" : { - "globalKey" : "eb13047c" + "rateSpecification" : { + "floatingRate" : { + "rateOption" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "rateOption-1" } }, - "businessDayConvention" : "MODFOLLOWING", "meta" : { - "globalKey" : "214e084d" + "globalKey" : "0" } - }, - "calculationPeriodFrequency" : { - "meta" : { - "globalKey" : "12d23" - }, - "period" : "M", - "periodMultiplier" : 3, - "rollConvention" : "8" - }, + } + }, + "dayCountFraction" : { + "value" : "ACT/360" + }, + "calculationPeriodDates" : { "effectiveDate" : { "adjustableDate" : { + "unadjustedDate" : "2018-04-03", "dateAdjustments" : { "businessDayConvention" : "NONE", "meta" : { @@ -211,103 +172,108 @@ }, "meta" : { "globalKey" : "ece3837b" - }, - "unadjustedDate" : "2018-04-03" + } }, "meta" : { "globalKey" : "ece3837b" } }, - "meta" : { - "externalKey" : "floatingCalcPeriodDates", - "globalKey" : "c7a104bd" - }, "terminationDate" : { "adjustableDate" : { + "unadjustedDate" : "2026-02-08", "dateAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", "businessCenters" : { "businessCenter" : [ { "value" : "USNY" } ], "meta" : { - "externalKey" : "primaryBusinessCenters", - "globalKey" : "27e4e9" + "globalKey" : "27e4e9", + "externalKey" : "primaryBusinessCenters" } }, - "businessDayConvention" : "MODFOLLOWING", "meta" : { "globalKey" : "3662e8ba" } }, "meta" : { "globalKey" : "f148ad32" - }, - "unadjustedDate" : "2026-02-08" + } }, "meta" : { "globalKey" : "f148ad32" } - } - }, - "dayCountFraction" : { - "value" : "ACT/360" - }, - "meta" : { - "globalKey" : "2e2b69b0" - }, - "paymentDates" : { - "meta" : { - "globalKey" : "4fa45fc3" }, - "payRelativeTo" : "CALCULATION_PERIOD_END_DATE", - "paymentDatesAdjustments" : { + "calculationPeriodDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", "businessCenters" : { "businessCentersReference" : { - "externalReference" : "primaryBusinessCenters", - "globalReference" : "27e4e9" + "globalReference" : "27e4e9", + "externalReference" : "primaryBusinessCenters" }, "meta" : { "globalKey" : "eb13047c" } }, - "businessDayConvention" : "MODFOLLOWING", "meta" : { "globalKey" : "214e084d" } }, - "paymentFrequency" : { + "calculationPeriodFrequency" : { + "periodMultiplier" : 3, + "period" : "M", "meta" : { - "globalKey" : "956" + "globalKey" : "204f" }, - "period" : "M", - "periodMultiplier" : 3 + "rollConvention" : "8" + }, + "meta" : { + "globalKey" : "c513c70f", + "externalKey" : "floatingCalcPeriodDates" } }, - "rateSpecification" : { - "floatingRate" : { + "paymentDates" : { + "paymentFrequency" : { + "periodMultiplier" : 3, + "period" : "M", "meta" : { - "globalKey" : "0" - }, - "rateOption" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "rateOption-1" + "globalKey" : "aa" + } + }, + "payRelativeTo" : "CalculationPeriodEndDate", + "paymentDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCentersReference" : { + "globalReference" : "27e4e9", + "externalReference" : "primaryBusinessCenters" + }, + "meta" : { + "globalKey" : "eb13047c" } + }, + "meta" : { + "globalKey" : "214e084d" } + }, + "meta" : { + "globalKey" : "db523fbd" } }, "resetDates" : { "calculationPeriodDatesReference" : { - "externalReference" : "floatingCalcPeriodDates", - "globalReference" : "c7a104bd" + "globalReference" : "c513c70f", + "externalReference" : "floatingCalcPeriodDates" }, + "resetRelativeTo" : "CalculationPeriodStartDate", "fixingDates" : { + "periodMultiplier" : -2, + "period" : "D", "meta" : { - "globalKey" : "2fdb52aa" + "globalKey" : "cb73d5e" }, - "period" : "D", - "periodMultiplier" : -2, - "dayType" : "BUSINESS", + "dayType" : "Business", + "businessDayConvention" : "NONE", "businessCenters" : { "businessCenter" : [ { "value" : "GBLO" @@ -316,82 +282,79 @@ "globalKey" : "21479e" } }, - "businessDayConvention" : "NONE", "dateRelativeTo" : { - "externalReference" : "resetDates4", - "globalReference" : "30b8484f" + "globalReference" : "5bd61efd", + "externalReference" : "resetDates4" } }, - "meta" : { - "externalKey" : "resetDates4", - "globalKey" : "30b8484f" + "resetFrequency" : { + "periodMultiplier" : 3, + "period" : "M", + "meta" : { + "globalKey" : "aa" + } }, "resetDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", "businessCenters" : { "businessCentersReference" : { - "externalReference" : "primaryBusinessCenters", - "globalReference" : "27e4e9" + "globalReference" : "27e4e9", + "externalReference" : "primaryBusinessCenters" }, "meta" : { "globalKey" : "eb13047c" } }, - "businessDayConvention" : "MODFOLLOWING", "meta" : { "globalKey" : "214e084d" } }, - "resetFrequency" : { - "meta" : { - "globalKey" : "956" - }, - "period" : "M", - "periodMultiplier" : 3 - }, - "resetRelativeTo" : "CALCULATION_PERIOD_START_DATE" + "meta" : { + "globalKey" : "5bd61efd", + "externalKey" : "resetDates4" + } + }, + "meta" : { + "globalKey" : "b00ee8aa" } }, { "payerReceiver" : { - "payer" : "PARTY_2", - "receiver" : "PARTY_1" + "payer" : "Party2", + "receiver" : "Party1" }, "priceQuantity" : { - "meta" : { - "globalKey" : "0" - }, "quantitySchedule" : { "address" : { "scope" : "DOCUMENT", "value" : "quantity-2" } + }, + "meta" : { + "globalKey" : "0" } }, - "calculationPeriodDates" : { - "calculationPeriodDatesAdjustments" : { - "businessCenters" : { - "businessCentersReference" : { - "externalReference" : "primaryBusinessCenters", - "globalReference" : "27e4e9" - }, - "meta" : { - "globalKey" : "eb13047c" + "rateSpecification" : { + "fixedRate" : { + "rateSchedule" : { + "price" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "price-1" + } } }, - "businessDayConvention" : "MODFOLLOWING", "meta" : { - "globalKey" : "214e084d" + "globalKey" : "0" } - }, - "calculationPeriodFrequency" : { - "meta" : { - "globalKey" : "12d80" - }, - "period" : "M", - "periodMultiplier" : 6, - "rollConvention" : "8" - }, + } + }, + "dayCountFraction" : { + "value" : "30E/360" + }, + "calculationPeriodDates" : { "effectiveDate" : { "adjustableDate" : { + "unadjustedDate" : "2018-04-03", "dateAdjustments" : { "businessDayConvention" : "NONE", "meta" : { @@ -400,317 +363,354 @@ }, "meta" : { "globalKey" : "ece3837b" - }, - "unadjustedDate" : "2018-04-03" + } }, "meta" : { "globalKey" : "ece3837b" } }, - "meta" : { - "externalKey" : "fixedCalcPeriodDates", - "globalKey" : "c01e6313" - }, "terminationDate" : { "adjustableDate" : { + "unadjustedDate" : "2026-02-08", "dateAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", "businessCenters" : { "businessCentersReference" : { - "externalReference" : "primaryBusinessCenters", - "globalReference" : "27e4e9" + "globalReference" : "27e4e9", + "externalReference" : "primaryBusinessCenters" }, "meta" : { "globalKey" : "eb13047c" } }, - "businessDayConvention" : "MODFOLLOWING", "meta" : { "globalKey" : "214e084d" } }, "meta" : { "globalKey" : "dc33ccc5" - }, - "unadjustedDate" : "2026-02-08" + } }, "meta" : { "globalKey" : "dc33ccc5" } - } - }, - "dayCountFraction" : { - "value" : "30E/360" - }, - "meta" : { - "globalKey" : "7e4c86b1" - }, - "paymentDates" : { - "meta" : { - "globalKey" : "4fa45fc6" }, - "payRelativeTo" : "CALCULATION_PERIOD_END_DATE", - "paymentDatesAdjustments" : { + "calculationPeriodDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", "businessCenters" : { "businessCentersReference" : { - "externalReference" : "primaryBusinessCenters", - "globalReference" : "27e4e9" + "globalReference" : "27e4e9", + "externalReference" : "primaryBusinessCenters" }, "meta" : { "globalKey" : "eb13047c" } }, - "businessDayConvention" : "MODFOLLOWING", "meta" : { "globalKey" : "214e084d" } }, - "paymentFrequency" : { + "calculationPeriodFrequency" : { + "periodMultiplier" : 6, + "period" : "M", "meta" : { - "globalKey" : "959" + "globalKey" : "2b92" }, - "period" : "M", - "periodMultiplier" : 6 + "rollConvention" : "8" + }, + "meta" : { + "globalKey" : "1d67881f", + "externalKey" : "fixedCalcPeriodDates" } }, - "rateSpecification" : { - "fixedRate" : { + "paymentDates" : { + "paymentFrequency" : { + "periodMultiplier" : 6, + "period" : "M", "meta" : { - "globalKey" : "0" - }, - "rateSchedule" : { - "price" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "price-1" - } + "globalKey" : "107" + } + }, + "payRelativeTo" : "CalculationPeriodEndDate", + "paymentDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCentersReference" : { + "globalReference" : "27e4e9", + "externalReference" : "primaryBusinessCenters" + }, + "meta" : { + "globalKey" : "eb13047c" } + }, + "meta" : { + "globalKey" : "214e084d" } + }, + "meta" : { + "globalKey" : "7a04f180" } + }, + "meta" : { + "globalKey" : "5ea34009" } } ], "meta" : { - "globalKey" : "3a20d461" + "globalKey" : "a703b433" } } }, "meta" : { - "globalKey" : "f737362e" + "globalKey" : "641a1600" } }, "meta" : { - "globalKey" : "f737362e" + "globalKey" : "641a1600" } }, "tradeLot" : [ { "priceQuantity" : [ { - "meta" : { - "globalKey" : "e4dda770" - }, - "observable" : { - "meta" : { - "globalKey" : "5f0c6d05" - }, - "rateOption" : { - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "rateOption-1" - } ] - }, - "value" : { - "floatingRateIndex" : { - "value" : "USD-LIBOR-BBA" - }, - "indexTenor" : { + "quantity" : [ { + "value" : { + "value" : 10000.00, + "unit" : { + "currency" : { + "value" : "USD", "meta" : { - "globalKey" : "956" - }, - "period" : "M", - "periodMultiplier" : 3 + "scheme" : "http://www.fpml.org/coding-scheme/external/iso4217" + } } } - } - }, - "quantity" : [ { + }, "meta" : { "location" : [ { "scope" : "DOCUMENT", "value" : "quantity-1" } ] - }, - "value" : { - "unit" : { - "currency" : { + } + } ], + "observable" : { + "rateOption" : { + "value" : { + "floatingRateIndex" : { + "value" : "USD-LIBOR-BBA" + }, + "indexTenor" : { + "periodMultiplier" : 3, + "period" : "M", "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/iso4217" - }, - "value" : "USD" + "globalKey" : "aa" + } } }, - "value" : 10000.00 + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "rateOption-1" + } ] + } + }, + "meta" : { + "globalKey" : "828026c7" } - } ] - }, { - "meta" : { - "globalKey" : "8532effc" }, + "meta" : { + "globalKey" : "fd32a49c" + } + }, { "price" : [ { - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-1" - } ] - }, "value" : { + "value" : 0.0253, "unit" : { "currency" : { + "value" : "USD", "meta" : { "scheme" : "http://www.fpml.org/coding-scheme/external/iso4217" - }, - "value" : "USD" + } } }, - "value" : 0.0253, "perUnitOf" : { "currency" : { + "value" : "USD", "meta" : { "scheme" : "http://www.fpml.org/coding-scheme/external/iso4217" - }, - "value" : "USD" + } } }, - "priceType" : "INTEREST_RATE" - } - } ], - "quantity" : [ { + "priceType" : "InterestRate" + }, "meta" : { "location" : [ { "scope" : "DOCUMENT", - "value" : "quantity-2" + "value" : "price-1" } ] - }, + } + } ], + "quantity" : [ { "value" : { + "value" : 10000.00, "unit" : { "currency" : { + "value" : "USD", "meta" : { "scheme" : "http://www.fpml.org/coding-scheme/external/iso4217" - }, - "value" : "USD" + } } - }, - "value" : 10000.00 + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } ] } - } ] + } ], + "meta" : { + "globalKey" : "212b0f84" + } } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "74dee05b", + "externalReference" : "party1" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "b97c11f6", + "externalReference" : "party2" + } } ] }, - "tradeDate" : { - "meta" : { - "globalKey" : "3f1101" - }, - "value" : "2018-04-01" - }, - "tradeIdentifier" : [ { - "assignedIdentifier" : [ { + "party" : [ { + "partyId" : [ { "identifier" : { + "value" : "LEI1RPT0001", "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/unique-transaction-identifier" - }, - "value" : "LEI1RPT0001CCCC" + "scheme" : "http://www.fpml.org/coding-scheme/external/iso17442" + } + }, + "identifierType" : "LEI", + "meta" : { + "globalKey" : "b8962566" } } ], - "issuer" : { - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/cftc/issuer-identifier" - }, - "value" : "LEI1RPT0001" - }, - "meta" : { - "globalKey" : "aa0fbf4c" + "name" : { + "value" : "Bank X" }, - "identifierType" : "UNIQUE_TRANSACTION_IDENTIFIER" - } ] - } - } - }, - "primitiveInstruction" : { - "split" : { - "breakdown" : [ { - "partyChange" : { - "counterparty" : { - "partyReference" : { + "businessUnit" : [ { + "name" : "NY Swaps Desk", + "meta" : { + "globalKey" : "5c10b72e", + "externalKey" : "desk1" + } + } ], + "person" : [ { + "personId" : [ { "value" : { - "meta" : { - "externalKey" : "party3", - "globalKey" : "abc11bbc" - }, - "name" : { - "value" : "Bank Z" + "identifier" : { + "value" : "jjones" }, - "partyId" : [ { - "identifier" : { - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/iso17442" - }, - "value" : "LEI3RPT0003" - }, - "identifierType" : "LEI", - "meta" : { - "globalKey" : "88587f26" - } - } ] - } - }, - "role" : "PARTY_1" - }, - "tradeId" : [ { - "assignedIdentifier" : [ { - "identifier" : { "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/unique-transaction-identifier" - }, - "value" : "LEI3RPT0003CCC" + "globalKey" : "baeb8c0d" + } } } ], - "issuer" : { + "firstName" : "jjone", + "meta" : { + "globalKey" : "d3962233", + "externalKey" : "trader" + } + } ], + "meta" : { + "globalKey" : "74dee05b", + "externalKey" : "party1" + } + }, { + "partyId" : [ { + "identifier" : { + "value" : "LEI2CP0002", "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/cftc/issuer-identifier" - }, - "value" : "LEI3RPT0003" + "scheme" : "http://www.fpml.org/coding-scheme/external/iso17442" + } }, + "identifierType" : "LEI", "meta" : { - "globalKey" : "30815c75" + "globalKey" : "eb8edea1" + } + } ], + "name" : { + "value" : "Bank Y" + }, + "meta" : { + "globalKey" : "b97c11f6", + "externalKey" : "party2" + } + }, { + "partyId" : [ { + "identifier" : { + "value" : "549300OL8KL0WCQ34V31", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/iso17442" + } }, - "identifierType" : "UNIQUE_TRANSACTION_IDENTIFIER" - } ] - } - }, { - "quantityChange" : { - "change" : [ { + "identifierType" : "LEI", "meta" : { - "globalKey" : "171b36" - }, - "quantity" : [ { - "value" : { - "unit" : { - "currency" : { - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/iso4217" - }, - "value" : "USD" - } - }, - "value" : 0.0 + "globalKey" : "8ffabe4b" + } + } ], + "name" : { + "value" : "Up&Atem" + }, + "meta" : { + "globalKey" : "ce0b9311", + "externalKey" : "broker1" + } + }, { + "partyId" : [ { + "identifier" : { + "value" : "549300IB5Q45JGNPND58", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/iso17442" } - } ] + }, + "identifierType" : "LEI", + "meta" : { + "globalKey" : "e213e7d7" + } } ], - "direction" : "REPLACE" + "name" : { + "value" : "ClearItAll" + }, + "meta" : { + "globalKey" : "f6a6cc60", + "externalKey" : "clearing-svc" + } + } ], + "partyRole" : [ { + "partyReference" : { + "globalReference" : "f6a6cc60", + "externalReference" : "clearing-svc" + }, + "role" : "ClearingOrganization", + "ownershipPartyReference" : { + "globalReference" : "74dee05b", + "externalReference" : "party1" + } + } ], + "meta" : { + "globalKey" : "9961db8c" } - } ] + }, + "meta" : { + "globalKey" : "9961db8c" + } } } } ], - "intent" : "NOVATION", + "intent" : "Novation", "eventDate" : "2018-04-03", "effectiveDate" : null } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/cdm-sample-files/functions/business-event/novation/partial-novation-func-input.json b/rosetta-source/src/main/resources/cdm-sample-files/functions/business-event/novation/partial-novation-func-input.json index 7224f08b4f..68cbbf17e2 100644 --- a/rosetta-source/src/main/resources/cdm-sample-files/functions/business-event/novation/partial-novation-func-input.json +++ b/rosetta-source/src/main/resources/cdm-sample-files/functions/business-event/novation/partial-novation-func-input.json @@ -1,158 +1,146 @@ { "instruction" : [ { - "before" : { - "value" : { - "meta" : { - "globalKey" : "66d57e1f" - }, - "trade" : { - "meta" : { - "globalKey" : "66d57e1f" - }, - "party" : [ { - "businessUnit" : [ { - "meta" : { - "externalKey" : "desk1", - "globalKey" : "5c10b72e" - }, - "name" : "NY Swaps Desk" - } ], - "meta" : { - "externalKey" : "party1", - "globalKey" : "fdda73db" - }, - "name" : { - "value" : "Bank X" + "primitiveInstruction" : { + "split" : { + "breakdown" : [ { + "partyChange" : { + "counterparty" : { + "role" : "Party1", + "partyReference" : { + "value" : { + "partyId" : [ { + "identifier" : { + "value" : "LEI3RPT0003", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/iso17442" + } + }, + "identifierType" : "LEI", + "meta" : { + "globalKey" : "88587f26" + } + } ], + "name" : { + "value" : "Bank Z" + }, + "meta" : { + "globalKey" : "4a5fa53c", + "externalKey" : "party3" + } + } + } }, - "partyId" : [ { - "identifier" : { + "tradeId" : [ { + "issuer" : { + "value" : "LEI3RPT0003", "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/iso17442" - }, - "value" : "LEI1RPT0001" + "scheme" : "http://www.fpml.org/coding-scheme/external/cftc/issuer-identifier" + } }, - "identifierType" : "LEI", + "assignedIdentifier" : [ { + "identifier" : { + "value" : "LEI3RPT0003DDDD", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/unique-transaction-identifier" + } + } + } ], "meta" : { - "globalKey" : "b8962566" + "globalKey" : "6a5e1eb8" + }, + "identifierType" : "UniqueTransactionIdentifier" + } ] + }, + "quantityChange" : { + "change" : [ { + "quantity" : [ { + "value" : { + "value" : 5000.0, + "unit" : { + "currency" : { + "value" : "USD", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/iso4217" + } + } + } + } + } ], + "meta" : { + "globalKey" : "484e65ab" } } ], - "person" : [ { - "firstName" : "jjone", - "meta" : { - "externalKey" : "trader", - "globalKey" : "d3962233" - }, - "personId" : [ { + "direction" : "Replace" + } + }, { + "quantityChange" : { + "change" : [ { + "quantity" : [ { "value" : { - "identifier" : { - "value" : "jjones" - }, - "meta" : { - "globalKey" : "baeb8c0d" + "value" : 8000.0, + "unit" : { + "currency" : { + "value" : "USD", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/iso4217" + } + } } } - } ] - } ] - }, { - "meta" : { - "externalKey" : "party2", - "globalKey" : "ee963b6" - }, - "name" : { - "value" : "Bank Y" - }, - "partyId" : [ { - "identifier" : { - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/iso17442" - }, - "value" : "LEI2CP0002" - }, - "identifierType" : "LEI", + } ], "meta" : { - "globalKey" : "eb8edea1" + "globalKey" : "e701176e" } - } ] - }, { - "meta" : { - "externalKey" : "broker1", - "globalKey" : "ed0cc6d1" - }, - "name" : { - "value" : "Up&Atem" - }, - "partyId" : [ { - "identifier" : { - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/iso17442" - }, - "value" : "549300OL8KL0WCQ34V31" - }, - "identifierType" : "LEI", + } ], + "direction" : "Replace" + } + } ] + } + }, + "before" : { + "value" : { + "trade" : { + "tradeIdentifier" : [ { + "issuer" : { + "value" : "LEI1RPT0001", "meta" : { - "globalKey" : "8ffabe4b" + "scheme" : "http://www.fpml.org/coding-scheme/external/cftc/issuer-identifier" } - } ] - }, { - "meta" : { - "externalKey" : "clearing-svc", - "globalKey" : "611719a0" - }, - "name" : { - "value" : "ClearItAll" }, - "partyId" : [ { + "assignedIdentifier" : [ { "identifier" : { + "value" : "LEI1RPT0001DDDD", "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/iso17442" - }, - "value" : "549300IB5Q45JGNPND58" - }, - "identifierType" : "LEI", - "meta" : { - "globalKey" : "e213e7d7" + "scheme" : "http://www.fpml.org/coding-scheme/external/unique-transaction-identifier" + } } - } ] - } ], - "partyRole" : [ { - "ownershipPartyReference" : { - "externalReference" : "party1", - "globalReference" : "fdda73db" - }, - "partyReference" : { - "externalReference" : "clearing-svc", - "globalReference" : "611719a0" + } ], + "meta" : { + "globalKey" : "7a6ee6b8" }, - "role" : "CLEARING_ORGANIZATION" + "identifierType" : "UniqueTransactionIdentifier" } ], + "tradeDate" : { + "value" : "2018-04-01", + "meta" : { + "globalKey" : "3f1101" + } + }, "tradableProduct" : { - "counterparty" : [ { - "partyReference" : { - "externalReference" : "party1", - "globalReference" : "fdda73db" - }, - "role" : "PARTY_1" - }, { - "partyReference" : { - "externalReference" : "party2", - "globalReference" : "ee963b6" - }, - "role" : "PARTY_2" - } ], "product" : { "contractualProduct" : { "productTaxonomy" : [ { "primaryAssetClass" : { - "value" : "INTEREST_RATE" + "value" : "InterestRate" } }, { "source" : "ISDA", "value" : { "name" : { + "value" : "InterestRate:IRSwap:FixedFloat", "meta" : { "scheme" : "http://www.fpml.org/coding-scheme/product-taxonomy" - }, - "value" : "InterestRate:IRSwap:FixedFloat" + } } } }, { @@ -163,46 +151,40 @@ "payout" : { "interestRatePayout" : [ { "payerReceiver" : { - "payer" : "PARTY_1", - "receiver" : "PARTY_2" + "payer" : "Party1", + "receiver" : "Party2" }, "priceQuantity" : { - "meta" : { - "globalKey" : "0" - }, "quantitySchedule" : { "address" : { "scope" : "DOCUMENT", "value" : "quantity-1" } + }, + "meta" : { + "globalKey" : "0" } }, - "calculationPeriodDates" : { - "calculationPeriodDatesAdjustments" : { - "businessCenters" : { - "businessCentersReference" : { - "externalReference" : "primaryBusinessCenters", - "globalReference" : "27e4e9" - }, - "meta" : { - "globalKey" : "eb13047c" + "rateSpecification" : { + "floatingRate" : { + "rateOption" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "rateOption-1" } }, - "businessDayConvention" : "MODFOLLOWING", "meta" : { - "globalKey" : "214e084d" + "globalKey" : "0" } - }, - "calculationPeriodFrequency" : { - "meta" : { - "globalKey" : "12d23" - }, - "period" : "M", - "periodMultiplier" : 3, - "rollConvention" : "8" - }, + } + }, + "dayCountFraction" : { + "value" : "ACT/360" + }, + "calculationPeriodDates" : { "effectiveDate" : { "adjustableDate" : { + "unadjustedDate" : "2018-04-03", "dateAdjustments" : { "businessDayConvention" : "NONE", "meta" : { @@ -211,103 +193,108 @@ }, "meta" : { "globalKey" : "ece3837b" - }, - "unadjustedDate" : "2018-04-03" + } }, "meta" : { "globalKey" : "ece3837b" } }, - "meta" : { - "externalKey" : "floatingCalcPeriodDates", - "globalKey" : "c7a104bd" - }, "terminationDate" : { "adjustableDate" : { + "unadjustedDate" : "2026-02-08", "dateAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", "businessCenters" : { "businessCenter" : [ { "value" : "USNY" } ], "meta" : { - "externalKey" : "primaryBusinessCenters", - "globalKey" : "27e4e9" + "globalKey" : "27e4e9", + "externalKey" : "primaryBusinessCenters" } }, - "businessDayConvention" : "MODFOLLOWING", "meta" : { "globalKey" : "3662e8ba" } }, "meta" : { "globalKey" : "f148ad32" - }, - "unadjustedDate" : "2026-02-08" + } }, "meta" : { "globalKey" : "f148ad32" } - } - }, - "dayCountFraction" : { - "value" : "ACT/360" - }, - "meta" : { - "globalKey" : "c26fd8b1" - }, - "paymentDates" : { - "meta" : { - "globalKey" : "4fa45fc3" }, - "payRelativeTo" : "CALCULATION_PERIOD_END_DATE", - "paymentDatesAdjustments" : { + "calculationPeriodDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", "businessCenters" : { "businessCentersReference" : { - "externalReference" : "primaryBusinessCenters", - "globalReference" : "27e4e9" + "globalReference" : "27e4e9", + "externalReference" : "primaryBusinessCenters" }, "meta" : { "globalKey" : "eb13047c" } }, - "businessDayConvention" : "MODFOLLOWING", "meta" : { "globalKey" : "214e084d" } }, - "paymentFrequency" : { + "calculationPeriodFrequency" : { + "periodMultiplier" : 3, + "period" : "M", "meta" : { - "globalKey" : "956" + "globalKey" : "204f" }, - "period" : "M", - "periodMultiplier" : 3 + "rollConvention" : "8" + }, + "meta" : { + "globalKey" : "c513c70f", + "externalKey" : "floatingCalcPeriodDates" } }, - "rateSpecification" : { - "floatingRate" : { + "paymentDates" : { + "paymentFrequency" : { + "periodMultiplier" : 3, + "period" : "M", "meta" : { - "globalKey" : "0" - }, - "rateOption" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "rateOption-1" - } + "globalKey" : "aa" } - } + }, + "payRelativeTo" : "CalculationPeriodEndDate", + "paymentDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCentersReference" : { + "globalReference" : "27e4e9", + "externalReference" : "primaryBusinessCenters" + }, + "meta" : { + "globalKey" : "eb13047c" + } + }, + "meta" : { + "globalKey" : "214e084d" + } + }, + "meta" : { + "globalKey" : "db523fbd" + } }, "resetDates" : { "calculationPeriodDatesReference" : { - "externalReference" : "floatingCalcPeriodDates", - "globalReference" : "c7a104bd" + "globalReference" : "c513c70f", + "externalReference" : "floatingCalcPeriodDates" }, + "resetRelativeTo" : "CalculationPeriodStartDate", "fixingDates" : { + "periodMultiplier" : -2, + "period" : "D", "meta" : { - "globalKey" : "2fdb52ab" + "globalKey" : "cb73d5f" }, - "period" : "D", - "periodMultiplier" : -2, - "dayType" : "BUSINESS", + "dayType" : "Business", + "businessDayConvention" : "NONE", "businessCenters" : { "businessCenter" : [ { "value" : "GBLO" @@ -316,82 +303,79 @@ "globalKey" : "21479e" } }, - "businessDayConvention" : "NONE", "dateRelativeTo" : { - "externalReference" : "resetDates5", - "globalReference" : "c4fcb750" + "globalReference" : "f01a8dfe", + "externalReference" : "resetDates5" } }, - "meta" : { - "externalKey" : "resetDates5", - "globalKey" : "c4fcb750" + "resetFrequency" : { + "periodMultiplier" : 3, + "period" : "M", + "meta" : { + "globalKey" : "aa" + } }, "resetDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", "businessCenters" : { "businessCentersReference" : { - "externalReference" : "primaryBusinessCenters", - "globalReference" : "27e4e9" + "globalReference" : "27e4e9", + "externalReference" : "primaryBusinessCenters" }, "meta" : { "globalKey" : "eb13047c" } }, - "businessDayConvention" : "MODFOLLOWING", "meta" : { "globalKey" : "214e084d" } }, - "resetFrequency" : { - "meta" : { - "globalKey" : "956" - }, - "period" : "M", - "periodMultiplier" : 3 - }, - "resetRelativeTo" : "CALCULATION_PERIOD_START_DATE" + "meta" : { + "globalKey" : "f01a8dfe", + "externalKey" : "resetDates5" + } + }, + "meta" : { + "globalKey" : "445357ab" } }, { "payerReceiver" : { - "payer" : "PARTY_2", - "receiver" : "PARTY_1" + "payer" : "Party2", + "receiver" : "Party1" }, "priceQuantity" : { - "meta" : { - "globalKey" : "0" - }, "quantitySchedule" : { "address" : { "scope" : "DOCUMENT", "value" : "quantity-2" } + }, + "meta" : { + "globalKey" : "0" } }, - "calculationPeriodDates" : { - "calculationPeriodDatesAdjustments" : { - "businessCenters" : { - "businessCentersReference" : { - "externalReference" : "primaryBusinessCenters", - "globalReference" : "27e4e9" - }, - "meta" : { - "globalKey" : "eb13047c" + "rateSpecification" : { + "fixedRate" : { + "rateSchedule" : { + "price" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "price-1" + } } }, - "businessDayConvention" : "MODFOLLOWING", "meta" : { - "globalKey" : "214e084d" + "globalKey" : "0" } - }, - "calculationPeriodFrequency" : { - "meta" : { - "globalKey" : "12d80" - }, - "period" : "M", - "periodMultiplier" : 6, - "rollConvention" : "8" - }, + } + }, + "dayCountFraction" : { + "value" : "30E/360" + }, + "calculationPeriodDates" : { "effectiveDate" : { "adjustableDate" : { + "unadjustedDate" : "2018-04-03", "dateAdjustments" : { "businessDayConvention" : "NONE", "meta" : { @@ -400,338 +384,354 @@ }, "meta" : { "globalKey" : "ece3837b" - }, - "unadjustedDate" : "2018-04-03" + } }, "meta" : { "globalKey" : "ece3837b" } }, - "meta" : { - "externalKey" : "fixedCalcPeriodDates", - "globalKey" : "c01e6313" - }, "terminationDate" : { "adjustableDate" : { + "unadjustedDate" : "2026-02-08", "dateAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", "businessCenters" : { "businessCentersReference" : { - "externalReference" : "primaryBusinessCenters", - "globalReference" : "27e4e9" + "globalReference" : "27e4e9", + "externalReference" : "primaryBusinessCenters" }, "meta" : { "globalKey" : "eb13047c" } }, - "businessDayConvention" : "MODFOLLOWING", "meta" : { "globalKey" : "214e084d" } }, "meta" : { "globalKey" : "dc33ccc5" - }, - "unadjustedDate" : "2026-02-08" + } }, "meta" : { "globalKey" : "dc33ccc5" } - } - }, - "dayCountFraction" : { - "value" : "30E/360" - }, - "meta" : { - "globalKey" : "7e4c86b1" - }, - "paymentDates" : { - "meta" : { - "globalKey" : "4fa45fc6" }, - "payRelativeTo" : "CALCULATION_PERIOD_END_DATE", - "paymentDatesAdjustments" : { + "calculationPeriodDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", "businessCenters" : { "businessCentersReference" : { - "externalReference" : "primaryBusinessCenters", - "globalReference" : "27e4e9" + "globalReference" : "27e4e9", + "externalReference" : "primaryBusinessCenters" }, "meta" : { "globalKey" : "eb13047c" } }, - "businessDayConvention" : "MODFOLLOWING", "meta" : { "globalKey" : "214e084d" } }, - "paymentFrequency" : { + "calculationPeriodFrequency" : { + "periodMultiplier" : 6, + "period" : "M", "meta" : { - "globalKey" : "959" + "globalKey" : "2b92" }, - "period" : "M", - "periodMultiplier" : 6 + "rollConvention" : "8" + }, + "meta" : { + "globalKey" : "1d67881f", + "externalKey" : "fixedCalcPeriodDates" } }, - "rateSpecification" : { - "fixedRate" : { + "paymentDates" : { + "paymentFrequency" : { + "periodMultiplier" : 6, + "period" : "M", "meta" : { - "globalKey" : "0" - }, - "rateSchedule" : { - "price" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "price-1" - } + "globalKey" : "107" + } + }, + "payRelativeTo" : "CalculationPeriodEndDate", + "paymentDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCentersReference" : { + "globalReference" : "27e4e9", + "externalReference" : "primaryBusinessCenters" + }, + "meta" : { + "globalKey" : "eb13047c" } + }, + "meta" : { + "globalKey" : "214e084d" } + }, + "meta" : { + "globalKey" : "7a04f180" } + }, + "meta" : { + "globalKey" : "5ea34009" } } ], "meta" : { - "globalKey" : "7dabf222" + "globalKey" : "ea8ed1f4" } } }, "meta" : { - "globalKey" : "3ac253ef" + "globalKey" : "a7a533c1" } }, "meta" : { - "globalKey" : "3ac253ef" + "globalKey" : "a7a533c1" } }, "tradeLot" : [ { "priceQuantity" : [ { - "meta" : { - "globalKey" : "e4dda770" - }, - "observable" : { - "meta" : { - "globalKey" : "5f0c6d05" - }, - "rateOption" : { - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "rateOption-1" - } ] - }, - "value" : { - "floatingRateIndex" : { - "value" : "USD-LIBOR-BBA" - }, - "indexTenor" : { + "quantity" : [ { + "value" : { + "value" : 10000.00, + "unit" : { + "currency" : { + "value" : "USD", "meta" : { - "globalKey" : "956" - }, - "period" : "M", - "periodMultiplier" : 3 + "scheme" : "http://www.fpml.org/coding-scheme/external/iso4217" + } } } - } - }, - "quantity" : [ { + }, "meta" : { "location" : [ { "scope" : "DOCUMENT", "value" : "quantity-1" } ] - }, - "value" : { - "unit" : { - "currency" : { + } + } ], + "observable" : { + "rateOption" : { + "value" : { + "floatingRateIndex" : { + "value" : "USD-LIBOR-BBA" + }, + "indexTenor" : { + "periodMultiplier" : 3, + "period" : "M", "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/iso4217" - }, - "value" : "USD" + "globalKey" : "aa" + } } }, - "value" : 10000.00 + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "rateOption-1" + } ] + } + }, + "meta" : { + "globalKey" : "828026c7" } - } ] - }, { - "meta" : { - "globalKey" : "8532effc" }, + "meta" : { + "globalKey" : "fd32a49c" + } + }, { "price" : [ { - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-1" - } ] - }, "value" : { + "value" : 0.0253, "unit" : { "currency" : { + "value" : "USD", "meta" : { "scheme" : "http://www.fpml.org/coding-scheme/external/iso4217" - }, - "value" : "USD" + } } }, - "value" : 0.0253, "perUnitOf" : { "currency" : { + "value" : "USD", "meta" : { "scheme" : "http://www.fpml.org/coding-scheme/external/iso4217" - }, - "value" : "USD" + } } }, - "priceType" : "INTEREST_RATE" - } - } ], - "quantity" : [ { + "priceType" : "InterestRate" + }, "meta" : { "location" : [ { "scope" : "DOCUMENT", - "value" : "quantity-2" + "value" : "price-1" } ] - }, + } + } ], + "quantity" : [ { "value" : { + "value" : 10000.00, "unit" : { "currency" : { + "value" : "USD", "meta" : { "scheme" : "http://www.fpml.org/coding-scheme/external/iso4217" - }, - "value" : "USD" + } } - }, - "value" : 10000.00 + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } ] } - } ] + } ], + "meta" : { + "globalKey" : "212b0f84" + } } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "74dee05b", + "externalReference" : "party1" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "b97c11f6", + "externalReference" : "party2" + } } ] }, - "tradeDate" : { - "meta" : { - "globalKey" : "3f1101" - }, - "value" : "2018-04-01" - }, - "tradeIdentifier" : [ { - "assignedIdentifier" : [ { + "party" : [ { + "partyId" : [ { "identifier" : { + "value" : "LEI1RPT0001", "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/unique-transaction-identifier" - }, - "value" : "LEI1RPT0001DDDD" + "scheme" : "http://www.fpml.org/coding-scheme/external/iso17442" + } + }, + "identifierType" : "LEI", + "meta" : { + "globalKey" : "b8962566" } } ], - "issuer" : { - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/cftc/issuer-identifier" - }, - "value" : "LEI1RPT0001" - }, - "meta" : { - "globalKey" : "e0b95f0c" + "name" : { + "value" : "Bank X" }, - "identifierType" : "UNIQUE_TRANSACTION_IDENTIFIER" - } ] - } - } - }, - "primitiveInstruction" : { - "split" : { - "breakdown" : [ { - "partyChange" : { - "counterparty" : { - "partyReference" : { + "businessUnit" : [ { + "name" : "NY Swaps Desk", + "meta" : { + "globalKey" : "5c10b72e", + "externalKey" : "desk1" + } + } ], + "person" : [ { + "personId" : [ { "value" : { - "meta" : { - "externalKey" : "party3", - "globalKey" : "abc11bbc" - }, - "name" : { - "value" : "Bank Z" + "identifier" : { + "value" : "jjones" }, - "partyId" : [ { - "identifier" : { - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/iso17442" - }, - "value" : "LEI3RPT0003" - }, - "identifierType" : "LEI", - "meta" : { - "globalKey" : "88587f26" - } - } ] - } - }, - "role" : "PARTY_1" - }, - "tradeId" : [ { - "assignedIdentifier" : [ { - "identifier" : { "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/unique-transaction-identifier" - }, - "value" : "LEI3RPT0003DDDD" + "globalKey" : "baeb8c0d" + } } } ], - "issuer" : { + "firstName" : "jjone", + "meta" : { + "globalKey" : "d3962233", + "externalKey" : "trader" + } + } ], + "meta" : { + "globalKey" : "74dee05b", + "externalKey" : "party1" + } + }, { + "partyId" : [ { + "identifier" : { + "value" : "LEI2CP0002", "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/cftc/issuer-identifier" - }, - "value" : "LEI3RPT0003" + "scheme" : "http://www.fpml.org/coding-scheme/external/iso17442" + } }, + "identifierType" : "LEI", "meta" : { - "globalKey" : "8cbb6b8c" + "globalKey" : "eb8edea1" + } + } ], + "name" : { + "value" : "Bank Y" + }, + "meta" : { + "globalKey" : "b97c11f6", + "externalKey" : "party2" + } + }, { + "partyId" : [ { + "identifier" : { + "value" : "549300OL8KL0WCQ34V31", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/iso17442" + } }, - "identifierType" : "UNIQUE_TRANSACTION_IDENTIFIER" - } ] - }, - "quantityChange" : { - "change" : [ { + "identifierType" : "LEI", "meta" : { - "globalKey" : "484e65ab" - }, - "quantity" : [ { - "value" : { - "unit" : { - "currency" : { - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/iso4217" - }, - "value" : "USD" - } - }, - "value" : 5000.0 - } - } ] + "globalKey" : "8ffabe4b" + } } ], - "direction" : "REPLACE" - } - }, { - "quantityChange" : { - "change" : [ { - "meta" : { - "globalKey" : "e701176e" - }, - "quantity" : [ { - "value" : { - "unit" : { - "currency" : { - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/iso4217" - }, - "value" : "USD" - } - }, - "value" : 8000.0 + "name" : { + "value" : "Up&Atem" + }, + "meta" : { + "globalKey" : "ce0b9311", + "externalKey" : "broker1" + } + }, { + "partyId" : [ { + "identifier" : { + "value" : "549300IB5Q45JGNPND58", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/iso17442" } - } ] + }, + "identifierType" : "LEI", + "meta" : { + "globalKey" : "e213e7d7" + } } ], - "direction" : "REPLACE" + "name" : { + "value" : "ClearItAll" + }, + "meta" : { + "globalKey" : "f6a6cc60", + "externalKey" : "clearing-svc" + } + } ], + "partyRole" : [ { + "partyReference" : { + "globalReference" : "f6a6cc60", + "externalReference" : "clearing-svc" + }, + "role" : "ClearingOrganization", + "ownershipPartyReference" : { + "globalReference" : "74dee05b", + "externalReference" : "party1" + } + } ], + "meta" : { + "globalKey" : "3c127c6b" } - } ] + }, + "meta" : { + "globalKey" : "3c127c6b" + } } } } ], - "intent" : "NOVATION", + "intent" : "Novation", "eventDate" : "2018-04-04", "effectiveDate" : null } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/cdm-sample-files/functions/business-event/quantity-change/full-termination-equity-swap-func-input.json b/rosetta-source/src/main/resources/cdm-sample-files/functions/business-event/quantity-change/full-termination-equity-swap-func-input.json index dc8827a484..c5785fd2d7 100644 --- a/rosetta-source/src/main/resources/cdm-sample-files/functions/business-event/quantity-change/full-termination-equity-swap-func-input.json +++ b/rosetta-source/src/main/resources/cdm-sample-files/functions/business-event/quantity-change/full-termination-equity-swap-func-input.json @@ -1,121 +1,109 @@ { "instruction" : [ { - "before" : { - "value" : { - "meta" : { - "globalKey" : "50a0c404" - }, - "trade" : { - "contractDetails" : { - "documentation" : [ { - "legalAgreementIdentification" : { - "agreementName" : { - "agreementType" : "MASTER_AGREEMENT", - "masterAgreementType" : { - "value" : "ISDA_MASTER" - } - }, - "vintage" : 2002 - }, - "meta" : { - "globalKey" : "328cfa59" + "primitiveInstruction" : { + "quantityChange" : { + "change" : [ { + "quantity" : [ { + "value" : { + "value" : 760400, + "unit" : { + "financialUnit" : "Share" } - }, { - "legalAgreementIdentification" : { - "agreementName" : { - "agreementType" : "CONFIRMATION", - "contractualDefinitionsType" : [ { - "value" : "ISDA2000" - }, { - "value" : "ISDA_2002_EQUITY" - } ] + } + }, { + "value" : { + "value" : 28469376, + "unit" : { + "currency" : { + "value" : "USD" + } + } + } + } ] + } ], + "direction" : "Decrease" + }, + "transfer" : { + "transferState" : [ { + "transfer" : { + "quantity" : { + "value" : 2000.0, + "unit" : { + "currency" : { + "value" : "USD" } + } + }, + "payerReceiver" : { + "payerPartyReference" : { + "globalReference" : "33f59568", + "externalReference" : "party2" }, - "meta" : { - "globalKey" : "ed9ef3fc" + "receiverPartyReference" : { + "globalReference" : "33f59567", + "externalReference" : "party1" } - } ], - "governingLaw" : { - "value" : "GBEN" }, - "meta" : { - "globalKey" : "92c7c587" + "settlementDate" : { + "adjustedDate" : { + "value" : "2001-09-24" + } + }, + "transferExpression" : { + "priceTransfer" : "Termination" } - }, - "meta" : { - "globalKey" : "50a0c404" - }, - "party" : [ { - "meta" : { - "externalKey" : "party1", - "globalKey" : "33f59567" + } + } ] + } + }, + "before" : { + "value" : { + "trade" : { + "tradeIdentifier" : [ { + "issuerReference" : { + "globalReference" : "33f59567", + "externalReference" : "party1" }, - "partyId" : [ { + "assignedIdentifier" : [ { "identifier" : { + "value" : "6234", "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/dummy-party-id" - }, - "value" : "Party A" - }, - "meta" : { - "globalKey" : "33f59567" + "scheme" : "http://www.partyA.com/eqs-trade-id" + } } - } ] - }, { + } ], "meta" : { - "externalKey" : "party2", - "globalKey" : "33f59568" + "globalKey" : "9593cc32" + } + }, { + "issuerReference" : { + "globalReference" : "33f59568", + "externalReference" : "party2" }, - "partyId" : [ { + "assignedIdentifier" : [ { "identifier" : { + "value" : "6569", "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/dummy-party-id" - }, - "value" : "Party B" - }, - "meta" : { - "globalKey" : "33f59568" + "scheme" : "http://www.partyB.com/eqs-trade-id" + } } - } ] + } ], + "meta" : { + "globalKey" : "95944c36" + } } ], + "tradeDate" : { + "value" : "2001-09-24", + "meta" : { + "globalKey" : "3e8a58", + "externalKey" : "TradeDate" + } + }, "tradableProduct" : { - "adjustment" : "EXECUTION", - "ancillaryParty" : [ { - "partyReference" : [ { - "externalReference" : "party1", - "globalReference" : "33f59567" - } ], - "role" : "DISRUPTION_EVENTS_DETERMINING_PARTY" - }, { - "partyReference" : [ { - "externalReference" : "party1", - "globalReference" : "33f59567" - } ], - "role" : "EXTRAORDINARY_DIVIDENDS_PARTY" - }, { - "partyReference" : [ { - "externalReference" : "party1", - "globalReference" : "33f59567" - } ], - "role" : "CALCULATION_AGENT_INDEPENDENT" - } ], - "counterparty" : [ { - "partyReference" : { - "externalReference" : "party2", - "globalReference" : "33f59568" - }, - "role" : "PARTY_1" - }, { - "partyReference" : { - "externalReference" : "party1", - "globalReference" : "33f59567" - }, - "role" : "PARTY_2" - } ], "product" : { "contractualProduct" : { "productTaxonomy" : [ { - "source" : "OTHER", + "source" : "Other", "value" : { "name" : { "value" : "Equity:Swap:PriceReturnBasicPerformance:SingleName" @@ -126,313 +114,305 @@ "productQualifier" : "EquitySwap_TotalReturnBasicPerformance_SingleName" } ], "economicTerms" : { - "calculationAgent" : { - "calculationAgentParty" : "CALCULATION_AGENT_INDEPENDENT" - }, "effectiveDate" : { - "meta" : { - "externalKey" : "EffectiveDate", - "globalKey" : "6a2df5e0" - }, "relativeDate" : { + "periodMultiplier" : 3, + "period" : "D", "meta" : { - "globalKey" : "6a2df5e0" + "globalKey" : "fed6ed42" }, - "period" : "D", - "periodMultiplier" : 3, - "dayType" : "EXCHANGE_BUSINESS", - "businessDayConvention" : "NOT_APPLICABLE", + "dayType" : "ExchangeBusiness", + "businessDayConvention" : "NotApplicable", "dateRelativeTo" : { - "externalReference" : "TradeDate", - "globalReference" : "3e8a58" + "globalReference" : "3e8a58", + "externalReference" : "TradeDate" } + }, + "meta" : { + "globalKey" : "fed6ed42", + "externalKey" : "EffectiveDate" } }, - "extraordinaryEvents" : { - "additionalDisruptionEvents" : { - "changeInLaw" : true, - "determiningParty" : "DISRUPTION_EVENTS_DETERMINING_PARTY", - "failureToDeliver" : true, - "hedgingDisruption" : true, - "increasedCostOfHedging" : false, - "increasedCostOfStockBorrow" : false, - "insolvencyFiling" : false, - "lossOfStockBorrow" : true - }, - "compositionOfCombinedConsideration" : true, - "mergerEvents" : { - "shareForCombined" : "MODIFIED_CALCULATION_AGENT", - "shareForOther" : "MODIFIED_CALCULATION_AGENT", - "shareForShare" : "MODIFIED_CALCULATION_AGENT" - }, - "nationalizationOrInsolvency" : "CANCELLATION_AND_PAYMENT", - "representations" : { - "additionalAcknowledgements" : true, - "agreementsRegardingHedging" : true, - "nonReliance" : true + "terminationDate" : { + "relativeDate" : { + "periodMultiplier" : 0, + "period" : "D", + "meta" : { + "globalKey" : "edf02740" + }, + "businessDayConvention" : "NotApplicable", + "dateRelativeTo" : { + "globalReference" : "bb917ef4", + "externalReference" : "FinalEquityPaymentDate" + } }, - "tenderOfferEvents" : { - "shareForCombined" : "MODIFIED_CALCULATION_AGENT", - "shareForOther" : "MODIFIED_CALCULATION_AGENT", - "shareForShare" : "MODIFIED_CALCULATION_AGENT" + "meta" : { + "globalKey" : "edf02740", + "externalKey" : "TerminationDate" } }, "payout" : { "interestRatePayout" : [ { "payerReceiver" : { - "payer" : "PARTY_1", - "receiver" : "PARTY_2" + "payer" : "Party1", + "receiver" : "Party2" }, "priceQuantity" : { - "meta" : { - "globalKey" : "607b91fd" - }, - "quantityReference" : { - "externalReference" : "EquityNotionalAmount", - "globalReference" : "4cf" - }, "quantitySchedule" : { "address" : { "scope" : "DOCUMENT", "value" : "quantity-1" } + }, + "quantityReference" : { + "globalReference" : "4cf", + "externalReference" : "EquityNotionalAmount" + }, + "meta" : { + "globalKey" : "607b91fd" + } + }, + "rateSpecification" : { + "floatingRate" : { + "rateOption" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "rateOption-1" + } + }, + "spreadSchedule" : { + "price" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "price-2" + } + } + }, + "meta" : { + "globalKey" : "0" + } } }, + "dayCountFraction" : { + "value" : "ACT/360" + }, "calculationPeriodDates" : { "effectiveDate" : { - "meta" : { - "globalKey" : "6a2df5e0" - }, "relativeDate" : { + "periodMultiplier" : 3, + "period" : "D", "meta" : { - "globalKey" : "6a2df5e0" + "globalKey" : "fed6ed42" }, - "period" : "D", - "periodMultiplier" : 3, - "dayType" : "EXCHANGE_BUSINESS", - "businessDayConvention" : "NOT_APPLICABLE", + "dayType" : "ExchangeBusiness", + "businessDayConvention" : "NotApplicable", "dateRelativeTo" : { - "externalReference" : "TradeDate", - "globalReference" : "3e8a58" + "globalReference" : "3e8a58", + "externalReference" : "TradeDate" } + }, + "meta" : { + "globalKey" : "fed6ed42" } }, - "meta" : { - "externalKey" : "InterestLegPeriodDates", - "globalKey" : "8fbb2a68" - }, "terminationDate" : { - "meta" : { - "globalKey" : "f18f7c48" - }, "relativeDate" : { + "periodMultiplier" : 0, + "period" : "D", "meta" : { - "globalKey" : "f18f7c48" + "globalKey" : "edf02740" }, - "period" : "D", - "periodMultiplier" : 0, - "businessDayConvention" : "NOT_APPLICABLE", + "businessDayConvention" : "NotApplicable", "dateRelativeTo" : { - "externalReference" : "FinalEquityPaymentDate", - "globalReference" : "ad48d812" + "globalReference" : "bb917ef4", + "externalReference" : "FinalEquityPaymentDate" } + }, + "meta" : { + "globalKey" : "edf02740" } + }, + "meta" : { + "globalKey" : "f0f22bbe", + "externalKey" : "InterestLegPeriodDates" } }, - "dayCountFraction" : { - "value" : "ACT/360" - }, - "meta" : { - "globalKey" : "f5120739" - }, "paymentDates" : { - "meta" : { - "globalKey" : "9b9d36de" - }, "paymentDateSchedule" : { "interimPaymentDates" : [ { - "meta" : { - "globalKey" : "9b9d36de" - }, "relativeDates" : { + "periodMultiplier" : 0, + "period" : "D", "meta" : { - "globalKey" : "9b9d36de" + "globalKey" : "97fde1d6" }, - "period" : "D", - "periodMultiplier" : 0, - "businessDayConvention" : "NOT_APPLICABLE", + "businessDayConvention" : "NotApplicable", "dateRelativeTo" : { - "externalReference" : "EquityPaymentDate", - "globalReference" : "48d79a64" + "globalReference" : "56b8bd08", + "externalReference" : "EquityPaymentDate" } + }, + "meta" : { + "globalKey" : "97fde1d6" } } ] - } - }, - "rateSpecification" : { - "floatingRate" : { - "meta" : { - "globalKey" : "0" - }, - "rateOption" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "rateOption-1" - } - }, - "spreadSchedule" : { - "price" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "price-2" - } - } - } + }, + "meta" : { + "globalKey" : "97fde1d6" } }, "resetDates" : { "calculationPeriodDatesReference" : { - "externalReference" : "InterestLegPeriodDates", - "globalReference" : "8fbb2a68" + "globalReference" : "f0f22bbe", + "externalReference" : "InterestLegPeriodDates" }, + "resetRelativeTo" : "CalculationPeriodStartDate", "meta" : { "globalKey" : "9e9ada33" - }, - "resetRelativeTo" : "CALCULATION_PERIOD_START_DATE" + } + }, + "meta" : { + "globalKey" : "92fd2d87" } } ], - "meta" : { - "globalKey" : "daf6cbc2" - }, "performancePayout" : [ { "payerReceiver" : { - "payer" : "PARTY_2", - "receiver" : "PARTY_1" + "payer" : "Party2", + "receiver" : "Party1" }, "priceQuantity" : { - "meta" : { - "externalKey" : "EquityNotionalAmount", - "globalKey" : "4cf" - }, "quantitySchedule" : { "address" : { "scope" : "DOCUMENT", "value" : "quantity-1" } }, - "reset" : true + "reset" : true, + "meta" : { + "globalKey" : "4cf", + "externalKey" : "EquityNotionalAmount" + } }, "settlementTerms" : { - "meta" : { - "globalKey" : "7610bbd9" - }, + "settlementType" : "Cash", "settlementCurrency" : { "value" : "USD" }, - "settlementType" : "CASH" - }, - "meta" : { - "globalKey" : "4841e309" - }, - "paymentDates" : { "meta" : { - "externalKey" : "EquityPaymentDate", - "globalKey" : "48d79a64" - }, - "paymentDateSchedule" : { - "finalPaymentDate" : { - "meta" : { - "externalKey" : "FinalEquityPaymentDate", - "globalKey" : "ad48d812" - }, - "relativeDate" : { - "meta" : { - "globalKey" : "ad48d812" + "globalKey" : "7610bbd9" + } + }, + "valuationDates" : { + "valuationDatesInterim" : { + "determinationMethod" : "ValuationTime", + "valuationDates" : { + "adjustableDates" : { + "unadjustedDate" : [ "2001-10-12", "2001-11-13", "2001-12-12", "2002-01-14", "2002-02-12", "2002-03-12", "2002-04-12", "2002-05-13", "2002-06-12", "2002-07-12", "2002-08-12" ], + "dateAdjustments" : { + "businessDayConvention" : "NotApplicable", + "meta" : { + "globalKey" : "3a4b88ab" + } }, - "period" : "D", - "periodMultiplier" : 3, - "dayType" : "CURRENCY_BUSINESS", - "businessCentersReference" : { - "externalReference" : "PrimaryBusinessCenter", - "globalReference" : "27e4e9" + "meta" : { + "globalKey" : "e80e5233" + } + }, + "meta" : { + "globalKey" : "e80e5233", + "externalKey" : "InterimValuationDate" + } + }, + "valuationTimeType" : "Close", + "meta" : { + "globalKey" : "374dddc6" + } + }, + "valuationDatesFinal" : { + "determinationMethod" : "HedgeExecution", + "valuationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2002-09-24", + "dateAdjustments" : { + "businessDayConvention" : "NotApplicable", + "meta" : { + "globalKey" : "3a4b88ab" + } }, - "businessDayConvention" : "FOLLOWING", - "dateRelativeTo" : { - "externalReference" : "FinalValuationDate", - "globalReference" : "252ee503" + "meta" : { + "globalKey" : "252ee503" } + }, + "meta" : { + "globalKey" : "252ee503", + "externalKey" : "FinalValuationDate" } }, + "meta" : { + "globalKey" : "96fa6685" + } + } + }, + "paymentDates" : { + "paymentDateSchedule" : { "interimPaymentDates" : [ { - "meta" : { - "externalKey" : "InterimEquityPaymentDate", - "globalKey" : "2519d1b6" - }, "relativeDates" : { + "periodMultiplier" : 3, + "period" : "D", "meta" : { - "globalKey" : "2519d1b6" + "globalKey" : "dfe60714" }, - "period" : "D", - "periodMultiplier" : 3, - "dayType" : "CURRENCY_BUSINESS", + "dayType" : "CurrencyBusiness", + "businessDayConvention" : "FOLLOWING", "businessCenters" : { "businessCenter" : [ { "value" : "USNY" } ], "meta" : { - "externalKey" : "PrimaryBusinessCenter", - "globalKey" : "27e4e9" + "globalKey" : "27e4e9", + "externalKey" : "PrimaryBusinessCenter" } }, - "businessDayConvention" : "FOLLOWING", "dateRelativeTo" : { - "externalReference" : "InterimValuationDate", - "globalReference" : "e80e5233" + "globalReference" : "e80e5233", + "externalReference" : "InterimValuationDate" } + }, + "meta" : { + "globalKey" : "dfe60714", + "externalKey" : "InterimEquityPaymentDate" } - } ] - } - }, - "returnTerms" : { - "dividendReturnTerms" : { - "dividendCurrency" : { - "determinationMethod" : "DIVIDEND_CURRENCY" - }, - "dividendEntitlement" : "EX_DATE", - "dividendPayoutRatio" : [ { - "totalRatio" : 1 } ], - "dividendPeriod" : [ { - "dividendPaymentDate" : { - "dividendDateReference" : { - "dateReference" : "EQUITY_PAYMENT_DATE" - } - }, - "endDate" : { - "dividendDate" : { - "externalReference" : "TerminationDate", - "globalReference" : "f18f7c48" + "finalPaymentDate" : { + "relativeDate" : { + "periodMultiplier" : 3, + "period" : "D", + "meta" : { + "globalKey" : "bb917ef4" + }, + "dayType" : "CurrencyBusiness", + "businessDayConvention" : "FOLLOWING", + "businessCentersReference" : { + "globalReference" : "27e4e9", + "externalReference" : "PrimaryBusinessCenter" + }, + "dateRelativeTo" : { + "globalReference" : "252ee503", + "externalReference" : "FinalValuationDate" } }, - "startDate" : { - "dividendDate" : { - "externalReference" : "TradeDate", - "globalReference" : "3e8a58" - } + "meta" : { + "globalKey" : "bb917ef4", + "externalKey" : "FinalEquityPaymentDate" } - } ], - "dividendReinvestment" : false, - "excessDividendAmount" : "RECORD_AMOUNT", - "extraordinaryDividendsParty" : "EXTRAORDINARY_DIVIDENDS_PARTY" + } }, - "priceReturnTerms" : { - "returnType" : "TOTAL" + "meta" : { + "globalKey" : "56b8bd08", + "externalKey" : "EquityPaymentDate" } }, "underlier" : { - "meta" : { - "globalKey" : "7a5b92c5" - }, "security" : { "productIdentifier" : [ { "address" : { @@ -445,336 +425,356 @@ "value" : "productIdentifier-2" } } ], - "securityType" : "EQUITY" + "securityType" : "Equity" + }, + "meta" : { + "globalKey" : "7a5b92c5" } }, - "valuationDates" : { - "valuationDatesFinal" : { - "determinationMethod" : "HEDGE_EXECUTION", - "meta" : { - "globalKey" : "96fa6685" - }, - "valuationDate" : { - "adjustableDate" : { - "dateAdjustments" : { - "businessDayConvention" : "NOT_APPLICABLE", - "meta" : { - "globalKey" : "3a4b88ab" - } - }, - "meta" : { - "globalKey" : "252ee503" - }, - "unadjustedDate" : "2002-09-24" - }, - "meta" : { - "externalKey" : "FinalValuationDate", - "globalKey" : "252ee503" - } - } + "returnTerms" : { + "priceReturnTerms" : { + "returnType" : "Total" }, - "valuationDatesInterim" : { - "determinationMethod" : "VALUATION_TIME", - "meta" : { - "globalKey" : "374dddc6" + "dividendReturnTerms" : { + "dividendPayoutRatio" : [ { + "totalRatio" : 1 + } ], + "dividendReinvestment" : false, + "dividendEntitlement" : "ExDate", + "extraordinaryDividendsParty" : "ExtraordinaryDividendsParty", + "excessDividendAmount" : "RecordAmount", + "dividendCurrency" : { + "determinationMethod" : "DividendCurrency" }, - "valuationDates" : { - "adjustableDates" : { - "dateAdjustments" : { - "businessDayConvention" : "NOT_APPLICABLE", - "meta" : { - "globalKey" : "3a4b88ab" - } - }, - "meta" : { - "globalKey" : "e80e5233" - }, - "unadjustedDate" : [ "2001-10-12", "2001-11-13", "2001-12-12", "2002-01-14", "2002-02-12", "2002-03-12", "2002-04-12", "2002-05-13", "2002-06-12", "2002-07-12", "2002-08-12" ] + "dividendPeriod" : [ { + "startDate" : { + "dividendDate" : { + "globalReference" : "3e8a58", + "externalReference" : "TradeDate" + } }, - "meta" : { - "externalKey" : "InterimValuationDate", - "globalKey" : "e80e5233" + "endDate" : { + "dividendDate" : { + "globalReference" : "edf02740", + "externalReference" : "TerminationDate" + } + }, + "dividendPaymentDate" : { + "dividendDateReference" : { + "dateReference" : "EquityPaymentDate" + } } - }, - "valuationTimeType" : "CLOSE" + } ] } - } - } ] - }, - "terminationDate" : { - "meta" : { - "externalKey" : "TerminationDate", - "globalKey" : "f18f7c48" - }, - "relativeDate" : { - "meta" : { - "globalKey" : "f18f7c48" }, - "period" : "D", - "periodMultiplier" : 0, - "businessDayConvention" : "NOT_APPLICABLE", - "dateRelativeTo" : { - "externalReference" : "FinalEquityPaymentDate", - "globalReference" : "ad48d812" + "meta" : { + "globalKey" : "8595f65f" } + } ], + "meta" : { + "globalKey" : "dd006266" } + }, + "extraordinaryEvents" : { + "mergerEvents" : { + "shareForShare" : "ModifiedCalculationAgent", + "shareForOther" : "ModifiedCalculationAgent", + "shareForCombined" : "ModifiedCalculationAgent" + }, + "tenderOfferEvents" : { + "shareForShare" : "ModifiedCalculationAgent", + "shareForOther" : "ModifiedCalculationAgent", + "shareForCombined" : "ModifiedCalculationAgent" + }, + "compositionOfCombinedConsideration" : true, + "additionalDisruptionEvents" : { + "changeInLaw" : true, + "failureToDeliver" : true, + "insolvencyFiling" : false, + "hedgingDisruption" : true, + "increasedCostOfHedging" : false, + "lossOfStockBorrow" : true, + "increasedCostOfStockBorrow" : false, + "determiningParty" : "DisruptionEventsDeterminingParty" + }, + "representations" : { + "nonReliance" : true, + "agreementsRegardingHedging" : true, + "additionalAcknowledgements" : true + }, + "nationalizationOrInsolvency" : "CancellationAndPayment" + }, + "calculationAgent" : { + "calculationAgentParty" : "CalculationAgentIndependent" } }, "meta" : { - "globalKey" : "e8c8379a" + "globalKey" : "ece94628" } }, "meta" : { - "globalKey" : "e8c8379a" + "globalKey" : "ece94628" } }, "tradeLot" : [ { "priceQuantity" : [ { - "meta" : { - "globalKey" : "417e440b" - }, - "observable" : { - "meta" : { - "globalKey" : "26bb033f" - }, - "productIdentifier" : [ { - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "productIdentifier-1" - } ] - }, - "value" : { - "identifier" : { - "meta" : { - "scheme" : "http://www.abc.com/instrumentId" - }, - "value" : "SHPGY.O" - }, - "meta" : { - "globalKey" : "8c85a05e" - }, - "source" : "OTHER" - } - }, { - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "productIdentifier-2" - } ] - }, - "value" : { - "identifier" : { - "value" : "Shire Pharmeceuticals Group - American Depositary Receipts" - }, - "meta" : { - "globalKey" : "5518dd" - }, - "source" : "NAME" - } - } ] - }, "price" : [ { - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-1" - } ] - }, "value" : { + "value" : 37.44, "unit" : { "currency" : { "value" : "USD" } }, - "value" : 37.44, "perUnitOf" : { - "financialUnit" : "SHARE" + "financialUnit" : "Share" }, - "priceType" : "ASSET_PRICE" - } - } ], - "quantity" : [ { + "priceType" : "AssetPrice" + }, "meta" : { "location" : [ { "scope" : "DOCUMENT", - "value" : "quantity-2" + "value" : "price-1" } ] - }, + } + } ], + "quantity" : [ { "value" : { + "value" : 760400, "unit" : { - "financialUnit" : "SHARE" - }, - "value" : 760400 - } - }, { + "financialUnit" : "Share" + } + }, "meta" : { "location" : [ { "scope" : "DOCUMENT", - "value" : "quantity-1" + "value" : "quantity-2" } ] - }, + } + }, { "value" : { + "value" : 28469376, "unit" : { "currency" : { "value" : "USD" } - }, - "value" : 28469376 + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] } - } ] - }, { - "meta" : { - "globalKey" : "7dd9ec3" - }, + } ], "observable" : { - "meta" : { - "globalKey" : "5f0c6d03" - }, - "rateOption" : { + "productIdentifier" : [ { + "value" : { + "identifier" : { + "value" : "SHPGY.O", + "meta" : { + "scheme" : "http://www.abc.com/instrumentId" + } + }, + "source" : "Other", + "meta" : { + "globalKey" : "8c85a05e" + } + }, "meta" : { "location" : [ { "scope" : "DOCUMENT", - "value" : "rateOption-1" + "value" : "productIdentifier-1" } ] - }, + } + }, { "value" : { - "floatingRateIndex" : { - "value" : "USD-LIBOR-BBA" + "identifier" : { + "value" : "Shire Pharmeceuticals Group - American Depositary Receipts" }, - "indexTenor" : { - "meta" : { - "globalKey" : "954" - }, - "period" : "M", - "periodMultiplier" : 1 + "source" : "Name", + "meta" : { + "globalKey" : "5518dd" } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "productIdentifier-2" + } ] } + } ], + "meta" : { + "globalKey" : "b0a564a1" } }, + "meta" : { + "globalKey" : "b4fad14b" + } + }, { "price" : [ { - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-2" - } ] - }, "value" : { + "value" : 0.0020, "unit" : { "currency" : { "value" : "USD" } }, - "value" : 0.0020, - "arithmeticOperator" : "ADD", "perUnitOf" : { "currency" : { "value" : "USD" } }, - "priceType" : "INTEREST_RATE" + "priceType" : "InterestRate", + "arithmeticOperator" : "Add" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-2" + } ] } - } ] + } ], + "observable" : { + "rateOption" : { + "value" : { + "floatingRateIndex" : { + "value" : "USD-LIBOR-BBA" + }, + "indexTenor" : { + "periodMultiplier" : 1, + "period" : "M", + "meta" : { + "globalKey" : "6c" + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "rateOption-1" + } ] + } + }, + "meta" : { + "globalKey" : "82801f45" + } + }, + "meta" : { + "globalKey" : "95c8caad" + } } ] - } ] - }, - "tradeDate" : { - "meta" : { - "externalKey" : "TradeDate", - "globalKey" : "3e8a58" - }, - "value" : "2001-09-24" + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "33f59568", + "externalReference" : "party2" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "33f59567", + "externalReference" : "party1" + } + } ], + "ancillaryParty" : [ { + "role" : "DisruptionEventsDeterminingParty", + "partyReference" : [ { + "globalReference" : "33f59567", + "externalReference" : "party1" + } ] + }, { + "role" : "ExtraordinaryDividendsParty", + "partyReference" : [ { + "globalReference" : "33f59567", + "externalReference" : "party1" + } ] + }, { + "role" : "CalculationAgentIndependent", + "partyReference" : [ { + "globalReference" : "33f59567", + "externalReference" : "party1" + } ] + } ], + "adjustment" : "Execution" }, - "tradeIdentifier" : [ { - "assignedIdentifier" : [ { + "party" : [ { + "partyId" : [ { "identifier" : { + "value" : "Party A", "meta" : { - "scheme" : "http://www.partyA.com/eqs-trade-id" - }, - "value" : "6234" + "scheme" : "http://www.fpml.org/coding-scheme/dummy-party-id" + } + }, + "meta" : { + "globalKey" : "33f59567" } } ], - "issuerReference" : { - "externalReference" : "party1", - "globalReference" : "33f59567" - }, "meta" : { - "globalKey" : "23a97ce8" + "globalKey" : "33f59567", + "externalKey" : "party1" } }, { - "assignedIdentifier" : [ { + "partyId" : [ { "identifier" : { + "value" : "Party B", "meta" : { - "scheme" : "http://www.partyB.com/eqs-trade-id" - }, - "value" : "6569" + "scheme" : "http://www.fpml.org/coding-scheme/dummy-party-id" + } + }, + "meta" : { + "globalKey" : "33f59568" } } ], - "issuerReference" : { - "externalReference" : "party2", - "globalReference" : "33f59568" - }, "meta" : { - "globalKey" : "23d5334e" - } - } ] - } - } - }, - "primitiveInstruction" : { - "quantityChange" : { - "change" : [ { - "quantity" : [ { - "value" : { - "unit" : { - "financialUnit" : "SHARE" - }, - "value" : 760400 + "globalKey" : "33f59568", + "externalKey" : "party2" } - }, { - "value" : { - "unit" : { - "currency" : { - "value" : "USD" - } - }, - "value" : 28469376 - } - } ] - } ], - "direction" : "DECREASE" - }, - "transfer" : { - "transferState" : [ { - "transfer" : { - "payerReceiver" : { - "payerPartyReference" : { - "externalReference" : "party2", - "globalReference" : "33f59568" + } ], + "contractDetails" : { + "documentation" : [ { + "legalAgreementIdentification" : { + "agreementName" : { + "agreementType" : "MasterAgreement", + "masterAgreementType" : { + "value" : "ISDAMaster" + } + }, + "vintage" : 2002 }, - "receiverPartyReference" : { - "externalReference" : "party1", - "globalReference" : "33f59567" + "meta" : { + "globalKey" : "328cfa59" } - }, - "quantity" : { - "unit" : { - "currency" : { - "value" : "USD" + }, { + "legalAgreementIdentification" : { + "agreementName" : { + "agreementType" : "Confirmation", + "contractualDefinitionsType" : [ { + "value" : "ISDA2000" + }, { + "value" : "ISDA2002Equity" + } ] } }, - "value" : 2000.0 - }, - "settlementDate" : { - "adjustedDate" : { - "value" : "2001-09-24" + "meta" : { + "globalKey" : "ed9ef3fc" } + } ], + "governingLaw" : { + "value" : "GBEN" }, - "transferExpression" : { - "priceTransfer" : "TERMINATION" + "meta" : { + "globalKey" : "92c7c587" } + }, + "meta" : { + "globalKey" : "215e4a0a" } - } ] + }, + "meta" : { + "globalKey" : "215e4a0a" + } } } } ], diff --git a/rosetta-source/src/main/resources/cdm-sample-files/functions/business-event/quantity-change/full-termination-vanilla-swap-func-input.json b/rosetta-source/src/main/resources/cdm-sample-files/functions/business-event/quantity-change/full-termination-vanilla-swap-func-input.json index 58d688dff0..bc5496859d 100644 --- a/rosetta-source/src/main/resources/cdm-sample-files/functions/business-event/quantity-change/full-termination-vanilla-swap-func-input.json +++ b/rosetta-source/src/main/resources/cdm-sample-files/functions/business-event/quantity-change/full-termination-vanilla-swap-func-input.json @@ -1,144 +1,104 @@ { "instruction" : [ { - "before" : { - "value" : { - "meta" : { - "globalKey" : "95f0e889" - }, - "trade" : { - "meta" : { - "globalKey" : "95f0e889" - }, - "party" : [ { - "businessUnit" : [ { - "meta" : { - "externalKey" : "desk1", - "globalKey" : "5c10b72e" - }, - "name" : "NY Swaps Desk" - } ], - "meta" : { - "externalKey" : "party1", - "globalKey" : "59bab2e9" - }, - "name" : { - "value" : "Bank X" - }, - "partyId" : [ { - "identifier" : { - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/iso17442" - }, - "value" : "5493001RKR55V4X61F71" - }, - "identifierType" : "LEI", - "meta" : { - "globalKey" : "d0f863bc" + "primitiveInstruction" : { + "quantityChange" : { + "change" : [ { + "quantity" : [ { + "value" : { + "value" : 10000, + "unit" : { + "currency" : { + "value" : "USD", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/iso4217" + } + } } - }, { - "identifier" : { - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/iso17442" - }, - "value" : "LEI1RPT0001" - }, - "identifierType" : "LEI" - } ], - "person" : [ { - "firstName" : "jjone", - "meta" : { - "externalKey" : "trader", - "globalKey" : "b793baa7" - }, - "personId" : [ { - "value" : { - "identifier" : { - "value" : "jjones" - }, + } + } ] + } ], + "direction" : "Decrease" + }, + "transfer" : { + "transferState" : [ { + "transfer" : { + "quantity" : { + "value" : 2000.0, + "unit" : { + "currency" : { + "value" : "USD", "meta" : { - "globalKey" : "baeb8c0d" + "scheme" : "http://www.fpml.org/coding-scheme/external/iso4217" } } - } ] - } ] - }, { - "meta" : { - "externalKey" : "party2", - "globalKey" : "b8c6cb0d" - }, - "name" : { - "value" : "Bank Y" + } }, - "partyId" : [ { - "identifier" : { - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/iso17442" - }, - "value" : "549300O5MFEP1XJ40B46" + "payerReceiver" : { + "payerPartyReference" : { + "globalReference" : "117b5169", + "externalReference" : "party1" }, - "identifierType" : "LEI", - "meta" : { - "globalKey" : "956c45f8" + "receiverPartyReference" : { + "globalReference" : "619cff8d", + "externalReference" : "party2" } - }, { - "identifier" : { - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/iso17442" - }, - "value" : "LEI2CP0002" - }, - "identifierType" : "LEI" - } ] - } ], - "partyRole" : [ { - "ownershipPartyReference" : { - "externalReference" : "party1", - "globalReference" : "59bab2e9" }, - "partyReference" : { - "externalReference" : "clearing-svc", - "globalReference" : "611719a0" + "settlementDate" : { + "adjustedDate" : { + "value" : "2018-04-01" + } }, - "role" : "CLEARING_ORGANIZATION" - }, { - "ownershipPartyReference" : { - "externalReference" : "party1", - "globalReference" : "59bab2e9" + "transferExpression" : { + "priceTransfer" : "Termination" + } + } + } ] + } + }, + "before" : { + "value" : { + "trade" : { + "tradeIdentifier" : [ { + "issuer" : { + "value" : "1031234567", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/cftc/issuer-identifier" + } }, - "partyReference" : { - "externalReference" : "party1", - "globalReference" : "59bab2e9" + "assignedIdentifier" : [ { + "identifier" : { + "value" : "LEI1RPT0001KKKK", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/unique-transaction-identifier" + } + } + } ], + "meta" : { + "globalKey" : "88f03f2f" }, - "role" : "REPORTING_PARTY" + "identifierType" : "UniqueTransactionIdentifier" } ], + "tradeDate" : { + "value" : "2018-04-01", + "meta" : { + "globalKey" : "3ed88c" + } + }, "tradableProduct" : { - "counterparty" : [ { - "partyReference" : { - "externalReference" : "party1", - "globalReference" : "59bab2e9" - }, - "role" : "PARTY_1" - }, { - "partyReference" : { - "externalReference" : "party2", - "globalReference" : "b8c6cb0d" - }, - "role" : "PARTY_2" - } ], "product" : { "contractualProduct" : { "productTaxonomy" : [ { "primaryAssetClass" : { - "value" : "INTEREST_RATE" + "value" : "InterestRate" } }, { "source" : "ISDA", "value" : { "name" : { + "value" : "InterestRate:IRSwap:FixedFloat", "meta" : { "scheme" : "http://www.fpml.org/coding-scheme/product-taxonomy" - }, - "value" : "InterestRate:IRSwap:FixedFloat" + } } } }, { @@ -149,46 +109,40 @@ "payout" : { "interestRatePayout" : [ { "payerReceiver" : { - "payer" : "PARTY_1", - "receiver" : "PARTY_2" + "payer" : "Party1", + "receiver" : "Party2" }, "priceQuantity" : { - "meta" : { - "globalKey" : "0" - }, "quantitySchedule" : { "address" : { "scope" : "DOCUMENT", "value" : "quantity-1" } + }, + "meta" : { + "globalKey" : "0" } }, - "calculationPeriodDates" : { - "calculationPeriodDatesAdjustments" : { - "businessCenters" : { - "businessCentersReference" : { - "externalReference" : "primaryBusinessCenters", - "globalReference" : "27e4e9" - }, - "meta" : { - "globalKey" : "eb13047c" + "rateSpecification" : { + "floatingRate" : { + "rateOption" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "rateOption-1" } }, - "businessDayConvention" : "MODFOLLOWING", "meta" : { - "globalKey" : "214e084d" + "globalKey" : "0" } - }, - "calculationPeriodFrequency" : { - "meta" : { - "globalKey" : "12d23" - }, - "period" : "M", - "periodMultiplier" : 3, - "rollConvention" : "8" - }, + } + }, + "dayCountFraction" : { + "value" : "ACT/360" + }, + "calculationPeriodDates" : { "effectiveDate" : { "adjustableDate" : { + "unadjustedDate" : "2014-04-03", "dateAdjustments" : { "businessDayConvention" : "NONE", "meta" : { @@ -197,103 +151,108 @@ }, "meta" : { "globalKey" : "ec0f7dc0" - }, - "unadjustedDate" : "2014-04-03" + } }, "meta" : { "globalKey" : "ec0f7dc0" } }, - "meta" : { - "externalKey" : "floatingCalcPeriodDates", - "globalKey" : "b2f33a02" - }, "terminationDate" : { "adjustableDate" : { + "unadjustedDate" : "2025-04-01", "dateAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", "businessCenters" : { "businessCenter" : [ { "value" : "USNY" } ], "meta" : { - "externalKey" : "primaryBusinessCenters", - "globalKey" : "27e4e9" + "globalKey" : "27e4e9", + "externalKey" : "primaryBusinessCenters" } }, - "businessDayConvention" : "MODFOLLOWING", "meta" : { "globalKey" : "3662e8ba" } }, "meta" : { "globalKey" : "6d96fd32" - }, - "unadjustedDate" : "2025-04-01" + } }, "meta" : { "globalKey" : "6d96fd32" } - } - }, - "dayCountFraction" : { - "value" : "ACT/360" - }, - "meta" : { - "globalKey" : "ea93e6d" - }, - "paymentDates" : { - "meta" : { - "globalKey" : "4fa45fc3" }, - "payRelativeTo" : "CALCULATION_PERIOD_END_DATE", - "paymentDatesAdjustments" : { + "calculationPeriodDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", "businessCenters" : { "businessCentersReference" : { - "externalReference" : "primaryBusinessCenters", - "globalReference" : "27e4e9" + "globalReference" : "27e4e9", + "externalReference" : "primaryBusinessCenters" }, "meta" : { "globalKey" : "eb13047c" } }, - "businessDayConvention" : "MODFOLLOWING", "meta" : { "globalKey" : "214e084d" } }, - "paymentFrequency" : { + "calculationPeriodFrequency" : { + "periodMultiplier" : 3, + "period" : "M", "meta" : { - "globalKey" : "956" + "globalKey" : "204f" }, - "period" : "M", - "periodMultiplier" : 3 + "rollConvention" : "8" + }, + "meta" : { + "globalKey" : "8238af6a", + "externalKey" : "floatingCalcPeriodDates" } }, - "rateSpecification" : { - "floatingRate" : { + "paymentDates" : { + "paymentFrequency" : { + "periodMultiplier" : 3, + "period" : "M", "meta" : { - "globalKey" : "0" - }, - "rateOption" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "rateOption-1" + "globalKey" : "aa" + } + }, + "payRelativeTo" : "CalculationPeriodEndDate", + "paymentDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCentersReference" : { + "globalReference" : "27e4e9", + "externalReference" : "primaryBusinessCenters" + }, + "meta" : { + "globalKey" : "eb13047c" } + }, + "meta" : { + "globalKey" : "214e084d" } + }, + "meta" : { + "globalKey" : "db523fbd" } }, "resetDates" : { "calculationPeriodDatesReference" : { - "externalReference" : "floatingCalcPeriodDates", - "globalReference" : "b2f33a02" + "globalReference" : "8238af6a", + "externalReference" : "floatingCalcPeriodDates" }, + "resetRelativeTo" : "CalculationPeriodStartDate", "fixingDates" : { + "periodMultiplier" : -2, + "period" : "D", "meta" : { - "globalKey" : "131ae8a2" + "globalKey" : "eff6d356" }, - "period" : "D", - "periodMultiplier" : -2, - "dayType" : "BUSINESS", + "dayType" : "Business", + "businessDayConvention" : "NONE", "businessCenters" : { "businessCenter" : [ { "value" : "GBLO" @@ -302,82 +261,79 @@ "globalKey" : "21479e" } }, - "businessDayConvention" : "NONE", "dateRelativeTo" : { - "externalReference" : "resetDates", - "globalReference" : "dbde6647" + "globalReference" : "6fc3cf5", + "externalReference" : "resetDates" } }, - "meta" : { - "externalKey" : "resetDates", - "globalKey" : "dbde6647" + "resetFrequency" : { + "periodMultiplier" : 3, + "period" : "M", + "meta" : { + "globalKey" : "aa" + } }, "resetDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", "businessCenters" : { "businessCentersReference" : { - "externalReference" : "primaryBusinessCenters", - "globalReference" : "27e4e9" + "globalReference" : "27e4e9", + "externalReference" : "primaryBusinessCenters" }, "meta" : { "globalKey" : "eb13047c" } }, - "businessDayConvention" : "MODFOLLOWING", "meta" : { "globalKey" : "214e084d" } }, - "resetFrequency" : { - "meta" : { - "globalKey" : "956" - }, - "period" : "M", - "periodMultiplier" : 3 - }, - "resetRelativeTo" : "CALCULATION_PERIOD_START_DATE" + "meta" : { + "globalKey" : "6fc3cf5", + "externalKey" : "resetDates" + } + }, + "meta" : { + "globalKey" : "c669c2fd" } }, { "payerReceiver" : { - "payer" : "PARTY_2", - "receiver" : "PARTY_1" + "payer" : "Party2", + "receiver" : "Party1" }, "priceQuantity" : { - "meta" : { - "globalKey" : "0" - }, "quantitySchedule" : { "address" : { "scope" : "DOCUMENT", "value" : "quantity-2" } + }, + "meta" : { + "globalKey" : "0" } }, - "calculationPeriodDates" : { - "calculationPeriodDatesAdjustments" : { - "businessCenters" : { - "businessCentersReference" : { - "externalReference" : "primaryBusinessCenters", - "globalReference" : "27e4e9" - }, - "meta" : { - "globalKey" : "eb13047c" + "rateSpecification" : { + "fixedRate" : { + "rateSchedule" : { + "price" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "price-1" + } } }, - "businessDayConvention" : "MODFOLLOWING", "meta" : { - "globalKey" : "214e084d" + "globalKey" : "0" } - }, - "calculationPeriodFrequency" : { - "meta" : { - "globalKey" : "12d80" - }, - "period" : "M", - "periodMultiplier" : 6, - "rollConvention" : "8" - }, + } + }, + "dayCountFraction" : { + "value" : "30E/360" + }, + "calculationPeriodDates" : { "effectiveDate" : { "adjustableDate" : { + "unadjustedDate" : "2018-04-03", "dateAdjustments" : { "businessDayConvention" : "NONE", "meta" : { @@ -386,292 +342,336 @@ }, "meta" : { "globalKey" : "ec0f7dc0" - }, - "unadjustedDate" : "2018-04-03" + } }, "meta" : { "globalKey" : "ec0f7dc0" } }, - "meta" : { - "externalKey" : "fixedCalcPeriodDates", - "globalKey" : "ab709858" - }, "terminationDate" : { "adjustableDate" : { + "unadjustedDate" : "2025-04-01", "dateAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", "businessCenters" : { "businessCentersReference" : { - "externalReference" : "primaryBusinessCenters", - "globalReference" : "27e4e9" + "globalReference" : "27e4e9", + "externalReference" : "primaryBusinessCenters" }, "meta" : { "globalKey" : "eb13047c" } }, - "businessDayConvention" : "MODFOLLOWING", "meta" : { "globalKey" : "214e084d" } }, "meta" : { "globalKey" : "58821cc5" - }, - "unadjustedDate" : "2025-04-01" + } }, "meta" : { "globalKey" : "58821cc5" } - } - }, - "dayCountFraction" : { - "value" : "30E/360" - }, - "meta" : { - "globalKey" : "43fa7ecc" - }, - "paymentDates" : { - "meta" : { - "globalKey" : "4fa45fc6" }, - "payRelativeTo" : "CALCULATION_PERIOD_END_DATE", - "paymentDatesAdjustments" : { + "calculationPeriodDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", "businessCenters" : { "businessCentersReference" : { - "externalReference" : "primaryBusinessCenters", - "globalReference" : "27e4e9" + "globalReference" : "27e4e9", + "externalReference" : "primaryBusinessCenters" }, "meta" : { "globalKey" : "eb13047c" } }, - "businessDayConvention" : "MODFOLLOWING", "meta" : { "globalKey" : "214e084d" } }, - "paymentFrequency" : { + "calculationPeriodFrequency" : { + "periodMultiplier" : 6, + "period" : "M", "meta" : { - "globalKey" : "959" + "globalKey" : "2b92" }, - "period" : "M", - "periodMultiplier" : 6 + "rollConvention" : "8" + }, + "meta" : { + "globalKey" : "da8c707a", + "externalKey" : "fixedCalcPeriodDates" } }, - "rateSpecification" : { - "fixedRate" : { + "paymentDates" : { + "paymentFrequency" : { + "periodMultiplier" : 6, + "period" : "M", "meta" : { - "globalKey" : "0" - }, - "rateSchedule" : { - "price" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "price-1" - } + "globalKey" : "107" + } + }, + "payRelativeTo" : "CalculationPeriodEndDate", + "paymentDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCentersReference" : { + "globalReference" : "27e4e9", + "externalReference" : "primaryBusinessCenters" + }, + "meta" : { + "globalKey" : "eb13047c" } + }, + "meta" : { + "globalKey" : "214e084d" } + }, + "meta" : { + "globalKey" : "7a04f180" } + }, + "meta" : { + "globalKey" : "2e11b2a4" } } ], "meta" : { - "globalKey" : "651264f9" + "globalKey" : "8d36961" } } }, "meta" : { - "globalKey" : "50547e95" + "globalKey" : "f41582fd" } }, "meta" : { - "globalKey" : "50547e95" + "globalKey" : "f41582fd" } }, "tradeLot" : [ { "priceQuantity" : [ { - "meta" : { - "globalKey" : "975cb782" - }, - "observable" : { - "meta" : { - "globalKey" : "5f0c6d05" - }, - "rateOption" : { - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "rateOption-1" - } ] - }, - "value" : { - "floatingRateIndex" : { - "value" : "USD-LIBOR-BBA" - }, - "indexTenor" : { + "quantity" : [ { + "value" : { + "value" : 10000, + "unit" : { + "currency" : { + "value" : "USD", "meta" : { - "globalKey" : "956" - }, - "period" : "M", - "periodMultiplier" : 3 + "scheme" : "http://www.fpml.org/coding-scheme/external/iso4217" + } } } - } - }, - "quantity" : [ { + }, "meta" : { "location" : [ { "scope" : "DOCUMENT", "value" : "quantity-1" } ] - }, - "value" : { - "unit" : { - "currency" : { + } + } ], + "observable" : { + "rateOption" : { + "value" : { + "floatingRateIndex" : { + "value" : "USD-LIBOR-BBA" + }, + "indexTenor" : { + "periodMultiplier" : 3, + "period" : "M", "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/iso4217" - }, - "value" : "USD" + "globalKey" : "aa" + } } }, - "value" : 10000 + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "rateOption-1" + } ] + } + }, + "meta" : { + "globalKey" : "828026c7" } - } ] - }, { - "meta" : { - "globalKey" : "37b2000e" }, + "meta" : { + "globalKey" : "a032462e" + } + }, { "price" : [ { - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-1" - } ] - }, "value" : { + "value" : 0.0253, "unit" : { "currency" : { + "value" : "USD", "meta" : { "scheme" : "http://www.fpml.org/coding-scheme/external/iso4217" - }, - "value" : "USD" + } } }, - "value" : 0.0253, "perUnitOf" : { "currency" : { + "value" : "USD", "meta" : { "scheme" : "http://www.fpml.org/coding-scheme/external/iso4217" - }, - "value" : "USD" + } } }, - "priceType" : "INTEREST_RATE" - } - } ], - "quantity" : [ { + "priceType" : "InterestRate" + }, "meta" : { "location" : [ { "scope" : "DOCUMENT", - "value" : "quantity-2" + "value" : "price-1" } ] - }, + } + } ], + "quantity" : [ { "value" : { + "value" : 10000, "unit" : { "currency" : { + "value" : "USD", "meta" : { "scheme" : "http://www.fpml.org/coding-scheme/external/iso4217" - }, - "value" : "USD" + } } - }, - "value" : 10000 + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } ] } - } ] + } ], + "meta" : { + "globalKey" : "be8e01b2" + } } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "117b5169", + "externalReference" : "party1" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "619cff8d", + "externalReference" : "party2" + } } ] }, - "tradeDate" : { - "meta" : { - "globalKey" : "3ed88c" - }, - "value" : "2018-04-01" - }, - "tradeIdentifier" : [ { - "assignedIdentifier" : [ { + "party" : [ { + "partyId" : [ { "identifier" : { + "value" : "5493001RKR55V4X61F71", "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/unique-transaction-identifier" - }, - "value" : "LEI1RPT0001KKKK" - } - } ], - "issuer" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/iso17442" + } + }, + "identifierType" : "LEI", "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/cftc/issuer-identifier" + "globalKey" : "d0f863bc" + } + }, { + "identifier" : { + "value" : "LEI1RPT0001", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/iso17442" + } }, - "value" : "1031234567" - }, - "meta" : { - "globalKey" : "f07e39ef" + "identifierType" : "LEI" + } ], + "name" : { + "value" : "Bank X" }, - "identifierType" : "UNIQUE_TRANSACTION_IDENTIFIER" - } ] - } - } - }, - "primitiveInstruction" : { - "quantityChange" : { - "change" : [ { - "quantity" : [ { - "value" : { - "unit" : { - "currency" : { - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/iso4217" + "businessUnit" : [ { + "name" : "NY Swaps Desk", + "meta" : { + "globalKey" : "5c10b72e", + "externalKey" : "desk1" + } + } ], + "person" : [ { + "personId" : [ { + "value" : { + "identifier" : { + "value" : "jjones" }, - "value" : "USD" + "meta" : { + "globalKey" : "baeb8c0d" + } } - }, - "value" : 10000 + } ], + "firstName" : "jjone", + "meta" : { + "globalKey" : "b793baa7", + "externalKey" : "trader" + } + } ], + "meta" : { + "globalKey" : "117b5169", + "externalKey" : "party1" } - } ] - } ], - "direction" : "DECREASE" - }, - "transfer" : { - "transferState" : [ { - "transfer" : { - "payerReceiver" : { - "payerPartyReference" : { - "externalReference" : "party1", - "globalReference" : "59bab2e9" + }, { + "partyId" : [ { + "identifier" : { + "value" : "549300O5MFEP1XJ40B46", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/iso17442" + } }, - "receiverPartyReference" : { - "externalReference" : "party2", - "globalReference" : "b8c6cb0d" + "identifierType" : "LEI", + "meta" : { + "globalKey" : "956c45f8" } - }, - "quantity" : { - "unit" : { - "currency" : { - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/iso4217" - }, - "value" : "USD" + }, { + "identifier" : { + "value" : "LEI2CP0002", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/iso17442" } }, - "value" : 2000.0 + "identifierType" : "LEI" + } ], + "name" : { + "value" : "Bank Y" }, - "settlementDate" : { - "adjustedDate" : { - "value" : "2018-04-01" - } + "meta" : { + "globalKey" : "619cff8d", + "externalKey" : "party2" + } + } ], + "partyRole" : [ { + "partyReference" : { + "globalReference" : "f6a6cc60", + "externalReference" : "clearing-svc" }, - "transferExpression" : { - "priceTransfer" : "TERMINATION" + "role" : "ClearingOrganization", + "ownershipPartyReference" : { + "globalReference" : "117b5169", + "externalReference" : "party1" } + }, { + "partyReference" : { + "globalReference" : "117b5169", + "externalReference" : "party1" + }, + "role" : "ReportingParty", + "ownershipPartyReference" : { + "globalReference" : "117b5169", + "externalReference" : "party1" + } + } ], + "meta" : { + "globalKey" : "5f7140a1" } - } ] + }, + "meta" : { + "globalKey" : "5f7140a1" + } } } } ], diff --git a/rosetta-source/src/main/resources/cdm-sample-files/functions/business-event/quantity-change/increase-equity-swap-func-input.json b/rosetta-source/src/main/resources/cdm-sample-files/functions/business-event/quantity-change/increase-equity-swap-func-input.json index ce79a0f3b3..b25e020ca2 100644 --- a/rosetta-source/src/main/resources/cdm-sample-files/functions/business-event/quantity-change/increase-equity-swap-func-input.json +++ b/rosetta-source/src/main/resources/cdm-sample-files/functions/business-event/quantity-change/increase-equity-swap-func-input.json @@ -1,121 +1,211 @@ { "instruction" : [ { - "before" : { - "value" : { - "meta" : { - "globalKey" : "50a0c404" - }, - "trade" : { - "contractDetails" : { - "documentation" : [ { - "legalAgreementIdentification" : { - "agreementName" : { - "agreementType" : "MASTER_AGREEMENT", - "masterAgreementType" : { - "value" : "ISDA_MASTER" + "primitiveInstruction" : { + "quantityChange" : { + "change" : [ { + "price" : [ { + "value" : { + "value" : 30, + "unit" : { + "currency" : { + "value" : "USD" + } + }, + "perUnitOf" : { + "financialUnit" : "Share" + }, + "priceType" : "AssetPrice" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-2" + } ] + } + } ], + "quantity" : [ { + "value" : { + "value" : 250000, + "unit" : { + "financialUnit" : "Share" + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } ] + } + } ], + "observable" : { + "productIdentifier" : [ { + "value" : { + "identifier" : { + "value" : "SHPGY.O", + "meta" : { + "scheme" : "http://www.abc.com/instrumentId" } }, - "vintage" : 2002 + "source" : "Other" }, "meta" : { - "globalKey" : "328cfa59" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "productIdentifier-1" + } ] } - }, { - "legalAgreementIdentification" : { - "agreementName" : { - "agreementType" : "CONFIRMATION", - "contractualDefinitionsType" : [ { - "value" : "ISDA2000" - }, { - "value" : "ISDA_2002_EQUITY" - } ] + } ] + } + }, { + "price" : [ { + "value" : { + "value" : 0.002, + "unit" : { + "currency" : { + "value" : "USD" } }, - "meta" : { - "globalKey" : "ed9ef3fc" - } - } ], - "governingLaw" : { - "value" : "GBEN" + "perUnitOf" : { + "currency" : { + "value" : "USD" + } + }, + "priceType" : "InterestRate", + "arithmeticOperator" : "Add" }, "meta" : { - "globalKey" : "92c7c587" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-1" + } ] } - }, - "meta" : { - "globalKey" : "50a0c404" - }, - "party" : [ { - "meta" : { - "externalKey" : "party1", - "globalKey" : "33f59567" + } ], + "quantity" : [ { + "value" : { + "value" : 7500000, + "unit" : { + "currency" : { + "value" : "USD" + } + } }, - "partyId" : [ { - "identifier" : { - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/dummy-party-id" + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] + } + } ], + "observable" : { + "rateOption" : { + "value" : { + "floatingRateIndex" : { + "value" : "USD-LIBOR-BBA" }, - "value" : "Party A" + "indexTenor" : { + "periodMultiplier" : 1, + "period" : "M" + } }, "meta" : { - "globalKey" : "33f59567" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "rateOption-1" + } ] } - } ] - }, { + } + } + } ], + "direction" : "Increase", + "lotIdentifier" : [ { + "assignedIdentifier" : [ { + "identifier" : { + "value" : "LOT-2" + } + } ] + } ] + }, + "transfer" : { + "transferState" : [ { + "transfer" : { + "quantity" : { + "value" : 2000.0, + "unit" : { + "currency" : { + "value" : "USD" + } + } + }, + "payerReceiver" : { + "payerPartyReference" : { + "globalReference" : "33f59568", + "externalReference" : "party2" + }, + "receiverPartyReference" : { + "globalReference" : "33f59567", + "externalReference" : "party1" + } + }, + "settlementDate" : { + "adjustedDate" : { + "value" : "2001-09-24" + } + }, + "transferExpression" : { + "priceTransfer" : "Increase" + } + } + } ] + } + }, + "before" : { + "value" : { + "trade" : { + "tradeIdentifier" : [ { + "issuerReference" : { + "globalReference" : "33f59567", + "externalReference" : "party1" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "6234", + "meta" : { + "scheme" : "http://www.partyA.com/eqs-trade-id" + } + } + } ], "meta" : { - "externalKey" : "party2", - "globalKey" : "33f59568" + "globalKey" : "9593cc32" + } + }, { + "issuerReference" : { + "globalReference" : "33f59568", + "externalReference" : "party2" }, - "partyId" : [ { + "assignedIdentifier" : [ { "identifier" : { + "value" : "6569", "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/dummy-party-id" - }, - "value" : "Party B" - }, - "meta" : { - "globalKey" : "33f59568" + "scheme" : "http://www.partyB.com/eqs-trade-id" + } } - } ] + } ], + "meta" : { + "globalKey" : "95944c36" + } } ], + "tradeDate" : { + "value" : "2001-09-24", + "meta" : { + "globalKey" : "3e8a58", + "externalKey" : "TradeDate" + } + }, "tradableProduct" : { - "adjustment" : "EXECUTION", - "ancillaryParty" : [ { - "partyReference" : [ { - "externalReference" : "party1", - "globalReference" : "33f59567" - } ], - "role" : "DISRUPTION_EVENTS_DETERMINING_PARTY" - }, { - "partyReference" : [ { - "externalReference" : "party1", - "globalReference" : "33f59567" - } ], - "role" : "EXTRAORDINARY_DIVIDENDS_PARTY" - }, { - "partyReference" : [ { - "externalReference" : "party1", - "globalReference" : "33f59567" - } ], - "role" : "CALCULATION_AGENT_INDEPENDENT" - } ], - "counterparty" : [ { - "partyReference" : { - "externalReference" : "party2", - "globalReference" : "33f59568" - }, - "role" : "PARTY_1" - }, { - "partyReference" : { - "externalReference" : "party1", - "globalReference" : "33f59567" - }, - "role" : "PARTY_2" - } ], "product" : { "contractualProduct" : { "productTaxonomy" : [ { - "source" : "OTHER", + "source" : "Other", "value" : { "name" : { "value" : "Equity:Swap:PriceReturnBasicPerformance:SingleName" @@ -126,313 +216,305 @@ "productQualifier" : "EquitySwap_TotalReturnBasicPerformance_SingleName" } ], "economicTerms" : { - "calculationAgent" : { - "calculationAgentParty" : "CALCULATION_AGENT_INDEPENDENT" - }, "effectiveDate" : { - "meta" : { - "externalKey" : "EffectiveDate", - "globalKey" : "6a2df5e0" - }, "relativeDate" : { + "periodMultiplier" : 3, + "period" : "D", "meta" : { - "globalKey" : "6a2df5e0" + "globalKey" : "fed6ed42" }, - "period" : "D", - "periodMultiplier" : 3, - "dayType" : "EXCHANGE_BUSINESS", - "businessDayConvention" : "NOT_APPLICABLE", + "dayType" : "ExchangeBusiness", + "businessDayConvention" : "NotApplicable", "dateRelativeTo" : { - "externalReference" : "TradeDate", - "globalReference" : "3e8a58" + "globalReference" : "3e8a58", + "externalReference" : "TradeDate" } + }, + "meta" : { + "globalKey" : "fed6ed42", + "externalKey" : "EffectiveDate" } }, - "extraordinaryEvents" : { - "additionalDisruptionEvents" : { - "changeInLaw" : true, - "determiningParty" : "DISRUPTION_EVENTS_DETERMINING_PARTY", - "failureToDeliver" : true, - "hedgingDisruption" : true, - "increasedCostOfHedging" : false, - "increasedCostOfStockBorrow" : false, - "insolvencyFiling" : false, - "lossOfStockBorrow" : true - }, - "compositionOfCombinedConsideration" : true, - "mergerEvents" : { - "shareForCombined" : "MODIFIED_CALCULATION_AGENT", - "shareForOther" : "MODIFIED_CALCULATION_AGENT", - "shareForShare" : "MODIFIED_CALCULATION_AGENT" - }, - "nationalizationOrInsolvency" : "CANCELLATION_AND_PAYMENT", - "representations" : { - "additionalAcknowledgements" : true, - "agreementsRegardingHedging" : true, - "nonReliance" : true + "terminationDate" : { + "relativeDate" : { + "periodMultiplier" : 0, + "period" : "D", + "meta" : { + "globalKey" : "edf02740" + }, + "businessDayConvention" : "NotApplicable", + "dateRelativeTo" : { + "globalReference" : "bb917ef4", + "externalReference" : "FinalEquityPaymentDate" + } }, - "tenderOfferEvents" : { - "shareForCombined" : "MODIFIED_CALCULATION_AGENT", - "shareForOther" : "MODIFIED_CALCULATION_AGENT", - "shareForShare" : "MODIFIED_CALCULATION_AGENT" + "meta" : { + "globalKey" : "edf02740", + "externalKey" : "TerminationDate" } }, "payout" : { "interestRatePayout" : [ { "payerReceiver" : { - "payer" : "PARTY_1", - "receiver" : "PARTY_2" + "payer" : "Party1", + "receiver" : "Party2" }, "priceQuantity" : { - "meta" : { - "globalKey" : "607b91fd" - }, - "quantityReference" : { - "externalReference" : "EquityNotionalAmount", - "globalReference" : "4cf" - }, "quantitySchedule" : { "address" : { "scope" : "DOCUMENT", "value" : "quantity-1" } - } - }, - "calculationPeriodDates" : { - "effectiveDate" : { - "meta" : { - "globalKey" : "6a2df5e0" + }, + "quantityReference" : { + "globalReference" : "4cf", + "externalReference" : "EquityNotionalAmount" + }, + "meta" : { + "globalKey" : "607b91fd" + } + }, + "rateSpecification" : { + "floatingRate" : { + "rateOption" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "rateOption-1" + } + }, + "spreadSchedule" : { + "price" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "price-2" + } + } }, + "meta" : { + "globalKey" : "0" + } + } + }, + "dayCountFraction" : { + "value" : "ACT/360" + }, + "calculationPeriodDates" : { + "effectiveDate" : { "relativeDate" : { + "periodMultiplier" : 3, + "period" : "D", "meta" : { - "globalKey" : "6a2df5e0" + "globalKey" : "fed6ed42" }, - "period" : "D", - "periodMultiplier" : 3, - "dayType" : "EXCHANGE_BUSINESS", - "businessDayConvention" : "NOT_APPLICABLE", + "dayType" : "ExchangeBusiness", + "businessDayConvention" : "NotApplicable", "dateRelativeTo" : { - "externalReference" : "TradeDate", - "globalReference" : "3e8a58" + "globalReference" : "3e8a58", + "externalReference" : "TradeDate" } + }, + "meta" : { + "globalKey" : "fed6ed42" } }, - "meta" : { - "externalKey" : "InterestLegPeriodDates", - "globalKey" : "8fbb2a68" - }, "terminationDate" : { - "meta" : { - "globalKey" : "f18f7c48" - }, "relativeDate" : { + "periodMultiplier" : 0, + "period" : "D", "meta" : { - "globalKey" : "f18f7c48" + "globalKey" : "edf02740" }, - "period" : "D", - "periodMultiplier" : 0, - "businessDayConvention" : "NOT_APPLICABLE", + "businessDayConvention" : "NotApplicable", "dateRelativeTo" : { - "externalReference" : "FinalEquityPaymentDate", - "globalReference" : "ad48d812" + "globalReference" : "bb917ef4", + "externalReference" : "FinalEquityPaymentDate" } + }, + "meta" : { + "globalKey" : "edf02740" } + }, + "meta" : { + "globalKey" : "f0f22bbe", + "externalKey" : "InterestLegPeriodDates" } }, - "dayCountFraction" : { - "value" : "ACT/360" - }, - "meta" : { - "globalKey" : "f5120739" - }, "paymentDates" : { - "meta" : { - "globalKey" : "9b9d36de" - }, "paymentDateSchedule" : { "interimPaymentDates" : [ { - "meta" : { - "globalKey" : "9b9d36de" - }, "relativeDates" : { + "periodMultiplier" : 0, + "period" : "D", "meta" : { - "globalKey" : "9b9d36de" + "globalKey" : "97fde1d6" }, - "period" : "D", - "periodMultiplier" : 0, - "businessDayConvention" : "NOT_APPLICABLE", + "businessDayConvention" : "NotApplicable", "dateRelativeTo" : { - "externalReference" : "EquityPaymentDate", - "globalReference" : "48d79a64" + "globalReference" : "56b8bd08", + "externalReference" : "EquityPaymentDate" } + }, + "meta" : { + "globalKey" : "97fde1d6" } } ] - } - }, - "rateSpecification" : { - "floatingRate" : { - "meta" : { - "globalKey" : "0" - }, - "rateOption" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "rateOption-1" - } - }, - "spreadSchedule" : { - "price" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "price-2" - } - } - } + }, + "meta" : { + "globalKey" : "97fde1d6" } }, "resetDates" : { "calculationPeriodDatesReference" : { - "externalReference" : "InterestLegPeriodDates", - "globalReference" : "8fbb2a68" + "globalReference" : "f0f22bbe", + "externalReference" : "InterestLegPeriodDates" }, + "resetRelativeTo" : "CalculationPeriodStartDate", "meta" : { "globalKey" : "9e9ada33" - }, - "resetRelativeTo" : "CALCULATION_PERIOD_START_DATE" + } + }, + "meta" : { + "globalKey" : "92fd2d87" } } ], - "meta" : { - "globalKey" : "daf6cbc2" - }, "performancePayout" : [ { "payerReceiver" : { - "payer" : "PARTY_2", - "receiver" : "PARTY_1" + "payer" : "Party2", + "receiver" : "Party1" }, "priceQuantity" : { - "meta" : { - "externalKey" : "EquityNotionalAmount", - "globalKey" : "4cf" - }, "quantitySchedule" : { "address" : { "scope" : "DOCUMENT", "value" : "quantity-1" } }, - "reset" : true + "reset" : true, + "meta" : { + "globalKey" : "4cf", + "externalKey" : "EquityNotionalAmount" + } }, "settlementTerms" : { - "meta" : { - "globalKey" : "7610bbd9" - }, + "settlementType" : "Cash", "settlementCurrency" : { "value" : "USD" }, - "settlementType" : "CASH" - }, - "meta" : { - "globalKey" : "4841e309" - }, - "paymentDates" : { "meta" : { - "externalKey" : "EquityPaymentDate", - "globalKey" : "48d79a64" - }, - "paymentDateSchedule" : { - "finalPaymentDate" : { - "meta" : { - "externalKey" : "FinalEquityPaymentDate", - "globalKey" : "ad48d812" - }, - "relativeDate" : { - "meta" : { - "globalKey" : "ad48d812" + "globalKey" : "7610bbd9" + } + }, + "valuationDates" : { + "valuationDatesInterim" : { + "determinationMethod" : "ValuationTime", + "valuationDates" : { + "adjustableDates" : { + "unadjustedDate" : [ "2001-10-12", "2001-11-13", "2001-12-12", "2002-01-14", "2002-02-12", "2002-03-12", "2002-04-12", "2002-05-13", "2002-06-12", "2002-07-12", "2002-08-12" ], + "dateAdjustments" : { + "businessDayConvention" : "NotApplicable", + "meta" : { + "globalKey" : "3a4b88ab" + } }, - "period" : "D", - "periodMultiplier" : 3, - "dayType" : "CURRENCY_BUSINESS", - "businessCentersReference" : { - "externalReference" : "PrimaryBusinessCenter", - "globalReference" : "27e4e9" + "meta" : { + "globalKey" : "e80e5233" + } + }, + "meta" : { + "globalKey" : "e80e5233", + "externalKey" : "InterimValuationDate" + } + }, + "valuationTimeType" : "Close", + "meta" : { + "globalKey" : "374dddc6" + } + }, + "valuationDatesFinal" : { + "determinationMethod" : "HedgeExecution", + "valuationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2002-09-24", + "dateAdjustments" : { + "businessDayConvention" : "NotApplicable", + "meta" : { + "globalKey" : "3a4b88ab" + } }, - "businessDayConvention" : "FOLLOWING", - "dateRelativeTo" : { - "externalReference" : "FinalValuationDate", - "globalReference" : "252ee503" + "meta" : { + "globalKey" : "252ee503" } + }, + "meta" : { + "globalKey" : "252ee503", + "externalKey" : "FinalValuationDate" } }, + "meta" : { + "globalKey" : "96fa6685" + } + } + }, + "paymentDates" : { + "paymentDateSchedule" : { "interimPaymentDates" : [ { - "meta" : { - "externalKey" : "InterimEquityPaymentDate", - "globalKey" : "2519d1b6" - }, "relativeDates" : { + "periodMultiplier" : 3, + "period" : "D", "meta" : { - "globalKey" : "2519d1b6" + "globalKey" : "dfe60714" }, - "period" : "D", - "periodMultiplier" : 3, - "dayType" : "CURRENCY_BUSINESS", + "dayType" : "CurrencyBusiness", + "businessDayConvention" : "FOLLOWING", "businessCenters" : { "businessCenter" : [ { "value" : "USNY" } ], "meta" : { - "externalKey" : "PrimaryBusinessCenter", - "globalKey" : "27e4e9" + "globalKey" : "27e4e9", + "externalKey" : "PrimaryBusinessCenter" } }, - "businessDayConvention" : "FOLLOWING", "dateRelativeTo" : { - "externalReference" : "InterimValuationDate", - "globalReference" : "e80e5233" + "globalReference" : "e80e5233", + "externalReference" : "InterimValuationDate" } + }, + "meta" : { + "globalKey" : "dfe60714", + "externalKey" : "InterimEquityPaymentDate" } - } ] - } - }, - "returnTerms" : { - "dividendReturnTerms" : { - "dividendCurrency" : { - "determinationMethod" : "DIVIDEND_CURRENCY" - }, - "dividendEntitlement" : "EX_DATE", - "dividendPayoutRatio" : [ { - "totalRatio" : 1 } ], - "dividendPeriod" : [ { - "dividendPaymentDate" : { - "dividendDateReference" : { - "dateReference" : "EQUITY_PAYMENT_DATE" - } - }, - "endDate" : { - "dividendDate" : { - "externalReference" : "TerminationDate", - "globalReference" : "f18f7c48" + "finalPaymentDate" : { + "relativeDate" : { + "periodMultiplier" : 3, + "period" : "D", + "meta" : { + "globalKey" : "bb917ef4" + }, + "dayType" : "CurrencyBusiness", + "businessDayConvention" : "FOLLOWING", + "businessCentersReference" : { + "globalReference" : "27e4e9", + "externalReference" : "PrimaryBusinessCenter" + }, + "dateRelativeTo" : { + "globalReference" : "252ee503", + "externalReference" : "FinalValuationDate" } }, - "startDate" : { - "dividendDate" : { - "externalReference" : "TradeDate", - "globalReference" : "3e8a58" - } + "meta" : { + "globalKey" : "bb917ef4", + "externalKey" : "FinalEquityPaymentDate" } - } ], - "dividendReinvestment" : false, - "excessDividendAmount" : "RECORD_AMOUNT", - "extraordinaryDividendsParty" : "EXTRAORDINARY_DIVIDENDS_PARTY" + } }, - "priceReturnTerms" : { - "returnType" : "TOTAL" + "meta" : { + "globalKey" : "56b8bd08", + "externalKey" : "EquityPaymentDate" } }, "underlier" : { - "meta" : { - "globalKey" : "7a5b92c5" - }, "security" : { "productIdentifier" : [ { "address" : { @@ -445,87 +527,95 @@ "value" : "productIdentifier-2" } } ], - "securityType" : "EQUITY" + "securityType" : "Equity" + }, + "meta" : { + "globalKey" : "7a5b92c5" } }, - "valuationDates" : { - "valuationDatesFinal" : { - "determinationMethod" : "HEDGE_EXECUTION", - "meta" : { - "globalKey" : "96fa6685" - }, - "valuationDate" : { - "adjustableDate" : { - "dateAdjustments" : { - "businessDayConvention" : "NOT_APPLICABLE", - "meta" : { - "globalKey" : "3a4b88ab" - } - }, - "meta" : { - "globalKey" : "252ee503" - }, - "unadjustedDate" : "2002-09-24" - }, - "meta" : { - "externalKey" : "FinalValuationDate", - "globalKey" : "252ee503" - } - } + "returnTerms" : { + "priceReturnTerms" : { + "returnType" : "Total" }, - "valuationDatesInterim" : { - "determinationMethod" : "VALUATION_TIME", - "meta" : { - "globalKey" : "374dddc6" + "dividendReturnTerms" : { + "dividendPayoutRatio" : [ { + "totalRatio" : 1 + } ], + "dividendReinvestment" : false, + "dividendEntitlement" : "ExDate", + "extraordinaryDividendsParty" : "ExtraordinaryDividendsParty", + "excessDividendAmount" : "RecordAmount", + "dividendCurrency" : { + "determinationMethod" : "DividendCurrency" }, - "valuationDates" : { - "adjustableDates" : { - "dateAdjustments" : { - "businessDayConvention" : "NOT_APPLICABLE", - "meta" : { - "globalKey" : "3a4b88ab" - } - }, - "meta" : { - "globalKey" : "e80e5233" - }, - "unadjustedDate" : [ "2001-10-12", "2001-11-13", "2001-12-12", "2002-01-14", "2002-02-12", "2002-03-12", "2002-04-12", "2002-05-13", "2002-06-12", "2002-07-12", "2002-08-12" ] + "dividendPeriod" : [ { + "startDate" : { + "dividendDate" : { + "globalReference" : "3e8a58", + "externalReference" : "TradeDate" + } }, - "meta" : { - "externalKey" : "InterimValuationDate", - "globalKey" : "e80e5233" - } - }, - "valuationTimeType" : "CLOSE" + "endDate" : { + "dividendDate" : { + "globalReference" : "edf02740", + "externalReference" : "TerminationDate" + } + }, + "dividendPaymentDate" : { + "dividendDateReference" : { + "dateReference" : "EquityPaymentDate" + } + } + } ] } - } - } ] - }, - "terminationDate" : { - "meta" : { - "externalKey" : "TerminationDate", - "globalKey" : "f18f7c48" - }, - "relativeDate" : { - "meta" : { - "globalKey" : "f18f7c48" }, - "period" : "D", - "periodMultiplier" : 0, - "businessDayConvention" : "NOT_APPLICABLE", - "dateRelativeTo" : { - "externalReference" : "FinalEquityPaymentDate", - "globalReference" : "ad48d812" + "meta" : { + "globalKey" : "8595f65f" } + } ], + "meta" : { + "globalKey" : "dd006266" } + }, + "extraordinaryEvents" : { + "mergerEvents" : { + "shareForShare" : "ModifiedCalculationAgent", + "shareForOther" : "ModifiedCalculationAgent", + "shareForCombined" : "ModifiedCalculationAgent" + }, + "tenderOfferEvents" : { + "shareForShare" : "ModifiedCalculationAgent", + "shareForOther" : "ModifiedCalculationAgent", + "shareForCombined" : "ModifiedCalculationAgent" + }, + "compositionOfCombinedConsideration" : true, + "additionalDisruptionEvents" : { + "changeInLaw" : true, + "failureToDeliver" : true, + "insolvencyFiling" : false, + "hedgingDisruption" : true, + "increasedCostOfHedging" : false, + "lossOfStockBorrow" : true, + "increasedCostOfStockBorrow" : false, + "determiningParty" : "DisruptionEventsDeterminingParty" + }, + "representations" : { + "nonReliance" : true, + "agreementsRegardingHedging" : true, + "additionalAcknowledgements" : true + }, + "nationalizationOrInsolvency" : "CancellationAndPayment" + }, + "calculationAgent" : { + "calculationAgentParty" : "CalculationAgentIndependent" } }, "meta" : { - "globalKey" : "e8c8379a" + "globalKey" : "ece94628" } }, "meta" : { - "globalKey" : "e8c8379a" + "globalKey" : "ece94628" } }, "tradeLot" : [ { @@ -537,353 +627,263 @@ } ] } ], "priceQuantity" : [ { - "meta" : { - "globalKey" : "417e440b" - }, - "observable" : { - "meta" : { - "globalKey" : "26bb033f" - }, - "productIdentifier" : [ { - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "productIdentifier-1" - } ] - }, - "value" : { - "identifier" : { - "meta" : { - "scheme" : "http://www.abc.com/instrumentId" - }, - "value" : "SHPGY.O" - }, - "meta" : { - "globalKey" : "8c85a05e" - }, - "source" : "OTHER" - } - }, { - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "productIdentifier-2" - } ] - }, - "value" : { - "identifier" : { - "value" : "Shire Pharmeceuticals Group - American Depositary Receipts" - }, - "meta" : { - "globalKey" : "5518dd" - }, - "source" : "NAME" - } - } ] - }, "price" : [ { - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-1" - } ] - }, "value" : { + "value" : 37.44, "unit" : { "currency" : { "value" : "USD" } }, - "value" : 37.44, "perUnitOf" : { - "financialUnit" : "SHARE" + "financialUnit" : "Share" }, - "priceType" : "ASSET_PRICE" - } - } ], - "quantity" : [ { + "priceType" : "AssetPrice" + }, "meta" : { "location" : [ { "scope" : "DOCUMENT", - "value" : "quantity-2" + "value" : "price-1" } ] - }, + } + } ], + "quantity" : [ { "value" : { + "value" : 760400, "unit" : { - "financialUnit" : "SHARE" - }, - "value" : 760400 - } - }, { + "financialUnit" : "Share" + } + }, "meta" : { "location" : [ { "scope" : "DOCUMENT", - "value" : "quantity-1" + "value" : "quantity-2" } ] - }, + } + }, { "value" : { + "value" : 28469376, "unit" : { "currency" : { "value" : "USD" } - }, - "value" : 28469376 + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] } - } ] - }, { - "meta" : { - "globalKey" : "7dd9ec3" - }, + } ], "observable" : { - "meta" : { - "globalKey" : "5f0c6d03" - }, - "rateOption" : { + "productIdentifier" : [ { + "value" : { + "identifier" : { + "value" : "SHPGY.O", + "meta" : { + "scheme" : "http://www.abc.com/instrumentId" + } + }, + "source" : "Other", + "meta" : { + "globalKey" : "8c85a05e" + } + }, "meta" : { "location" : [ { "scope" : "DOCUMENT", - "value" : "rateOption-1" + "value" : "productIdentifier-1" } ] - }, + } + }, { "value" : { - "floatingRateIndex" : { - "value" : "USD-LIBOR-BBA" + "identifier" : { + "value" : "Shire Pharmeceuticals Group - American Depositary Receipts" }, - "indexTenor" : { - "meta" : { - "globalKey" 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"globalKey" : "6c" + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "rateOption-1" + } ] + } + }, + "meta" : { + "globalKey" : "82801f45" + } + }, + "meta" : { + "globalKey" : "95c8caad" + } } ] - } ] - }, - "tradeDate" : { - "meta" : { - "externalKey" : "TradeDate", - "globalKey" : "3e8a58" - }, - "value" : "2001-09-24" + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "33f59568", + "externalReference" : "party2" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "33f59567", + "externalReference" : "party1" + } + } ], + "ancillaryParty" : [ { + "role" : "DisruptionEventsDeterminingParty", + "partyReference" : [ { + "globalReference" : "33f59567", + "externalReference" : "party1" + } ] + }, { + "role" : "ExtraordinaryDividendsParty", + "partyReference" : [ { + "globalReference" : "33f59567", + "externalReference" : "party1" + } ] + }, { + "role" : "CalculationAgentIndependent", + "partyReference" : [ { + "globalReference" : "33f59567", + "externalReference" : "party1" + } ] + } ], + "adjustment" : "Execution" }, - "tradeIdentifier" : [ { - "assignedIdentifier" : [ { + "party" : [ { + "partyId" : [ { "identifier" : { + "value" : "Party A", "meta" : { - "scheme" : "http://www.partyA.com/eqs-trade-id" - }, - "value" : "6234" + "scheme" : "http://www.fpml.org/coding-scheme/dummy-party-id" + } + }, + "meta" : { + "globalKey" : "33f59567" } } ], - "issuerReference" : { - "externalReference" : "party1", - "globalReference" : "33f59567" - }, "meta" : { - "globalKey" : "23a97ce8" + "globalKey" : "33f59567", + "externalKey" : "party1" } }, { - "assignedIdentifier" : [ { + "partyId" : [ { "identifier" : { + "value" : "Party B", "meta" : { - "scheme" : "http://www.partyB.com/eqs-trade-id" - }, - "value" : "6569" - } - } ], - "issuerReference" : { - "externalReference" : "party2", - "globalReference" : "33f59568" - }, - "meta" : { - "globalKey" : "23d5334e" - } - } ] - } - 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[ { - "scope" : "DOCUMENT", - "value" : "rateOption-1" - } ] - }, - "value" : { - "floatingRateIndex" : { - "value" : "USD-LIBOR-BBA" - }, - "indexTenor" : { - "period" : "M", - "periodMultiplier" : 1 - } + "globalKey" : "33f59568" } - } - }, - "price" : [ { + } ], "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-1" - } ] - }, - "value" : { - "unit" : { - "currency" : { - "value" : "USD" - } - }, - "value" : 0.002, - "arithmeticOperator" : "ADD", - "perUnitOf" : { - "currency" : { - "value" : "USD" - } - }, - "priceType" : "INTEREST_RATE" + "globalKey" : "33f59568", + "externalKey" : "party2" } } ], - "quantity" : [ { - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] - }, - "value" : { - "unit" : { - "currency" : { - "value" : "USD" - } - }, - "value" : 7500000 - } - } ] - } ], - "direction" : "INCREASE", - "lotIdentifier" : [ { - "assignedIdentifier" : [ { - "identifier" : { - "value" : "LOT-2" - } - } ] - } ] - }, - "transfer" : { - "transferState" : [ { - "transfer" : { - "payerReceiver" : { - "payerPartyReference" : { - "externalReference" : "party2", - "globalReference" : "33f59568" + "contractDetails" : { + "documentation" : [ { + "legalAgreementIdentification" : { + "agreementName" : { + "agreementType" : "MasterAgreement", + "masterAgreementType" : { + "value" : "ISDAMaster" + } + }, + "vintage" : 2002 }, - "receiverPartyReference" : { - "externalReference" : "party1", - "globalReference" : "33f59567" + "meta" : { + "globalKey" : "328cfa59" } - }, - "quantity" : { - "unit" : { - "currency" : { - "value" : "USD" + }, { + "legalAgreementIdentification" : { + "agreementName" : { + "agreementType" : "Confirmation", + "contractualDefinitionsType" : [ { + "value" : "ISDA2000" + }, { + "value" : "ISDA2002Equity" + } ] } }, - "value" : 2000.0 - }, - "settlementDate" : { - "adjustedDate" : { - "value" : "2001-09-24" + "meta" : { + "globalKey" : "ed9ef3fc" } + } ], + "governingLaw" : { + "value" : "GBEN" }, - "transferExpression" : { - "priceTransfer" : "INCREASE" + "meta" : { + "globalKey" : "92c7c587" } + }, + "meta" : { + "globalKey" : "215e4a0a" } - } ] + }, + "meta" : { + "globalKey" : "215e4a0a" + } } } } ], diff --git a/rosetta-source/src/main/resources/cdm-sample-files/functions/business-event/quantity-change/partial-termination-equity-swap-func-input.json b/rosetta-source/src/main/resources/cdm-sample-files/functions/business-event/quantity-change/partial-termination-equity-swap-func-input.json index 0c339f7b75..acd89cba55 100644 --- a/rosetta-source/src/main/resources/cdm-sample-files/functions/business-event/quantity-change/partial-termination-equity-swap-func-input.json +++ b/rosetta-source/src/main/resources/cdm-sample-files/functions/business-event/quantity-change/partial-termination-equity-swap-func-input.json @@ -1,121 +1,116 @@ { "instruction" : [ { - "before" : { - "value" : { - "meta" : { - "globalKey" : "577f7279" - }, - "trade" : { - "contractDetails" : { - "documentation" : [ { - "legalAgreementIdentification" : { - "agreementName" : { - "agreementType" : "MASTER_AGREEMENT", - "masterAgreementType" : { - "value" : "ISDA_MASTER" - } - }, - "vintage" : 2002 - }, - "meta" : { - "globalKey" : "328cfa59" + "primitiveInstruction" : { + "quantityChange" : { + "change" : [ { + "quantity" : [ { + "value" : { + "value" : 760400, + "unit" : { + "financialUnit" : "Share" } - }, { - "legalAgreementIdentification" : { - "agreementName" : { - "agreementType" : "CONFIRMATION", - "contractualDefinitionsType" : [ { - "value" : "ISDA2000" - }, { - "value" : "ISDA_2002_EQUITY" - } ] + } + }, { + "value" : { + "value" : 28469376, + "unit" : { + "currency" : { + "value" : "USD" } + } + } + } ] + } ], + "direction" : "Decrease", + "lotIdentifier" : [ { + "assignedIdentifier" : [ { + "identifier" : { + "value" : "LOT-1" + } + } ] + } ] + }, + "transfer" : { + "transferState" : [ { + "transfer" : { + "quantity" : { + "value" : 2000.0, + "unit" : { + "currency" : { + "value" : "USD" + } + } + }, + "payerReceiver" : { + "payerPartyReference" : { + "globalReference" : "33f59568", + "externalReference" : "party2" }, - "meta" : { - "globalKey" : "ed9ef3fc" + "receiverPartyReference" : { + "globalReference" : "33f59567", + "externalReference" : "party1" } - } ], - "governingLaw" : { - "value" : "GBEN" }, - "meta" : { - "globalKey" : "92c7c587" + "settlementDate" : { + "adjustedDate" : { + "value" : "2001-09-24" + } + }, + "transferExpression" : { + "priceTransfer" : "PartialTermination" } - }, - "meta" : { - "globalKey" : "ebb6d9f8" - }, - "party" : [ { - "meta" : { - "externalKey" : "party1", - "globalKey" : "33f59567" + } + } ] + } + }, + "before" : { + "value" : { + "trade" : { + "tradeIdentifier" : [ { + "issuerReference" : { + "globalReference" : "33f59567", + "externalReference" : "party1" }, - "partyId" : [ { + "assignedIdentifier" : [ { "identifier" : { + "value" : "6234", "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/dummy-party-id" - }, - "value" : "Party A" - }, - "meta" : { - "globalKey" : "33f59567" + "scheme" : "http://www.partyA.com/eqs-trade-id" + } } - } ] - }, { + } ], "meta" : { - "externalKey" : "party2", - "globalKey" : "33f59568" + "globalKey" : "9593cc32" + } + }, { + "issuerReference" : { + "globalReference" : "33f59568", + "externalReference" : "party2" }, - "partyId" : [ { + "assignedIdentifier" : [ { "identifier" : { + "value" : "6569", "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/dummy-party-id" - }, - "value" : "Party B" - }, - "meta" : { - "globalKey" : "33f59568" + "scheme" : "http://www.partyB.com/eqs-trade-id" + } } - } ] + } ], + "meta" : { + "globalKey" : "95944c36" + } } ], + "tradeDate" : { + "value" : "2001-09-24", + "meta" : { + "globalKey" : "3e8a58", + "externalKey" : "TradeDate" + } + }, "tradableProduct" : { - "adjustment" : "EXECUTION", - "ancillaryParty" : [ { - "partyReference" : [ { - "externalReference" : "party1", - "globalReference" : "33f59567" - } ], - "role" : "DISRUPTION_EVENTS_DETERMINING_PARTY" - }, { - "partyReference" : [ { - "externalReference" : "party1", - "globalReference" : "33f59567" - } ], - "role" : "EXTRAORDINARY_DIVIDENDS_PARTY" - }, { - "partyReference" : [ { - "externalReference" : "party1", - "globalReference" : "33f59567" - } ], - "role" : "CALCULATION_AGENT_INDEPENDENT" - } ], - "counterparty" : [ { - "partyReference" : { - "externalReference" : "party2", - "globalReference" : "33f59568" - }, - "role" : "PARTY_1" - }, { - "partyReference" : { - "externalReference" : "party1", - "globalReference" : "33f59567" - }, - "role" : "PARTY_2" - } ], "product" : { "contractualProduct" : { "productTaxonomy" : [ { - "source" : "OTHER", + "source" : "Other", "value" : { "name" : { "value" : "Equity:Swap:PriceReturnBasicPerformance:SingleName" @@ -126,313 +121,305 @@ "productQualifier" : "EquitySwap_TotalReturnBasicPerformance_SingleName" } ], "economicTerms" : { - 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"relativeDate" : { + "periodMultiplier" : 3, + "period" : "D", + "meta" : { + "globalKey" : "bb917ef4" + }, + "dayType" : "CurrencyBusiness", + "businessDayConvention" : "FOLLOWING", + "businessCentersReference" : { + "globalReference" : "27e4e9", + "externalReference" : "PrimaryBusinessCenter" + }, + "dateRelativeTo" : { + "globalReference" : "252ee503", + "externalReference" : "FinalValuationDate" } }, - "startDate" : { - "dividendDate" : { - "externalReference" : "TradeDate", - "globalReference" : "3e8a58" - } + "meta" : { + "globalKey" : "bb917ef4", + "externalKey" : "FinalEquityPaymentDate" } - } ], - "dividendReinvestment" : false, - "excessDividendAmount" : "RECORD_AMOUNT", - "extraordinaryDividendsParty" : "EXTRAORDINARY_DIVIDENDS_PARTY" + } }, - "priceReturnTerms" : { - "returnType" : "TOTAL" + "meta" : { + "globalKey" : "56b8bd08", + "externalKey" : "EquityPaymentDate" } }, "underlier" : { - "meta" : { - "globalKey" : "7a5b92c5" - }, "security" : { "productIdentifier" : [ { "address" : { @@ -445,87 +432,95 @@ "value" : "productIdentifier-2" } } ], - "securityType" : "EQUITY" - } - }, - "valuationDates" : { - "valuationDatesFinal" : { - "determinationMethod" : "HEDGE_EXECUTION", - "meta" : { - "globalKey" : "96fa6685" - }, - "valuationDate" : { - "adjustableDate" : { - "dateAdjustments" : { - "businessDayConvention" : "NOT_APPLICABLE", - "meta" : { - "globalKey" : "3a4b88ab" - } - }, - "meta" : { - "globalKey" : "252ee503" - }, - "unadjustedDate" : "2002-09-24" - }, - "meta" : { - "externalKey" : "FinalValuationDate", - "globalKey" : "252ee503" - } - } + "securityType" : "Equity" + }, + "meta" : { + "globalKey" : "7a5b92c5" + } + }, + "returnTerms" : { + "priceReturnTerms" : { + "returnType" : "Total" }, - "valuationDatesInterim" : { - "determinationMethod" : "VALUATION_TIME", - "meta" : { - "globalKey" : "374dddc6" + "dividendReturnTerms" : { + "dividendPayoutRatio" : [ { + "totalRatio" : 1 + } ], + "dividendReinvestment" : false, + "dividendEntitlement" : "ExDate", + "extraordinaryDividendsParty" : "ExtraordinaryDividendsParty", + "excessDividendAmount" : "RecordAmount", + "dividendCurrency" : { + "determinationMethod" : "DividendCurrency" }, - "valuationDates" : { - "adjustableDates" : { - "dateAdjustments" : { - "businessDayConvention" : "NOT_APPLICABLE", - "meta" : { - "globalKey" : "3a4b88ab" - } - }, - "meta" : { - "globalKey" : "e80e5233" - }, - "unadjustedDate" : [ "2001-10-12", "2001-11-13", "2001-12-12", "2002-01-14", "2002-02-12", "2002-03-12", "2002-04-12", "2002-05-13", "2002-06-12", "2002-07-12", "2002-08-12" ] + "dividendPeriod" : [ { + "startDate" : { + "dividendDate" : { + "globalReference" : "3e8a58", + "externalReference" : "TradeDate" + } }, - "meta" : { - "externalKey" : "InterimValuationDate", - "globalKey" : "e80e5233" + "endDate" : { + "dividendDate" : { + "globalReference" : "edf02740", + "externalReference" : "TerminationDate" + } + }, + "dividendPaymentDate" : { + "dividendDateReference" : { + "dateReference" : "EquityPaymentDate" + } } - }, - "valuationTimeType" : "CLOSE" + } ] } - } - } ] - }, - "terminationDate" : { - "meta" : { - "externalKey" : "TerminationDate", - "globalKey" : "f18f7c48" - }, - "relativeDate" : { - "meta" : { - "globalKey" : "f18f7c48" }, - "period" : "D", - "periodMultiplier" : 0, - "businessDayConvention" : "NOT_APPLICABLE", - "dateRelativeTo" : { - "externalReference" : "FinalEquityPaymentDate", - "globalReference" : "ad48d812" + "meta" : { + "globalKey" : "8595f65f" } + } ], + "meta" : { + "globalKey" : "dd006266" } + }, + "extraordinaryEvents" : { + "mergerEvents" : { + "shareForShare" : "ModifiedCalculationAgent", + "shareForOther" : "ModifiedCalculationAgent", + "shareForCombined" : "ModifiedCalculationAgent" + }, + "tenderOfferEvents" : { + "shareForShare" : "ModifiedCalculationAgent", + "shareForOther" : "ModifiedCalculationAgent", + "shareForCombined" : "ModifiedCalculationAgent" + }, + "compositionOfCombinedConsideration" : true, + "additionalDisruptionEvents" : { + "changeInLaw" : true, + "failureToDeliver" : true, + "insolvencyFiling" : false, + "hedgingDisruption" : true, + "increasedCostOfHedging" : false, + "lossOfStockBorrow" : true, + "increasedCostOfStockBorrow" : false, + "determiningParty" : "DisruptionEventsDeterminingParty" + }, + "representations" : { + "nonReliance" : true, + "agreementsRegardingHedging" : true, + "additionalAcknowledgements" : true + }, + "nationalizationOrInsolvency" : "CancellationAndPayment" + }, + "calculationAgent" : { + "calculationAgentParty" : "CalculationAgentIndependent" } }, "meta" : { - "globalKey" : "83f9e96" + "globalKey" : "c60ad24" } }, "meta" : { - "globalKey" : "83f9e96" + "globalKey" : "c60ad24" } }, "tradeLot" : [ { @@ -540,437 +535,442 @@ } } ], "priceQuantity" : [ { - "meta" : { - "globalKey" : "417e440b" - }, - "observable" : { - "meta" : { - "globalKey" : "26bb033f" - }, - "productIdentifier" : [ { - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - 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} ] - }, + } + } ], + "quantity" : [ { "value" : { + "value" : 760400, "unit" : { - "financialUnit" : "SHARE" - }, - "value" : 760400 - } - }, { + "financialUnit" : "Share" + } + }, "meta" : { "location" : [ { "scope" : "DOCUMENT", - "value" : "quantity-1" + "value" : "quantity-2" } ] - }, + } + }, { "value" : { + "value" : 28469376, "unit" : { "currency" : { "value" : "USD" } - }, - "value" : 28469376 + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] } - } ] - }, { - "meta" : { - "globalKey" : "7dd9ec3" - }, + } ], "observable" : { - "meta" : { - "globalKey" : "5f0c6d03" - }, - "rateOption" : { + "productIdentifier" : [ { + "value" : { + "identifier" : { + "value" : "SHPGY.O", + "meta" : { + "scheme" : "http://www.abc.com/instrumentId" + } + }, + "source" : "Other", + "meta" : { + "globalKey" : "8c85a05e" + } + }, "meta" : { "location" : [ { "scope" : "DOCUMENT", - "value" : "rateOption-1" + "value" : "productIdentifier-1" } ] - }, + } + 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+ "arithmeticOperator" : "Add" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-2" + } ] } } ], - "meta" : { - "globalKey" : "4542496" - } - } ], - "priceQuantity" : [ { - "meta" : { - "globalKey" : "695bc1d0" - }, "observable" : { - "meta" : { - "globalKey" : "8c85a05e" - }, - "productIdentifier" : [ { + "rateOption" : { + "value" : { + "floatingRateIndex" : { + "value" : "USD-LIBOR-BBA" + }, + "indexTenor" : { + "periodMultiplier" : 1, + "period" : "M", + "meta" : { + "globalKey" : "6c" + } + } + }, "meta" : { "location" : [ { "scope" : "DOCUMENT", - "value" : "productIdentifier-1" + "value" : "rateOption-1" } ] - }, - "value" : { - "identifier" : { - "meta" : { - "scheme" : "http://www.abc.com/instrumentId" - }, - "value" : "SHPGY.O" - }, - "meta" : { - "globalKey" : "8c85a05e" - }, - "source" : "OTHER" } - } ] + }, + "meta" : { + "globalKey" : "82801f45" + } }, + "meta" : { + "globalKey" : "95c8caad" + } + } ] + }, { + "lotIdentifier" : [ { + 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"partyReference" : { + "globalReference" : "33f59568", + "externalReference" : "party2" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "33f59567", + "externalReference" : "party1" + } + } ], + "ancillaryParty" : [ { + "role" : "DisruptionEventsDeterminingParty", + "partyReference" : [ { + "globalReference" : "33f59567", + "externalReference" : "party1" + } ] + }, { + "role" : "ExtraordinaryDividendsParty", + "partyReference" : [ { + "globalReference" : "33f59567", + "externalReference" : "party1" + } ] + }, { + "role" : "CalculationAgentIndependent", + "partyReference" : [ { + "globalReference" : "33f59567", + "externalReference" : "party1" + } ] + } ], + "adjustment" : "Execution" }, - "tradeIdentifier" : [ { - "assignedIdentifier" : [ { + "party" : [ { + "partyId" : [ { "identifier" : { + "value" : "Party A", "meta" : { - "scheme" : "http://www.partyA.com/eqs-trade-id" - }, - "value" : "6234" + "scheme" : 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"33f59568" + } ], + "contractDetails" : { + "documentation" : [ { + "legalAgreementIdentification" : { + "agreementName" : { + "agreementType" : "MasterAgreement", + "masterAgreementType" : { + "value" : "ISDAMaster" + } + }, + "vintage" : 2002 }, - "receiverPartyReference" : { - "externalReference" : "party1", - "globalReference" : "33f59567" + "meta" : { + "globalKey" : "328cfa59" } - }, - "quantity" : { - "unit" : { - "currency" : { - "value" : "USD" + }, { + "legalAgreementIdentification" : { + "agreementName" : { + "agreementType" : "Confirmation", + "contractualDefinitionsType" : [ { + "value" : "ISDA2000" + }, { + "value" : "ISDA2002Equity" + } ] } }, - "value" : 2000.0 - }, - "settlementDate" : { - "adjustedDate" : { - "meta" : { - "globalKey" : "3e8a58" - }, - "value" : "2001-09-24" + "meta" : { + "globalKey" : "ed9ef3fc" } + } ], + "governingLaw" : { + "value" : "GBEN" }, - "transferExpression" : { - "priceTransfer" : "INCREASE" + "meta" : { + "globalKey" : "92c7c587" } + }, + "meta" : { + "globalKey" : "27944cbe" } - } ] - } - }, - "primitiveInstruction" : { - "quantityChange" : { - "change" : [ { - "quantity" : [ { - "value" : { - "unit" : { - "financialUnit" : "SHARE" - }, - "value" : 760400 - } - }, { - "value" : { + }, + "transferHistory" : [ { + "transfer" : { + "quantity" : { + "value" : 2000.0, "unit" : { "currency" : { "value" : "USD" } - }, - "value" : 28469376 - } - } ] - } ], - "direction" : "DECREASE", - "lotIdentifier" : [ { - "assignedIdentifier" : [ { - "identifier" : { - "value" : "LOT-1" - } - } ] - } ] - }, - "transfer" : { - "transferState" : [ { - "transfer" : { + } + }, "payerReceiver" : { "payerPartyReference" : { - "externalReference" : "party2", - "globalReference" : "33f59568" + "globalReference" : "33f59568", + "externalReference" : "party2" }, "receiverPartyReference" : { - "externalReference" : "party1", - "globalReference" : "33f59567" + "globalReference" : "33f59567", + "externalReference" : "party1" } }, - "quantity" : { - "unit" : { - "currency" : { - "value" : "USD" - } - }, - "value" : 2000.0 - }, "settlementDate" : { "adjustedDate" : { - "value" : "2001-09-24" + "value" : "2001-09-24", + "meta" : { + "globalKey" : "3e8a58" + } } }, "transferExpression" : { - "priceTransfer" : "PARTIAL_TERMINATION" + "priceTransfer" : "Increase" } + }, + "meta" : { + "globalKey" : "2945db3" } - } ] + } ], + "meta" : { + "globalKey" : "f8a13d35" + } } } } ], diff --git a/rosetta-source/src/main/resources/cdm-sample-files/functions/business-event/quantity-change/partial-termination-vanilla-swap-func-input.json b/rosetta-source/src/main/resources/cdm-sample-files/functions/business-event/quantity-change/partial-termination-vanilla-swap-func-input.json index f0ec8615ec..fac50ce0b2 100644 --- a/rosetta-source/src/main/resources/cdm-sample-files/functions/business-event/quantity-change/partial-termination-vanilla-swap-func-input.json +++ b/rosetta-source/src/main/resources/cdm-sample-files/functions/business-event/quantity-change/partial-termination-vanilla-swap-func-input.json @@ -1,144 +1,104 @@ { "instruction" : [ { - "before" : { - "value" : { - "meta" : { - "globalKey" : "95f0e889" - }, - "trade" : { - "meta" : { - "globalKey" : "95f0e889" - }, - "party" : [ { - "businessUnit" : [ { - "meta" : { - "externalKey" : "desk1", - "globalKey" : "5c10b72e" - }, - "name" : "NY Swaps Desk" - } ], - "meta" : { - "externalKey" : "party1", - "globalKey" : "59bab2e9" - }, - "name" : { - "value" : "Bank X" - }, - "partyId" : [ { - "identifier" : { - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/iso17442" - }, - "value" : "5493001RKR55V4X61F71" - }, - "identifierType" : "LEI", - "meta" : { - "globalKey" : "d0f863bc" + "primitiveInstruction" : { + "quantityChange" : { + "change" : [ { + "quantity" : [ { + "value" : { + "value" : 3000, + "unit" : { + "currency" : { + "value" : "USD", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/iso4217" + } + } } - }, { - "identifier" : { - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/iso17442" - }, - "value" : "LEI1RPT0001" - }, - "identifierType" : "LEI" - } ], - "person" : [ { - "firstName" : "jjone", - "meta" : { - "externalKey" : "trader", - "globalKey" : "b793baa7" - }, - "personId" : [ { - "value" : { - "identifier" : { - "value" : "jjones" - }, + } + } ] + } ], + "direction" : "Decrease" + }, + "transfer" : { + "transferState" : [ { + "transfer" : { + "quantity" : { + "value" : 2000.0, + "unit" : { + "currency" : { + "value" : "USD", "meta" : { - "globalKey" : "baeb8c0d" + "scheme" : "http://www.fpml.org/coding-scheme/external/iso4217" } } - } ] - } ] - }, { - "meta" : { - "externalKey" : "party2", - "globalKey" : "b8c6cb0d" - }, - "name" : { - "value" : "Bank Y" + } }, - "partyId" : [ { - "identifier" : { - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/iso17442" - }, - "value" : "549300O5MFEP1XJ40B46" + "payerReceiver" : { + "payerPartyReference" : { + "globalReference" : "117b5169", + "externalReference" : "party1" }, - "identifierType" : "LEI", - "meta" : { - "globalKey" : "956c45f8" + "receiverPartyReference" : { + "globalReference" : "619cff8d", + "externalReference" : "party2" } - }, { - "identifier" : { - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/iso17442" - }, - "value" : "LEI2CP0002" - }, - "identifierType" : "LEI" - } ] - } ], - "partyRole" : [ { - "ownershipPartyReference" : { - "externalReference" : "party1", - "globalReference" : "59bab2e9" }, - "partyReference" : { - "externalReference" : "clearing-svc", - "globalReference" : "611719a0" + "settlementDate" : { + "adjustedDate" : { + "value" : "2018-04-01" + } }, - "role" : "CLEARING_ORGANIZATION" - }, { - "ownershipPartyReference" : { - "externalReference" : "party1", - "globalReference" : "59bab2e9" + "transferExpression" : { + "priceTransfer" : "PartialTermination" + } + } + } ] + } + }, + "before" : { + "value" : { + "trade" : { + "tradeIdentifier" : [ { + "issuer" : { + "value" : "1031234567", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/cftc/issuer-identifier" + } }, - "partyReference" : { - "externalReference" : "party1", - "globalReference" : "59bab2e9" + "assignedIdentifier" : [ { + "identifier" : { + "value" : "LEI1RPT0001KKKK", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/unique-transaction-identifier" + } + } + } ], + "meta" : { + "globalKey" : "88f03f2f" }, - "role" : "REPORTING_PARTY" + "identifierType" : "UniqueTransactionIdentifier" } ], + "tradeDate" : { + "value" : "2018-04-01", + "meta" : { + "globalKey" : "3ed88c" + } + }, "tradableProduct" : { - "counterparty" : [ { - "partyReference" : { - "externalReference" : "party1", - "globalReference" : "59bab2e9" - }, - "role" : "PARTY_1" - }, { - "partyReference" : { - "externalReference" : "party2", - "globalReference" : "b8c6cb0d" - }, - "role" : "PARTY_2" - } ], "product" : { "contractualProduct" : { "productTaxonomy" : [ { "primaryAssetClass" : { - "value" : "INTEREST_RATE" + "value" : "InterestRate" } }, { "source" : "ISDA", "value" : { "name" : { + "value" : "InterestRate:IRSwap:FixedFloat", "meta" : { "scheme" : "http://www.fpml.org/coding-scheme/product-taxonomy" - }, - "value" : "InterestRate:IRSwap:FixedFloat" + } } } }, { @@ -149,46 +109,40 @@ "payout" : { "interestRatePayout" : [ { "payerReceiver" : { - "payer" : "PARTY_1", - "receiver" : "PARTY_2" + "payer" : "Party1", + "receiver" : "Party2" }, "priceQuantity" : { - "meta" : { - "globalKey" : "0" - }, "quantitySchedule" : { "address" : { "scope" : "DOCUMENT", "value" : "quantity-1" } + }, + "meta" : { + "globalKey" : "0" } }, - "calculationPeriodDates" : { - "calculationPeriodDatesAdjustments" : { - "businessCenters" : { - "businessCentersReference" : { - "externalReference" : "primaryBusinessCenters", - "globalReference" : "27e4e9" - }, - "meta" : { - "globalKey" : "eb13047c" + "rateSpecification" : { + "floatingRate" : { + "rateOption" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "rateOption-1" } }, - "businessDayConvention" : "MODFOLLOWING", "meta" : { - "globalKey" : "214e084d" + "globalKey" : "0" } - }, - "calculationPeriodFrequency" : { - "meta" : { - "globalKey" : "12d23" - }, - "period" : "M", - "periodMultiplier" : 3, - "rollConvention" : "8" - }, + } + }, + "dayCountFraction" : { + "value" : "ACT/360" + }, + "calculationPeriodDates" : { "effectiveDate" : { "adjustableDate" : { + "unadjustedDate" : "2014-04-03", "dateAdjustments" : { "businessDayConvention" : "NONE", "meta" : { @@ -197,103 +151,108 @@ }, "meta" : { "globalKey" : "ec0f7dc0" - }, - "unadjustedDate" : "2014-04-03" + } }, "meta" : { "globalKey" : "ec0f7dc0" } }, - "meta" : { - "externalKey" : "floatingCalcPeriodDates", - "globalKey" : "b2f33a02" - }, "terminationDate" : { "adjustableDate" : { + "unadjustedDate" : "2025-04-01", "dateAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", "businessCenters" : { "businessCenter" : [ { "value" : "USNY" } ], "meta" : { - "externalKey" : "primaryBusinessCenters", - "globalKey" : "27e4e9" + "globalKey" : "27e4e9", + "externalKey" : "primaryBusinessCenters" } }, - "businessDayConvention" : "MODFOLLOWING", "meta" : { "globalKey" : "3662e8ba" } }, "meta" : { "globalKey" : "6d96fd32" - }, - "unadjustedDate" : "2025-04-01" + } }, "meta" : { "globalKey" : "6d96fd32" } - } - }, - "dayCountFraction" : { - "value" : "ACT/360" - }, - "meta" : { - "globalKey" : "ea93e6d" - }, - "paymentDates" : { - "meta" : { - "globalKey" : "4fa45fc3" }, - "payRelativeTo" : "CALCULATION_PERIOD_END_DATE", - "paymentDatesAdjustments" : { + "calculationPeriodDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", "businessCenters" : { "businessCentersReference" : { - "externalReference" : "primaryBusinessCenters", - "globalReference" : "27e4e9" + "globalReference" : "27e4e9", + "externalReference" : "primaryBusinessCenters" }, "meta" : { "globalKey" : "eb13047c" } }, - "businessDayConvention" : "MODFOLLOWING", "meta" : { "globalKey" : "214e084d" } }, - "paymentFrequency" : { + "calculationPeriodFrequency" : { + "periodMultiplier" : 3, + "period" : "M", "meta" : { - "globalKey" : "956" + "globalKey" : "204f" }, - "period" : "M", - "periodMultiplier" : 3 + "rollConvention" : "8" + }, + "meta" : { + "globalKey" : "8238af6a", + "externalKey" : "floatingCalcPeriodDates" } }, - "rateSpecification" : { - "floatingRate" : { + "paymentDates" : { + "paymentFrequency" : { + "periodMultiplier" : 3, + "period" : "M", "meta" : { - "globalKey" : "0" - }, - "rateOption" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "rateOption-1" + "globalKey" : "aa" + } + }, + "payRelativeTo" : "CalculationPeriodEndDate", + "paymentDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCentersReference" : { + "globalReference" : "27e4e9", + "externalReference" : "primaryBusinessCenters" + }, + "meta" : { + "globalKey" : "eb13047c" } + }, + "meta" : { + "globalKey" : "214e084d" } + }, + "meta" : { + "globalKey" : "db523fbd" } }, "resetDates" : { "calculationPeriodDatesReference" : { - "externalReference" : "floatingCalcPeriodDates", - "globalReference" : "b2f33a02" + "globalReference" : "8238af6a", + "externalReference" : "floatingCalcPeriodDates" }, + "resetRelativeTo" : "CalculationPeriodStartDate", "fixingDates" : { + "periodMultiplier" : -2, + "period" : "D", "meta" : { - "globalKey" : "131ae8a2" + "globalKey" : "eff6d356" }, - "period" : "D", - "periodMultiplier" : -2, - "dayType" : "BUSINESS", + "dayType" : "Business", + "businessDayConvention" : "NONE", "businessCenters" : { "businessCenter" : [ { "value" : "GBLO" @@ -302,82 +261,79 @@ "globalKey" : "21479e" } }, - "businessDayConvention" : "NONE", "dateRelativeTo" : { - "externalReference" : "resetDates", - "globalReference" : "dbde6647" + "globalReference" : "6fc3cf5", + "externalReference" : "resetDates" } }, - "meta" : { - "externalKey" : "resetDates", - "globalKey" : "dbde6647" + "resetFrequency" : { + "periodMultiplier" : 3, + "period" : "M", + "meta" : { + "globalKey" : "aa" + } }, "resetDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", "businessCenters" : { "businessCentersReference" : { - "externalReference" : "primaryBusinessCenters", - "globalReference" : "27e4e9" + "globalReference" : "27e4e9", + "externalReference" : "primaryBusinessCenters" }, "meta" : { "globalKey" : "eb13047c" } }, - "businessDayConvention" : "MODFOLLOWING", "meta" : { "globalKey" : "214e084d" } }, - "resetFrequency" : { - "meta" : { - "globalKey" : "956" - }, - "period" : "M", - "periodMultiplier" : 3 - }, - "resetRelativeTo" : "CALCULATION_PERIOD_START_DATE" + "meta" : { + "globalKey" : "6fc3cf5", + "externalKey" : "resetDates" + } + }, + "meta" : { + "globalKey" : "c669c2fd" } }, { "payerReceiver" : { - "payer" : "PARTY_2", - "receiver" : "PARTY_1" + "payer" : "Party2", + "receiver" : "Party1" }, "priceQuantity" : { - "meta" : { - "globalKey" : "0" - }, "quantitySchedule" : { "address" : { "scope" : "DOCUMENT", "value" : "quantity-2" } + }, + "meta" : { + "globalKey" : "0" } }, - "calculationPeriodDates" : { - "calculationPeriodDatesAdjustments" : { - "businessCenters" : { - "businessCentersReference" : { - "externalReference" : "primaryBusinessCenters", - "globalReference" : "27e4e9" - }, - "meta" : { - "globalKey" : "eb13047c" + "rateSpecification" : { + "fixedRate" : { + "rateSchedule" : { + "price" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "price-1" + } } }, - "businessDayConvention" : "MODFOLLOWING", "meta" : { - "globalKey" : "214e084d" + "globalKey" : "0" } - }, - "calculationPeriodFrequency" : { - "meta" : { - "globalKey" : "12d80" - }, - "period" : "M", - "periodMultiplier" : 6, - "rollConvention" : "8" - }, + } + }, + "dayCountFraction" : { + "value" : "30E/360" + }, + "calculationPeriodDates" : { "effectiveDate" : { "adjustableDate" : { + "unadjustedDate" : "2018-04-03", "dateAdjustments" : { "businessDayConvention" : "NONE", "meta" : { @@ -386,292 +342,336 @@ }, "meta" : { "globalKey" : "ec0f7dc0" - }, - "unadjustedDate" : "2018-04-03" + } }, "meta" : { "globalKey" : "ec0f7dc0" } }, - "meta" : { - "externalKey" : "fixedCalcPeriodDates", - "globalKey" : "ab709858" - }, "terminationDate" : { "adjustableDate" : { + "unadjustedDate" : "2025-04-01", "dateAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", "businessCenters" : { "businessCentersReference" : { - "externalReference" : "primaryBusinessCenters", - "globalReference" : "27e4e9" + "globalReference" : "27e4e9", + "externalReference" : "primaryBusinessCenters" }, "meta" : { "globalKey" : "eb13047c" } }, - "businessDayConvention" : "MODFOLLOWING", "meta" : { "globalKey" : "214e084d" } }, "meta" : { "globalKey" : "58821cc5" - }, - "unadjustedDate" : "2025-04-01" + } }, "meta" : { "globalKey" : "58821cc5" } - } - }, - "dayCountFraction" : { - "value" : "30E/360" - }, - "meta" : { - "globalKey" : "43fa7ecc" - }, - "paymentDates" : { - "meta" : { - "globalKey" : "4fa45fc6" }, - "payRelativeTo" : "CALCULATION_PERIOD_END_DATE", - "paymentDatesAdjustments" : { + "calculationPeriodDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", "businessCenters" : { "businessCentersReference" : { - "externalReference" : "primaryBusinessCenters", - "globalReference" : "27e4e9" + "globalReference" : "27e4e9", + "externalReference" : "primaryBusinessCenters" }, "meta" : { "globalKey" : "eb13047c" } }, - "businessDayConvention" : "MODFOLLOWING", "meta" : { "globalKey" : "214e084d" } }, - "paymentFrequency" : { + "calculationPeriodFrequency" : { + "periodMultiplier" : 6, + "period" : "M", "meta" : { - "globalKey" : "959" + "globalKey" : "2b92" }, - "period" : "M", - "periodMultiplier" : 6 + "rollConvention" : "8" + }, + "meta" : { + "globalKey" : "da8c707a", + "externalKey" : "fixedCalcPeriodDates" } }, - "rateSpecification" : { - "fixedRate" : { + "paymentDates" : { + "paymentFrequency" : { + "periodMultiplier" : 6, + "period" : "M", "meta" : { - "globalKey" : "0" - }, - "rateSchedule" : { - "price" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "price-1" - } + "globalKey" : "107" + } + }, + "payRelativeTo" : "CalculationPeriodEndDate", + "paymentDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCentersReference" : { + "globalReference" : "27e4e9", + "externalReference" : "primaryBusinessCenters" + }, + "meta" : { + "globalKey" : "eb13047c" } + }, + "meta" : { + "globalKey" : "214e084d" } + }, + "meta" : { + "globalKey" : "7a04f180" } + }, + "meta" : { + "globalKey" : "2e11b2a4" } } ], "meta" : { - "globalKey" : "651264f9" + "globalKey" : "8d36961" } } }, "meta" : { - "globalKey" : "50547e95" + "globalKey" : "f41582fd" } }, "meta" : { - "globalKey" : "50547e95" + "globalKey" : "f41582fd" } }, "tradeLot" : [ { "priceQuantity" : [ { - "meta" : { - "globalKey" : "975cb782" - }, - "observable" : { - "meta" : { - "globalKey" : "5f0c6d05" - }, - "rateOption" : { - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "rateOption-1" - } ] - }, - "value" : { - "floatingRateIndex" : { - "value" : "USD-LIBOR-BBA" - }, - "indexTenor" : { + "quantity" : [ { + "value" : { + "value" : 10000, + "unit" : { + "currency" : { + "value" : "USD", "meta" : { - "globalKey" : "956" - }, - "period" : "M", - "periodMultiplier" : 3 + "scheme" : "http://www.fpml.org/coding-scheme/external/iso4217" + } } } - } - }, - "quantity" : [ { + }, "meta" : { "location" : [ { "scope" : "DOCUMENT", "value" : "quantity-1" } ] - }, - "value" : { - "unit" : { - "currency" : { + } + } ], + "observable" : { + "rateOption" : { + "value" : { + "floatingRateIndex" : { + "value" : "USD-LIBOR-BBA" + }, + "indexTenor" : { + "periodMultiplier" : 3, + "period" : "M", "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/iso4217" - }, - "value" : "USD" + "globalKey" : "aa" + } } }, - "value" : 10000 + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "rateOption-1" + } ] + } + }, + "meta" : { + "globalKey" : "828026c7" } - } ] - }, { - "meta" : { - "globalKey" : "37b2000e" }, + "meta" : { + "globalKey" : "a032462e" + } + }, { "price" : [ { - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-1" - } ] - }, "value" : { + "value" : 0.0253, "unit" : { "currency" : { + "value" : "USD", "meta" : { "scheme" : "http://www.fpml.org/coding-scheme/external/iso4217" - }, - "value" : "USD" + } } }, - "value" : 0.0253, "perUnitOf" : { "currency" : { + "value" : "USD", "meta" : { "scheme" : "http://www.fpml.org/coding-scheme/external/iso4217" - }, - "value" : "USD" + } } }, - "priceType" : "INTEREST_RATE" - } - } ], - "quantity" : [ { + "priceType" : "InterestRate" + }, "meta" : { "location" : [ { "scope" : "DOCUMENT", - "value" : "quantity-2" + "value" : "price-1" } ] - }, + } + } ], + "quantity" : [ { "value" : { + "value" : 10000, "unit" : { "currency" : { + "value" : "USD", "meta" : { "scheme" : "http://www.fpml.org/coding-scheme/external/iso4217" - }, - "value" : "USD" + } } - }, - "value" : 10000 + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } ] } - } ] + } ], + "meta" : { + "globalKey" : "be8e01b2" + } } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "117b5169", + "externalReference" : "party1" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "619cff8d", + "externalReference" : "party2" + } } ] }, - "tradeDate" : { - "meta" : { - "globalKey" : "3ed88c" - }, - "value" : "2018-04-01" - }, - "tradeIdentifier" : [ { - "assignedIdentifier" : [ { + "party" : [ { + "partyId" : [ { "identifier" : { + "value" : "5493001RKR55V4X61F71", "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/unique-transaction-identifier" - }, - "value" : "LEI1RPT0001KKKK" - } - } ], - "issuer" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/iso17442" + } + }, + "identifierType" : "LEI", "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/cftc/issuer-identifier" + "globalKey" : "d0f863bc" + } + }, { + "identifier" : { + "value" : "LEI1RPT0001", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/iso17442" + } }, - "value" : "1031234567" - }, - "meta" : { - "globalKey" : "f07e39ef" + "identifierType" : "LEI" + } ], + "name" : { + "value" : "Bank X" }, - "identifierType" : "UNIQUE_TRANSACTION_IDENTIFIER" - } ] - } - } - }, - "primitiveInstruction" : { - "quantityChange" : { - "change" : [ { - "quantity" : [ { - "value" : { - "unit" : { - "currency" : { - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/iso4217" + "businessUnit" : [ { + "name" : "NY Swaps Desk", + "meta" : { + "globalKey" : "5c10b72e", + "externalKey" : "desk1" + } + } ], + "person" : [ { + "personId" : [ { + "value" : { + "identifier" : { + "value" : "jjones" }, - "value" : "USD" + "meta" : { + "globalKey" : "baeb8c0d" + } } - }, - "value" : 3000 + } ], + "firstName" : "jjone", + "meta" : { + "globalKey" : "b793baa7", + "externalKey" : "trader" + } + } ], + "meta" : { + "globalKey" : "117b5169", + "externalKey" : "party1" } - } ] - } ], - "direction" : "DECREASE" - }, - "transfer" : { - "transferState" : [ { - "transfer" : { - "payerReceiver" : { - "payerPartyReference" : { - "externalReference" : "party1", - "globalReference" : "59bab2e9" + }, { + "partyId" : [ { + "identifier" : { + "value" : "549300O5MFEP1XJ40B46", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/iso17442" + } }, - "receiverPartyReference" : { - "externalReference" : "party2", - "globalReference" : "b8c6cb0d" + "identifierType" : "LEI", + "meta" : { + "globalKey" : "956c45f8" } - }, - "quantity" : { - "unit" : { - "currency" : { - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/iso4217" - }, - "value" : "USD" + }, { + "identifier" : { + "value" : "LEI2CP0002", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/iso17442" } }, - "value" : 2000.0 + "identifierType" : "LEI" + } ], + "name" : { + "value" : "Bank Y" }, - "settlementDate" : { - "adjustedDate" : { - "value" : "2018-04-01" - } + "meta" : { + "globalKey" : "619cff8d", + "externalKey" : "party2" + } + } ], + "partyRole" : [ { + "partyReference" : { + "globalReference" : "f6a6cc60", + "externalReference" : "clearing-svc" }, - "transferExpression" : { - "priceTransfer" : "PARTIAL_TERMINATION" + "role" : "ClearingOrganization", + "ownershipPartyReference" : { + "globalReference" : "117b5169", + "externalReference" : "party1" } + }, { + "partyReference" : { + "globalReference" : "117b5169", + "externalReference" : "party1" + }, + "role" : "ReportingParty", + "ownershipPartyReference" : { + "globalReference" : "117b5169", + "externalReference" : "party1" + } + } ], + "meta" : { + "globalKey" : "5f7140a1" } - } ] + }, + "meta" : { + "globalKey" : "5f7140a1" + } } } } ], diff --git a/rosetta-source/src/main/resources/cdm-sample-files/functions/business-event/stock-split/stock-split-equity-swap-func-input.json b/rosetta-source/src/main/resources/cdm-sample-files/functions/business-event/stock-split/stock-split-equity-swap-func-input.json index 92cbe3fdc7..a20dcac167 100644 --- a/rosetta-source/src/main/resources/cdm-sample-files/functions/business-event/stock-split/stock-split-equity-swap-func-input.json +++ b/rosetta-source/src/main/resources/cdm-sample-files/functions/business-event/stock-split/stock-split-equity-swap-func-input.json @@ -1,121 +1,59 @@ { "instruction" : [ { + "primitiveInstruction" : { + "stockSplit" : { + "adjustmentRatio" : 2.0, + "effectiveDate" : "2001-11-03" + } + }, "before" : { "value" : { - "meta" : { - "globalKey" : "50a0c404" - }, "trade" : { - "contractDetails" : { - "documentation" : [ { - "legalAgreementIdentification" : { - "agreementName" : { - "agreementType" : "MASTER_AGREEMENT", - "masterAgreementType" : { - "value" : "ISDA_MASTER" - } - }, - "vintage" : 2002 - }, - "meta" : { - "globalKey" : "328cfa59" - } - }, { - "legalAgreementIdentification" : { - "agreementName" : { - "agreementType" : "CONFIRMATION", - "contractualDefinitionsType" : [ { - "value" : "ISDA2000" - }, { - "value" : "ISDA_2002_EQUITY" - } ] + "tradeIdentifier" : [ { + "issuerReference" : { + "globalReference" : "33f59567", + "externalReference" : "party1" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "6234", + "meta" : { + "scheme" : "http://www.partyA.com/eqs-trade-id" } - }, - "meta" : { - "globalKey" : "ed9ef3fc" } } ], - "governingLaw" : { - "value" : "GBEN" - }, "meta" : { - "globalKey" : "92c7c587" + "globalKey" : "9593cc32" } - }, - "meta" : { - "globalKey" : "50a0c404" - }, - "party" : [ { - "meta" : { - "externalKey" : "party1", - "globalKey" : "33f59567" - }, - "partyId" : [ { - "identifier" : { - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/dummy-party-id" - }, - "value" : "Party A" - }, - "meta" : { - "globalKey" : "33f59567" - } - } ] }, { - "meta" : { - "externalKey" : "party2", - "globalKey" : "33f59568" + "issuerReference" : { + "globalReference" : "33f59568", + "externalReference" : "party2" }, - "partyId" : [ { + "assignedIdentifier" : [ { "identifier" : { + "value" : "6569", "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/dummy-party-id" - }, - "value" : "Party B" - }, - "meta" : { - "globalKey" : "33f59568" + "scheme" : "http://www.partyB.com/eqs-trade-id" + } } - } ] + } ], + "meta" : { + "globalKey" : "95944c36" + } } ], + "tradeDate" : { + "value" : "2001-09-24", + "meta" : { + "globalKey" : "3e8a58", + "externalKey" : "TradeDate" + } + }, "tradableProduct" : { - "adjustment" : "EXECUTION", - "ancillaryParty" : [ { - "partyReference" : [ { - "externalReference" : "party1", - "globalReference" : "33f59567" 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"additionalDisruptionEvents" : { + "changeInLaw" : true, + "failureToDeliver" : true, + "insolvencyFiling" : false, + "hedgingDisruption" : true, + "increasedCostOfHedging" : false, + "lossOfStockBorrow" : true, + "increasedCostOfStockBorrow" : false, + "determiningParty" : "DisruptionEventsDeterminingParty" + }, + "representations" : { + "nonReliance" : true, + "agreementsRegardingHedging" : true, + "additionalAcknowledgements" : true + }, + "nationalizationOrInsolvency" : "CancellationAndPayment" + }, + "calculationAgent" : { + "calculationAgentParty" : "CalculationAgentIndependent" } }, "meta" : { - "globalKey" : "e8c8379a" + "globalKey" : "ece94628" } }, "meta" : { - "globalKey" : "e8c8379a" + "globalKey" : "ece94628" } }, "tradeLot" : [ { "priceQuantity" : [ { - "meta" : { - "globalKey" : "417e440b" - }, - "observable" : { - "meta" : { - "globalKey" : "26bb033f" - }, - "productIdentifier" : [ { - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "productIdentifier-1" - } ] - }, - "value" : { - "identifier" : { - "meta" : { - "scheme" : "http://www.abc.com/instrumentId" - }, - "value" : "SHPGY.O" - }, - "meta" : { - "globalKey" : "8c85a05e" - }, - "source" : "OTHER" - } - }, { - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "productIdentifier-2" - } ] - }, - "value" : { - "identifier" : { - "value" : "Shire Pharmeceuticals Group - American Depositary Receipts" - }, - "meta" : { - "globalKey" : "5518dd" - }, - "source" : "NAME" - } - } ] - }, "price" : [ { - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-1" - } ] - }, "value" : { + "value" : 37.44, "unit" : { "currency" : { "value" : "USD" } }, - "value" : 37.44, "perUnitOf" : { - "financialUnit" : "SHARE" + "financialUnit" : "Share" }, - "priceType" : "ASSET_PRICE" - } - } ], - "quantity" : [ { + "priceType" : "AssetPrice" + }, "meta" : { "location" : [ { "scope" : "DOCUMENT", - "value" : "quantity-2" + "value" : "price-1" } ] - }, + } + } ], + "quantity" : [ { "value" : { + "value" : 760400, "unit" : { - "financialUnit" : "SHARE" - }, - "value" : 760400 - } - }, { + "financialUnit" : "Share" + } + }, "meta" : { "location" : [ { "scope" : "DOCUMENT", - "value" : "quantity-1" + "value" : "quantity-2" } ] - }, + } + }, { "value" : { + "value" : 28469376, "unit" : { "currency" : { "value" : "USD" } - }, - "value" : 28469376 + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] } - } ] - }, { - "meta" : { - "globalKey" : "7dd9ec3" - }, + } ], "observable" : { - "meta" : { - "globalKey" : "5f0c6d03" - }, - "rateOption" : { + "productIdentifier" : [ { + "value" : { + "identifier" : { + "value" : "SHPGY.O", + "meta" : { + "scheme" : "http://www.abc.com/instrumentId" + } + }, + "source" : "Other", + "meta" : { + "globalKey" : "8c85a05e" + } + }, "meta" : { "location" : [ { "scope" : "DOCUMENT", - "value" : "rateOption-1" + "value" : "productIdentifier-1" } ] - }, + } + }, { "value" : { - "floatingRateIndex" : { - "value" : "USD-LIBOR-BBA" + "identifier" : { + "value" : "Shire Pharmeceuticals Group - American Depositary Receipts" }, - "indexTenor" : { - "meta" : { - "globalKey" : "954" - }, - "period" : "M", - "periodMultiplier" : 1 + "source" : "Name", + "meta" : { + "globalKey" : "5518dd" } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "productIdentifier-2" + } ] } + } ], + "meta" : { + "globalKey" : "b0a564a1" } }, + "meta" : { + "globalKey" : "b4fad14b" + } + }, { "price" : [ { - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-2" - } ] - }, "value" : { + "value" : 0.0020, "unit" : { "currency" : { "value" : "USD" } }, - "value" : 0.0020, - "arithmeticOperator" : "ADD", "perUnitOf" : { "currency" : { "value" : "USD" } }, - "priceType" : "INTEREST_RATE" + "priceType" : "InterestRate", + "arithmeticOperator" : "Add" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-2" + } ] } - } ] + } ], + "observable" : { + "rateOption" : { + "value" : { + "floatingRateIndex" : { + "value" : "USD-LIBOR-BBA" + }, + "indexTenor" : { + "periodMultiplier" : 1, + "period" : "M", + "meta" : { + "globalKey" : "6c" + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "rateOption-1" + } ] + } + }, + "meta" : { + "globalKey" : "82801f45" + } + }, + "meta" : { + "globalKey" : "95c8caad" + } } ] - } ] - }, - "tradeDate" : { - "meta" : { - "externalKey" : "TradeDate", - "globalKey" : "3e8a58" - }, - "value" : "2001-09-24" + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "33f59568", + "externalReference" : "party2" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "33f59567", + "externalReference" : "party1" + } + } ], + "ancillaryParty" : [ { + "role" : "DisruptionEventsDeterminingParty", + "partyReference" : [ { + "globalReference" : "33f59567", + "externalReference" : "party1" + } ] + }, { + "role" : "ExtraordinaryDividendsParty", + "partyReference" : [ { + "globalReference" : "33f59567", + "externalReference" : "party1" + } ] + }, { + "role" : "CalculationAgentIndependent", + "partyReference" : [ { + "globalReference" : "33f59567", + "externalReference" : "party1" + } ] + } ], + "adjustment" : "Execution" }, - "tradeIdentifier" : [ { - "assignedIdentifier" : [ { + "party" : [ { + "partyId" : [ { "identifier" : { + "value" : "Party A", "meta" : { - "scheme" : "http://www.partyA.com/eqs-trade-id" - }, - "value" : "6234" + "scheme" : "http://www.fpml.org/coding-scheme/dummy-party-id" + } + }, + "meta" : { + "globalKey" : "33f59567" } } ], - "issuerReference" : { - "externalReference" : "party1", - "globalReference" : "33f59567" - }, "meta" : { - "globalKey" : "23a97ce8" + "globalKey" : "33f59567", + "externalKey" : "party1" } }, { - "assignedIdentifier" : [ { + "partyId" : [ { "identifier" : { + "value" : "Party B", "meta" : { - "scheme" : "http://www.partyB.com/eqs-trade-id" + "scheme" : "http://www.fpml.org/coding-scheme/dummy-party-id" + } + }, + "meta" : { + "globalKey" : "33f59568" + } + } ], + "meta" : { + "globalKey" : "33f59568", + "externalKey" : "party2" + } + } ], + "contractDetails" : { + "documentation" : [ { + "legalAgreementIdentification" : { + "agreementName" : { + "agreementType" : "MasterAgreement", + "masterAgreementType" : { + "value" : "ISDAMaster" + } }, - "value" : "6569" + "vintage" : 2002 + }, + "meta" : { + "globalKey" : "328cfa59" + } + }, { + "legalAgreementIdentification" : { + "agreementName" : { + "agreementType" : "Confirmation", + "contractualDefinitionsType" : [ { + "value" : "ISDA2000" + }, { + "value" : "ISDA2002Equity" + } ] + } + }, + "meta" : { + "globalKey" : "ed9ef3fc" } } ], - "issuerReference" : { - "externalReference" : "party2", - "globalReference" : "33f59568" + "governingLaw" : { + "value" : "GBEN" }, "meta" : { - "globalKey" : "23d5334e" + "globalKey" : "92c7c587" } - } ] + }, + "meta" : { + "globalKey" : "215e4a0a" + } + }, + "meta" : { + "globalKey" : "215e4a0a" } } - }, - "primitiveInstruction" : { - "stockSplit" : { - "adjustmentRatio" : 2.0, - "effectiveDate" : "2001-11-03" - } } } ], - "intent" : "CORPORATE_ACTION_ADJUSTMENT", + "intent" : "CorporateActionAdjustment", "eventDate" : "2001-11-01", "effectiveDate" : null } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/cdm-sample-files/functions/eligible-collateral/merge-criteria-func-input.json b/rosetta-source/src/main/resources/cdm-sample-files/functions/eligible-collateral/merge-criteria-func-input.json index d0130e514f..7c44b28d92 100644 --- a/rosetta-source/src/main/resources/cdm-sample-files/functions/eligible-collateral/merge-criteria-func-input.json +++ b/rosetta-source/src/main/resources/cdm-sample-files/functions/eligible-collateral/merge-criteria-func-input.json @@ -1,145 +1,145 @@ { "common" : { - "asset" : [ { - "collateralAssetType" : [ { - "assetType" : "SECURITY", - "securityType" : "DEBT" - } ] - } ], "issuer" : [ { + "issuerType" : [ { + "issuerType" : "SovereignCentralBank" + } ], "issuerCountryOfOrigin" : [ { + "value" : "GB", "meta" : { "scheme" : "http://www.fpml.org/coding-scheme/external/iso3166" - }, - "value" : "GB" - } ], - "issuerType" : [ { - "issuerType" : "SOVEREIGN_CENTRAL_BANK" + } + } ] + } ], + "asset" : [ { + "collateralAssetType" : [ { + "assetType" : "Security", + "securityType" : "Debt" } ] } ] }, "variable" : [ { "asset" : [ { + "maturityType" : "RemainingMaturity", "maturityRange" : { "lowerBound" : { - "inclusive" : true, "period" : { - "period" : "Y", - "periodMultiplier" : 0 - } + "periodMultiplier" : 0, + "period" : "Y" + }, + "inclusive" : true }, "upperBound" : { - "inclusive" : false, "period" : { - "period" : "Y", - "periodMultiplier" : 1 - } + "periodMultiplier" : 1, + "period" : "Y" + }, + "inclusive" : false } - }, - "maturityType" : "REMAINING_MATURITY" + } } ], "treatment" : { - "isIncluded" : true, "valuationTreatment" : { "haircutPercentage" : 0.97 - } + }, + "isIncluded" : true } }, { "asset" : [ { + "maturityType" : "RemainingMaturity", "maturityRange" : { "lowerBound" : { - "inclusive" : true, "period" : { - "period" : "Y", - "periodMultiplier" : 1 - } + "periodMultiplier" : 1, + "period" : "Y" + }, + "inclusive" : true }, "upperBound" : { - "inclusive" : false, "period" : { - "period" : "Y", - "periodMultiplier" : 5 - } + "periodMultiplier" : 5, + "period" : "Y" + }, + "inclusive" : false } - }, - "maturityType" : "REMAINING_MATURITY" + } } ], "treatment" : { - "isIncluded" : true, "valuationTreatment" : { "haircutPercentage" : 0.96 - } + }, + "isIncluded" : true } }, { "asset" : [ { + "maturityType" : "RemainingMaturity", "maturityRange" : { "lowerBound" : { - "inclusive" : true, "period" : { - "period" : "Y", - "periodMultiplier" : 5 - } + "periodMultiplier" : 5, + "period" : "Y" + }, + "inclusive" : true }, "upperBound" : { - "inclusive" : false, "period" : { - "period" : "Y", - "periodMultiplier" : 10 - } + "periodMultiplier" : 10, + "period" : "Y" + }, + "inclusive" : false } - }, - "maturityType" : "REMAINING_MATURITY" + } } ], "treatment" : { - "isIncluded" : true, "valuationTreatment" : { "haircutPercentage" : 0.95 - } + }, + "isIncluded" : true } }, { "asset" : [ { + "maturityType" : "RemainingMaturity", "maturityRange" : { "lowerBound" : { - "inclusive" : true, "period" : { - "period" : "Y", - "periodMultiplier" : 10 - } + "periodMultiplier" : 10, + "period" : "Y" + }, + "inclusive" : true }, "upperBound" : { - "inclusive" : false, "period" : { - "period" : "Y", - "periodMultiplier" : 30 - } + "periodMultiplier" : 30, + "period" : "Y" + }, + "inclusive" : false } - }, - "maturityType" : "REMAINING_MATURITY" + } } ], "treatment" : { - "isIncluded" : true, "valuationTreatment" : { "haircutPercentage" : 0.93 - } + }, + "isIncluded" : true } }, { "asset" : [ { + "maturityType" : "RemainingMaturity", "maturityRange" : { "lowerBound" : { - "inclusive" : true, "period" : { - "period" : "Y", - "periodMultiplier" : 30 - } + "periodMultiplier" : 30, + "period" : "Y" + }, + "inclusive" : true } - }, - "maturityType" : "REMAINING_MATURITY" + } } ], "treatment" : { - "isIncluded" : true, "valuationTreatment" : { "haircutPercentage" : 0.9 - } + }, + "isIncluded" : true } } ] } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/cdm-sample-files/functions/repo-and-bond/cancellation-input.json b/rosetta-source/src/main/resources/cdm-sample-files/functions/repo-and-bond/cancellation-input.json index 98ccabf051..3c420032a7 100644 --- a/rosetta-source/src/main/resources/cdm-sample-files/functions/repo-and-bond/cancellation-input.json +++ b/rosetta-source/src/main/resources/cdm-sample-files/functions/repo-and-bond/cancellation-input.json @@ -1,75 +1,133 @@ { "instruction" : [ { - "before" : { - "value" : { - "meta" : { - "globalKey" : "eaf9dc6e" - }, - "state" : { - "positionState" : "FORMED" - }, - "trade" : { - "meta" : { - "globalKey" : "b9aaf231" - }, - "party" : [ { - "meta" : { - "externalKey" : "GlobalBank", - "globalKey" : "296093b7" - }, - "name" : { - "value" : "Global Bank Inc" - } - }, { - "meta" : { - "externalKey" : "UkBank", - "globalKey" : "1ef4886d" - }, - "name" : { - "value" : "UK Bank plc" - } - } ], - "partyRole" : [ { - "partyReference" : { - "externalReference" : "GlobalBank", - "globalReference" : "296093b7" - }, - "role" : "SELLER" - }, { - "partyReference" : { - "externalReference" : "UkBank", - "globalReference" : "1ef4886d" - }, - "role" : "BUYER" - } ], - "tradableProduct" : { - "counterparty" : [ { - "partyReference" : { + "primitiveInstruction" : { + "split" : { + "breakdown" : [ { + "quantityChange" : { + "change" : [ { + "quantity" : [ { "value" : { - "meta" : { - "externalKey" : "GlobalBank", - "globalKey" : "296093b7" + "value" : 0.0, + "unit" : { + "currency" : { + "value" : "GBP" + } + } + } + } ], + "meta" : { + "globalKey" : "16e4a5" + } + } ], + "direction" : "Replace" + } + }, { + "quantityChange" : { + "change" : [ { + "price" : [ { + "value" : { + "value" : 0.004, + "unit" : { + "currency" : { + "value" : "GBP" + } }, - "name" : { - "value" : "Global Bank Inc" + "perUnitOf" : { + "currency" : { + "value" : "GBP" + } + }, + "priceType" : "InterestRate" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-1" + } ] + } + } ], + "quantity" : [ { + "value" : { + "value" : 9974250, + "unit" : { + "currency" : { + "value" : "GBP" + } } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] } - }, - "role" : "PARTY_1" + } ], + "meta" : { + "globalKey" : "ae7919fa" + } }, { - "partyReference" : { + "price" : [ { "value" : { - "meta" : { - "externalKey" : "UkBank", - "globalKey" : "1ef4886d" + "value" : 1.0075, + "unit" : { + "currency" : { + "value" : "GBP" + } }, - "name" : { - "value" : "UK Bank plc" + "perUnitOf" : { + "currency" : { + "value" : "GBP" + } + }, + "priceType" : "AssetPrice", + "priceExpression" : "PercentageOfNotional" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-2" + } ] + } + } ], + "quantity" : [ { + "value" : { + "value" : 10000000, + "unit" : { + "currency" : { + "value" : "GBP" + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } ] + } + } ], + "observable" : { + "productIdentifier" : [ { + "value" : { + "identifier" : { + "value" : "GB00B24FF097" + }, + "source" : "ISIN", + "meta" : { + "globalKey" : "1ad6d034" + } } + } ], + "meta" : { + "globalKey" : "1ad6d034" } }, - "role" : "PARTY_2" + "meta" : { + "globalKey" : "a8870d90" + } } ], + "direction" : "Replace" + }, + "termsChange" : { "product" : { "contractualProduct" : { "productTaxonomy" : [ { @@ -81,6 +139,80 @@ } } ], "economicTerms" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2021-03-19", + "meta" : { + "globalKey" : "3f28d3" + } + }, + "meta" : { + "globalKey" : "3f28d3", + "externalKey" : "PurchaseDate" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2021-03-21", + "meta" : { + "globalKey" : "3f28d5" + } + }, + "meta" : { + "globalKey" : "3f28d5" + } + }, + "payout" : { + "interestRatePayout" : [ { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "principalPayment" : { + "initialPayment" : true, + "finalPayment" : true, + "intermediatePayment" : false, + "meta" : { + "globalKey" : "12a6f5" + } + }, + "rateSpecification" : { + "fixedRate" : { + "rateSchedule" : { + "price" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "price-1" + } + } + }, + "meta" : { + "globalKey" : "0" + } + } + }, + "dayCountFraction" : { + "value" : "ACT/360" + }, + "meta" : { + "globalKey" : "69ca64cc" + } + } ], + "meta" : { + "globalKey" : "69ca64cc" + } + }, "collateral" : { "collateralPortfolio" : [ { "value" : { @@ -91,114 +223,114 @@ "payout" : { "assetPayout" : [ { "payerReceiver" : { - "payer" : "PARTY_1", - "receiver" : "PARTY_2" + "payer" : "Party1", + "receiver" : "Party2" }, "priceQuantity" : { - "meta" : { - "globalKey" : "0" - }, "quantitySchedule" : { "address" : { "scope" : "DOCUMENT", "value" : "quantity-2" } + }, + "meta" : { + "globalKey" : "0" } }, "principalPayment" : { - "finalPayment" : true, "initialPayment" : true, + "finalPayment" : true, "intermediatePayment" : false, "meta" : { "globalKey" : "12a6f5" } }, "assetLeg" : [ { - "deliveryMethod" : "DELIVERY_VERSUS_PAYMENT", "settlementDate" : { - "meta" : { - "globalKey" : "75229c9e" - }, "relativeDate" : { + "periodMultiplier" : 0, + "period" : "D", "meta" : { - "globalKey" : "75229c9e" + "globalKey" : "71834796" }, - "period" : "D", - "periodMultiplier" : 0, - "businessDayConvention" : "NOT_APPLICABLE", + "businessDayConvention" : "NotApplicable", "dateRelativeTo" : { - "externalReference" : "PurchaseDate", - "globalReference" : "3f28d3" + "globalReference" : "3f28d3", + "externalReference" : "PurchaseDate" } + }, + "meta" : { + "globalKey" : "71834796" } - } + }, + "deliveryMethod" : "DeliveryVersusPayment" }, { - "deliveryMethod" : "DELIVERY_VERSUS_PAYMENT", "settlementDate" : { - "meta" : { - "globalKey" : "de136e51" - }, "relativeDate" : { + "periodMultiplier" : 0, + "period" : "D", "meta" : { - "globalKey" : "de136e51" + "globalKey" : "da741949" }, - "period" : "D", - "periodMultiplier" : 0, - "businessDayConvention" : "NOT_APPLICABLE", + "businessDayConvention" : "NotApplicable", "dateRelativeTo" : { - "externalReference" : "RepurchaseDate", - "globalReference" : "3f28d6" + "globalReference" : "3f28d6", + "externalReference" : "RepurchaseDate" } + }, + "meta" : { + "globalKey" : "da741949" } - } + }, + "deliveryMethod" : "DeliveryVersusPayment" } ], - "durationType" : { - "durationType" : "TERM" - }, - "meta" : { - "globalKey" : "e7ac7fce" - }, "securityInformation" : { - "meta" : { - "globalKey" : "40232adf" - }, "security" : { "productIdentifier" : [ { "value" : { "identifier" : { "value" : "GB00B24FF097" }, + "source" : "ISIN", "meta" : { "globalKey" : "1ad6d034" - }, - "source" : "ISIN" + } } } ], - "securityType" : "DEBT" + "securityType" : "Debt" + }, + "meta" : { + "globalKey" : "40232adf" } + }, + "durationType" : { + "durationType" : "Term" + }, + "meta" : { + "globalKey" : "12a4a1fe" } } ], "meta" : { - "globalKey" : "e7ac7fce" + "globalKey" : "12a4a1fe" } } }, "meta" : { - "globalKey" : "e7ac7fce" + "globalKey" : "12a4a1fe" } }, "meta" : { - "globalKey" : "e7ac7fce" + "globalKey" : "12a4a1fe" } } } ], "meta" : { - "globalKey" : "e7ac7fce" + "globalKey" : "12a4a1fe" } } } ], "collateralProvisions" : { - "collateralType" : "CASH", + "collateralType" : "Cash", "eligibleCollateral" : [ { "criteria" : [ { "treatment" : { @@ -212,55 +344,108 @@ } } ] } - }, + } + }, + "meta" : { + "globalKey" : "2a71e044" + } + }, + "meta" : { + "globalKey" : "2a71e044" + } + } + } + } ] + } + }, + "before" : { + "value" : { + "trade" : { + "tradeIdentifier" : [ { + "issuer" : { + "value" : "KTKLLEILLLLLLLLLLLLL" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "KTKLLEILLLLLLLLLLLLL-FISG1G1LENDFP0028303002", + "meta" : { + "scheme" : "UnqTradIdr" + } + } + } ], + "meta" : { + "globalKey" : "32cd87f2" + } + } ], + "tradeDate" : { + "value" : "2021-03-18", + "meta" : { + "globalKey" : "3f28d2" + } + }, + "tradableProduct" : { + "product" : { + "contractualProduct" : { + "productTaxonomy" : [ { + "source" : "CFI", + "value" : { + "name" : { + "value" : "LRSTXD" + } + } + } ], + "economicTerms" : { "effectiveDate" : { "adjustableDate" : { + "unadjustedDate" : "2021-03-19", "meta" : { "globalKey" : "3f28d3" - }, - "unadjustedDate" : "2021-03-19" + } }, "meta" : { - "externalKey" : "PurchaseDate", - "globalKey" : "3f28d3" + "globalKey" : "3f28d3", + "externalKey" : "PurchaseDate" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2021-03-22", + "meta" : { + "globalKey" : "3f28d6" + } + }, + "meta" : { + "globalKey" : "3f28d6", + "externalKey" : "RepurchaseDate" } }, "payout" : { "interestRatePayout" : [ { "payerReceiver" : { - "payer" : "PARTY_1", - "receiver" : "PARTY_2" + "payer" : "Party1", + "receiver" : "Party2" }, "priceQuantity" : { - "meta" : { - "globalKey" : "0" - }, "quantitySchedule" : { "address" : { "scope" : "DOCUMENT", "value" : "quantity-1" } + }, + "meta" : { + "globalKey" : "0" } }, "principalPayment" : { - "finalPayment" : true, "initialPayment" : true, + "finalPayment" : true, "intermediatePayment" : false, "meta" : { "globalKey" : "12a6f5" } }, - "dayCountFraction" : { - "value" : "ACT/360" - }, - "meta" : { - "globalKey" : "6a2c670c" - }, "rateSpecification" : { "fixedRate" : { - "meta" : { - "globalKey" : "0" - }, "rateSchedule" : { "price" : { "address" : { @@ -268,304 +453,23 @@ "value" : "price-1" } } - } - } - } - } ], - "meta" : { - "globalKey" : "6a2c670c" - } - }, - "terminationDate" : { - "adjustableDate" : { - "meta" : { - "globalKey" : "3f28d6" - }, - "unadjustedDate" : "2021-03-22" - }, - "meta" : { - "externalKey" : "RepurchaseDate", - "globalKey" : "3f28d6" - } - } - }, - "meta" : { - "globalKey" : "1a2ab30d" - } - }, - "meta" : { - "globalKey" : "1a2ab30d" - } - }, - "tradeLot" : [ { - "priceQuantity" : [ { - "meta" : { - "globalKey" : "fd5ebec6" - }, - "price" : [ { - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-1" - } ] - }, - "value" : { - "unit" : { - "currency" : { - "value" : "GBP" - } - }, - "value" : 0.004, - "perUnitOf" : { - "currency" : { - "value" : "GBP" - } - }, - "priceType" : "INTEREST_RATE" - } - } ], - "quantity" : [ { - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] - }, - "value" : { - "unit" : { - "currency" : { - "value" : "GBP" - } - }, - "value" : 9974250 - } - } ] - }, { - "meta" : { - "globalKey" : "c886a5fe" - }, - "observable" : { - "meta" : { - "globalKey" : "1ad6d034" - }, - "productIdentifier" : [ { - "value" : { - "identifier" : { - "value" : "GB00B24FF097" - }, - "meta" : { - "globalKey" : "1ad6d034" - }, - "source" : "ISIN" - } - } ] - }, - "price" : [ { - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-2" - } ] - }, - "value" : { - "unit" : { - "currency" : { - "value" : "GBP" - } - }, - "value" : 1.0075, - "perUnitOf" : { - "currency" : { - "value" : "GBP" - } - }, - "priceExpression" : "PERCENTAGE_OF_NOTIONAL", - "priceType" : "ASSET_PRICE" - } - } ], - "quantity" : [ { - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } ] - }, - "value" : { - "unit" : { - "currency" : { - "value" : "GBP" - } - }, - "value" : 10000000 - } - } ] - } ] - } ] - }, - "tradeDate" : { - "meta" : { - "globalKey" : "3f28d2" - }, - "value" : "2021-03-18" - }, - "tradeIdentifier" : [ { - "assignedIdentifier" : [ { - "identifier" : { - "meta" : { - "scheme" : "UnqTradIdr" - }, - "value" : "KTKLLEILLLLLLLLLLLLL-FISG1G1LENDFP0028303002" - } - } ], - "issuer" : { - "value" : "KTKLLEILLLLLLLLLLLLL" - }, - "meta" : { - "globalKey" : "4a82737e" - } - } ] - } - } - }, - "primitiveInstruction" : { - "split" : { - "breakdown" : [ { - "quantityChange" : { - "change" : [ { - "meta" : { - "globalKey" : "16e4a5" - }, - "quantity" : [ { - "value" : { - "unit" : { - "currency" : { - "value" : "GBP" - } - }, - "value" : 0.0 - } - } ] - } ], - "direction" : "REPLACE" - } - }, { - "quantityChange" : { - "change" : [ { - "meta" : { - "globalKey" : "fd5ebec6" - }, - "price" : [ { - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-1" - } ] - }, - "value" : { - "unit" : { - "currency" : { - "value" : "GBP" - } - }, - "value" : 0.004, - "perUnitOf" : { - "currency" : { - "value" : "GBP" - } - }, - "priceType" : "INTEREST_RATE" - } - } ], - "quantity" : [ { - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] - }, - "value" : { - "unit" : { - "currency" : { - "value" : "GBP" - } - }, - "value" : 9974250 - } - } ] - }, { - "meta" : { - "globalKey" : "c886a5fe" - }, - "observable" : { - "meta" : { - "globalKey" : "1ad6d034" - }, - "productIdentifier" : [ { - "value" : { - "identifier" : { - "value" : "GB00B24FF097" - }, - "meta" : { - "globalKey" : "1ad6d034" - }, - "source" : "ISIN" - } - } ] - }, - "price" : [ { - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-2" - } ] - }, - "value" : { - "unit" : { - "currency" : { - "value" : "GBP" - } - }, - "value" : 1.0075, - "perUnitOf" : { - "currency" : { - "value" : "GBP" - } - }, - "priceExpression" : "PERCENTAGE_OF_NOTIONAL", - "priceType" : "ASSET_PRICE" - } - } ], - "quantity" : [ { - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } ] - }, - "value" : { - "unit" : { - "currency" : { - "value" : "GBP" - } - }, - "value" : 10000000 - } - } ] - } ], - "direction" : "REPLACE" - }, - "termsChange" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "CFI", - "value" : { - "name" : { - "value" : "LRSTXD" + }, + "meta" : { + "globalKey" : "0" + } + } + }, + "dayCountFraction" : { + "value" : "ACT/360" + }, + "meta" : { + "globalKey" : "69ca64cc" + } + } ], + "meta" : { + "globalKey" : "69ca64cc" } - } - } ], - "economicTerms" : { + }, "collateral" : { "collateralPortfolio" : [ { "value" : { @@ -576,114 +480,114 @@ "payout" : { "assetPayout" : [ { "payerReceiver" : { - "payer" : "PARTY_1", - "receiver" : "PARTY_2" + "payer" : "Party1", + "receiver" : "Party2" }, "priceQuantity" : { - "meta" : { - "globalKey" : "0" - }, "quantitySchedule" : { "address" : { "scope" : "DOCUMENT", "value" : "quantity-2" } + }, + "meta" : { + "globalKey" : "0" } }, "principalPayment" : { - "finalPayment" : true, "initialPayment" : true, + "finalPayment" : true, "intermediatePayment" : false, "meta" : { "globalKey" : "12a6f5" } }, "assetLeg" : [ { - "deliveryMethod" : "DELIVERY_VERSUS_PAYMENT", "settlementDate" : { - "meta" : { - "globalKey" : "75229c9e" - }, "relativeDate" : { + "periodMultiplier" : 0, + "period" : "D", "meta" : { - "globalKey" : "75229c9e" + "globalKey" : "71834796" }, - "period" : "D", - "periodMultiplier" : 0, - "businessDayConvention" : "NOT_APPLICABLE", + "businessDayConvention" : "NotApplicable", "dateRelativeTo" : { - "externalReference" : "PurchaseDate", - "globalReference" : "3f28d3" + "globalReference" : "3f28d3", + "externalReference" : "PurchaseDate" } + }, + "meta" : { + "globalKey" : "71834796" } - } + }, + "deliveryMethod" : "DeliveryVersusPayment" }, { - "deliveryMethod" : "DELIVERY_VERSUS_PAYMENT", "settlementDate" : { - "meta" : { - "globalKey" : "de136e51" - }, "relativeDate" : { + "periodMultiplier" : 0, + "period" : "D", "meta" : { - "globalKey" : "de136e51" + "globalKey" : "da741949" }, - "period" : "D", - "periodMultiplier" : 0, - "businessDayConvention" : "NOT_APPLICABLE", + "businessDayConvention" : "NotApplicable", "dateRelativeTo" : { - "externalReference" : "RepurchaseDate", - "globalReference" : "3f28d6" + "globalReference" : "3f28d6", + "externalReference" : "RepurchaseDate" } + }, + "meta" : { + "globalKey" : "da741949" } - } + }, + "deliveryMethod" : "DeliveryVersusPayment" } ], - "durationType" : { - "durationType" : "TERM" - }, - "meta" : { - "globalKey" : "e7ac7fce" - }, "securityInformation" : { - "meta" : { - "globalKey" : "40232adf" - }, "security" : { "productIdentifier" : [ { "value" : { "identifier" : { "value" : "GB00B24FF097" }, + "source" : "ISIN", "meta" : { "globalKey" : "1ad6d034" - }, - "source" : "ISIN" + } } } ], - "securityType" : "DEBT" + "securityType" : "Debt" + }, + "meta" : { + "globalKey" : "40232adf" } + }, + "durationType" : { + "durationType" : "Term" + }, + "meta" : { + "globalKey" : "12a4a1fe" } } ], "meta" : { - "globalKey" : "e7ac7fce" + "globalKey" : "12a4a1fe" } } }, "meta" : { - "globalKey" : "e7ac7fce" + "globalKey" : "12a4a1fe" } }, "meta" : { - "globalKey" : "e7ac7fce" + "globalKey" : "12a4a1fe" } } } ], "meta" : { - "globalKey" : "e7ac7fce" + "globalKey" : "12a4a1fe" } } } ], "collateralProvisions" : { - "collateralType" : "CASH", + "collateralType" : "Cash", "eligibleCollateral" : [ { "criteria" : [ { "treatment" : { @@ -697,92 +601,188 @@ } } ] } - }, - "effectiveDate" : { - "adjustableDate" : { - "meta" : { - "globalKey" : "3f28d3" - }, - "unadjustedDate" : "2021-03-19" + } + }, + "meta" : { + "globalKey" : "c6dfdca3" + } + }, + "meta" : { + "globalKey" : "c6dfdca3" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "price" : [ { + "value" : { + "value" : 0.004, + "unit" : { + "currency" : { + "value" : "GBP" + } }, - "meta" : { - "externalKey" : "PurchaseDate", - "globalKey" : "3f28d3" + "perUnitOf" : { + "currency" : { + "value" : "GBP" + } + }, + "priceType" : "InterestRate" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-1" + } ] + } + } ], + "quantity" : [ { + "value" : { + "value" : 9974250, + "unit" : { + "currency" : { + "value" : "GBP" + } } }, - "payout" : { - "interestRatePayout" : [ { - "payerReceiver" : { - "payer" : "PARTY_1", - "receiver" : "PARTY_2" - }, - "priceQuantity" : { - "meta" : { - "globalKey" : "0" - }, - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } - } - }, - "principalPayment" : { - "finalPayment" : true, - "initialPayment" : true, - "intermediatePayment" : false, - "meta" : { - "globalKey" : "12a6f5" - } - }, - "dayCountFraction" : { - "value" : "ACT/360" - }, - "meta" : { - "globalKey" : "6a2c670c" - }, - "rateSpecification" : { - "fixedRate" : { - "meta" : { - "globalKey" : "0" - }, - "rateSchedule" : { - "price" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "price-1" - } - } - } - } + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] + } + } ], + "meta" : { + "globalKey" : "ae7919fa" + } + }, { + "price" : [ { + "value" : { + "value" : 1.0075, + "unit" : { + "currency" : { + "value" : "GBP" + } + }, + "perUnitOf" : { + "currency" : { + "value" : "GBP" + } + }, + "priceType" : "AssetPrice", + "priceExpression" : "PercentageOfNotional" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-2" + } ] + } + } ], + "quantity" : [ { + "value" : { + "value" : 10000000, + "unit" : { + "currency" : { + "value" : "GBP" } - } ], - "meta" : { - "globalKey" : "6a2c670c" } }, - "terminationDate" : { - "adjustableDate" : { - "meta" : { - "globalKey" : "3f28d5" + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } ] + } + } ], + "observable" : { + "productIdentifier" : [ { + "value" : { + "identifier" : { + "value" : "GB00B24FF097" }, - "unadjustedDate" : "2021-03-21" - }, - "meta" : { - "globalKey" : "3f28d5" + "source" : "ISIN", + "meta" : { + "globalKey" : "1ad6d034" + } } + } ], + "meta" : { + "globalKey" : "1ad6d034" } }, "meta" : { - "globalKey" : "1a2ab30c" + "globalKey" : "a8870d90" + } + } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "value" : { + "name" : { + "value" : "Global Bank Inc" + }, + "meta" : { + "globalKey" : "296093b7", + "externalKey" : "GlobalBank" + } + } + } + }, { + "role" : "Party2", + "partyReference" : { + "value" : { + "name" : { + "value" : "UK Bank plc" + }, + "meta" : { + "globalKey" : "1ef4886d", + "externalKey" : "UkBank" + } } - }, - "meta" : { - "globalKey" : "1a2ab30c" } + } ] + }, + "party" : [ { + "name" : { + "value" : "Global Bank Inc" + }, + "meta" : { + "globalKey" : "296093b7", + "externalKey" : "GlobalBank" + } + }, { + "name" : { + "value" : "UK Bank plc" + }, + "meta" : { + "globalKey" : "1ef4886d", + "externalKey" : "UkBank" } + } ], + "partyRole" : [ { + "partyReference" : { + "globalReference" : "296093b7", + "externalReference" : "GlobalBank" + }, + "role" : "Seller" + }, { + "partyReference" : { + "globalReference" : "1ef4886d", + "externalReference" : "UkBank" + }, + "role" : "Buyer" + } ], + "meta" : { + "globalKey" : "b62aaee7" } - } ] + }, + "state" : { + "positionState" : "Formed" + }, + "meta" : { + "globalKey" : "522d7d8a" + } } } } ], diff --git a/rosetta-source/src/main/resources/cdm-sample-files/functions/repo-and-bond/on-demand-interest-payment-input.json b/rosetta-source/src/main/resources/cdm-sample-files/functions/repo-and-bond/on-demand-interest-payment-input.json index 8b34cccbaa..61f0b983c4 100644 --- a/rosetta-source/src/main/resources/cdm-sample-files/functions/repo-and-bond/on-demand-interest-payment-input.json +++ b/rosetta-source/src/main/resources/cdm-sample-files/functions/repo-and-bond/on-demand-interest-payment-input.json @@ -1,445 +1,133 @@ { "instruction" : [ { - "before" : { - "value" : { - "meta" : { - "globalKey" : "eaf9dc6e" - }, - "state" : { - "positionState" : "FORMED" - }, - "trade" : { - "meta" : { - "globalKey" : "b9aaf231" - }, - "party" : [ { - "meta" : { - "externalKey" : "GlobalBank", - "globalKey" : "296093b7" - }, - "name" : { - "value" : "Global Bank Inc" - } - }, { - "meta" : { - "externalKey" : "UkBank", - "globalKey" : "1ef4886d" - }, - "name" : { - "value" : "UK Bank plc" - } - } ], - "partyRole" : [ { - "partyReference" : { - "externalReference" : "GlobalBank", - "globalReference" : "296093b7" - }, - "role" : "SELLER" - }, { - "partyReference" : { - "externalReference" : "UkBank", - "globalReference" : "1ef4886d" - }, - "role" : "BUYER" - } ], - "tradableProduct" : { - "counterparty" : [ { - "partyReference" : { - "value" : { + "primitiveInstruction" : { + "termsChange" : { + "product" : { + "contractualProduct" : { + "productTaxonomy" : [ { + "source" : "CFI", + "value" : { + "name" : { + "value" : "LRSTXD" + } + } + } ], + "economicTerms" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2021-03-19", "meta" : { - "externalKey" : "GlobalBank", - "globalKey" : "296093b7" - }, - "name" : { - "value" : "Global Bank Inc" + "globalKey" : "3f28d3" } + }, + "meta" : { + "globalKey" : "3f28d3", + "externalKey" : "PurchaseDate" } }, - "role" : "PARTY_1" - }, { - "partyReference" : { - "value" : { + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2021-03-22", "meta" : { - "externalKey" : "UkBank", - "globalKey" : "1ef4886d" - }, - "name" : { - "value" : "UK Bank plc" + "globalKey" : "3f28d6" } + }, + "meta" : { + "globalKey" : "3f28d6", + "externalKey" : "RepurchaseDate" } }, - "role" : "PARTY_2" - } ], - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "CFI", - "value" : { - "name" : { - "value" : "LRSTXD" - } - } - } ], - "economicTerms" : { - "collateral" : { - "collateralPortfolio" : [ { - "value" : { - "collateralPosition" : [ { - "product" : { - "contractualProduct" : { - "economicTerms" : { - "payout" : { - "assetPayout" : [ { - "payerReceiver" : { - "payer" : "PARTY_1", - "receiver" : "PARTY_2" - }, - "priceQuantity" : { - "meta" : { - "globalKey" : "0" - }, - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } - } - }, - "principalPayment" : { - "finalPayment" : true, - "initialPayment" : true, - "intermediatePayment" : false, - "meta" : { - "globalKey" : "12a6f5" - } - }, - "assetLeg" : [ { - "deliveryMethod" : "DELIVERY_VERSUS_PAYMENT", - "settlementDate" : { - "meta" : { - "globalKey" : "75229c9e" - }, - "relativeDate" : { - "meta" : { - "globalKey" : "75229c9e" - }, - "period" : "D", - "periodMultiplier" : 0, - "businessDayConvention" : "NOT_APPLICABLE", - "dateRelativeTo" : { - "externalReference" : "PurchaseDate", - "globalReference" : "3f28d3" - } - } - } - }, { - "deliveryMethod" : "DELIVERY_VERSUS_PAYMENT", - "settlementDate" : { - "meta" : { - "globalKey" : "de136e51" - }, - "relativeDate" : { - "meta" : { - "globalKey" : "de136e51" - }, - "period" : "D", - "periodMultiplier" : 0, - "businessDayConvention" : "NOT_APPLICABLE", - "dateRelativeTo" : { - "externalReference" : "RepurchaseDate", - "globalReference" : "3f28d6" - } - } - } - } ], - "durationType" : { - "durationType" : "TERM" - }, - "meta" : { - "globalKey" : "e7ac7fce" - }, - "securityInformation" : { - "meta" : { - "globalKey" : "40232adf" - }, - "security" : { - "productIdentifier" : [ { - "value" : { - "identifier" : { - "value" : "GB00B24FF097" - }, - "meta" : { - "globalKey" : "1ad6d034" - }, - "source" : "ISIN" - } - } ], - "securityType" : "DEBT" - } - } - } ], - "meta" : { - "globalKey" : "e7ac7fce" - } - } - }, - "meta" : { - "globalKey" : "e7ac7fce" - } - }, - "meta" : { - "globalKey" : "e7ac7fce" - } - } - } ], - "meta" : { - "globalKey" : "e7ac7fce" - } + "payout" : { + "interestRatePayout" : [ { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" } - } ], - "collateralProvisions" : { - "collateralType" : "CASH", - "eligibleCollateral" : [ { - "criteria" : [ { - "treatment" : { - "valuationTreatment" : { - "marginPercentage" : 0.99 - } - } - } ], - "meta" : { - "globalKey" : "16859e" - } - } ] + }, + "meta" : { + "globalKey" : "0" } }, - "effectiveDate" : { - "adjustableDate" : { - "meta" : { - "globalKey" : "3f28d3" - }, - "unadjustedDate" : "2021-03-19" - }, + "principalPayment" : { + "initialPayment" : true, + "finalPayment" : true, + "intermediatePayment" : false, "meta" : { - "externalKey" : "PurchaseDate", - "globalKey" : "3f28d3" + "globalKey" : "12a6f5" } }, - "payout" : { - "interestRatePayout" : [ { - "payerReceiver" : { - "payer" : "PARTY_1", - "receiver" : "PARTY_2" - }, - "priceQuantity" : { - "meta" : { - "globalKey" : "0" - }, - "quantitySchedule" : { + "rateSpecification" : { + "fixedRate" : { + "rateSchedule" : { + "price" : { "address" : { "scope" : "DOCUMENT", - "value" : "quantity-1" + "value" : "price-1" } } }, - "principalPayment" : { - "finalPayment" : true, - "initialPayment" : true, - "intermediatePayment" : false, - "meta" : { - "globalKey" : "12a6f5" - } - }, - "dayCountFraction" : { - "value" : "ACT/360" - }, "meta" : { - "globalKey" : "6a2c670c" - }, - "rateSpecification" : { - "fixedRate" : { - "meta" : { - "globalKey" : "0" - }, - "rateSchedule" : { - "price" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "price-1" - } - } - } - } + "globalKey" : "0" } - } ], - "meta" : { - "globalKey" : "6a2c670c" } }, - "terminationDate" : { - "adjustableDate" : { - "meta" : { - "globalKey" : "3f28d6" - }, - "unadjustedDate" : "2021-03-22" - }, - "meta" : { - "externalKey" : "RepurchaseDate", - "globalKey" : "3f28d6" - } - } - }, - "meta" : { - "globalKey" : "1a2ab30d" - } - }, - "meta" : { - "globalKey" : "1a2ab30d" - } - }, - "tradeLot" : [ { - "priceQuantity" : [ { - "meta" : { - "globalKey" : "fd5ebec6" - }, - "price" : [ { - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-1" - } ] + "dayCountFraction" : { + "value" : "ACT/360" }, - "value" : { - "unit" : { - "currency" : { - "value" : "GBP" - } - }, - "value" : 0.004, - "perUnitOf" : { - "currency" : { - "value" : "GBP" - } - }, - "priceType" : "INTEREST_RATE" + "meta" : { + "globalKey" : "69ca64cc" } } ], - "quantity" : [ { - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] + "cashflow" : [ { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" }, - "value" : { - "unit" : { - "currency" : { - "value" : "GBP" + "priceQuantity" : { + "quantitySchedule" : { + "value" : { + "value" : 2000, + "unit" : { + "currency" : { + "value" : "GBP" + } + } } }, - "value" : 9974250 - } - } ] - }, { - "meta" : { - "globalKey" : "c886a5fe" - }, - "observable" : { - "meta" : { - "globalKey" : "1ad6d034" + "meta" : { + "globalKey" : "a99b7d57" + } }, - "productIdentifier" : [ { - "value" : { - "identifier" : { - "value" : "GB00B24FF097" + "settlementTerms" : { + "settlementDate" : { + "adjustableOrRelativeDate" : { + "unadjustedDate" : "2021-03-21" }, "meta" : { - "globalKey" : "1ad6d034" - }, - "source" : "ISIN" - } - } ] - }, - "price" : [ { - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-2" - } ] - }, - "value" : { - "unit" : { - "currency" : { - "value" : "GBP" - } - }, - "value" : 1.0075, - "perUnitOf" : { - "currency" : { - "value" : "GBP" - } - }, - "priceExpression" : "PERCENTAGE_OF_NOTIONAL", - "priceType" : "ASSET_PRICE" - } - } ], - "quantity" : [ { - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } ] - }, - "value" : { - "unit" : { - "currency" : { - "value" : "GBP" - } - }, - "value" : 10000000 - } - } ] - } ] - } ] - }, - "tradeDate" : { - "meta" : { - "globalKey" : "3f28d2" - }, - "value" : "2021-03-18" - }, - "tradeIdentifier" : [ { - "assignedIdentifier" : [ { - "identifier" : { - "meta" : { - "scheme" : "UnqTradIdr" - }, - "value" : "KTKLLEILLLLLLLLLLLLL-FISG1G1LENDFP0028303002" - } - } ], - "issuer" : { - "value" : "KTKLLEILLLLLLLLLLLLL" - }, - "meta" : { - "globalKey" : "4a82737e" - } - } ] - } - } - }, - "primitiveInstruction" : { - "termsChange" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "CFI", - "value" : { - "name" : { - "value" : "LRSTXD" + "globalKey" : "3f28d5" + } + }, + "meta" : { + "globalKey" : "3f28d5" + } + }, + "cashflowType" : { + "cashflowType" : "NetInterest" + }, + "meta" : { + "globalKey" : "11ce29f7" + } + } ], + "meta" : { + "globalKey" : "d5d876ab" } - } - } ], - "economicTerms" : { + }, "collateral" : { "collateralPortfolio" : [ { "value" : { @@ -450,251 +138,563 @@ "payout" : { "assetPayout" : [ { "payerReceiver" : { - "payer" : "PARTY_1", - "receiver" : "PARTY_2" + "payer" : "Party1", + "receiver" : "Party2" }, "priceQuantity" : { - "meta" : { - "globalKey" : "0" - }, "quantitySchedule" : { "address" : { "scope" : "DOCUMENT", "value" : "quantity-2" } + }, + "meta" : { + "globalKey" : "0" } }, "principalPayment" : { - "finalPayment" : true, "initialPayment" : true, + "finalPayment" : true, "intermediatePayment" : false, "meta" : { "globalKey" : "12a6f5" } }, "assetLeg" : [ { - "deliveryMethod" : "DELIVERY_VERSUS_PAYMENT", "settlementDate" : { - "meta" : { - "globalKey" : "75229c9e" - }, "relativeDate" : { + "periodMultiplier" : 0, + "period" : "D", "meta" : { - "globalKey" : "75229c9e" + "globalKey" : "71834796" }, - "period" : "D", - "periodMultiplier" : 0, - "businessDayConvention" : "NOT_APPLICABLE", + "businessDayConvention" : "NotApplicable", "dateRelativeTo" : { - "externalReference" : "PurchaseDate", - "globalReference" : "3f28d3" + "globalReference" : "3f28d3", + "externalReference" : "PurchaseDate" } + }, + "meta" : { + "globalKey" : "71834796" } - } + }, + "deliveryMethod" : "DeliveryVersusPayment" }, { - "deliveryMethod" : "DELIVERY_VERSUS_PAYMENT", "settlementDate" : { - "meta" : { - "globalKey" : "de136e51" - }, "relativeDate" : { + "periodMultiplier" : 0, + "period" : "D", "meta" : { - "globalKey" : "de136e51" + "globalKey" : "da741949" }, - "period" : "D", - "periodMultiplier" : 0, - "businessDayConvention" : "NOT_APPLICABLE", + "businessDayConvention" : "NotApplicable", "dateRelativeTo" : { - "externalReference" : "RepurchaseDate", - "globalReference" : "3f28d6" + "globalReference" : "3f28d6", + "externalReference" : "RepurchaseDate" } + }, + "meta" : { + "globalKey" : "da741949" } - } + }, + "deliveryMethod" : "DeliveryVersusPayment" } ], - "durationType" : { - "durationType" : "TERM" - }, - "meta" : { - "globalKey" : "e7ac7fce" - }, "securityInformation" : { - "meta" : { - "globalKey" : "40232adf" - }, "security" : { "productIdentifier" : [ { "value" : { "identifier" : { "value" : "GB00B24FF097" }, + "source" : "ISIN", + "meta" : { + "globalKey" : "1ad6d034" + } + } + } ], + "securityType" : "Debt" + }, + "meta" : { + "globalKey" : "40232adf" + } + }, + "durationType" : { + "durationType" : "Term" + }, + "meta" : { + "globalKey" : "12a4a1fe" + } + } ], + "meta" : { + "globalKey" : "12a4a1fe" + } + } + }, + "meta" : { + "globalKey" : "12a4a1fe" + } + }, + "meta" : { + "globalKey" : "12a4a1fe" + } + } + } ], + "meta" : { + "globalKey" : "12a4a1fe" + } + } + } ], + "collateralProvisions" : { + "collateralType" : "Cash", + "eligibleCollateral" : [ { + "criteria" : [ { + "treatment" : { + "valuationTreatment" : { + "marginPercentage" : 0.99 + } + } + } ], + "meta" : { + "globalKey" : "16859e" + } + } ] + } + } + }, + "meta" : { + "globalKey" : "5d7bfbae" + } + }, + "meta" : { + "globalKey" : "5d7bfbae" + } + } + } + }, + "before" : { + "value" : { + "trade" : { + "tradeIdentifier" : [ { + "issuer" : { + "value" : "KTKLLEILLLLLLLLLLLLL" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "KTKLLEILLLLLLLLLLLLL-FISG1G1LENDFP0028303002", + "meta" : { + "scheme" : "UnqTradIdr" + } + } + } ], + "meta" : { + "globalKey" : "32cd87f2" + } + } ], + "tradeDate" : { + "value" : "2021-03-18", + "meta" : { + "globalKey" : "3f28d2" + } + }, + "tradableProduct" : { + "product" : { + "contractualProduct" : { + "productTaxonomy" : [ { + "source" : "CFI", + "value" : { + "name" : { + "value" : "LRSTXD" + } + } + } ], + "economicTerms" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2021-03-19", + "meta" : { + "globalKey" : "3f28d3" + } + }, + "meta" : { + "globalKey" : "3f28d3", + "externalKey" : "PurchaseDate" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2021-03-22", + "meta" : { + "globalKey" : "3f28d6" + } + }, + "meta" : { + "globalKey" : "3f28d6", + "externalKey" : "RepurchaseDate" + } + }, + "payout" : { + "interestRatePayout" : [ { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "principalPayment" : { + "initialPayment" : true, + "finalPayment" : true, + "intermediatePayment" : false, + "meta" : { + "globalKey" : "12a6f5" + } + }, + "rateSpecification" : { + "fixedRate" : { + "rateSchedule" : { + "price" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "price-1" + } + } + }, + "meta" : { + "globalKey" : "0" + } + } + }, + "dayCountFraction" : { + "value" : "ACT/360" + }, + "meta" : { + "globalKey" : "69ca64cc" + } + } ], + "meta" : { + "globalKey" : "69ca64cc" + } + }, + "collateral" : { + "collateralPortfolio" : [ { + "value" : { + "collateralPosition" : [ { + "product" : { + "contractualProduct" : { + "economicTerms" : { + "payout" : { + "assetPayout" : [ { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "principalPayment" : { + "initialPayment" : true, + "finalPayment" : true, + "intermediatePayment" : false, + "meta" : { + "globalKey" : "12a6f5" + } + }, + "assetLeg" : [ { + "settlementDate" : { + "relativeDate" : { + "periodMultiplier" : 0, + "period" : "D", + "meta" : { + "globalKey" : "71834796" + }, + "businessDayConvention" : "NotApplicable", + "dateRelativeTo" : { + "globalReference" : "3f28d3", + "externalReference" : "PurchaseDate" + } + }, + "meta" : { + "globalKey" : "71834796" + } + }, + "deliveryMethod" : "DeliveryVersusPayment" + }, { + "settlementDate" : { + "relativeDate" : { + "periodMultiplier" : 0, + "period" : "D", + "meta" : { + "globalKey" : "da741949" + }, + "businessDayConvention" : "NotApplicable", + "dateRelativeTo" : { + "globalReference" : "3f28d6", + "externalReference" : "RepurchaseDate" + } + }, "meta" : { - "globalKey" : "1ad6d034" - }, - "source" : "ISIN" - } + "globalKey" : "da741949" + } + }, + "deliveryMethod" : "DeliveryVersusPayment" } ], - "securityType" : "DEBT" + "securityInformation" : { + "security" : { + "productIdentifier" : [ { + "value" : { + "identifier" : { + "value" : "GB00B24FF097" + }, + "source" : "ISIN", + "meta" : { + "globalKey" : "1ad6d034" + } + } + } ], + "securityType" : "Debt" + }, + "meta" : { + "globalKey" : "40232adf" + } + }, + "durationType" : { + "durationType" : "Term" + }, + "meta" : { + "globalKey" : "12a4a1fe" + } + } ], + "meta" : { + "globalKey" : "12a4a1fe" } } - } ], + }, "meta" : { - "globalKey" : "e7ac7fce" + "globalKey" : "12a4a1fe" } + }, + "meta" : { + "globalKey" : "12a4a1fe" } - }, - "meta" : { - "globalKey" : "e7ac7fce" } - }, + } ], "meta" : { - "globalKey" : "e7ac7fce" + "globalKey" : "12a4a1fe" } } } ], - "meta" : { - "globalKey" : "e7ac7fce" - } - } - } ], - "collateralProvisions" : { - "collateralType" : "CASH", - "eligibleCollateral" : [ { - "criteria" : [ { - "treatment" : { - "valuationTreatment" : { - "marginPercentage" : 0.99 + "collateralProvisions" : { + "collateralType" : "Cash", + "eligibleCollateral" : [ { + "criteria" : [ { + "treatment" : { + "valuationTreatment" : { + "marginPercentage" : 0.99 + } + } + } ], + "meta" : { + "globalKey" : "16859e" } - } - } ], - "meta" : { - "globalKey" : "16859e" + } ] } - } ] - } - }, - "effectiveDate" : { - "adjustableDate" : { - "meta" : { - "globalKey" : "3f28d3" - }, - "unadjustedDate" : "2021-03-19" + } }, "meta" : { - "externalKey" : "PurchaseDate", - "globalKey" : "3f28d3" + "globalKey" : "c6dfdca3" } }, - "payout" : { - "cashflow" : [ { - "payerReceiver" : { - "payer" : "PARTY_1", - "receiver" : "PARTY_2" - }, - "priceQuantity" : { - "meta" : { - "globalKey" : "a99b7d57" + "meta" : { + "globalKey" : "c6dfdca3" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "price" : [ { + "value" : { + "value" : 0.004, + "unit" : { + "currency" : { + "value" : "GBP" + } }, - "quantitySchedule" : { - "value" : { - "unit" : { - "currency" : { - "value" : "GBP" - } - }, - "value" : 2000 + "perUnitOf" : { + "currency" : { + "value" : "GBP" } - } - }, - "settlementTerms" : { - "meta" : { - "globalKey" : "3f28d5" }, - "settlementDate" : { - "adjustableOrRelativeDate" : { - "unadjustedDate" : "2021-03-21" - }, - "meta" : { - "globalKey" : "3f28d5" + "priceType" : "InterestRate" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-1" + } ] + } + } ], + "quantity" : [ { + "value" : { + "value" : 9974250, + "unit" : { + "currency" : { + "value" : "GBP" } } }, - "cashflowType" : { - "cashflowType" : "NET_INTEREST" - }, "meta" : { - "globalKey" : "11ce29f7" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] } } ], - "interestRatePayout" : [ { - "payerReceiver" : { - "payer" : "PARTY_1", - "receiver" : "PARTY_2" - }, - "priceQuantity" : { - "meta" : { - "globalKey" : "0" + "meta" : { + "globalKey" : "ae7919fa" + } + }, { + "price" : [ { + "value" : { + "value" : 1.0075, + "unit" : { + "currency" : { + "value" : "GBP" + } }, - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-1" + "perUnitOf" : { + "currency" : { + "value" : "GBP" } - } + }, + "priceType" : "AssetPrice", + "priceExpression" : "PercentageOfNotional" }, - "principalPayment" : { - "finalPayment" : true, - "initialPayment" : true, - "intermediatePayment" : false, - "meta" : { - "globalKey" : "12a6f5" + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-2" + } ] + } + } ], + "quantity" : [ { + "value" : { + "value" : 10000000, + "unit" : { + "currency" : { + "value" : "GBP" + } } }, - "dayCountFraction" : { - "value" : "ACT/360" - }, "meta" : { - "globalKey" : "6a2c670c" - }, - "rateSpecification" : { - "fixedRate" : { - "meta" : { - "globalKey" : "0" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } ] + } + } ], + "observable" : { + "productIdentifier" : [ { + "value" : { + "identifier" : { + "value" : "GB00B24FF097" }, - "rateSchedule" : { - "price" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "price-1" - } - } + "source" : "ISIN", + "meta" : { + "globalKey" : "1ad6d034" } } + } ], + "meta" : { + "globalKey" : "1ad6d034" } - } ], + }, "meta" : { - "globalKey" : "123254c3" + "globalKey" : "a8870d90" } - }, - "terminationDate" : { - "adjustableDate" : { + } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "value" : { + "name" : { + "value" : "Global Bank Inc" + }, "meta" : { - "globalKey" : "3f28d6" + "globalKey" : "296093b7", + "externalKey" : "GlobalBank" + } + } + } + }, { + "role" : "Party2", + "partyReference" : { + "value" : { + "name" : { + "value" : "UK Bank plc" }, - "unadjustedDate" : "2021-03-22" - }, - "meta" : { - "externalKey" : "RepurchaseDate", - "globalKey" : "3f28d6" + "meta" : { + "globalKey" : "1ef4886d", + "externalKey" : "UkBank" + } } } + } ] + }, + "party" : [ { + "name" : { + "value" : "Global Bank Inc" }, "meta" : { - "globalKey" : "49e7dad0" + "globalKey" : "296093b7", + "externalKey" : "GlobalBank" } - }, + }, { + "name" : { + "value" : "UK Bank plc" + }, + "meta" : { + "globalKey" : "1ef4886d", + "externalKey" : "UkBank" + } + } ], + "partyRole" : [ { + "partyReference" : { + "globalReference" : "296093b7", + "externalReference" : "GlobalBank" + }, + "role" : "Seller" + }, { + "partyReference" : { + "globalReference" : "1ef4886d", + "externalReference" : "UkBank" + }, + "role" : "Buyer" + } ], "meta" : { - "globalKey" : "49e7dad0" + "globalKey" : "b62aaee7" } + }, + "state" : { + "positionState" : "Formed" + }, + "meta" : { + "globalKey" : "522d7d8a" } } } diff --git a/rosetta-source/src/main/resources/cdm-sample-files/functions/repo-and-bond/on-demand-rate-change-input.json b/rosetta-source/src/main/resources/cdm-sample-files/functions/repo-and-bond/on-demand-rate-change-input.json index b534870e0c..ecfb38a5aa 100644 --- a/rosetta-source/src/main/resources/cdm-sample-files/functions/repo-and-bond/on-demand-rate-change-input.json +++ b/rosetta-source/src/main/resources/cdm-sample-files/functions/repo-and-bond/on-demand-rate-change-input.json @@ -1,75 +1,52 @@ { "instruction" : [ { - "before" : { - "value" : { - "meta" : { - "globalKey" : "eaf9dc6e" - }, - "state" : { - "positionState" : "FORMED" - }, - "trade" : { - "meta" : { - "globalKey" : "b9aaf231" - }, - "party" : [ { - "meta" : { - "externalKey" : "GlobalBank", - "globalKey" : "296093b7" - }, - "name" : { - "value" : "Global Bank Inc" - } - }, { - "meta" : { - "externalKey" : "UkBank", - "globalKey" : "1ef4886d" - }, - "name" : { - "value" : "UK Bank plc" - } - } ], - "partyRole" : [ { - "partyReference" : { - "externalReference" : "GlobalBank", - "globalReference" : "296093b7" - }, - "role" : "SELLER" - }, { - "partyReference" : { - "externalReference" : "UkBank", - "globalReference" : "1ef4886d" - }, - "role" : "BUYER" - } ], - "tradableProduct" : { - "counterparty" : [ { - "partyReference" : { + "primitiveInstruction" : { + "split" : { + "breakdown" : [ { + "quantityChange" : { + "change" : [ { + "quantity" : [ { "value" : { - "meta" : { - "externalKey" : "GlobalBank", - "globalKey" : "296093b7" - }, - "name" : { - "value" : "Global Bank Inc" + "value" : 0.0, + "unit" : { + "currency" : { + "value" : "GBP" + } } } - }, - "role" : "PARTY_1" - }, { - "partyReference" : { + } ], + "meta" : { + "globalKey" : "16e4a5" + } + } ], + "direction" : "Replace" + } + }, { + "quantityChange" : { + "change" : [ { + "price" : [ { "value" : { - "meta" : { - "externalKey" : "UkBank", - "globalKey" : "1ef4886d" + "value" : 0.005, + "unit" : { + "currency" : { + "value" : "GBP" + } }, - "name" : { - "value" : "UK Bank plc" - } + "perUnitOf" : { + "currency" : { + "value" : "GBP" + } + }, + "priceType" : "InterestRate" } - }, - "role" : "PARTY_2" + } ], + "meta" : { + "globalKey" : "edd3a6de" + } } ], + "direction" : "Replace" + }, + "termsChange" : { "product" : { "contractualProduct" : { "productTaxonomy" : [ { @@ -81,6 +58,80 @@ } } ], "economicTerms" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2021-03-20", + "meta" : { + "globalKey" : "3f28d4" + } + }, + "meta" : { + "globalKey" : "3f28d4" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2021-03-22", + "meta" : { + "globalKey" : "3f28d6" + } + }, + "meta" : { + "globalKey" : "3f28d6", + "externalKey" : "RepurchaseDate" + } + }, + "payout" : { + "interestRatePayout" : [ { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "principalPayment" : { + "initialPayment" : true, + "finalPayment" : true, + "intermediatePayment" : false, + "meta" : { + "globalKey" : "12a6f5" + } + }, + "rateSpecification" : { + "fixedRate" : { + "rateSchedule" : { + "price" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "price-1" + } + } + }, + "meta" : { + "globalKey" : "0" + } + } + }, + "dayCountFraction" : { + "value" : "ACT/360" + }, + "meta" : { + "globalKey" : "69ca64cc" + } + } ], + "meta" : { + "globalKey" : "69ca64cc" + } + }, "collateral" : { "collateralPortfolio" : [ { "value" : { @@ -91,114 +142,114 @@ "payout" : { "assetPayout" : [ { "payerReceiver" : { - "payer" : "PARTY_1", - "receiver" : "PARTY_2" + "payer" : "Party1", + "receiver" : "Party2" }, "priceQuantity" : { - "meta" : { - "globalKey" : "0" - }, "quantitySchedule" : { "address" : { "scope" : "DOCUMENT", "value" : "quantity-2" } + }, + "meta" : { + "globalKey" : "0" } }, "principalPayment" : { - "finalPayment" : true, "initialPayment" : true, + "finalPayment" : true, "intermediatePayment" : false, "meta" : { "globalKey" : "12a6f5" } }, "assetLeg" : [ { - "deliveryMethod" : "DELIVERY_VERSUS_PAYMENT", "settlementDate" : { - "meta" : { - "globalKey" : "75229c9e" - }, "relativeDate" : { + "periodMultiplier" : 0, + "period" : "D", "meta" : { - "globalKey" : "75229c9e" + "globalKey" : "71834796" }, - "period" : "D", - "periodMultiplier" : 0, - "businessDayConvention" : "NOT_APPLICABLE", + "businessDayConvention" : "NotApplicable", "dateRelativeTo" : { - "externalReference" : "PurchaseDate", - "globalReference" : "3f28d3" + "globalReference" : "3f28d3", + "externalReference" : "PurchaseDate" } + }, + "meta" : { + "globalKey" : "71834796" } - } + }, + "deliveryMethod" : "DeliveryVersusPayment" }, { - "deliveryMethod" : "DELIVERY_VERSUS_PAYMENT", "settlementDate" : { - "meta" : { - "globalKey" : "de136e51" - }, "relativeDate" : { + "periodMultiplier" : 0, + "period" : "D", "meta" : { - "globalKey" : "de136e51" + "globalKey" : "da741949" }, - "period" : "D", - "periodMultiplier" : 0, - "businessDayConvention" : "NOT_APPLICABLE", + "businessDayConvention" : "NotApplicable", "dateRelativeTo" : { - "externalReference" : "RepurchaseDate", - "globalReference" : "3f28d6" + "globalReference" : "3f28d6", + "externalReference" : "RepurchaseDate" } + }, + "meta" : { + "globalKey" : "da741949" } - } + }, + "deliveryMethod" : "DeliveryVersusPayment" } ], - "durationType" : { - "durationType" : "TERM" - }, - "meta" : { - "globalKey" : "e7ac7fce" - }, "securityInformation" : { - "meta" : { - "globalKey" : "40232adf" - }, "security" : { "productIdentifier" : [ { "value" : { "identifier" : { "value" : "GB00B24FF097" }, + "source" : "ISIN", "meta" : { "globalKey" : "1ad6d034" - }, - "source" : "ISIN" + } } } ], - "securityType" : "DEBT" + "securityType" : "Debt" + }, + "meta" : { + "globalKey" : "40232adf" } + }, + "durationType" : { + "durationType" : "Term" + }, + "meta" : { + "globalKey" : "12a4a1fe" } } ], "meta" : { - "globalKey" : "e7ac7fce" + "globalKey" : "12a4a1fe" } } }, "meta" : { - "globalKey" : "e7ac7fce" + "globalKey" : "12a4a1fe" } }, "meta" : { - "globalKey" : "e7ac7fce" + "globalKey" : "12a4a1fe" } } } ], "meta" : { - "globalKey" : "e7ac7fce" + "globalKey" : "12a4a1fe" } } } ], "collateralProvisions" : { - "collateralType" : "CASH", + "collateralType" : "Cash", "eligibleCollateral" : [ { "criteria" : [ { "treatment" : { @@ -212,55 +263,108 @@ } } ] } - }, + } + }, + "meta" : { + "globalKey" : "aa0b8fe4" + } + }, + "meta" : { + "globalKey" : "aa0b8fe4" + } + } + } + } ] + } + }, + "before" : { + "value" : { + "trade" : { + "tradeIdentifier" : [ { + "issuer" : { + "value" : "KTKLLEILLLLLLLLLLLLL" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "KTKLLEILLLLLLLLLLLLL-FISG1G1LENDFP0028303002", + "meta" : { + "scheme" : "UnqTradIdr" + } + } + } ], + "meta" : { + "globalKey" : "32cd87f2" + } + } ], + "tradeDate" : { + "value" : "2021-03-18", + "meta" : { + "globalKey" : "3f28d2" + } + }, + "tradableProduct" : { + "product" : { + "contractualProduct" : { + "productTaxonomy" : [ { + "source" : "CFI", + "value" : { + "name" : { + "value" : "LRSTXD" + } + } + } ], + "economicTerms" : { "effectiveDate" : { "adjustableDate" : { + "unadjustedDate" : "2021-03-19", "meta" : { "globalKey" : "3f28d3" - }, - "unadjustedDate" : "2021-03-19" + } + }, + "meta" : { + "globalKey" : "3f28d3", + "externalKey" : "PurchaseDate" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2021-03-22", + "meta" : { + "globalKey" : "3f28d6" + } }, "meta" : { - "externalKey" : "PurchaseDate", - "globalKey" : "3f28d3" + "globalKey" : "3f28d6", + "externalKey" : "RepurchaseDate" } }, "payout" : { "interestRatePayout" : [ { "payerReceiver" : { - "payer" : "PARTY_1", - "receiver" : "PARTY_2" + "payer" : "Party1", + "receiver" : "Party2" }, "priceQuantity" : { - "meta" : { - "globalKey" : "0" - }, "quantitySchedule" : { "address" : { "scope" : "DOCUMENT", "value" : "quantity-1" } + }, + "meta" : { + "globalKey" : "0" } }, "principalPayment" : { - "finalPayment" : true, "initialPayment" : true, + "finalPayment" : true, "intermediatePayment" : false, "meta" : { "globalKey" : "12a6f5" } }, - "dayCountFraction" : { - "value" : "ACT/360" - }, - "meta" : { - "globalKey" : "6a2c670c" - }, "rateSpecification" : { "fixedRate" : { - "meta" : { - "globalKey" : "0" - }, "rateSchedule" : { "price" : { "address" : { @@ -268,223 +372,23 @@ "value" : "price-1" } } + }, + "meta" : { + "globalKey" : "0" } } - } - } ], - "meta" : { - "globalKey" : "6a2c670c" - } - }, - "terminationDate" : { - "adjustableDate" : { - "meta" : { - "globalKey" : "3f28d6" }, - "unadjustedDate" : "2021-03-22" - }, - "meta" : { - "externalKey" : "RepurchaseDate", - "globalKey" : "3f28d6" - } - } - }, - "meta" : { - "globalKey" : "1a2ab30d" - } - }, - "meta" : { - "globalKey" : "1a2ab30d" - } - }, - "tradeLot" : [ { - "priceQuantity" : [ { - "meta" : { - "globalKey" : "fd5ebec6" - }, - "price" : [ { - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-1" - } ] - }, - "value" : { - "unit" : { - "currency" : { - "value" : "GBP" - } - }, - "value" : 0.004, - "perUnitOf" : { - "currency" : { - "value" : "GBP" - } - }, - "priceType" : "INTEREST_RATE" - } - } ], - "quantity" : [ { - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] - }, - "value" : { - "unit" : { - "currency" : { - "value" : "GBP" - } - }, - "value" : 9974250 - } - } ] - }, { - "meta" : { - "globalKey" : "c886a5fe" - }, - "observable" : { - "meta" : { - "globalKey" : "1ad6d034" - }, - "productIdentifier" : [ { - "value" : { - "identifier" : { - "value" : "GB00B24FF097" + "dayCountFraction" : { + "value" : "ACT/360" }, "meta" : { - "globalKey" : "1ad6d034" - }, - "source" : "ISIN" - } - } ] - }, - "price" : [ { - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-2" - } ] - }, - "value" : { - "unit" : { - "currency" : { - "value" : "GBP" + "globalKey" : "69ca64cc" } - }, - "value" : 1.0075, - "perUnitOf" : { - "currency" : { - "value" : "GBP" - } - }, - "priceExpression" : "PERCENTAGE_OF_NOTIONAL", - "priceType" : "ASSET_PRICE" - } - } ], - "quantity" : [ { - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } ] - }, - "value" : { - "unit" : { - "currency" : { - "value" : "GBP" - } - }, - "value" : 10000000 - } - } ] - } ] - } ] - }, - "tradeDate" : { - "meta" : { - "globalKey" : "3f28d2" - }, - "value" : "2021-03-18" - }, - "tradeIdentifier" : [ { - "assignedIdentifier" : [ { - "identifier" : { - "meta" : { - "scheme" : "UnqTradIdr" - }, - "value" : "KTKLLEILLLLLLLLLLLLL-FISG1G1LENDFP0028303002" - } - } ], - "issuer" : { - "value" : "KTKLLEILLLLLLLLLLLLL" - }, - "meta" : { - "globalKey" : "4a82737e" - } - } ] - } - } - }, - "primitiveInstruction" : { - "split" : { - "breakdown" : [ { - "quantityChange" : { - "change" : [ { - "meta" : { - "globalKey" : "16e4a5" - }, - "quantity" : [ { - "value" : { - "unit" : { - "currency" : { - "value" : "GBP" - } - }, - "value" : 0.0 - } - } ] - } ], - "direction" : "REPLACE" - } - }, { - "quantityChange" : { - "change" : [ { - "meta" : { - "globalKey" : "edd3a6de" - }, - "price" : [ { - "value" : { - "unit" : { - "currency" : { - "value" : "GBP" - } - }, - "value" : 0.005, - "perUnitOf" : { - "currency" : { - "value" : "GBP" + } ], + "meta" : { + "globalKey" : "69ca64cc" } }, - "priceType" : "INTEREST_RATE" - } - } ] - } ], - "direction" : "REPLACE" - }, - "termsChange" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "CFI", - "value" : { - "name" : { - "value" : "LRSTXD" - } - } - } ], - "economicTerms" : { "collateral" : { "collateralPortfolio" : [ { "value" : { @@ -495,114 +399,114 @@ "payout" : { "assetPayout" : [ { "payerReceiver" : { - "payer" : "PARTY_1", - "receiver" : "PARTY_2" + "payer" : "Party1", + "receiver" : "Party2" }, "priceQuantity" : { - "meta" : { - "globalKey" : "0" - }, "quantitySchedule" : { "address" : { "scope" : "DOCUMENT", "value" : "quantity-2" } + }, + "meta" : { + "globalKey" : "0" } }, "principalPayment" : { - "finalPayment" : true, "initialPayment" : true, + "finalPayment" : true, "intermediatePayment" : false, "meta" : { "globalKey" : "12a6f5" } }, "assetLeg" : [ { - "deliveryMethod" : "DELIVERY_VERSUS_PAYMENT", "settlementDate" : { - "meta" : { - "globalKey" : "75229c9e" - }, "relativeDate" : { + "periodMultiplier" : 0, + "period" : "D", "meta" : { - "globalKey" : "75229c9e" + "globalKey" : "71834796" }, - "period" : "D", - "periodMultiplier" : 0, - "businessDayConvention" : "NOT_APPLICABLE", + "businessDayConvention" : "NotApplicable", "dateRelativeTo" : { - "externalReference" : "PurchaseDate", - "globalReference" : "3f28d3" + "globalReference" : "3f28d3", + "externalReference" : "PurchaseDate" } + }, + "meta" : { + "globalKey" : "71834796" } - } + }, + "deliveryMethod" : "DeliveryVersusPayment" }, { - "deliveryMethod" : "DELIVERY_VERSUS_PAYMENT", "settlementDate" : { - "meta" : { - "globalKey" : "de136e51" - }, "relativeDate" : { + "periodMultiplier" : 0, + "period" : "D", "meta" : { - "globalKey" : "de136e51" + "globalKey" : "da741949" }, - "period" : "D", - "periodMultiplier" : 0, - "businessDayConvention" : "NOT_APPLICABLE", + "businessDayConvention" : "NotApplicable", "dateRelativeTo" : { - "externalReference" : "RepurchaseDate", - "globalReference" : "3f28d6" + "globalReference" : "3f28d6", + "externalReference" : "RepurchaseDate" } + }, + "meta" : { + "globalKey" : "da741949" } - } + }, + "deliveryMethod" : "DeliveryVersusPayment" } ], - "durationType" : { - "durationType" : "TERM" - }, - "meta" : { - "globalKey" : "e7ac7fce" - }, "securityInformation" : { - "meta" : { - "globalKey" : "40232adf" - }, "security" : { "productIdentifier" : [ { "value" : { "identifier" : { "value" : "GB00B24FF097" }, + "source" : "ISIN", "meta" : { "globalKey" : "1ad6d034" - }, - "source" : "ISIN" + } } } ], - "securityType" : "DEBT" + "securityType" : "Debt" + }, + "meta" : { + "globalKey" : "40232adf" } + }, + "durationType" : { + "durationType" : "Term" + }, + "meta" : { + "globalKey" : "12a4a1fe" } } ], "meta" : { - "globalKey" : "e7ac7fce" + "globalKey" : "12a4a1fe" } } }, "meta" : { - "globalKey" : "e7ac7fce" + "globalKey" : "12a4a1fe" } }, "meta" : { - "globalKey" : "e7ac7fce" + "globalKey" : "12a4a1fe" } } } ], "meta" : { - "globalKey" : "e7ac7fce" + "globalKey" : "12a4a1fe" } } } ], "collateralProvisions" : { - "collateralType" : "CASH", + "collateralType" : "Cash", "eligibleCollateral" : [ { "criteria" : [ { "treatment" : { @@ -616,92 +520,188 @@ } } ] } - }, - "effectiveDate" : { - "adjustableDate" : { - "meta" : { - "globalKey" : "3f28d4" - }, - "unadjustedDate" : "2021-03-20" + } + }, + "meta" : { + "globalKey" : "c6dfdca3" + } + }, + "meta" : { + "globalKey" : "c6dfdca3" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "price" : [ { + "value" : { + "value" : 0.004, + "unit" : { + "currency" : { + "value" : "GBP" + } }, - "meta" : { - "globalKey" : "3f28d4" + "perUnitOf" : { + "currency" : { + "value" : "GBP" + } + }, + "priceType" : "InterestRate" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-1" + } ] + } + } ], + "quantity" : [ { + "value" : { + "value" : 9974250, + "unit" : { + "currency" : { + "value" : "GBP" + } } }, - "payout" : { - "interestRatePayout" : [ { - "payerReceiver" : { - "payer" : "PARTY_1", - "receiver" : "PARTY_2" - }, - "priceQuantity" : { - "meta" : { - "globalKey" : "0" - }, - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } - } - }, - "principalPayment" : { - "finalPayment" : true, - "initialPayment" : true, - "intermediatePayment" : false, - "meta" : { - "globalKey" : "12a6f5" - } - }, - "dayCountFraction" : { - "value" : "ACT/360" - }, - "meta" : { - "globalKey" : "6a2c670c" - }, - "rateSpecification" : { - "fixedRate" : { - "meta" : { - "globalKey" : "0" - }, - "rateSchedule" : { - "price" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "price-1" - } - } - } - } + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] + } + } ], + "meta" : { + "globalKey" : "ae7919fa" + } + }, { + "price" : [ { + "value" : { + "value" : 1.0075, + "unit" : { + "currency" : { + "value" : "GBP" + } + }, + "perUnitOf" : { + "currency" : { + "value" : "GBP" + } + }, + "priceType" : "AssetPrice", + "priceExpression" : "PercentageOfNotional" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-2" + } ] + } + } ], + "quantity" : [ { + "value" : { + "value" : 10000000, + "unit" : { + "currency" : { + "value" : "GBP" } - } ], - "meta" : { - "globalKey" : "6a2c670c" } }, - "terminationDate" : { - "adjustableDate" : { - "meta" : { - "globalKey" : "3f28d6" + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } ] + } + } ], + "observable" : { + "productIdentifier" : [ { + "value" : { + "identifier" : { + "value" : "GB00B24FF097" }, - "unadjustedDate" : "2021-03-22" - }, - "meta" : { - "externalKey" : "RepurchaseDate", - "globalKey" : "3f28d6" + "source" : "ISIN", + "meta" : { + "globalKey" : "1ad6d034" + } } + } ], + "meta" : { + "globalKey" : "1ad6d034" } }, "meta" : { - "globalKey" : "e7d514ce" + "globalKey" : "a8870d90" + } + } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "value" : { + "name" : { + "value" : "Global Bank Inc" + }, + "meta" : { + "globalKey" : "296093b7", + "externalKey" : "GlobalBank" + } } - }, - "meta" : { - "globalKey" : "e7d514ce" } + }, { + "role" : "Party2", + "partyReference" : { + "value" : { + "name" : { + "value" : "UK Bank plc" + }, + "meta" : { + "globalKey" : "1ef4886d", + "externalKey" : "UkBank" + } + } + } + } ] + }, + "party" : [ { + "name" : { + "value" : "Global Bank Inc" + }, + "meta" : { + "globalKey" : "296093b7", + "externalKey" : "GlobalBank" + } + }, { + "name" : { + "value" : "UK Bank plc" + }, + "meta" : { + "globalKey" : "1ef4886d", + "externalKey" : "UkBank" } + } ], + "partyRole" : [ { + "partyReference" : { + "globalReference" : "296093b7", + "externalReference" : "GlobalBank" + }, + "role" : "Seller" + }, { + "partyReference" : { + "globalReference" : "1ef4886d", + "externalReference" : "UkBank" + }, + "role" : "Buyer" + } ], + "meta" : { + "globalKey" : "b62aaee7" } - } ] + }, + "state" : { + "positionState" : "Formed" + }, + "meta" : { + "globalKey" : "522d7d8a" + } } } } ], diff --git a/rosetta-source/src/main/resources/cdm-sample-files/functions/repo-and-bond/pair-off-input.json b/rosetta-source/src/main/resources/cdm-sample-files/functions/repo-and-bond/pair-off-input.json index a7fbe6ef41..563688df64 100644 --- a/rosetta-source/src/main/resources/cdm-sample-files/functions/repo-and-bond/pair-off-input.json +++ b/rosetta-source/src/main/resources/cdm-sample-files/functions/repo-and-bond/pair-off-input.json @@ -1,1784 +1,1784 @@ { "instruction" : [ { - "before" : { - "value" : { - "meta" : { - "globalKey" : "eaf9dc6e" - }, - "state" : { - "positionState" : "FORMED" - }, - "trade" : { - "meta" : { - "globalKey" : "b9aaf231" - }, - "party" : [ { - "meta" : { - "externalKey" : "GlobalBank", - "globalKey" : "296093b7" - }, - "name" : { - "value" : "Global Bank Inc" - } - }, { - "meta" : { - "externalKey" : "UkBank", - "globalKey" : "1ef4886d" - }, - "name" : { - "value" : "UK Bank plc" - } - } ], - "partyRole" : [ { - "partyReference" : { - "externalReference" : "GlobalBank", - "globalReference" : "296093b7" - }, - "role" : "SELLER" - }, { - "partyReference" : { - "externalReference" : "UkBank", - "globalReference" : "1ef4886d" - }, - "role" : "BUYER" - } ], - "tradableProduct" : { - "counterparty" : [ { - "partyReference" : { - "value" : { + "primitiveInstruction" : { + "execution" : { + "product" : { + "contractualProduct" : { + "productTaxonomy" : [ { + "source" : "CFI", + "value" : { + "name" : { + "value" : "LRSTXD" + } + } + } ], + "economicTerms" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2021-03-19", "meta" : { - "externalKey" : "GlobalBank", - "globalKey" : "296093b7" - }, - "name" : { - "value" : "Global Bank Inc" + "globalKey" : "3f28d3" } + }, + "meta" : { + "globalKey" : "3f28d3", + "externalKey" : "PurchaseDate" } }, - "role" : "PARTY_1" - }, { - "partyReference" : { - "value" : { + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : 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a/rosetta-source/src/main/resources/cdm-sample-files/functions/repo-and-bond/roll-input.json b/rosetta-source/src/main/resources/cdm-sample-files/functions/repo-and-bond/roll-input.json index 7f03e976e4..d8af018268 100644 --- a/rosetta-source/src/main/resources/cdm-sample-files/functions/repo-and-bond/roll-input.json +++ b/rosetta-source/src/main/resources/cdm-sample-files/functions/repo-and-bond/roll-input.json @@ -1,75 +1,133 @@ { "instruction" : [ { - "before" : { - "value" : { - "meta" : { - "globalKey" : "eaf9dc6e" - }, - "state" : { - "positionState" : "FORMED" - }, - "trade" : { - "meta" : { - "globalKey" : "b9aaf231" - }, - "party" : [ { - "meta" : { - "externalKey" : "GlobalBank", - "globalKey" : "296093b7" - }, - "name" : { - "value" : "Global Bank Inc" - } - }, { - "meta" : { - "externalKey" : "UkBank", - "globalKey" : "1ef4886d" - }, - "name" : { - "value" : "UK Bank plc" - } - } ], - "partyRole" : [ { - "partyReference" : { - "externalReference" : "GlobalBank", - "globalReference" : "296093b7" - }, - "role" : "SELLER" - }, { - "partyReference" : { - "externalReference" : "UkBank", - "globalReference" : "1ef4886d" - }, - "role" : "BUYER" - } ], - "tradableProduct" : { - "counterparty" : [ { - "partyReference" : { + "primitiveInstruction" : { + "split" : { + "breakdown" : [ { + "quantityChange" : { + "change" : [ { + "quantity" : [ { "value" : { - "meta" : { - "externalKey" : "GlobalBank", - "globalKey" : "296093b7" + "value" : 0.0, + "unit" : { + "currency" : { + "value" : "GBP" + } + } + } + } ], + "meta" : { + "globalKey" : "16e4a5" + } + } ], + "direction" : "Replace" + } + }, { + "quantityChange" : { + "change" : [ { + "price" : [ { + "value" : { + "value" : 0.004, + "unit" : { + "currency" : { + "value" : "GBP" + } }, - "name" : { - "value" : "Global Bank Inc" + "perUnitOf" : { + "currency" : { + "value" : "GBP" + } + }, + "priceType" : "InterestRate" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-1" + } ] + } + } ], + "quantity" : [ { + "value" : { + "value" : 9974250, + "unit" : { + "currency" : { + "value" : "GBP" + } } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] } - }, - "role" : "PARTY_1" + } ], + "meta" : { + "globalKey" : "ae7919fa" + } }, { - "partyReference" : { + "price" : [ { "value" : { - "meta" : { - "externalKey" : "UkBank", - "globalKey" : "1ef4886d" + "value" : 1.0075, + "unit" : { + "currency" : { + "value" : "GBP" + } }, - "name" : { - "value" : "UK Bank plc" + "perUnitOf" : { + "currency" : { + "value" : "GBP" + } + }, + "priceType" : "AssetPrice", + "priceExpression" : "PercentageOfNotional" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-2" + } ] + } + } ], + "quantity" : [ { + "value" : { + "value" : 10000000, + "unit" : { + "currency" : { + "value" : "GBP" + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } ] + } + } ], + "observable" : { + "productIdentifier" : [ { + "value" : { + "identifier" : { + "value" : "GB00B24FF097" + }, + "source" : "ISIN", + "meta" : { + "globalKey" : "1ad6d034" + } } + } ], + "meta" : { + "globalKey" : "1ad6d034" } }, - "role" : "PARTY_2" + "meta" : { + "globalKey" : "a8870d90" + } } ], + "direction" : "Replace" + }, + "termsChange" : { "product" : { "contractualProduct" : { "productTaxonomy" : [ { @@ -81,6 +139,80 @@ } } ], "economicTerms" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2021-03-22", + "meta" : { + "globalKey" : "3f28d6" + } + }, + "meta" : { + "globalKey" : "3f28d6", + "externalKey" : "RepurchaseDate" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2021-03-25", + "meta" : { + "globalKey" : "3f28d9" + } + }, + "meta" : { + "globalKey" : "3f28d9" + } + }, + "payout" : { + "interestRatePayout" : [ { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "principalPayment" : { + "initialPayment" : true, + "finalPayment" : true, + "intermediatePayment" : false, + "meta" : { + "globalKey" : "12a6f5" + } + }, + "rateSpecification" : { + "fixedRate" : { + "rateSchedule" : { + "price" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "price-1" + } + } + }, + "meta" : { + "globalKey" : "0" + } + } + }, + "dayCountFraction" : { + "value" : "ACT/360" + }, + "meta" : { + "globalKey" : "69ca64cc" + } + } ], + "meta" : { + "globalKey" : "69ca64cc" + } + }, "collateral" : { "collateralPortfolio" : [ { "value" : { @@ -91,114 +223,114 @@ "payout" : { "assetPayout" : [ { "payerReceiver" : { - "payer" : "PARTY_1", - "receiver" : "PARTY_2" + "payer" : "Party1", + "receiver" : "Party2" }, "priceQuantity" : { - "meta" : { - "globalKey" : "0" - }, "quantitySchedule" : { "address" : { "scope" : "DOCUMENT", "value" : "quantity-2" } + }, + "meta" : { + "globalKey" : "0" } }, "principalPayment" : { - "finalPayment" : true, "initialPayment" : true, + "finalPayment" : true, "intermediatePayment" : false, "meta" : { "globalKey" : "12a6f5" } }, "assetLeg" : [ { - "deliveryMethod" : "DELIVERY_VERSUS_PAYMENT", "settlementDate" : { - "meta" : { - "globalKey" : "75229c9e" - }, "relativeDate" : { + "periodMultiplier" : 0, + "period" : "D", "meta" : { - "globalKey" : "75229c9e" + "globalKey" : "71834796" }, - "period" : "D", - "periodMultiplier" : 0, - "businessDayConvention" : "NOT_APPLICABLE", + "businessDayConvention" : "NotApplicable", "dateRelativeTo" : { - "externalReference" : "PurchaseDate", - "globalReference" : "3f28d3" + "globalReference" : "3f28d3", + "externalReference" : "PurchaseDate" } + }, + "meta" : { + "globalKey" : "71834796" } - } + }, + "deliveryMethod" : "DeliveryVersusPayment" }, { - "deliveryMethod" : "DELIVERY_VERSUS_PAYMENT", "settlementDate" : { - "meta" : { - "globalKey" : "de136e51" - }, "relativeDate" : { + "periodMultiplier" : 0, + "period" : "D", "meta" : { - "globalKey" : "de136e51" + "globalKey" : "da741949" }, - "period" : "D", - "periodMultiplier" : 0, - "businessDayConvention" : "NOT_APPLICABLE", + "businessDayConvention" : "NotApplicable", "dateRelativeTo" : { - "externalReference" : "RepurchaseDate", - "globalReference" : "3f28d6" + "globalReference" : "3f28d6", + "externalReference" : "RepurchaseDate" } + }, + "meta" : { + "globalKey" : "da741949" } - } + }, + "deliveryMethod" : "DeliveryVersusPayment" } ], - "durationType" : { - "durationType" : "TERM" - }, - "meta" : { - "globalKey" : "e7ac7fce" - }, "securityInformation" : { - "meta" : { - "globalKey" : "40232adf" - }, "security" : { "productIdentifier" : [ { "value" : { "identifier" : { "value" : "GB00B24FF097" }, + "source" : "ISIN", "meta" : { "globalKey" : "1ad6d034" - }, - "source" : "ISIN" + } } } ], - "securityType" : "DEBT" + "securityType" : "Debt" + }, + "meta" : { + "globalKey" : "40232adf" } + }, + "durationType" : { + "durationType" : "Term" + }, + "meta" : { + "globalKey" : "12a4a1fe" } } ], "meta" : { - "globalKey" : "e7ac7fce" + "globalKey" : "12a4a1fe" } } }, "meta" : { - "globalKey" : "e7ac7fce" + "globalKey" : "12a4a1fe" } }, "meta" : { - "globalKey" : "e7ac7fce" + "globalKey" : "12a4a1fe" } } } ], "meta" : { - "globalKey" : "e7ac7fce" + "globalKey" : "12a4a1fe" } } } ], "collateralProvisions" : { - "collateralType" : "CASH", + "collateralType" : "Cash", "eligibleCollateral" : [ { "criteria" : [ { "treatment" : { @@ -212,55 +344,108 @@ } } ] } - }, + } + }, + "meta" : { + "globalKey" : "45aceb83" + } + }, + "meta" : { + "globalKey" : "45aceb83" + } + } + } + } ] + } + }, + "before" : { + "value" : { + "trade" : { + "tradeIdentifier" : [ { + "issuer" : { + "value" : "KTKLLEILLLLLLLLLLLLL" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "KTKLLEILLLLLLLLLLLLL-FISG1G1LENDFP0028303002", + "meta" : { + "scheme" : "UnqTradIdr" + } + } + } ], + "meta" : { + "globalKey" : "32cd87f2" + } + } ], + "tradeDate" : { + "value" : "2021-03-18", + "meta" : { + "globalKey" : "3f28d2" + } + }, + "tradableProduct" : { + "product" : { + "contractualProduct" : { + "productTaxonomy" : [ { + "source" : "CFI", + "value" : { + "name" : { + "value" : "LRSTXD" + } + } + } ], + "economicTerms" : { "effectiveDate" : { "adjustableDate" : { + "unadjustedDate" : "2021-03-19", "meta" : { "globalKey" : "3f28d3" - }, - "unadjustedDate" : "2021-03-19" + } }, "meta" : { - "externalKey" : "PurchaseDate", - "globalKey" : "3f28d3" + "globalKey" : "3f28d3", + "externalKey" : "PurchaseDate" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2021-03-22", + "meta" : { + "globalKey" : "3f28d6" + } + }, + "meta" : { + "globalKey" : "3f28d6", + "externalKey" : "RepurchaseDate" } }, "payout" : { "interestRatePayout" : [ { "payerReceiver" : { - "payer" : "PARTY_1", - "receiver" : "PARTY_2" + "payer" : "Party1", + "receiver" : "Party2" }, "priceQuantity" : { - "meta" : { - "globalKey" : "0" - }, "quantitySchedule" : { "address" : { "scope" : "DOCUMENT", "value" : "quantity-1" } + }, + "meta" : { + "globalKey" : "0" } }, "principalPayment" : { - "finalPayment" : true, "initialPayment" : true, + "finalPayment" : true, "intermediatePayment" : false, "meta" : { "globalKey" : "12a6f5" } }, - "dayCountFraction" : { - "value" : "ACT/360" - }, - "meta" : { - "globalKey" : "6a2c670c" - }, "rateSpecification" : { "fixedRate" : { - "meta" : { - "globalKey" : "0" - }, "rateSchedule" : { "price" : { "address" : { @@ -268,304 +453,23 @@ "value" : "price-1" } } - } - } - } - } ], - "meta" : { - "globalKey" : "6a2c670c" - } - }, - "terminationDate" : { - "adjustableDate" : { - "meta" : { - "globalKey" : "3f28d6" - }, - "unadjustedDate" : "2021-03-22" - }, - "meta" : { - "externalKey" : "RepurchaseDate", - "globalKey" : "3f28d6" - } - } - }, - "meta" : { - "globalKey" : "1a2ab30d" - } - }, - "meta" : { - "globalKey" : "1a2ab30d" - } - }, - "tradeLot" : [ { - "priceQuantity" : [ { - "meta" : { - "globalKey" : "fd5ebec6" - }, - "price" : [ { - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-1" - } ] - }, - "value" : { - "unit" : { - "currency" : { - "value" : "GBP" - } - }, - "value" : 0.004, - "perUnitOf" : { - "currency" : { - "value" : "GBP" - } - }, - "priceType" : "INTEREST_RATE" - } - } ], - "quantity" : [ { - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] - }, - "value" : { - "unit" : { - "currency" : { - "value" : "GBP" - } - }, - "value" : 9974250 - } - } ] - }, { - "meta" : { - "globalKey" : "c886a5fe" - }, - "observable" : { - "meta" : { - "globalKey" : "1ad6d034" - }, - "productIdentifier" : [ { - "value" : { - "identifier" : { - "value" : "GB00B24FF097" - }, - "meta" : { - "globalKey" : "1ad6d034" - }, - "source" : "ISIN" - } - } ] - }, - "price" : [ { - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-2" - } ] - }, - "value" : { - "unit" : { - "currency" : { - "value" : "GBP" - } - }, - "value" : 1.0075, - "perUnitOf" : { - "currency" : { - "value" : "GBP" - } - }, - "priceExpression" : "PERCENTAGE_OF_NOTIONAL", - "priceType" : "ASSET_PRICE" - } - } ], - "quantity" : [ { - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } ] - }, - "value" : { - "unit" : { - "currency" : { - "value" : "GBP" - } - }, - "value" : 10000000 - } - } ] - } ] - } ] - }, - "tradeDate" : { - "meta" : { - "globalKey" : "3f28d2" - }, - "value" : "2021-03-18" - }, - "tradeIdentifier" : [ { - "assignedIdentifier" : [ { - "identifier" : { - "meta" : { - "scheme" : "UnqTradIdr" - }, - "value" : "KTKLLEILLLLLLLLLLLLL-FISG1G1LENDFP0028303002" - } - } ], - "issuer" : { - "value" : "KTKLLEILLLLLLLLLLLLL" - }, - "meta" : { - "globalKey" : "4a82737e" - } - } ] - } - } - }, - "primitiveInstruction" : { - "split" : { - "breakdown" : [ { - "quantityChange" : { - "change" : [ { - "meta" : { - "globalKey" : "16e4a5" - }, - "quantity" : [ { - "value" : { - "unit" : { - "currency" : { - "value" : "GBP" - } - }, - "value" : 0.0 - } - } ] - } ], - "direction" : "REPLACE" - } - }, { - "quantityChange" : { - "change" : [ { - "meta" : { - "globalKey" : "fd5ebec6" - }, - "price" : [ { - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-1" - } ] - }, - "value" : { - "unit" : { - "currency" : { - "value" : "GBP" - } - }, - "value" : 0.004, - "perUnitOf" : { - "currency" : { - "value" : "GBP" - } - }, - "priceType" : "INTEREST_RATE" - } - } ], - "quantity" : [ { - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] - }, - "value" : { - "unit" : { - "currency" : { - "value" : "GBP" - } - }, - "value" : 9974250 - } - } ] - }, { - "meta" : { - "globalKey" : "c886a5fe" - }, - "observable" : { - "meta" : { - "globalKey" : "1ad6d034" - }, - "productIdentifier" : [ { - "value" : { - "identifier" : { - "value" : "GB00B24FF097" - }, - "meta" : { - "globalKey" : "1ad6d034" - }, - "source" : "ISIN" - } - } ] - }, - "price" : [ { - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-2" - } ] - }, - "value" : { - "unit" : { - "currency" : { - "value" : "GBP" - } - }, - "value" : 1.0075, - "perUnitOf" : { - "currency" : { - "value" : "GBP" - } - }, - "priceExpression" : "PERCENTAGE_OF_NOTIONAL", - "priceType" : "ASSET_PRICE" - } - } ], - "quantity" : [ { - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } ] - }, - "value" : { - "unit" : { - "currency" : { - "value" : "GBP" - } - }, - "value" : 10000000 - } - } ] - } ], - "direction" : "REPLACE" - }, - "termsChange" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "CFI", - "value" : { - "name" : { - "value" : "LRSTXD" + }, + "meta" : { + "globalKey" : "0" + } + } + }, + "dayCountFraction" : { + "value" : "ACT/360" + }, + "meta" : { + "globalKey" : "69ca64cc" + } + } ], + "meta" : { + "globalKey" : "69ca64cc" } - } - } ], - "economicTerms" : { + }, "collateral" : { "collateralPortfolio" : [ { "value" : { @@ -576,114 +480,114 @@ "payout" : { "assetPayout" : [ { "payerReceiver" : { - "payer" : "PARTY_1", - "receiver" : "PARTY_2" + "payer" : "Party1", + "receiver" : "Party2" }, "priceQuantity" : { - "meta" : { - "globalKey" : "0" - }, "quantitySchedule" : { "address" : { "scope" : "DOCUMENT", "value" : "quantity-2" } + }, + "meta" : { + "globalKey" : "0" } }, "principalPayment" : { - "finalPayment" : true, "initialPayment" : true, + "finalPayment" : true, "intermediatePayment" : false, "meta" : { "globalKey" : "12a6f5" } }, "assetLeg" : [ { - "deliveryMethod" : "DELIVERY_VERSUS_PAYMENT", "settlementDate" : { - "meta" : { - "globalKey" : "75229c9e" - }, "relativeDate" : { + "periodMultiplier" : 0, + "period" : "D", "meta" : { - "globalKey" : "75229c9e" + "globalKey" : "71834796" }, - "period" : "D", - "periodMultiplier" : 0, - "businessDayConvention" : "NOT_APPLICABLE", + "businessDayConvention" : "NotApplicable", "dateRelativeTo" : { - "externalReference" : "PurchaseDate", - "globalReference" : "3f28d3" + "globalReference" : "3f28d3", + "externalReference" : "PurchaseDate" } + }, + "meta" : { + "globalKey" : "71834796" } - } + }, + "deliveryMethod" : "DeliveryVersusPayment" }, { - "deliveryMethod" : "DELIVERY_VERSUS_PAYMENT", "settlementDate" : { - "meta" : { - "globalKey" : "de136e51" - }, "relativeDate" : { + "periodMultiplier" : 0, + "period" : "D", "meta" : { - "globalKey" : "de136e51" + "globalKey" : "da741949" }, - "period" : "D", - "periodMultiplier" : 0, - "businessDayConvention" : "NOT_APPLICABLE", + "businessDayConvention" : "NotApplicable", "dateRelativeTo" : { - "externalReference" : "RepurchaseDate", - "globalReference" : "3f28d6" + "globalReference" : "3f28d6", + "externalReference" : "RepurchaseDate" } + }, + "meta" : { + "globalKey" : "da741949" } - } + }, + "deliveryMethod" : "DeliveryVersusPayment" } ], - "durationType" : { - "durationType" : "TERM" - }, - "meta" : { - "globalKey" : "e7ac7fce" - }, "securityInformation" : { - "meta" : { - "globalKey" : "40232adf" - }, "security" : { "productIdentifier" : [ { "value" : { "identifier" : { "value" : "GB00B24FF097" }, + "source" : "ISIN", "meta" : { "globalKey" : "1ad6d034" - }, - "source" : "ISIN" + } } } ], - "securityType" : "DEBT" + "securityType" : "Debt" + }, + "meta" : { + "globalKey" : "40232adf" } + }, + "durationType" : { + "durationType" : "Term" + }, + "meta" : { + "globalKey" : "12a4a1fe" } } ], "meta" : { - "globalKey" : "e7ac7fce" + "globalKey" : "12a4a1fe" } } }, "meta" : { - "globalKey" : "e7ac7fce" + "globalKey" : "12a4a1fe" } }, "meta" : { - "globalKey" : "e7ac7fce" + "globalKey" : "12a4a1fe" } } } ], "meta" : { - "globalKey" : "e7ac7fce" + "globalKey" : "12a4a1fe" } } } ], "collateralProvisions" : { - "collateralType" : "CASH", + "collateralType" : "Cash", "eligibleCollateral" : [ { "criteria" : [ { "treatment" : { @@ -697,92 +601,188 @@ } } ] } - }, - "effectiveDate" : { - "adjustableDate" : { - "meta" : { - "globalKey" : "3f28d6" - }, - "unadjustedDate" : "2021-03-22" + } + }, + "meta" : { + "globalKey" : "c6dfdca3" + } + }, + "meta" : { + "globalKey" : "c6dfdca3" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "price" : [ { + "value" : { + "value" : 0.004, + "unit" : { + "currency" : { + "value" : "GBP" + } }, - "meta" : { - "externalKey" : "RepurchaseDate", - "globalKey" : "3f28d6" + "perUnitOf" : { + "currency" : { + "value" : "GBP" + } + }, + "priceType" : "InterestRate" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-1" + } ] + } + } ], + "quantity" : [ { + "value" : { + "value" : 9974250, + "unit" : { + "currency" : { + "value" : "GBP" + } } }, - "payout" : { - "interestRatePayout" : [ { - "payerReceiver" : { - "payer" : "PARTY_1", - "receiver" : "PARTY_2" - }, - "priceQuantity" : { - "meta" : { - "globalKey" : "0" - }, - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } - } - }, - "principalPayment" : { - "finalPayment" : true, - "initialPayment" : true, - "intermediatePayment" : false, - "meta" : { - "globalKey" : "12a6f5" - } - }, - "dayCountFraction" : { - "value" : "ACT/360" - }, - "meta" : { - "globalKey" : "6a2c670c" - }, - "rateSpecification" : { - "fixedRate" : { - "meta" : { - "globalKey" : "0" - }, - "rateSchedule" : { - "price" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "price-1" - } - } - } - } + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] + } + } ], + "meta" : { + "globalKey" : "ae7919fa" + } + }, { + "price" : [ { + "value" : { + "value" : 1.0075, + "unit" : { + "currency" : { + "value" : "GBP" + } + }, + "perUnitOf" : { + "currency" : { + "value" : "GBP" + } + }, + "priceType" : "AssetPrice", + "priceExpression" : "PercentageOfNotional" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-2" + } ] + } + } ], + "quantity" : [ { + "value" : { + "value" : 10000000, + "unit" : { + "currency" : { + "value" : "GBP" } - } ], - "meta" : { - "globalKey" : "6a2c670c" } }, - "terminationDate" : { - "adjustableDate" : { - "meta" : { - "globalKey" : "3f28d9" + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } ] + } + } ], + "observable" : { + "productIdentifier" : [ { + "value" : { + "identifier" : { + "value" : "GB00B24FF097" }, - "unadjustedDate" : "2021-03-25" - }, - "meta" : { - "globalKey" : "3f28d9" + "source" : "ISIN", + "meta" : { + "globalKey" : "1ad6d034" + } } + } ], + "meta" : { + "globalKey" : "1ad6d034" } }, "meta" : { - "globalKey" : "8329d853" + "globalKey" : "a8870d90" + } + } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "value" : { + "name" : { + "value" : "Global Bank Inc" + }, + "meta" : { + "globalKey" : "296093b7", + "externalKey" : "GlobalBank" + } + } + } + }, { + "role" : "Party2", + "partyReference" : { + "value" : { + "name" : { + "value" : "UK Bank plc" + }, + "meta" : { + "globalKey" : "1ef4886d", + "externalKey" : "UkBank" + } } - }, - "meta" : { - "globalKey" : "8329d853" } + } ] + }, + "party" : [ { + "name" : { + "value" : "Global Bank Inc" + }, + "meta" : { + "globalKey" : "296093b7", + "externalKey" : "GlobalBank" + } + }, { + "name" : { + "value" : "UK Bank plc" + }, + "meta" : { + "globalKey" : "1ef4886d", + "externalKey" : "UkBank" } + } ], + "partyRole" : [ { + "partyReference" : { + "globalReference" : "296093b7", + "externalReference" : "GlobalBank" + }, + "role" : "Seller" + }, { + "partyReference" : { + "globalReference" : "1ef4886d", + "externalReference" : "UkBank" + }, + "role" : "Buyer" + } ], + "meta" : { + "globalKey" : "b62aaee7" } - } ] + }, + "state" : { + "positionState" : "Formed" + }, + "meta" : { + "globalKey" : "522d7d8a" + } } } } ], diff --git a/rosetta-source/src/main/resources/cdm-sample-files/functions/repo-and-bond/shaping-input.json b/rosetta-source/src/main/resources/cdm-sample-files/functions/repo-and-bond/shaping-input.json index 8d447fe8f1..8fc7d80a04 100644 --- a/rosetta-source/src/main/resources/cdm-sample-files/functions/repo-and-bond/shaping-input.json +++ b/rosetta-source/src/main/resources/cdm-sample-files/functions/repo-and-bond/shaping-input.json @@ -1,75 +1,28 @@ { "instruction" : [ { - "before" : { - "value" : { - "meta" : { - "globalKey" : "eaf9dc6e" - }, - "state" : { - "positionState" : "FORMED" - }, - "trade" : { - "meta" : { - "globalKey" : "b9aaf231" - }, - "party" : [ { - "meta" : { - "externalKey" : "GlobalBank", - "globalKey" : "296093b7" - }, - "name" : { - "value" : "Global Bank Inc" - } - }, { - "meta" : { - "externalKey" : "UkBank", - "globalKey" : "1ef4886d" - }, - "name" : { - "value" : "UK Bank plc" - } - } ], - "partyRole" : [ { - "partyReference" : { - "externalReference" : "GlobalBank", - "globalReference" : "296093b7" - }, - "role" : "SELLER" - }, { - "partyReference" : { - "externalReference" : "UkBank", - "globalReference" : "1ef4886d" - }, - "role" : "BUYER" - } ], - "tradableProduct" : { - "counterparty" : [ { - "partyReference" : { - "value" : { - "meta" : { - "externalKey" : "GlobalBank", - "globalKey" : "296093b7" - }, - "name" : { - "value" : "Global Bank Inc" - } - } - }, - "role" : "PARTY_1" - }, { - "partyReference" : { + "primitiveInstruction" : { + "split" : { + "breakdown" : [ { + "quantityChange" : { + "change" : [ { + "quantity" : [ { "value" : { - "meta" : { - "externalKey" : "UkBank", - "globalKey" : "1ef4886d" - }, - "name" : { - "value" : "UK Bank plc" + "value" : 0.0, + "unit" : { + "currency" : { + "value" : "GBP" + } } } - }, - "role" : "PARTY_2" + } ], + "meta" : { + "globalKey" : "16e4a5" + } } ], + "direction" : "Replace" + } + }, { + "execution" : { "product" : { "contractualProduct" : { "productTaxonomy" : [ { @@ -81,6 +34,81 @@ } } ], "economicTerms" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2021-03-19", + "meta" : { + "globalKey" : "3f28d3" + } + }, + "meta" : { + "globalKey" : "3f28d3", + "externalKey" : "PurchaseDate" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2021-03-22", + "meta" : { + "globalKey" : "3f28d6" + } + }, + "meta" : { + "globalKey" : "3f28d6", + "externalKey" : "RepurchaseDate" + } + }, + "payout" : { + "interestRatePayout" : [ { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "principalPayment" : { + "initialPayment" : true, + "finalPayment" : true, + "intermediatePayment" : false, + "meta" : { + "globalKey" : "12a6f5" + } + }, + "rateSpecification" : { + "fixedRate" : { + "rateSchedule" : { + "price" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "price-1" + } + } + }, + "meta" : { + "globalKey" : "0" + } + } + }, + "dayCountFraction" : { + "value" : "ACT/360" + }, + "meta" : { + "globalKey" : "69ca64cc" + } + } ], + "meta" : { + "globalKey" : "69ca64cc" + } + }, "collateral" : { "collateralPortfolio" : [ { "value" : { @@ -91,114 +119,114 @@ "payout" : { "assetPayout" : [ { "payerReceiver" : { - "payer" : "PARTY_1", - "receiver" : "PARTY_2" + "payer" : "Party1", + "receiver" : "Party2" }, "priceQuantity" : { - "meta" : { - "globalKey" : "0" - }, "quantitySchedule" : { "address" : { "scope" : "DOCUMENT", "value" : "quantity-2" } + }, + "meta" : { + "globalKey" : "0" } }, "principalPayment" : { - "finalPayment" : true, "initialPayment" : true, + "finalPayment" : true, "intermediatePayment" : false, "meta" : { "globalKey" : "12a6f5" } }, "assetLeg" : [ { - "deliveryMethod" : "DELIVERY_VERSUS_PAYMENT", "settlementDate" : { - "meta" : { - "globalKey" : "75229c9e" - }, "relativeDate" : { + "periodMultiplier" : 0, + "period" : "D", "meta" : { - "globalKey" : "75229c9e" + "globalKey" : "71834796" }, - "period" : "D", - "periodMultiplier" : 0, - "businessDayConvention" : "NOT_APPLICABLE", + "businessDayConvention" : "NotApplicable", "dateRelativeTo" : { - "externalReference" : "PurchaseDate", - "globalReference" : "3f28d3" + "globalReference" : "3f28d3", + "externalReference" : "PurchaseDate" } + }, + "meta" : { + "globalKey" : "71834796" } - } + }, + "deliveryMethod" : "DeliveryVersusPayment" }, { - "deliveryMethod" : "DELIVERY_VERSUS_PAYMENT", "settlementDate" : { - "meta" : { - "globalKey" : "de136e51" - }, "relativeDate" : { + "periodMultiplier" : 0, + "period" : "D", "meta" : { - "globalKey" : "de136e51" + "globalKey" : "da741949" }, - "period" : "D", - "periodMultiplier" : 0, - "businessDayConvention" : "NOT_APPLICABLE", + "businessDayConvention" : "NotApplicable", "dateRelativeTo" : { - "externalReference" : "RepurchaseDate", - "globalReference" : "3f28d6" + "globalReference" : "3f28d6", + "externalReference" : "RepurchaseDate" } + }, + "meta" : { + "globalKey" : "da741949" } - } + }, + "deliveryMethod" : "DeliveryVersusPayment" } ], - "durationType" : { - "durationType" : "TERM" - }, - "meta" : { - "globalKey" : "e7ac7fce" - }, "securityInformation" : { - "meta" : { - "globalKey" : "40232adf" - }, "security" : { "productIdentifier" : [ { "value" : { "identifier" : { "value" : "GB00B24FF097" }, + "source" : "ISIN", "meta" : { "globalKey" : "1ad6d034" - }, - "source" : "ISIN" + } } } ], - "securityType" : "DEBT" + "securityType" : "Debt" + }, + "meta" : { + "globalKey" : "40232adf" } + }, + "durationType" : { + "durationType" : "Term" + }, + "meta" : { + "globalKey" : "12a4a1fe" } } ], "meta" : { - "globalKey" : "e7ac7fce" + "globalKey" : "12a4a1fe" } } }, "meta" : { - "globalKey" : "e7ac7fce" + "globalKey" : "12a4a1fe" } }, "meta" : { - "globalKey" : "e7ac7fce" + "globalKey" : "12a4a1fe" } } } ], "meta" : { - "globalKey" : "e7ac7fce" + "globalKey" : "12a4a1fe" } } } ], "collateralProvisions" : { - "collateralType" : "CASH", + "collateralType" : "Cash", "eligibleCollateral" : [ { "criteria" : [ { "treatment" : { @@ -212,275 +240,176 @@ } } ] } - }, - "effectiveDate" : { - "adjustableDate" : { - "meta" : { - "globalKey" : "3f28d3" - }, - "unadjustedDate" : "2021-03-19" - }, - "meta" : { - "externalKey" : "PurchaseDate", - "globalKey" : "3f28d3" - } - }, - "payout" : { - "interestRatePayout" : [ { - "payerReceiver" : { - "payer" : "PARTY_1", - "receiver" : "PARTY_2" - }, - "priceQuantity" : { - "meta" : { - "globalKey" : "0" - }, - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } - } - }, - "principalPayment" : { - "finalPayment" : true, - "initialPayment" : true, - "intermediatePayment" : false, - "meta" : { - "globalKey" : "12a6f5" - } - }, - "dayCountFraction" : { - "value" : "ACT/360" - }, - "meta" : { - "globalKey" : "6a2c670c" - }, - "rateSpecification" : { - "fixedRate" : { - "meta" : { - "globalKey" : "0" - }, - "rateSchedule" : { - "price" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "price-1" - } - } - } - } - } - } ], - "meta" : { - "globalKey" : "6a2c670c" - } - }, - "terminationDate" : { - "adjustableDate" : { - "meta" : { - "globalKey" : "3f28d6" - }, - "unadjustedDate" : "2021-03-22" - }, - "meta" : { - "externalKey" : "RepurchaseDate", - "globalKey" : "3f28d6" - } } }, "meta" : { - "globalKey" : "1a2ab30d" + "globalKey" : "c6dfdca3" } }, "meta" : { - "globalKey" : "1a2ab30d" + "globalKey" : "c6dfdca3" } }, - "tradeLot" : [ { - "priceQuantity" : [ { - "meta" : { - "globalKey" : "fd5ebec6" - }, - "price" : [ { - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-1" - } ] + "priceQuantity" : [ { + "price" : [ { + "value" : { + "value" : 0.004, + "unit" : { + "currency" : { + "value" : "GBP" + } }, - "value" : { - "unit" : { - "currency" : { - "value" : "GBP" - } - }, - "value" : 0.004, - "perUnitOf" : { - "currency" : { - "value" : "GBP" - } - }, - "priceType" : "INTEREST_RATE" - } - } ], - "quantity" : [ { - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] + "perUnitOf" : { + "currency" : { + "value" : "GBP" + } }, - "value" : { - "unit" : { - "currency" : { - "value" : "GBP" - } - }, - "value" : 9974250 - } - } ] - }, { - "meta" : { - "globalKey" : "c886a5fe" + "priceType" : "InterestRate" }, - "observable" : { - "meta" : { - "globalKey" : "1ad6d034" - }, - "productIdentifier" : [ { - "value" : { - "identifier" : { - "value" : "GB00B24FF097" - }, - "meta" : { - "globalKey" : "1ad6d034" - }, - "source" : "ISIN" - } + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-1" } ] + } + } ], + "quantity" : [ { + "value" : { + "value" : 9974250, + "unit" : { + "currency" : { + "value" : "GBP" + } + } }, - "price" : [ { - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-2" - } ] + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] + } + } ], + "meta" : { + "globalKey" : "ae7919fa" + } + }, { + "price" : [ { + "value" : { + "value" : 1.0075, + "unit" : { + "currency" : { + "value" : "GBP" + } }, - "value" : { - "unit" : { - "currency" : { - "value" : "GBP" - } - }, - "value" : 1.0075, - "perUnitOf" : { - "currency" : { - "value" : "GBP" - } - }, - "priceExpression" : "PERCENTAGE_OF_NOTIONAL", - "priceType" : "ASSET_PRICE" - } - } ], - "quantity" : [ { - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } ] + "perUnitOf" : { + "currency" : { + "value" : "GBP" + } }, - "value" : { - "unit" : { - "currency" : { - "value" : "GBP" - } - }, - "value" : 10000000 - } - } ] - } ] - } ] - }, - "tradeDate" : { - "meta" : { - "globalKey" : "3f28d2" - }, - "value" : "2021-03-18" - }, - "tradeIdentifier" : [ { - "assignedIdentifier" : [ { - "identifier" : { - "meta" : { - "scheme" : "UnqTradIdr" + "priceType" : "AssetPrice", + "priceExpression" : "PercentageOfNotional" }, - "value" : "KTKLLEILLLLLLLLLLLLL-FISG1G1LENDFP0028303002" - } - } ], - "issuer" : { - "value" : "KTKLLEILLLLLLLLLLLLL" - }, - "meta" : { - "globalKey" : "4a82737e" - } - } ] - } - } - }, - "primitiveInstruction" : { - "split" : { - "breakdown" : [ { - "quantityChange" : { - "change" : [ { - "meta" : { - "globalKey" : "16e4a5" - }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-2" + } ] + } + } ], "quantity" : [ { "value" : { + "value" : 10000000, "unit" : { "currency" : { "value" : "GBP" } - }, - "value" : 0.0 + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } ] } - } ] + } ], + "observable" : { + "productIdentifier" : [ { + "value" : { + "identifier" : { + "value" : "GB00B24FF097" + }, + "source" : "ISIN", + "meta" : { + "globalKey" : "1ad6d034" + } + } + } ], + "meta" : { + "globalKey" : "1ad6d034" + } + }, + "meta" : { + "globalKey" : "a8870d90" + } } ], - "direction" : "REPLACE" - } - }, { - "execution" : { "counterparty" : [ { + "role" : "Party1", "partyReference" : { "value" : { - "meta" : { - "externalKey" : "GlobalBank", - "globalKey" : "296093b7" - }, "name" : { "value" : "Global Bank Inc" + }, + "meta" : { + "globalKey" : "296093b7", + "externalKey" : "GlobalBank" } } - }, - "role" : "PARTY_1" + } }, { + "role" : "Party2", "partyReference" : { "value" : { - "meta" : { - "externalKey" : "UkBank", - "globalKey" : "1ef4886d" - }, "name" : { "value" : "UK Bank plc" + }, + "meta" : { + "globalKey" : "1ef4886d", + "externalKey" : "UkBank" } } - }, - "role" : "PARTY_2" + } } ], - "executionDetails" : { + "parties" : [ { + "name" : { + "value" : "Global Bank Inc" + }, "meta" : { - "globalKey" : "ecdc96e2" + "globalKey" : "296093b7", + "externalKey" : "GlobalBank" + } + }, { + "name" : { + "value" : "UK Bank plc" + }, + "meta" : { + "globalKey" : "1ef4886d", + "externalKey" : "UkBank" + } + } ], + "partyRoles" : [ { + "partyReference" : { + "globalReference" : "296093b7", + "externalReference" : "GlobalBank" }, + "role" : "Seller" + }, { + "partyReference" : { + "globalReference" : "1ef4886d", + "externalReference" : "UkBank" + }, + "role" : "Buyer" + } ], + "executionDetails" : { "packageReference" : { "listId" : { "assignedIdentifier" : [ { @@ -495,140 +424,117 @@ "meta" : { "globalKey" : "ecdc96e2" } - } - }, - "parties" : [ { - "meta" : { - "externalKey" : "GlobalBank", - "globalKey" : "296093b7" }, - "name" : { - "value" : "Global Bank Inc" + "meta" : { + "globalKey" : "ecdc96e2" } - }, { + }, + "tradeDate" : { + "value" : "2021-03-18", "meta" : { - "externalKey" : "UkBank", - "globalKey" : "1ef4886d" - }, - "name" : { - "value" : "UK Bank plc" + "globalKey" : "3f28d2" } - } ], - "partyRoles" : [ { - "partyReference" : { - "externalReference" : "GlobalBank", - "globalReference" : "296093b7" - }, - "role" : "SELLER" - }, { - "partyReference" : { - "externalReference" : "UkBank", - "globalReference" : "1ef4886d" + }, + "tradeIdentifier" : [ { + "issuer" : { + "value" : "KTKLLEILLLLLLLLLLLLL" }, - "role" : "BUYER" - } ], - "priceQuantity" : [ { + "assignedIdentifier" : [ { + "identifier" : { + "value" : "KTKLLEILLLLLLLLLLLLL-FISG1G1LENDFP0028303002", + "meta" : { + "scheme" : "UnqTradIdr" + } + } + } ], "meta" : { - "globalKey" : "fd5ebec6" - }, + "globalKey" : "32cd87f2" + } + } ] + }, + "quantityChange" : { + "change" : [ { "price" : [ { - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-1" - } ] - }, "value" : { + "value" : 0.004, "unit" : { "currency" : { "value" : "GBP" } }, - "value" : 0.004, "perUnitOf" : { "currency" : { "value" : "GBP" } }, - "priceType" : "INTEREST_RATE" + "priceType" : "InterestRate" } } ], "quantity" : [ { - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] - }, "value" : { + "value" : 3989700, "unit" : { "currency" : { "value" : "GBP" } - }, - "value" : 9974250 + } } - } ] - }, { + } ], "meta" : { - "globalKey" : "c886a5fe" - }, - "observable" : { - "meta" : { - "globalKey" : "1ad6d034" - }, - "productIdentifier" : [ { - "value" : { - "identifier" : { - "value" : "GB00B24FF097" - }, - "meta" : { - "globalKey" : "1ad6d034" - }, - "source" : "ISIN" - } - } ] - }, + "globalKey" : "dac1d864" + } + }, { "price" : [ { - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-2" - } ] - }, "value" : { + "value" : 1.0075, "unit" : { "currency" : { "value" : "GBP" } }, - "value" : 1.0075, "perUnitOf" : { "currency" : { "value" : "GBP" } }, - "priceExpression" : "PERCENTAGE_OF_NOTIONAL", - "priceType" : "ASSET_PRICE" + "priceType" : "AssetPrice", + "priceExpression" : "PercentageOfNotional" } } ], "quantity" : [ { - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } ] - }, "value" : { + "value" : 4000000, "unit" : { "currency" : { "value" : "GBP" } - }, - "value" : 10000000 + } } - } ] + } ], + "observable" : { + "productIdentifier" : [ { + "value" : { + "identifier" : { + "value" : "GB00B24FF097" + }, + "source" : "ISIN", + "meta" : { + "globalKey" : "1ad6d034" + } + } + } ], + "meta" : { + "globalKey" : "1ad6d034" + } + }, + "meta" : { + "globalKey" : "9a77f2c7" + } } ], + "direction" : "Replace" + } + }, { + "execution" : { "product" : { "contractualProduct" : { "productTaxonomy" : [ { @@ -640,6 +546,81 @@ } } ], "economicTerms" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2021-03-19", + "meta" : { + "globalKey" : "3f28d3" + } + }, + "meta" : { + "globalKey" : "3f28d3", + "externalKey" : "PurchaseDate" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2021-03-22", + "meta" : { + "globalKey" : "3f28d6" + } + }, + "meta" : { + "globalKey" : "3f28d6", + "externalKey" : "RepurchaseDate" + } + }, + "payout" : { + "interestRatePayout" : [ { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "principalPayment" : { + "initialPayment" : true, + "finalPayment" : true, + "intermediatePayment" : false, + "meta" : { + "globalKey" : "12a6f5" + } + }, + "rateSpecification" : { + "fixedRate" : { + "rateSchedule" : { + "price" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "price-1" + } + } + }, + "meta" : { + "globalKey" : "0" + } + } + }, + "dayCountFraction" : { + "value" : "ACT/360" + }, + "meta" : { + "globalKey" : "69ca64cc" + } + } ], + "meta" : { + "globalKey" : "69ca64cc" + } + }, "collateral" : { "collateralPortfolio" : [ { "value" : { @@ -650,114 +631,114 @@ "payout" : { "assetPayout" : [ { "payerReceiver" : { - "payer" : "PARTY_1", - "receiver" : "PARTY_2" + "payer" : "Party1", + "receiver" : "Party2" }, "priceQuantity" : { - "meta" : { - "globalKey" : "0" - }, "quantitySchedule" : { "address" : { "scope" : "DOCUMENT", "value" : "quantity-2" } + }, + "meta" : { + "globalKey" : "0" } }, "principalPayment" : { - "finalPayment" : true, "initialPayment" : true, + "finalPayment" : true, "intermediatePayment" : false, "meta" : { "globalKey" : "12a6f5" } }, "assetLeg" : [ { - "deliveryMethod" : "DELIVERY_VERSUS_PAYMENT", "settlementDate" : { - "meta" : { - "globalKey" : "75229c9e" - }, "relativeDate" : { + "periodMultiplier" : 0, + "period" : "D", "meta" : { - "globalKey" : "75229c9e" + "globalKey" : "71834796" }, - "period" : "D", - "periodMultiplier" : 0, - "businessDayConvention" : "NOT_APPLICABLE", + "businessDayConvention" : "NotApplicable", "dateRelativeTo" : { - "externalReference" : "PurchaseDate", - "globalReference" : "3f28d3" + "globalReference" : "3f28d3", + "externalReference" : "PurchaseDate" } + }, + "meta" : { + "globalKey" : "71834796" } - } + }, + "deliveryMethod" : "DeliveryVersusPayment" }, { - "deliveryMethod" : "DELIVERY_VERSUS_PAYMENT", "settlementDate" : { - "meta" : { - "globalKey" : "de136e51" - }, "relativeDate" : { + "periodMultiplier" : 0, + "period" : "D", "meta" : { - "globalKey" : "de136e51" + "globalKey" : "da741949" }, - "period" : "D", - "periodMultiplier" : 0, - "businessDayConvention" : "NOT_APPLICABLE", + "businessDayConvention" : "NotApplicable", "dateRelativeTo" : { - "externalReference" : "RepurchaseDate", - "globalReference" : "3f28d6" + "globalReference" : "3f28d6", + "externalReference" : "RepurchaseDate" } + }, + "meta" : { + "globalKey" : "da741949" } - } + }, + "deliveryMethod" : "DeliveryVersusPayment" } ], - "durationType" : { - "durationType" : "TERM" - }, - "meta" : { - "globalKey" : "e7ac7fce" - }, "securityInformation" : { - "meta" : { - "globalKey" : "40232adf" - }, "security" : { "productIdentifier" : [ { "value" : { "identifier" : { "value" : "GB00B24FF097" }, + "source" : "ISIN", "meta" : { "globalKey" : "1ad6d034" - }, - "source" : "ISIN" + } } } ], - "securityType" : "DEBT" + "securityType" : "Debt" + }, + "meta" : { + "globalKey" : "40232adf" } + }, + "durationType" : { + "durationType" : "Term" + }, + "meta" : { + "globalKey" : "12a4a1fe" } } ], "meta" : { - "globalKey" : "e7ac7fce" + "globalKey" : "12a4a1fe" } } }, "meta" : { - "globalKey" : "e7ac7fce" + "globalKey" : "12a4a1fe" } }, "meta" : { - "globalKey" : "e7ac7fce" + "globalKey" : "12a4a1fe" } } } ], "meta" : { - "globalKey" : "e7ac7fce" + "globalKey" : "12a4a1fe" } } } ], "collateralProvisions" : { - "collateralType" : "CASH", + "collateralType" : "Cash", "eligibleCollateral" : [ { "criteria" : [ { "treatment" : { @@ -771,228 +752,176 @@ } } ] } - }, - "effectiveDate" : { - "adjustableDate" : { - "meta" : { - "globalKey" : "3f28d3" - }, - "unadjustedDate" : "2021-03-19" - }, - "meta" : { - "externalKey" : "PurchaseDate", - "globalKey" : "3f28d3" - } - }, - "payout" : { - "interestRatePayout" : [ { - "payerReceiver" : { - "payer" : "PARTY_1", - "receiver" : "PARTY_2" - }, - "priceQuantity" : { - "meta" : { - "globalKey" : "0" - }, - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } - } - }, - "principalPayment" : { - "finalPayment" : true, - "initialPayment" : true, - "intermediatePayment" : false, - "meta" : { - "globalKey" : "12a6f5" - } - }, - "dayCountFraction" : { - "value" : "ACT/360" - }, - "meta" : { - "globalKey" : "6a2c670c" - }, - "rateSpecification" : { - "fixedRate" : { - "meta" : { - "globalKey" : "0" - }, - "rateSchedule" : { - "price" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "price-1" - } - } - } - } - } - } ], - "meta" : { - "globalKey" : "6a2c670c" - } - }, - "terminationDate" : { - "adjustableDate" : { - "meta" : { - "globalKey" : "3f28d6" - }, - "unadjustedDate" : "2021-03-22" - }, - "meta" : { - "externalKey" : "RepurchaseDate", - "globalKey" : "3f28d6" - } } }, "meta" : { - "globalKey" : "1a2ab30d" + "globalKey" : "c6dfdca3" } }, "meta" : { - "globalKey" : "1a2ab30d" + "globalKey" : "c6dfdca3" } }, - "tradeDate" : { - "meta" : { - "globalKey" : "3f28d2" - }, - "value" : "2021-03-18" - }, - "tradeIdentifier" : [ { - "assignedIdentifier" : [ { - "identifier" : { - "meta" : { - "scheme" : "UnqTradIdr" - }, - "value" : "KTKLLEILLLLLLLLLLLLL-FISG1G1LENDFP0028303002" - } - } ], - "issuer" : { - "value" : "KTKLLEILLLLLLLLLLLLL" - }, - "meta" : { - "globalKey" : "4a82737e" - } - } ] - }, - "quantityChange" : { - "change" : [ { - "meta" : { - "globalKey" : "dac1d864" - }, + "priceQuantity" : [ { "price" : [ { "value" : { + "value" : 0.004, "unit" : { "currency" : { "value" : "GBP" } }, - "value" : 0.004, "perUnitOf" : { "currency" : { "value" : "GBP" } }, - "priceType" : "INTEREST_RATE" + "priceType" : "InterestRate" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-1" + } ] } } ], "quantity" : [ { "value" : { + "value" : 9974250, "unit" : { "currency" : { "value" : "GBP" } - }, - "value" : 3989700 + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] } - } ] - }, { + } ], "meta" : { - "globalKey" : "791a08d1" - }, - "observable" : { - "meta" : { - "globalKey" : "1ad6d034" - }, - "productIdentifier" : [ { - "value" : { - "identifier" : { - "value" : "GB00B24FF097" - }, - "meta" : { - "globalKey" : "1ad6d034" - }, - "source" : "ISIN" - } - } ] - }, + "globalKey" : "ae7919fa" + } + }, { "price" : [ { "value" : { + "value" : 1.0075, "unit" : { "currency" : { "value" : "GBP" } }, - "value" : 1.0075, "perUnitOf" : { "currency" : { "value" : "GBP" } }, - "priceExpression" : "PERCENTAGE_OF_NOTIONAL", - "priceType" : "ASSET_PRICE" + "priceType" : "AssetPrice", + "priceExpression" : "PercentageOfNotional" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-2" + } ] } } ], "quantity" : [ { "value" : { + "value" : 10000000, "unit" : { "currency" : { "value" : "GBP" } - }, - "value" : 4000000 + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } ] } - } ] + } ], + "observable" : { + "productIdentifier" : [ { + "value" : { + "identifier" : { + "value" : "GB00B24FF097" + }, + "source" : "ISIN", + "meta" : { + "globalKey" : "1ad6d034" + } + } + } ], + "meta" : { + "globalKey" : "1ad6d034" + } + }, + "meta" : { + "globalKey" : "a8870d90" + } } ], - "direction" : "REPLACE" - } - }, { - "execution" : { "counterparty" : [ { + "role" : "Party1", "partyReference" : { "value" : { - "meta" : { - "externalKey" : "GlobalBank", - "globalKey" : "296093b7" - }, "name" : { "value" : "Global Bank Inc" + }, + "meta" : { + "globalKey" : "296093b7", + "externalKey" : "GlobalBank" } } - }, - "role" : "PARTY_1" + } }, { + "role" : "Party2", "partyReference" : { "value" : { - "meta" : { - "externalKey" : "UkBank", - "globalKey" : "1ef4886d" - }, "name" : { "value" : "UK Bank plc" + }, + "meta" : { + "globalKey" : "1ef4886d", + "externalKey" : "UkBank" } } - }, - "role" : "PARTY_2" + } } ], - "executionDetails" : { + "parties" : [ { + "name" : { + "value" : "Global Bank Inc" + }, "meta" : { - "globalKey" : "ecdc96e2" + "globalKey" : "296093b7", + "externalKey" : "GlobalBank" + } + }, { + "name" : { + "value" : "UK Bank plc" + }, + "meta" : { + "globalKey" : "1ef4886d", + "externalKey" : "UkBank" + } + } ], + "partyRoles" : [ { + "partyReference" : { + "globalReference" : "296093b7", + "externalReference" : "GlobalBank" + }, + "role" : "Seller" + }, { + "partyReference" : { + "globalReference" : "1ef4886d", + "externalReference" : "UkBank" }, + "role" : "Buyer" + } ], + "executionDetails" : { "packageReference" : { "listId" : { "assignedIdentifier" : [ { @@ -1007,140 +936,117 @@ "meta" : { "globalKey" : "ecdc96e2" } - } - }, - "parties" : [ { - "meta" : { - "externalKey" : "GlobalBank", - "globalKey" : "296093b7" }, - "name" : { - "value" : "Global Bank Inc" + "meta" : { + "globalKey" : "ecdc96e2" } - }, { + }, + "tradeDate" : { + "value" : "2021-03-18", "meta" : { - "externalKey" : "UkBank", - "globalKey" : "1ef4886d" - }, - "name" : { - "value" : "UK Bank plc" + "globalKey" : "3f28d2" } - } ], - "partyRoles" : [ { - "partyReference" : { - "externalReference" : "GlobalBank", - "globalReference" : "296093b7" - }, - "role" : "SELLER" - }, { - "partyReference" : { - "externalReference" : "UkBank", - "globalReference" : "1ef4886d" + }, + "tradeIdentifier" : [ { + "issuer" : { + "value" : "KTKLLEILLLLLLLLLLLLL" }, - "role" : "BUYER" - } ], - "priceQuantity" : [ { + "assignedIdentifier" : [ { + "identifier" : { + "value" : "KTKLLEILLLLLLLLLLLLL-FISG1G1LENDFP0028303002", + "meta" : { + "scheme" : "UnqTradIdr" + } + } + } ], "meta" : { - "globalKey" : "fd5ebec6" - }, + "globalKey" : "32cd87f2" + } + } ] + }, + "quantityChange" : { + "change" : [ { "price" : [ { - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-1" - } ] - }, "value" : { + "value" : 0.004, "unit" : { "currency" : { "value" : "GBP" } }, - "value" : 0.004, "perUnitOf" : { "currency" : { "value" : "GBP" } }, - "priceType" : "INTEREST_RATE" + "priceType" : "InterestRate" } } ], "quantity" : [ { - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] - }, "value" : { + "value" : 3989700, "unit" : { "currency" : { "value" : "GBP" } - }, - "value" : 9974250 + } } - } ] - }, { + } ], "meta" : { - "globalKey" : "c886a5fe" - }, - "observable" : { - "meta" : { - "globalKey" : "1ad6d034" - }, - "productIdentifier" : [ { - "value" : { - "identifier" : { - "value" : "GB00B24FF097" - }, - "meta" : { - "globalKey" : "1ad6d034" - }, - "source" : "ISIN" - } - } ] - }, + "globalKey" : "dac1d864" + } + }, { "price" : [ { - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-2" - } ] - }, "value" : { + "value" : 1.0075, "unit" : { "currency" : { "value" : "GBP" } }, - "value" : 1.0075, "perUnitOf" : { "currency" : { "value" : "GBP" } }, - "priceExpression" : "PERCENTAGE_OF_NOTIONAL", - "priceType" : "ASSET_PRICE" + "priceType" : "AssetPrice", + "priceExpression" : "PercentageOfNotional" } } ], "quantity" : [ { - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } ] - }, "value" : { + "value" : 4000000, "unit" : { "currency" : { "value" : "GBP" } - }, - "value" : 10000000 + } } - } ] + } ], + "observable" : { + "productIdentifier" : [ { + "value" : { + "identifier" : { + "value" : "GB00B24FF097" + }, + "source" : "ISIN", + "meta" : { + "globalKey" : "1ad6d034" + } + } + } ], + "meta" : { + "globalKey" : "1ad6d034" + } + }, + "meta" : { + "globalKey" : "9a77f2c7" + } } ], + "direction" : "Replace" + } + }, { + "execution" : { "product" : { "contractualProduct" : { "productTaxonomy" : [ { @@ -1152,124 +1058,199 @@ } } ], "economicTerms" : { - "collateral" : { - "collateralPortfolio" : [ { - "value" : { - "collateralPosition" : [ { - "product" : { - "contractualProduct" : { - "economicTerms" : { - "payout" : { - "assetPayout" : [ { - "payerReceiver" : { - "payer" : "PARTY_1", - "receiver" : "PARTY_2" - }, - "priceQuantity" : { - "meta" : { - "globalKey" : "0" - }, - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-2" + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2021-03-19", + "meta" : { + "globalKey" : "3f28d3" + } + }, + "meta" : { + "globalKey" : "3f28d3", + "externalKey" : "PurchaseDate" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2021-03-22", + "meta" : { + "globalKey" : "3f28d6" + } + }, + "meta" : { + "globalKey" : "3f28d6", + "externalKey" : "RepurchaseDate" + } + }, + "payout" : { + "interestRatePayout" : [ { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "principalPayment" : { + "initialPayment" : true, + "finalPayment" : true, + "intermediatePayment" : false, + "meta" : { + "globalKey" : "12a6f5" + } + }, + "rateSpecification" : { + "fixedRate" : { + "rateSchedule" : { + "price" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "price-1" + } + } + }, + "meta" : { + "globalKey" : "0" + } + } + }, + "dayCountFraction" : { + "value" : "ACT/360" + }, + "meta" : { + "globalKey" : "69ca64cc" + } + } ], + "meta" : { + "globalKey" : "69ca64cc" + } + }, + "collateral" : { + "collateralPortfolio" : [ { + "value" : { + "collateralPosition" : [ { + "product" : { + "contractualProduct" : { + "economicTerms" : { + "payout" : { + "assetPayout" : [ { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-2" } + }, + "meta" : { + "globalKey" : "0" } }, "principalPayment" : { - "finalPayment" : true, "initialPayment" : true, + "finalPayment" : true, "intermediatePayment" : false, "meta" : { "globalKey" : "12a6f5" } }, "assetLeg" : [ { - "deliveryMethod" : "DELIVERY_VERSUS_PAYMENT", "settlementDate" : { - "meta" : { - "globalKey" : "75229c9e" - }, "relativeDate" : { + "periodMultiplier" : 0, + "period" : "D", "meta" : { - "globalKey" : "75229c9e" + "globalKey" : "71834796" }, - "period" : "D", - "periodMultiplier" : 0, - "businessDayConvention" : "NOT_APPLICABLE", + "businessDayConvention" : "NotApplicable", "dateRelativeTo" : { - "externalReference" : "PurchaseDate", - "globalReference" : "3f28d3" + "globalReference" : "3f28d3", + "externalReference" : "PurchaseDate" } + }, + "meta" : { + "globalKey" : "71834796" } - } + }, + "deliveryMethod" : "DeliveryVersusPayment" }, { - "deliveryMethod" : "DELIVERY_VERSUS_PAYMENT", "settlementDate" : { - "meta" : { - "globalKey" : "de136e51" - }, "relativeDate" : { + "periodMultiplier" : 0, + "period" : "D", "meta" : { - "globalKey" : "de136e51" + "globalKey" : "da741949" }, - "period" : "D", - "periodMultiplier" : 0, - "businessDayConvention" : "NOT_APPLICABLE", + "businessDayConvention" : "NotApplicable", "dateRelativeTo" : { - "externalReference" : "RepurchaseDate", - "globalReference" : "3f28d6" + "globalReference" : "3f28d6", + "externalReference" : "RepurchaseDate" } + }, + "meta" : { + "globalKey" : "da741949" } - } + }, + "deliveryMethod" : "DeliveryVersusPayment" } ], - "durationType" : { - "durationType" : "TERM" - }, - "meta" : { - "globalKey" : "e7ac7fce" - }, "securityInformation" : { - "meta" : { - "globalKey" : "40232adf" - }, "security" : { "productIdentifier" : [ { "value" : { "identifier" : { "value" : "GB00B24FF097" }, + "source" : "ISIN", "meta" : { "globalKey" : "1ad6d034" - }, - "source" : "ISIN" + } } } ], - "securityType" : "DEBT" + "securityType" : "Debt" + }, + "meta" : { + "globalKey" : "40232adf" } + }, + "durationType" : { + "durationType" : "Term" + }, + "meta" : { + "globalKey" : "12a4a1fe" } } ], "meta" : { - "globalKey" : "e7ac7fce" + "globalKey" : "12a4a1fe" } } }, "meta" : { - "globalKey" : "e7ac7fce" + "globalKey" : "12a4a1fe" } }, "meta" : { - "globalKey" : "e7ac7fce" + "globalKey" : "12a4a1fe" } } } ], "meta" : { - "globalKey" : "e7ac7fce" + "globalKey" : "12a4a1fe" } } } ], "collateralProvisions" : { - "collateralType" : "CASH", + "collateralType" : "Cash", "eligibleCollateral" : [ { "criteria" : [ { "treatment" : { @@ -1283,228 +1264,176 @@ } } ] } - }, - "effectiveDate" : { - "adjustableDate" : { - "meta" : { - "globalKey" : "3f28d3" - }, - "unadjustedDate" : "2021-03-19" - }, - "meta" : { - "externalKey" : "PurchaseDate", - "globalKey" : "3f28d3" - } - }, - "payout" : { - "interestRatePayout" : [ { - "payerReceiver" : { - "payer" : "PARTY_1", - "receiver" : "PARTY_2" - }, - "priceQuantity" : { - "meta" : { - "globalKey" : "0" - }, - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } - } - }, - "principalPayment" : { - "finalPayment" : true, - "initialPayment" : true, - "intermediatePayment" : false, - "meta" : { - "globalKey" : "12a6f5" - } - }, - "dayCountFraction" : { - "value" : "ACT/360" - }, - "meta" : { - "globalKey" : "6a2c670c" - }, - "rateSpecification" : { - "fixedRate" : { - "meta" : { - "globalKey" : "0" - }, - "rateSchedule" : { - "price" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "price-1" - } - } - } - } - } - } ], - "meta" : { - "globalKey" : "6a2c670c" - } - }, - "terminationDate" : { - "adjustableDate" : { - "meta" : { - "globalKey" : "3f28d6" - }, - "unadjustedDate" : "2021-03-22" - }, - "meta" : { - "externalKey" : "RepurchaseDate", - "globalKey" : "3f28d6" - } } }, "meta" : { - "globalKey" : "1a2ab30d" + "globalKey" : "c6dfdca3" } }, "meta" : { - "globalKey" : "1a2ab30d" + "globalKey" : "c6dfdca3" } }, - "tradeDate" : { - "meta" : { - "globalKey" : "3f28d2" - }, - "value" : "2021-03-18" - }, - "tradeIdentifier" : [ { - "assignedIdentifier" : [ { - "identifier" : { - "meta" : { - "scheme" : "UnqTradIdr" - }, - "value" : "KTKLLEILLLLLLLLLLLLL-FISG1G1LENDFP0028303002" - } - } ], - "issuer" : { - "value" : "KTKLLEILLLLLLLLLLLLL" - }, - "meta" : { - "globalKey" : "4a82737e" - } - } ] - }, - "quantityChange" : { - "change" : [ { - "meta" : { - "globalKey" : "dac1d864" - }, + "priceQuantity" : [ { "price" : [ { "value" : { + "value" : 0.004, "unit" : { "currency" : { "value" : "GBP" } }, - "value" : 0.004, "perUnitOf" : { "currency" : { "value" : "GBP" } }, - "priceType" : "INTEREST_RATE" + "priceType" : "InterestRate" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-1" + } ] } } ], "quantity" : [ { "value" : { + "value" : 9974250, "unit" : { "currency" : { "value" : "GBP" } - }, - "value" : 3989700 + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] } - } ] - }, { + } ], "meta" : { - "globalKey" : "791a08d1" - }, - "observable" : { - "meta" : { - "globalKey" : "1ad6d034" - }, - "productIdentifier" : [ { - "value" : { - "identifier" : { - "value" : "GB00B24FF097" - }, - "meta" : { - "globalKey" : "1ad6d034" - }, - "source" : "ISIN" - } - } ] - }, + "globalKey" : "ae7919fa" + } + }, { "price" : [ { "value" : { + "value" : 1.0075, "unit" : { "currency" : { "value" : "GBP" } }, - "value" : 1.0075, "perUnitOf" : { "currency" : { "value" : "GBP" } }, - "priceExpression" : "PERCENTAGE_OF_NOTIONAL", - "priceType" : "ASSET_PRICE" + "priceType" : "AssetPrice", + "priceExpression" : "PercentageOfNotional" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-2" + } ] } } ], "quantity" : [ { "value" : { + "value" : 10000000, "unit" : { "currency" : { "value" : "GBP" } - }, - "value" : 4000000 + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } ] } - } ] + } ], + "observable" : { + "productIdentifier" : [ { + "value" : { + "identifier" : { + "value" : "GB00B24FF097" + }, + "source" : "ISIN", + "meta" : { + "globalKey" : "1ad6d034" + } + } + } ], + "meta" : { + "globalKey" : "1ad6d034" + } + }, + "meta" : { + "globalKey" : "a8870d90" + } } ], - "direction" : "REPLACE" - } - }, { - "execution" : { "counterparty" : [ { + "role" : "Party1", "partyReference" : { "value" : { - "meta" : { - "externalKey" : "GlobalBank", - "globalKey" : "296093b7" - }, "name" : { "value" : "Global Bank Inc" + }, + "meta" : { + "globalKey" : "296093b7", + "externalKey" : "GlobalBank" } } - }, - "role" : "PARTY_1" + } }, { + "role" : "Party2", "partyReference" : { "value" : { - "meta" : { - "externalKey" : "UkBank", - "globalKey" : "1ef4886d" - }, "name" : { "value" : "UK Bank plc" + }, + "meta" : { + "globalKey" : "1ef4886d", + "externalKey" : "UkBank" } } - }, - "role" : "PARTY_2" + } } ], - "executionDetails" : { + "parties" : [ { + "name" : { + "value" : "Global Bank Inc" + }, "meta" : { - "globalKey" : "ecdc96e2" + "globalKey" : "296093b7", + "externalKey" : "GlobalBank" + } + }, { + "name" : { + "value" : "UK Bank plc" + }, + "meta" : { + "globalKey" : "1ef4886d", + "externalKey" : "UkBank" + } + } ], + "partyRoles" : [ { + "partyReference" : { + "globalReference" : "296093b7", + "externalReference" : "GlobalBank" + }, + "role" : "Seller" + }, { + "partyReference" : { + "globalReference" : "1ef4886d", + "externalReference" : "UkBank" }, + "role" : "Buyer" + } ], + "executionDetails" : { "packageReference" : { "listId" : { "assignedIdentifier" : [ { @@ -1519,140 +1448,144 @@ "meta" : { "globalKey" : "ecdc96e2" } - } - }, - "parties" : [ { - "meta" : { - "externalKey" : "GlobalBank", - "globalKey" : "296093b7" }, - "name" : { - "value" : "Global Bank Inc" + "meta" : { + "globalKey" : "ecdc96e2" } - }, { + }, + "tradeDate" : { + "value" : "2021-03-18", "meta" : { - "externalKey" : "UkBank", - "globalKey" : "1ef4886d" - }, - "name" : { - "value" : "UK Bank plc" + "globalKey" : "3f28d2" } - } ], - "partyRoles" : [ { - "partyReference" : { - "externalReference" : "GlobalBank", - "globalReference" : "296093b7" - }, - "role" : "SELLER" - }, { - "partyReference" : { - "externalReference" : "UkBank", - "globalReference" : "1ef4886d" + }, + "tradeIdentifier" : [ { + "issuer" : { + "value" : "KTKLLEILLLLLLLLLLLLL" }, - "role" : "BUYER" - } ], - "priceQuantity" : [ { + "assignedIdentifier" : [ { + "identifier" : { + "value" : "KTKLLEILLLLLLLLLLLLL-FISG1G1LENDFP0028303002", + "meta" : { + "scheme" : "UnqTradIdr" + } + } + } ], "meta" : { - "globalKey" : "fd5ebec6" - }, + "globalKey" : "32cd87f2" + } + } ] + }, + "quantityChange" : { + "change" : [ { "price" : [ { - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-1" - } ] - }, "value" : { + "value" : 0.004, "unit" : { "currency" : { "value" : "GBP" } }, - "value" : 0.004, "perUnitOf" : { "currency" : { "value" : "GBP" } }, - "priceType" : "INTEREST_RATE" + "priceType" : "InterestRate" } } ], "quantity" : [ { - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] - }, "value" : { + "value" : 1994850, "unit" : { "currency" : { "value" : "GBP" } - }, - "value" : 9974250 + } } - } ] - }, { + } ], "meta" : { - "globalKey" : "c886a5fe" - }, - "observable" : { - "meta" : { - "globalKey" : "1ad6d034" - }, - "productIdentifier" : [ { - "value" : { - "identifier" : { - "value" : "GB00B24FF097" - }, - "meta" : { - "globalKey" : "1ad6d034" - }, - "source" : "ISIN" - } - } ] - }, + "globalKey" : "538c48e4" + } + }, { "price" : [ { - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-2" - } ] - }, "value" : { + "value" : 1.0075, "unit" : { "currency" : { "value" : "GBP" } }, - "value" : 1.0075, "perUnitOf" : { "currency" : { "value" : "GBP" } }, - "priceExpression" : "PERCENTAGE_OF_NOTIONAL", - "priceType" : "ASSET_PRICE" + "priceType" : "AssetPrice", + "priceExpression" : "PercentageOfNotional" } } ], "quantity" : [ { - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } ] - }, "value" : { + "value" : 2000000, "unit" : { "currency" : { "value" : "GBP" } - }, - "value" : 10000000 + } } - } ] + } ], + "observable" : { + "productIdentifier" : [ { + "value" : { + "identifier" : { + "value" : "GB00B24FF097" + }, + "source" : "ISIN", + "meta" : { + "globalKey" : "1ad6d034" + } + } + } ], + "meta" : { + "globalKey" : "1ad6d034" + } + }, + "meta" : { + "globalKey" : "d7543709" + } + } ], + "direction" : "Replace" + } + } ] + } + }, + "before" : { + "value" : { + "trade" : { + "tradeIdentifier" : [ { + "issuer" : { + "value" : "KTKLLEILLLLLLLLLLLLL" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "KTKLLEILLLLLLLLLLLLL-FISG1G1LENDFP0028303002", + "meta" : { + "scheme" : "UnqTradIdr" + } + } } ], + "meta" : { + "globalKey" : "32cd87f2" + } + } ], + "tradeDate" : { + "value" : "2021-03-18", + "meta" : { + "globalKey" : "3f28d2" + } + }, + "tradableProduct" : { "product" : { "contractualProduct" : { "productTaxonomy" : [ { @@ -1664,124 +1597,199 @@ } } ], "economicTerms" : { - "collateral" : { - "collateralPortfolio" : [ { - "value" : { - "collateralPosition" : [ { - "product" : { - "contractualProduct" : { - "economicTerms" : { - "payout" : { - "assetPayout" : [ { - "payerReceiver" : { - "payer" : "PARTY_1", - "receiver" : "PARTY_2" - }, - "priceQuantity" : { - "meta" : { - "globalKey" : "0" - }, - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } - } - }, - "principalPayment" : { - "finalPayment" : true, - "initialPayment" : true, - "intermediatePayment" : false, - "meta" : { - "globalKey" : "12a6f5" - } - }, - "assetLeg" : [ { - "deliveryMethod" : "DELIVERY_VERSUS_PAYMENT", - "settlementDate" : { - "meta" : { - "globalKey" : "75229c9e" - }, - "relativeDate" : { - "meta" : { - "globalKey" : "75229c9e" - }, - "period" : "D", - "periodMultiplier" : 0, - "businessDayConvention" : "NOT_APPLICABLE", - "dateRelativeTo" : { - "externalReference" : "PurchaseDate", - "globalReference" : "3f28d3" - } - } - } - }, { - "deliveryMethod" : "DELIVERY_VERSUS_PAYMENT", - "settlementDate" : { - "meta" : { - "globalKey" : "de136e51" - }, - "relativeDate" : { - "meta" : { - "globalKey" : "de136e51" - }, - "period" : "D", - "periodMultiplier" : 0, - "businessDayConvention" : "NOT_APPLICABLE", - "dateRelativeTo" : { - "externalReference" : "RepurchaseDate", - "globalReference" : "3f28d6" - } + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2021-03-19", + "meta" : { + "globalKey" : "3f28d3" + } + }, + "meta" : { + "globalKey" : "3f28d3", + "externalKey" : "PurchaseDate" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2021-03-22", + "meta" : { + "globalKey" : "3f28d6" + } + }, + "meta" : { + "globalKey" : "3f28d6", + "externalKey" : "RepurchaseDate" + } + }, + "payout" : { + "interestRatePayout" : [ { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "principalPayment" : { + "initialPayment" : true, + "finalPayment" : true, + "intermediatePayment" : false, + "meta" : { + "globalKey" : "12a6f5" + } + }, + "rateSpecification" : { + "fixedRate" : { + "rateSchedule" : { + "price" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "price-1" + } + } + }, + "meta" : { + "globalKey" : "0" + } + } + }, + "dayCountFraction" : { + "value" : "ACT/360" + }, + "meta" : { + "globalKey" : "69ca64cc" + } + } ], + "meta" : { + "globalKey" : "69ca64cc" + } + }, + "collateral" : { + "collateralPortfolio" : [ { + "value" : { + "collateralPosition" : [ { + "product" : { + "contractualProduct" : { + "economicTerms" : { + "payout" : { + "assetPayout" : [ { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-2" } + }, + "meta" : { + "globalKey" : "0" } - } ], - "durationType" : { - "durationType" : "TERM" }, - "meta" : { - "globalKey" : "e7ac7fce" - }, - "securityInformation" : { + "principalPayment" : { + "initialPayment" : true, + "finalPayment" : true, + "intermediatePayment" : false, "meta" : { - "globalKey" : "40232adf" + "globalKey" : "12a6f5" + } + }, + "assetLeg" : [ { + "settlementDate" : { + "relativeDate" : { + "periodMultiplier" : 0, + "period" : "D", + "meta" : { + "globalKey" : "71834796" + }, + "businessDayConvention" : "NotApplicable", + "dateRelativeTo" : { + "globalReference" : "3f28d3", + "externalReference" : "PurchaseDate" + } + }, + "meta" : { + "globalKey" : "71834796" + } }, + "deliveryMethod" : "DeliveryVersusPayment" + }, { + "settlementDate" : { + "relativeDate" : { + "periodMultiplier" : 0, + "period" : "D", + "meta" : { + "globalKey" : "da741949" + }, + "businessDayConvention" : "NotApplicable", + "dateRelativeTo" : { + "globalReference" : "3f28d6", + "externalReference" : "RepurchaseDate" + } + }, + "meta" : { + "globalKey" : "da741949" + } + }, + "deliveryMethod" : "DeliveryVersusPayment" + } ], + "securityInformation" : { "security" : { "productIdentifier" : [ { "value" : { "identifier" : { "value" : "GB00B24FF097" }, + "source" : "ISIN", "meta" : { "globalKey" : "1ad6d034" - }, - "source" : "ISIN" + } } } ], - "securityType" : "DEBT" + "securityType" : "Debt" + }, + "meta" : { + "globalKey" : "40232adf" } + }, + "durationType" : { + "durationType" : "Term" + }, + "meta" : { + "globalKey" : "12a4a1fe" } } ], "meta" : { - "globalKey" : "e7ac7fce" + "globalKey" : "12a4a1fe" } } }, "meta" : { - "globalKey" : "e7ac7fce" + "globalKey" : "12a4a1fe" } }, "meta" : { - "globalKey" : "e7ac7fce" + "globalKey" : "12a4a1fe" } } } ], "meta" : { - "globalKey" : "e7ac7fce" + "globalKey" : "12a4a1fe" } } } ], "collateralProvisions" : { - "collateralType" : "CASH", + "collateralType" : "Cash", "eligibleCollateral" : [ { "criteria" : [ { "treatment" : { @@ -1795,196 +1803,188 @@ } } ] } - }, - "effectiveDate" : { - "adjustableDate" : { - "meta" : { - "globalKey" : "3f28d3" - }, - "unadjustedDate" : "2021-03-19" - }, - "meta" : { - "externalKey" : "PurchaseDate", - "globalKey" : "3f28d3" - } - }, - "payout" : { - "interestRatePayout" : [ { - "payerReceiver" : { - "payer" : "PARTY_1", - "receiver" : "PARTY_2" - }, - "priceQuantity" : { - "meta" : { - "globalKey" : "0" - }, - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } - } - }, - "principalPayment" : { - "finalPayment" : true, - "initialPayment" : true, - "intermediatePayment" : false, - "meta" : { - "globalKey" : "12a6f5" - } - }, - "dayCountFraction" : { - "value" : "ACT/360" - }, - "meta" : { - "globalKey" : "6a2c670c" - }, - "rateSpecification" : { - "fixedRate" : { - "meta" : { - "globalKey" : "0" - }, - "rateSchedule" : { - "price" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "price-1" - } - } - } - } - } - } ], - "meta" : { - "globalKey" : "6a2c670c" - } - }, - "terminationDate" : { - "adjustableDate" : { - "meta" : { - "globalKey" : "3f28d6" - }, - "unadjustedDate" : "2021-03-22" - }, - "meta" : { - "externalKey" : "RepurchaseDate", - "globalKey" : "3f28d6" - } } }, "meta" : { - "globalKey" : "1a2ab30d" + "globalKey" : "c6dfdca3" } }, "meta" : { - "globalKey" : "1a2ab30d" + "globalKey" : "c6dfdca3" } }, - "tradeDate" : { - "meta" : { - "globalKey" : "3f28d2" - }, - "value" : "2021-03-18" - }, - "tradeIdentifier" : [ { - "assignedIdentifier" : [ { - "identifier" : { - "meta" : { - "scheme" : "UnqTradIdr" - }, - "value" : "KTKLLEILLLLLLLLLLLLL-FISG1G1LENDFP0028303002" - } - } ], - "issuer" : { - "value" : "KTKLLEILLLLLLLLLLLLL" - }, - "meta" : { - "globalKey" : "4a82737e" - } - } ] - }, - "quantityChange" : { - "change" : [ { - "meta" : { - "globalKey" : "538c48e4" - }, - "price" : [ { - "value" : { - "unit" : { - "currency" : { - "value" : "GBP" - } - }, - "value" : 0.004, - "perUnitOf" : { - "currency" : { - "value" : "GBP" - } + "tradeLot" : [ { + "priceQuantity" : [ { + "price" : [ { + "value" : { + "value" : 0.004, + "unit" : { + "currency" : { + "value" : "GBP" + } + }, + "perUnitOf" : { + "currency" : { + "value" : "GBP" + } + }, + "priceType" : "InterestRate" }, - "priceType" : "INTEREST_RATE" - } - } ], - "quantity" : [ { - "value" : { - "unit" : { - "currency" : { - "value" : "GBP" + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-1" + } ] + } + } ], + "quantity" : [ { + "value" : { + "value" : 9974250, + "unit" : { + "currency" : { + "value" : "GBP" + } } }, - "value" : 1994850 - } - } ] - }, { - "meta" : { - "globalKey" : "90872693" - }, - "observable" : { + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] + } + } ], "meta" : { - "globalKey" : "1ad6d034" - }, - "productIdentifier" : [ { + "globalKey" : "ae7919fa" + } + }, { + "price" : [ { "value" : { - "identifier" : { - "value" : "GB00B24FF097" + "value" : 1.0075, + "unit" : { + "currency" : { + "value" : "GBP" + } }, - "meta" : { - "globalKey" : "1ad6d034" + "perUnitOf" : { + "currency" : { + "value" : "GBP" + } }, - "source" : "ISIN" + "priceType" : "AssetPrice", + "priceExpression" : "PercentageOfNotional" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-2" + } ] } - } ] - }, - "price" : [ { - "value" : { - "unit" : { - "currency" : { - "value" : "GBP" + } ], + "quantity" : [ { + "value" : { + "value" : 10000000, + "unit" : { + "currency" : { + "value" : "GBP" + } } }, - "value" : 1.0075, - "perUnitOf" : { - "currency" : { - "value" : "GBP" + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } ] + } + } ], + "observable" : { + "productIdentifier" : [ { + "value" : { + "identifier" : { + "value" : "GB00B24FF097" + }, + "source" : "ISIN", + "meta" : { + "globalKey" : "1ad6d034" + } } + } ], + "meta" : { + "globalKey" : "1ad6d034" + } + }, + "meta" : { + "globalKey" : "a8870d90" + } + } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "value" : { + "name" : { + "value" : "Global Bank Inc" }, - "priceExpression" : "PERCENTAGE_OF_NOTIONAL", - "priceType" : "ASSET_PRICE" + "meta" : { + "globalKey" : "296093b7", + "externalKey" : "GlobalBank" + } } - } ], - "quantity" : [ { + } + }, { + "role" : "Party2", + "partyReference" : { "value" : { - "unit" : { - "currency" : { - "value" : "GBP" - } + "name" : { + "value" : "UK Bank plc" }, - "value" : 2000000 + "meta" : { + "globalKey" : "1ef4886d", + "externalKey" : "UkBank" + } } - } ] - } ], - "direction" : "REPLACE" + } + } ] + }, + "party" : [ { + "name" : { + "value" : "Global Bank Inc" + }, + "meta" : { + "globalKey" : "296093b7", + "externalKey" : "GlobalBank" + } + }, { + "name" : { + "value" : "UK Bank plc" + }, + "meta" : { + "globalKey" : "1ef4886d", + "externalKey" : "UkBank" + } + } ], + "partyRole" : [ { + "partyReference" : { + "globalReference" : "296093b7", + "externalReference" : "GlobalBank" + }, + "role" : "Seller" + }, { + "partyReference" : { + "globalReference" : "1ef4886d", + "externalReference" : "UkBank" + }, + "role" : "Buyer" + } ], + "meta" : { + "globalKey" : "b62aaee7" } - } ] + }, + "state" : { + "positionState" : "Formed" + }, + "meta" : { + "globalKey" : "522d7d8a" + } } } } ], diff --git a/rosetta-source/src/main/resources/cdm-sample-files/functions/sec-lending/allocation/allocation-sec-lending-func-input.json b/rosetta-source/src/main/resources/cdm-sample-files/functions/sec-lending/allocation/allocation-sec-lending-func-input.json index e0f83f6ed4..9ffb0eb962 100644 --- a/rosetta-source/src/main/resources/cdm-sample-files/functions/sec-lending/allocation/allocation-sec-lending-func-input.json +++ b/rosetta-source/src/main/resources/cdm-sample-files/functions/sec-lending/allocation/allocation-sec-lending-func-input.json @@ -1,94 +1,259 @@ { "instruction" : [ { - "before" : { - "value" : { - "meta" : { - "globalKey" : "2c5e94ac" - }, - "state" : { - "positionState" : "EXECUTED" - }, - "trade" : { - "meta" : { - "globalKey" : "5ec4779d" - }, - "party" : [ { - "meta" : { - "externalKey" : "AGENT_LENDER", - "globalKey" : "2691a546" + "primitiveInstruction" : { + "split" : { + "breakdown" : [ { + "partyChange" : { + "counterparty" : { + "role" : "Party1", + "partyReference" : { + "value" : { + "partyId" : [ { + "identifier" : { + "value" : "Fund 1" + }, + "meta" : { + "globalKey" : "7e1775b6" + } + } ], + "name" : { + "value" : "Fund 1" + }, + "meta" : { + "globalKey" : "d42855ec", + "externalKey" : "lender-1" + } + } + } }, - "name" : { - "value" : "KTKL (Agent Lender)" + "partyRole" : { + "partyReference" : { + "value" : { + "partyId" : [ { + "identifier" : { + "value" : "KTKLLEILLLLLLLLLLLLL" + }, + "meta" : { + "globalKey" : "60098fe6" + } + } ], + "name" : { + "value" : "KTKL(AgentLender)" + }, + "meta" : { + "globalKey" : "3a97bd6c", + "externalKey" : "AGENT_LENDER" + } + } + }, + "role" : "AgentLender" }, - "partyId" : [ { - "identifier" : { - "value" : "KTKLLEILLLLLLLLLLLLL" + "tradeId" : [ { + "issuer" : { + "value" : "KTKL" }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "0266001-allocation-lender-1" + } + } ], "meta" : { - "globalKey" : "60098fe6" + "globalKey" : "c76d61e5" } } ] - }, { - "meta" : { - "externalKey" : "Borrower", - "globalKey" : "20931af1" - }, - "name" : { - "value" : "CP001 (Borrower)" - }, - "partyId" : [ { - "identifier" : { - "value" : "CP001LEI111111111111" - }, + }, + "quantityChange" : { + "change" : [ { + "quantity" : [ { + "value" : { + "value" : 3000000.0, + "unit" : { + "currency" : { + "value" : "USD" + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT" + } ] + } + }, { + "value" : { + "value" : 120000.0, + "unit" : { + "financialUnit" : "Share" + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT" + } ] + } + } ], "meta" : { - "globalKey" : "12818f8c" + "globalKey" : "dafd8c33" } - } ] - } ], - "tradableProduct" : { - "counterparty" : [ { + } ], + "direction" : "Replace" + } + }, { + "partyChange" : { + "counterparty" : { + "role" : "Party1", "partyReference" : { "value" : { - "meta" : { - "externalKey" : "AGENT_LENDER", - "globalKey" : "2691a546" - }, - "name" : { - "value" : "KTKL (Agent Lender)" - }, "partyId" : [ { "identifier" : { - "value" : "KTKLLEILLLLLLLLLLLLL" + "value" : "Fund 2" }, "meta" : { - "globalKey" : "60098fe6" + "globalKey" : "7e1775b7" } - } ] + } ], + "name" : { + "value" : "Fund 2" + }, + "meta" : { + "globalKey" : "d42859ae", + "externalKey" : "lender-2" + } } - }, - "role" : "PARTY_1" - }, { + } + }, + "partyRole" : { "partyReference" : { "value" : { - "meta" : { - "externalKey" : "Borrower", - "globalKey" : "20931af1" - }, - "name" : { - "value" : "CP001 (Borrower)" - }, "partyId" : [ { "identifier" : { - "value" : "CP001LEI111111111111" + "value" : "KTKLLEILLLLLLLLLLLLL" }, "meta" : { - "globalKey" : "12818f8c" + "globalKey" : "60098fe6" } - } ] + } ], + "name" : { + "value" : "KTKL(AgentLender)" + }, + "meta" : { + "globalKey" : "3a97bd6c", + "externalKey" : "AGENT_LENDER" + } } }, - "role" : "PARTY_2" + "role" : "AgentLender" + }, + "tradeId" : [ { + "issuer" : { + "value" : "KTKL" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "0266001-allocation-lender-2" + } + } ], + "meta" : { + "globalKey" : "c76d61e6" + } + } ] + }, + "quantityChange" : { + "change" : [ { + "quantity" : [ { + "value" : { + "value" : 2000000.0, + "unit" : { + "currency" : { + "value" : "USD" + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT" + } ] + } + }, { + "value" : { + "value" : 80000.0, + "unit" : { + "financialUnit" : "Share" + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT" + } ] + } + } ], + "meta" : { + "globalKey" : "546b8f6b" + } + } ], + "direction" : "Replace" + } + }, { + "quantityChange" : { + "change" : [ { + "quantity" : [ { + "value" : { + "value" : 0.0, + "unit" : { + "currency" : { + "value" : "USD" + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT" + } ] + } + }, { + "value" : { + "value" : 0.0, + "unit" : { + "financialUnit" : "Share" + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT" + } ] + } + } ], + "meta" : { + "globalKey" : "a0be9c25" + } + } ], + "direction" : "Replace" + } + } ] + } + }, + "before" : { + "value" : { + "trade" : { + "tradeIdentifier" : [ { + "issuer" : { + "value" : "KTKL" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "0266001" + } } ], + "meta" : { + "globalKey" : "569d85e5" + } + } ], + "tradeDate" : { + "value" : "2020-09-21", + "meta" : { + "globalKey" : "3f2255" + } + }, + "tradableProduct" : { "product" : { "contractualProduct" : { "productTaxonomy" : [ { @@ -96,25 +261,9 @@ "productQualifier" : "SecurityLendingAgreement" } ], "economicTerms" : { - "collateral" : { - "collateralProvisions" : { - "collateralType" : "CASH", - "eligibleCollateral" : [ { - "criteria" : [ { - "treatment" : { - "valuationTreatment" : { - "marginPercentage" : 0.02 - } - } - } ], - "meta" : { - "globalKey" : "168480" - } - } ] - } - }, "effectiveDate" : { "adjustableDate" : { + "unadjustedDate" : "2020-09-22", "dateAdjustments" : { "businessDayConvention" : "MODFOLLOWING", "meta" : { @@ -123,196 +272,133 @@ }, "meta" : { "globalKey" : "e742daa5" - }, - "unadjustedDate" : "2020-09-22" + } }, "meta" : { "globalKey" : "e742daa5" } }, - "payout" : { - "assetPayout" : [ { - "payerReceiver" : { - "payer" : "PARTY_1", - "receiver" : "PARTY_2" - }, - "assetLeg" : [ { - "deliveryMethod" : "DELIVERY_VERSUS_PAYMENT", - "settlementDate" : { - "adjustableDate" : { - "adjustedDate" : { - "meta" : { - "globalKey" : "3f2256" - }, - "value" : "2020-09-22" - }, - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "meta" : { - "globalKey" : "24a738" - } - }, - "meta" : { - "globalKey" : "24a738" - } - }, - "meta" : { - "globalKey" : "24a738" - } - } - }, { - "deliveryMethod" : "DELIVERY_VERSUS_PAYMENT", - "settlementDate" : { - "adjustableDate" : { - "adjustedDate" : { - "meta" : { - "globalKey" : "3f2296" - }, - "value" : "2020-10-22" - }, - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "meta" : { - "globalKey" : "24a738" - } - }, - "meta" : { - "globalKey" : "24a738" - } - }, - "meta" : { - "globalKey" : "24a738" - } - } - } ], - "dividendTerms" : { - "manufacturedIncomeRequirement" : { - "totalRatio" : 1 - } - }, - "durationType" : { - "durationType" : "TERM" - }, - "meta" : { - "globalKey" : "73453ae0" - }, - "minimumFee" : { - "unit" : { - "currency" : { - "value" : "USD" - } - }, - "value" : 0, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2020-10-22", + "dateAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", "meta" : { - "globalKey" : "171b36" + "globalKey" : "fa42f5cf" } }, - "securityInformation" : { - "meta" : { - "globalKey" : "7548eca6" - }, - "security" : { - "productIdentifier" : [ { - "value" : { - "identifier" : { - "value" : "ST001" - }, - "meta" : { - "globalKey" : "a4ff65ff" - }, - "source" : "SEDOL" - } - } ], - "securityType" : "EQUITY" - } + "meta" : { + "globalKey" : "e743cae5" } - } ], + }, + "meta" : { + "globalKey" : "e743cae5" + } + }, + "payout" : { "interestRatePayout" : [ { "payerReceiver" : { - "payer" : "PARTY_1", - "receiver" : "PARTY_2" + "payer" : "Party1", + "receiver" : "Party2" }, "priceQuantity" : { - "meta" : { - "globalKey" : "0" - }, "quantitySchedule" : { "address" : { "scope" : "DOCUMENT", "value" : "quantity-8" } + }, + "meta" : { + "globalKey" : "0" } }, - "calculationPeriodDates" : { - "calculationPeriodFrequency" : { - "meta" : { - "globalKey" : "25e2ab" + "rateSpecification" : { + "fixedRate" : { + "rateSchedule" : { + "price" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "price-2" + } + } }, - "period" : "T", - "periodMultiplier" : 1, - "rollConvention" : "NONE" - }, + "meta" : { + "globalKey" : "0" + } + } + }, + "dayCountFraction" : { + "value" : "ACT/360" + }, + "calculationPeriodDates" : { "effectiveDate" : { "adjustableDate" : { - "adjustedDate" : { - "meta" : { - "globalKey" : "3f2256" - }, - "value" : "2020-09-22" - }, "dateAdjustments" : { "businessDayConvention" : "MODFOLLOWING", "meta" : { "globalKey" : "fa42f5cf" } }, + "adjustedDate" : { + "value" : "2020-09-22", + "meta" : { + "globalKey" : "3f2256" + } + }, "meta" : { - "externalKey" : "Effective_Date", - "globalKey" : "fa42f5cf" + "globalKey" : "fa42f5cf", + "externalKey" : "Effective_Date" } }, "meta" : { "globalKey" : "fa42f5cf" } }, - "meta" : { - "globalKey" : "a4273c9" - }, "terminationDate" : { "adjustableDate" : { - "adjustedDate" : { - "meta" : { - "globalKey" : "3f2296" - }, - "value" : "2020-10-22" - }, "dateAdjustments" : { "businessDayConvention" : "MODFOLLOWING", "meta" : { "globalKey" : "fa42f5cf" } }, + "adjustedDate" : { + "value" : "2020-10-22", + "meta" : { + "globalKey" : "3f2296" + } + }, "meta" : { - "externalKey" : "Termination_Date", - "globalKey" : "fa42f5cf" + "globalKey" : "fa42f5cf", + "externalKey" : "Termination_Date" } }, "meta" : { "globalKey" : "fa42f5cf" } + }, + "calculationPeriodFrequency" : { + "periodMultiplier" : 1, + "period" : "T", + "meta" : { + "globalKey" : "24b525" + }, + "rollConvention" : "NONE" + }, + "meta" : { + "globalKey" : "8b1de243" } }, - "dayCountFraction" : { - "value" : "ACT/360" - }, - "meta" : { - "globalKey" : "ce90278b" - }, "paymentDates" : { - "meta" : { - "globalKey" : "b578507f" + "paymentFrequency" : { + "periodMultiplier" : 1, + "period" : "T", + "meta" : { + "globalKey" : "73" + } }, "paymentDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", "businessCenters" : { "businessCenter" : [ { "value" : "EUTA" @@ -321,420 +407,334 @@ "globalKey" : "20a71d" } }, - "businessDayConvention" : "MODFOLLOWING", "meta" : { "globalKey" : "365baaee" } }, - "paymentFrequency" : { - "meta" : { - "globalKey" : "a2d" - }, - "period" : "T", - "periodMultiplier" : 1 + "meta" : { + "globalKey" : "fa98fa5b" } }, - "rateSpecification" : { - "fixedRate" : { - "meta" : { - "globalKey" : "0" + "meta" : { + "globalKey" : "98fd77d9" + } + } ], + "assetPayout" : [ { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "assetLeg" : [ { + "settlementDate" : { + "adjustableDate" : { + "dateAdjustments" : { + "businessDayConvention" : "NONE", + "meta" : { + "globalKey" : "24a738" + } + }, + "adjustedDate" : { + "value" : "2020-09-22", + "meta" : { + "globalKey" : "3f2256" + } + }, + "meta" : { + "globalKey" : "24a738" + } }, - "rateSchedule" : { - "price" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "price-2" + "meta" : { + "globalKey" : "24a738" + } + }, + "deliveryMethod" : "DeliveryVersusPayment" + }, { + "settlementDate" : { + "adjustableDate" : { + "dateAdjustments" : { + "businessDayConvention" : "NONE", + "meta" : { + "globalKey" : "24a738" + } + }, + "adjustedDate" : { + "value" : "2020-10-22", + "meta" : { + "globalKey" : "3f2296" } + }, + "meta" : { + "globalKey" : "24a738" } + }, + "meta" : { + "globalKey" : "24a738" } + }, + "deliveryMethod" : "DeliveryVersusPayment" + } ], + "securityInformation" : { + "security" : { + "productIdentifier" : [ { + "value" : { + "identifier" : { + "value" : "ST001" + }, + "source" : "SEDOL", + "meta" : { + "globalKey" : "a4ff65ff" + } + } + } ], + "securityType" : "Equity" + }, + "meta" : { + "globalKey" : "7548eca6" } - } - } ], - "meta" : { - "globalKey" : "eb31e26b" - } - }, - "terminationDate" : { - "adjustableDate" : { - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", + }, + "durationType" : { + "durationType" : "Term" + }, + "minimumFee" : { + "value" : 0, + "unit" : { + "currency" : { + "value" : "USD" + } + }, "meta" : { - "globalKey" : "fa42f5cf" + "globalKey" : "171b36" } }, - "meta" : { - "globalKey" : "e743cae5" + "dividendTerms" : { + "manufacturedIncomeRequirement" : { + "totalRatio" : 1 + } }, - "unadjustedDate" : "2020-10-22" - }, + "meta" : { + "globalKey" : "3b19750e" + } + } ], "meta" : { - "globalKey" : "e743cae5" + "globalKey" : "43b3b6a7" + } + }, + "collateral" : { + "collateralProvisions" : { + "collateralType" : "Cash", + "eligibleCollateral" : [ { + "criteria" : [ { + "treatment" : { + "valuationTreatment" : { + "marginPercentage" : 0.02 + } + } + } ], + "meta" : { + "globalKey" : "168480" + } + } ] } } }, "meta" : { - "globalKey" : "37405ce2" + "globalKey" : "38d91964" } }, "meta" : { - "globalKey" : "37405ce2" + "globalKey" : "38d91964" } }, "tradeLot" : [ { "priceQuantity" : [ { - "meta" : { - "globalKey" : "bc2d9a59" - }, "price" : [ { - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-2" - } ] - }, "value" : { + "value" : 0.01, "unit" : { "currency" : { "value" : "USD" } }, - "value" : 0.01, "perUnitOf" : { "currency" : { "value" : "USD" } }, - "priceType" : "INTEREST_RATE" - } - } ], - "quantity" : [ { + "priceType" : "InterestRate" + }, "meta" : { "location" : [ { "scope" : "DOCUMENT", - "value" : "quantity-8" + "value" : "price-2" } ] - }, + } + } ], + "quantity" : [ { "value" : { + "value" : 5000000, "unit" : { "currency" : { "value" : "USD" } - }, - "value" : 5000000 - } - } ] - }, { - "meta" : { - "globalKey" : "a0b25412" - }, - "observable" : { - "meta" : { - "globalKey" : "a4ff65ff" - }, - "productIdentifier" : [ { - "value" : { - "identifier" : { - "value" : "ST001" - }, - "meta" : { - "globalKey" : "a4ff65ff" - }, - "source" : "SEDOL" } - } ] - }, - "price" : [ { + }, "meta" : { "location" : [ { "scope" : "DOCUMENT", - "value" : "price-1" + "value" : "quantity-8" } ] - }, + } + } ], + "meta" : { + "globalKey" : "c985b0c7" + } + }, { + "price" : [ { "value" : { + "value" : 25, "unit" : { "currency" : { "value" : "USD" } }, - "value" : 25, "perUnitOf" : { - "financialUnit" : "SHARE" + "financialUnit" : "Share" }, - "priceType" : "ASSET_PRICE" + "priceType" : "AssetPrice" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-1" + } ] } } ], "quantity" : [ { + "value" : { + "value" : 200000, + "unit" : { + "financialUnit" : "Share" + } + }, "meta" : { "location" : [ { "scope" : "DOCUMENT", "value" : "quantity-9" } ] - }, - "value" : { - "unit" : { - "financialUnit" : "SHARE" - }, - "value" : 200000 } - } ] - } ] - } ] - }, - "tradeDate" : { - "meta" : { - "globalKey" : "3f2255" - }, - "value" : "2020-09-21" - }, - "tradeIdentifier" : [ { - "assignedIdentifier" : [ { - "identifier" : { - "value" : "0266001" - } - } ], - "issuer" : { - "value" : "KTKL" - }, - "meta" : { - "globalKey" : "9e641379" - } - } ] - } - } - }, - "primitiveInstruction" : { - "split" : { - "breakdown" : [ { - "partyChange" : { - "counterparty" : { - "partyReference" : { - "value" : { - "meta" : { - "externalKey" : "lender-1", - "globalKey" : "ea229c40" - }, - "name" : { - "value" : "Fund 1" - }, - "partyId" : [ { - "identifier" : { - "value" : "Fund 1" - }, - "meta" : { - "globalKey" : "7e1775b6" + } ], + "observable" : { + "productIdentifier" : [ { + "value" : { + "identifier" : { + "value" : "ST001" + }, + "source" : "SEDOL", + "meta" : { + "globalKey" : "a4ff65ff" + } } - } ] - } - }, - "role" : "PARTY_1" - }, - "partyRole" : { - "partyReference" : { - "value" : { + } ], "meta" : { - "externalKey" : "AGENT_LENDER", - "globalKey" : "2691a546" - }, - "name" : { - "value" : "KTKL (Agent Lender)" - }, - "partyId" : [ { - "identifier" : { - "value" : "KTKLLEILLLLLLLLLLLLL" - }, - "meta" : { - "globalKey" : "60098fe6" - } - } ] - } - }, - "role" : "AGENT_LENDER" - }, - "tradeId" : [ { - "assignedIdentifier" : [ { - "identifier" : { - "value" : "0266001-allocation-lender-1" - } - } ], - "issuer" : { - "value" : "KTKL" - }, - "meta" : { - "globalKey" : "1aacef79" - } - } ] - }, - "quantityChange" : { - "change" : [ { - "meta" : { - "globalKey" : "dafd8c33" - }, - "quantity" : [ { - "meta" : { - "location" : [ { - "scope" : "DOCUMENT" - } ] + "globalKey" : "a4ff65ff" + } }, - "value" : { - "unit" : { - "currency" : { - "value" : "USD" - } - }, - "value" : 3000000.0 - } - }, { "meta" : { - "location" : [ { - "scope" : "DOCUMENT" - } ] - }, - "value" : { - "unit" : { - "financialUnit" : "SHARE" - }, - "value" : 120000.0 + "globalKey" : "998f6e8c" } } ] } ], - "direction" : "REPLACE" - } - }, { - "partyChange" : { - "counterparty" : { + "counterparty" : [ { + "role" : "Party1", "partyReference" : { "value" : { - "meta" : { - "externalKey" : "lender-2", - "globalKey" : "ea2310a0" - }, - "name" : { - "value" : "Fund 2" - }, "partyId" : [ { "identifier" : { - "value" : "Fund 2" + "value" : "KTKLLEILLLLLLLLLLLLL" }, "meta" : { - "globalKey" : "7e1775b7" + "globalKey" : "60098fe6" } - } ] + } ], + "name" : { + "value" : "KTKL(AgentLender)" + }, + "meta" : { + "globalKey" : "3a97bd6c", + "externalKey" : "AGENT_LENDER" + } } - }, - "role" : "PARTY_1" - }, - "partyRole" : { + } + }, { + "role" : "Party2", "partyReference" : { "value" : { - "meta" : { - "externalKey" : "AGENT_LENDER", - "globalKey" : "2691a546" - }, - "name" : { - "value" : "KTKL (Agent Lender)" - }, "partyId" : [ { "identifier" : { - "value" : "KTKLLEILLLLLLLLLLLLL" + "value" : "CP001LEI111111111111" }, "meta" : { - "globalKey" : "60098fe6" + "globalKey" : "12818f8c" } - } ] - } - }, - "role" : "AGENT_LENDER" - }, - "tradeId" : [ { - "assignedIdentifier" : [ { - "identifier" : { - "value" : "0266001-allocation-lender-2" + } ], + "name" : { + "value" : "CP001(Borrower)" + }, + "meta" : { + "globalKey" : "2e189ef", + "externalKey" : "Borrower" + } } - } ], - "issuer" : { - "value" : "KTKL" - }, - "meta" : { - "globalKey" : "1aacf33a" } } ] }, - "quantityChange" : { - "change" : [ { - "meta" : { - "globalKey" : "546b8f6b" + "party" : [ { + "partyId" : [ { + "identifier" : { + "value" : "KTKLLEILLLLLLLLLLLLL" }, - "quantity" : [ { - "meta" : { - "location" : [ { - "scope" : "DOCUMENT" - } ] - }, - "value" : { - "unit" : { - "currency" : { - "value" : "USD" - } - }, - "value" : 2000000.0 - } - }, { - "meta" : { - "location" : [ { - "scope" : "DOCUMENT" - } ] - }, - "value" : { - "unit" : { - "financialUnit" : "SHARE" - }, - "value" : 80000.0 - } - } ] - } ], - "direction" : "REPLACE" - } - }, { - "quantityChange" : { - "change" : [ { "meta" : { - "globalKey" : "a0be9c25" + "globalKey" : "60098fe6" + } + } ], + "name" : { + "value" : "KTKL(AgentLender)" + }, + "meta" : { + "globalKey" : "3a97bd6c", + "externalKey" : "AGENT_LENDER" + } + }, { + "partyId" : [ { + "identifier" : { + "value" : "CP001LEI111111111111" }, - "quantity" : [ { - "meta" : { - "location" : [ { - "scope" : "DOCUMENT" - } ] - }, - "value" : { - "unit" : { - "currency" : { - "value" : "USD" - } - }, - "value" : 0.0 - } - }, { - "meta" : { - "location" : [ { - "scope" : "DOCUMENT" - } ] - }, - "value" : { - "unit" : { - "financialUnit" : "SHARE" - }, - "value" : 0.0 - } - } ] + "meta" : { + "globalKey" : "12818f8c" + } } ], - "direction" : "REPLACE" + "name" : { + "value" : "CP001(Borrower)" + }, + "meta" : { + "globalKey" : "2e189ef", + "externalKey" : "Borrower" + } + } ], + "meta" : { + "globalKey" : "88873277" } - } ] + }, + "state" : { + "positionState" : "Executed" + }, + "meta" : { + "globalKey" : "2bf05846" + } } } } ], - "intent" : "ALLOCATION", + "intent" : "Allocation", "eventDate" : "2020-09-21", "effectiveDate" : null } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/cdm-sample-files/functions/sec-lending/block-execution-instruction.json b/rosetta-source/src/main/resources/cdm-sample-files/functions/sec-lending/block-execution-instruction.json index 708e82d23b..9a39cc0798 100644 --- a/rosetta-source/src/main/resources/cdm-sample-files/functions/sec-lending/block-execution-instruction.json +++ b/rosetta-source/src/main/resources/cdm-sample-files/functions/sec-lending/block-execution-instruction.json @@ -1,167 +1,287 @@ { - "counterparty": [ - { - "partyReference": { - "value": { - "meta": { - "externalKey": "AGENT_LENDER" - }, - "name": { - "value": "KTKL (Agent Lender)" - }, - "partyId": [ + "product": { + "contractualProduct": { + "productTaxonomy": [ + { + "source": "ISDA", + "productQualifier": "SecurityLendingAgreement" + } + ], + "economicTerms": { + "effectiveDate": { + "adjustableDate": { + "unadjustedDate": "2020-09-22", + "dateAdjustments": { + "businessDayConvention": "MODFOLLOWING" + } + } + }, + "terminationDate": { + "adjustableDate": { + "unadjustedDate": "2020-10-22", + "dateAdjustments": { + "businessDayConvention": "MODFOLLOWING" + } + } + }, + "payout": { + "interestRatePayout": [ { - "identifier": { - "value": "KTKLLEILLLLLLLLLLLLL" + "payerReceiver": { + "payer": "Party1", + "receiver": "Party2" + }, + "priceQuantity": { + "quantitySchedule": { + "address": { + "scope": "DOCUMENT", + "value": "quantity-8" + } + } + }, + "rateSpecification": { + "fixedRate": { + "rateSchedule": { + "price": { + "address": { + "scope": "DOCUMENT", + "value": "price-2" + } + } + }, + "meta": { + "globalKey": "0" + } + } + }, + "dayCountFraction": { + "value": "ACT/360" + }, + "calculationPeriodDates": { + "effectiveDate": { + "adjustableDate": { + "dateAdjustments": { + "businessDayConvention": "MODFOLLOWING" + }, + "adjustedDate": { + "value": "2020-09-22" + }, + "meta": { + "externalKey": "Effective_Date" + } + } + }, + "terminationDate": { + "adjustableDate": { + "dateAdjustments": { + "businessDayConvention": "MODFOLLOWING" + }, + "adjustedDate": { + "value": "2020-10-22" + }, + "meta": { + "externalKey": "Termination_Date" + } + } + }, + "calculationPeriodFrequency": { + "periodMultiplier": 1, + "period": "T", + "rollConvention": "NONE" + } + }, + "paymentDates": { + "paymentFrequency": { + "periodMultiplier": 1, + "period": "T" + }, + "paymentDatesAdjustments": { + "businessDayConvention": "MODFOLLOWING", + "businessCenters": { + "businessCenter": [ + { + "value": "EUTA" + } + ] + } + } } } - ] - } - }, - "role": "PARTY_1" - }, - { - "partyReference": { - "value": { - "meta": { - "externalKey": "Borrower", - "globalKey": "7601b530" - }, - "name": { - "value": "CP001 (Borrower)" - }, - "partyId": [ + ], + "assetPayout": [ { - "identifier": { - "value": "CP001LEI111111111111" + "payerReceiver": { + "payer": "Party1", + "receiver": "Party2" + }, + "assetLeg": [ + { + "settlementDate": { + "adjustableDate": { + "dateAdjustments": { + "businessDayConvention": "NONE" + }, + "adjustedDate": { + "value": "2020-09-22" + } + } + }, + "deliveryMethod": "DeliveryVersusPayment" + }, + { + "settlementDate": { + "adjustableDate": { + "dateAdjustments": { + "businessDayConvention": "NONE" + }, + "adjustedDate": { + "value": "2020-10-22" + } + } + }, + "deliveryMethod": "DeliveryVersusPayment" + } + ], + "securityInformation": { + "security": { + "productIdentifier": [ + { + "value": { + "identifier": { + "value": "ST001" + }, + "source": "SEDOL" + } + } + ], + "securityType": "Equity" + } + }, + "durationType": { + "durationType": "Term" + }, + "minimumFee": { + "value": 0, + "unit": { + "currency": { + "value": "USD" + } + } + }, + "dividendTerms": { + "manufacturedIncomeRequirement": { + "totalRatio": 1 + } } } ] - } - }, - "role": "PARTY_2" - } - ], - "parties": [ - { - "meta": { - "externalKey": "AGENT_LENDER" - }, - "name": { - "value": "KTKL (Agent Lender)" - }, - "partyId": [ - { - "identifier": { - "value": "KTKLLEILLLLLLLLLLLLL" - } - } - ] - }, - { - "meta": { - "externalKey": "Borrower" - }, - "name": { - "value": "CP001 (Borrower)" - }, - "partyId": [ - { - "identifier": { - "value": "CP001LEI111111111111" + }, + "collateral": { + "collateralProvisions": { + "collateralType": "Cash", + "eligibleCollateral": [ + { + "criteria": [ + { + "treatment": { + "valuationTreatment": { + "marginPercentage": 0.02 + } + } + } + ], + "meta": { + "globalKey": "168480" + } + } + ] } } - ] + } } - ], + }, "priceQuantity": [ { "price": [ { - "meta": { - "location": [ - { - "scope": "DOCUMENT", - "value": "price-2" - } - ] - }, "value": { + "value": 0.01, "unit": { "currency": { "value": "USD" } }, - "value": 0.01, "perUnitOf": { "currency": { "value": "USD" } }, - "priceType": "INTEREST_RATE" - } - } - ], - "quantity": [ - { + "priceType": "InterestRate" + }, "meta": { "location": [ { "scope": "DOCUMENT", - "value": "quantity-8" + "value": "price-2" } ] - }, - "value": { - "unit": { - "currency": { - "value": "USD" - } - }, - "value": 5000000 } } - ] - }, - { - "observable": { - "productIdentifier": [ - { - "value": { - "identifier": { - "value": "ST001" - }, - "source": "SEDOL" - } - } - ] - }, - "price": [ + ], + "quantity": [ { + "value": { + "value": 5000000, + "unit": { + "currency": { + "value": "USD" + } + } + }, "meta": { "location": [ { "scope": "DOCUMENT", - "value": "price-1" + "value": "quantity-8" } ] - }, + } + } + ] + }, + { + "price": [ + { "value": { + "value": 25, "unit": { "currency": { "value": "USD" } }, - "value": 25, "perUnitOf": { - "financialUnit": "SHARE" + "financialUnit": "Share" }, - "priceType": "ASSET_PRICE" + "priceType": "AssetPrice" + }, + "meta": { + "location": [ + { + "scope": "DOCUMENT", + "value": "price-1" + } + ] } } ], "quantity": [ { + "value": { + "value": 200000, + "unit": { + "financialUnit": "Share" + } + }, "meta": { "location": [ { @@ -169,233 +289,113 @@ "value": "quantity-9" } ] - }, - "value": { - "unit": { - "financialUnit": "SHARE" - }, - "value": 200000 } } - ] - } - ], - "product": { - "contractualProduct": { - "productTaxonomy": [ - { - "source": "ISDA", - "productQualifier": "SecurityLendingAgreement" - } ], - "economicTerms": { - "collateral": { - "collateralProvisions": { - "collateralType": "CASH", - "eligibleCollateral": [ - { - "criteria": [ - { - "treatment": { - "valuationTreatment": { - "marginPercentage": 0.02 - } - } - } - ], - "meta": { - "globalKey": "168480" - } - } - ] - } - }, - "effectiveDate": { - "adjustableDate": { - "dateAdjustments": { - "businessDayConvention": "MODFOLLOWING" - }, - "unadjustedDate": "2020-09-22" + "observable": { + "productIdentifier": [ + { + "value": { + "identifier": { + "value": "ST001" + }, + "source": "SEDOL" + } } - }, - "payout": { - "assetPayout": [ + ] + } + } + ], + "counterparty": [ + { + "role": "Party1", + "partyReference": { + "value": { + "partyId": [ { - "payerReceiver": { - "payer": "PARTY_1", - "receiver": "PARTY_2" - }, - "assetLeg": [ - { - "deliveryMethod": "DELIVERY_VERSUS_PAYMENT", - "settlementDate": { - "adjustableDate": { - "adjustedDate": { - "value": "2020-09-22" - }, - "dateAdjustments": { - "businessDayConvention": "NONE" - } - } - } - }, - { - "deliveryMethod": "DELIVERY_VERSUS_PAYMENT", - "settlementDate": { - "adjustableDate": { - "adjustedDate": { - "value": "2020-10-22" - }, - "dateAdjustments": { - "businessDayConvention": "NONE" - } - } - } - } - ], - "dividendTerms": { - "manufacturedIncomeRequirement": { - "totalRatio": 1 - } - }, - "durationType": { - "durationType": "TERM" - }, - "minimumFee": { - "unit": { - "currency": { - "value": "USD" - } - }, - "value": 0 - }, - "securityInformation": { - "security": { - "productIdentifier": [ - { - "value": { - "identifier": { - "value": "ST001" - }, - "source": "SEDOL" - } - } - ], - "securityType": "EQUITY" - } + "identifier": { + "value": "KTKLLEILLLLLLLLLLLLL" } } ], - "interestRatePayout": [ + "name": { + "value": "KTKL(AgentLender)" + }, + "meta": { + "externalKey": "AGENT_LENDER" + } + } + } + }, + { + "role": "Party2", + "partyReference": { + "value": { + "partyId": [ { - "payerReceiver": { - "payer": "PARTY_1", - "receiver": "PARTY_2" - }, - "priceQuantity": { - "quantitySchedule": { - "address": { - "scope": "DOCUMENT", - "value": "quantity-8" - } - } - }, - "calculationPeriodDates": { - "calculationPeriodFrequency": { - "period": "T", - "periodMultiplier": 1, - "rollConvention": "NONE" - }, - "effectiveDate": { - "adjustableDate": { - "adjustedDate": { - "value": "2020-09-22" - }, - "dateAdjustments": { - "businessDayConvention": "MODFOLLOWING" - }, - "meta": { - "externalKey": "Effective_Date" - } - } - }, - "terminationDate": { - "adjustableDate": { - "adjustedDate": { - "value": "2020-10-22" - }, - "dateAdjustments": { - "businessDayConvention": "MODFOLLOWING" - }, - "meta": { - "externalKey": "Termination_Date" - } - } - } - }, - "dayCountFraction": { - "value": "ACT/360" - }, - "paymentDates": { - "paymentDatesAdjustments": { - "businessCenters": { - "businessCenter": [ - { - "value": "EUTA" - } - ] - }, - "businessDayConvention": "MODFOLLOWING" - }, - "paymentFrequency": { - "period": "T", - "periodMultiplier": 1 - } - }, - "rateSpecification": { - "fixedRate": { - "meta": { - "globalKey": "0" - }, - "rateSchedule": { - "price": { - "address": { - "scope": "DOCUMENT", - "value": "price-2" - } - } - } - } + "identifier": { + "value": "CP001LEI111111111111" } } - ] - }, - "terminationDate": { - "adjustableDate": { - "dateAdjustments": { - "businessDayConvention": "MODFOLLOWING" - }, - "unadjustedDate": "2020-10-22" + ], + "name": { + "value": "CP001(Borrower)" + }, + "meta": { + "globalKey": "7601b530", + "externalKey": "Borrower" } } } } - }, + ], + "parties": [ + { + "partyId": [ + { + "identifier": { + "value": "KTKLLEILLLLLLLLLLLLL" + } + } + ], + "name": { + "value": "KTKL(AgentLender)" + }, + "meta": { + "externalKey": "AGENT_LENDER" + } + }, + { + "partyId": [ + { + "identifier": { + "value": "CP001LEI111111111111" + } + } + ], + "name": { + "value": "CP001(Borrower)" + }, + "meta": { + "externalKey": "Borrower" + } + } + ], "tradeDate": { "value": "2020-09-21" }, "tradeIdentifier": [ { + "issuer": { + "value": "KTKL" + }, "assignedIdentifier": [ { "identifier": { "value": "0266001" } } - ], - "issuer": { - "value": "KTKL" - } + ] } ] } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/cdm-sample-files/functions/sec-lending/create-security-lending-invoice-func-input.json b/rosetta-source/src/main/resources/cdm-sample-files/functions/sec-lending/create-security-lending-invoice-func-input.json index a9737fc951..6aeebfe4c0 100644 --- a/rosetta-source/src/main/resources/cdm-sample-files/functions/sec-lending/create-security-lending-invoice-func-input.json +++ b/rosetta-source/src/main/resources/cdm-sample-files/functions/sec-lending/create-security-lending-invoice-func-input.json @@ -1,2725 +1,3014 @@ { - "billingEndDate" : "2020-10-31", - "billingRecordInstruction" : [ { - "observation" : [ { - "observationIdentifier" : { - "observationDate" : "2020-10-22" - }, - "observedValue" : { - "unit" : { - "currency" : { - "value" : "USD" - } - }, - "value" : 28.18 - } - }, { - "observationIdentifier" : { - "observationDate" : "2020-10-21" - }, - "observedValue" : { - "unit" : { - "currency" : { - "value" : "USD" - } - }, - "value" : 28.34 - } - }, { - "observationIdentifier" : { - "observationDate" : "2020-10-20" - }, - "observedValue" : { - "unit" : { - "currency" : { - "value" : "USD" - } - }, - "value" : 30.72 - } - }, { - "observationIdentifier" : { - "observationDate" : "2020-10-19" - }, - "observedValue" : { - "unit" : { - "currency" : { - "value" : "USD" - } - }, - "value" : 32.01 - } - }, { - "observationIdentifier" : { - "observationDate" : "2020-10-18" - }, - "observedValue" : { - "unit" : { - "currency" : { - "value" : "USD" - } - }, - "value" : 32.12 - } - }, { - "observationIdentifier" : { - "observationDate" : "2020-10-17" - }, - "observedValue" : { - "unit" : { - "currency" : { - "value" : "USD" - } - }, - "value" : 32.12 - } - }, { - "observationIdentifier" : { - "observationDate" : "2020-10-16" - }, - "observedValue" : { - "unit" : { - "currency" : { - "value" : "USD" - } - }, - "value" : 32.12 - } - }, { - "observationIdentifier" : { - "observationDate" : "2020-10-15" - }, - "observedValue" : { - "unit" : { - "currency" : { - "value" : "USD" - } - }, - "value" : 31.46 - } - }, { - "observationIdentifier" : { - "observationDate" : "2020-10-14" - }, - "observedValue" : { - "unit" : { - "currency" : { - "value" : "USD" - } - }, - "value" : 31.93 - } - }, { - "observationIdentifier" : { - "observationDate" : "2020-10-13" - }, - "observedValue" : { - "unit" : { - "currency" : { - "value" : "USD" - } - }, - "value" : 31.87 - } - }, { - "observationIdentifier" : { - "observationDate" : "2020-10-12" - }, - "observedValue" : { - "unit" : { - "currency" : { - "value" : "USD" - } - }, - "value" : 31.13 - } - }, { - "observationIdentifier" : { - "observationDate" : "2020-10-11" - }, - "observedValue" : { - "unit" : { - "currency" : { - "value" : "USD" - } - }, - "value" : 30.03 - } - }, { - "observationIdentifier" : { - "observationDate" : "2020-10-10" - }, - "observedValue" : { - "unit" : { - "currency" : { - "value" : "USD" - } - }, - "value" : 30.03 - } - }, { - "observationIdentifier" : { - "observationDate" : "2020-10-09" - }, - "observedValue" : { - "unit" : { - "currency" : { - "value" : "USD" - } - }, - "value" : 30.03 - } - }, { - "observationIdentifier" : { - "observationDate" : "2020-10-08" - }, - "observedValue" : { - "unit" : { - "currency" : { - "value" : "USD" - } - }, - "value" : 29.53 - } - }, { - "observationIdentifier" : { - "observationDate" : "2020-10-07" - }, - "observedValue" : { - "unit" : { - "currency" : { - "value" : "USD" - } - }, - "value" : 28.72 - } - }, { - "observationIdentifier" : { - "observationDate" : "2020-10-06" - }, - "observedValue" : { - "unit" : { - "currency" : { - "value" : "USD" - } - }, - "value" : 28.04 - } - }, { - "observationIdentifier" : { - "observationDate" : "2020-10-05" - }, - "observedValue" : { - "unit" : { - "currency" : { - "value" : "USD" - } - }, - "value" : 27.67 - } - }, { - "observationIdentifier" : { - "observationDate" : "2020-10-04" - }, - "observedValue" : { - "unit" : { - "currency" : { - "value" : "USD" - } - }, - "value" : 27.23 - } - }, { - "observationIdentifier" : { - "observationDate" : "2020-10-03" - }, - "observedValue" : { - "unit" : { - "currency" : { - "value" : "USD" - } - }, - "value" : 27.23 - } - }, { - "observationIdentifier" : { - "observationDate" : "2020-10-02" - }, - "observedValue" : { - "unit" : { - "currency" : { - "value" : "USD" - } + "sendingParty": { + "partyId": [ + { + "identifier": { + "value": "FM1LEI11111111111111" }, - "value" : 27.23 + "meta": { + "globalKey": "87c4d1c6" + } } - }, { - "observationIdentifier" : { - "observationDate" : "2020-10-01" - }, - "observedValue" : { - "unit" : { - "currency" : { - "value" : "USD" - } + ], + "name": { + "value": "StandardFund1" + }, + "meta": { + "globalKey": "61517d75", + "externalKey": "Lender0" + } + }, + "receivingParty": { + "partyId": [ + { + "identifier": { + "value": "CP001LEI111111111111" }, - "value" : 26.87 + "meta": { + "globalKey": "12818f8c" + } } - } ], - "recordEndDate" : "2020-10-22", - "recordStartDate" : "2020-10-01", - "settlementDate" : "2020-11-10", - "tradeState" : { - "value" : { - "meta" : { - "globalKey" : "55612bed" - }, - "state" : { - "positionState" : "EXECUTED" - }, - "trade" : { - "meta" : { - "globalKey" : "3ae100ed" - }, - "party" : [ { - "meta" : { - "externalKey" : "Lender0", - "globalKey" : "a896ecd" - }, - "name" : { - "value" : "Standard Fund 1" - }, - "partyId" : [ { - "identifier" : { - "value" : "FM1LEI11111111111111" - }, - "meta" : { - "globalKey" : "87c4d1c6" + ], + "name": { + 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"globalKey": "1a718ab3" + } }, - "transferHistory" : [ { - "meta" : { - "globalKey" : "637bd5fe" - }, - "transfer" : { - "payerReceiver" : { - "payerPartyReference" : { - "value" : { - "meta" : { - "externalKey" : "Borrower", - "globalKey" : "1f061e68" - }, - "name" : { - "value" : "CP001" - }, - "partyId" : [ { - "identifier" : { - "value" : "CP001LEI111111111111" - }, - "meta" : { - "globalKey" : "12818f8c" - } - } ] + "state": { + "positionState": "Executed" + }, + "transferHistory": [ + { + "transfer": { + "quantity": { + "value": 100000.00, + "unit": { + "currency": { + "value": "USD" + } } }, - "receiverPartyReference" : { - "value" : { - "meta" : { - "externalKey" : "Lender0", - "globalKey" : "a896ecd" - }, - "name" : { - "value" : "Standard Fund 1" - }, - "partyId" : [ { - "identifier" : { - "value" : "FM1LEI11111111111111" + "payerReceiver": { + "payerPartyReference": { + "value": { + "partyId": [ + { + "identifier": { + "value": "CP001LEI111111111111" + }, + "meta": { + "globalKey": "12818f8c" + } + } + ], + "name": { + "value": "CP001" }, - "meta" : { - "globalKey" : "87c4d1c6" + "meta": { + "globalKey": "7c311b30", + "externalKey": "Borrower" } - } ] + } + }, + "receiverPartyReference": { + "value": { + "partyId": [ + { + "identifier": { + "value": "FM1LEI11111111111111" + }, + "meta": { + "globalKey": "87c4d1c6" + } + } + ], + "name": { + "value": "StandardFund1" + }, + "meta": { + "globalKey": "61517d75", + "externalKey": "Lender0" + } + } } - } - }, - "quantity" : { - "unit" : { - "currency" : { - "value" : "USD" + }, + "settlementDate": { + "adjustedDate": { + "value": "2020-09-22", + "meta": { + "globalKey": "3f2256" + } } }, - "value" : 100000.00 - }, - "settlementDate" : { - "adjustedDate" : { - "meta" : { - "globalKey" : "3f2256" - }, - "value" : "2020-09-22" + "settlementOrigin": { + "assetPayout": { + "globalReference": "3b19750e" + } } }, - "settlementOrigin" : { - "assetPayout" : { - "globalReference" : "73453ae0" - } + "meta": { + "globalKey": "dc3410d0" } - } - }, { - "meta" : { - "globalKey" : "79e525e7" }, - "transfer" : { - "observable" : { - "meta" : { - "globalKey" : "a4ff65ff" - }, - "productIdentifier" : [ { - "value" : { - "identifier" : { - "value" : "ST001" - }, - "meta" : { - "globalKey" : "a4ff65ff" - }, - "source" : "SEDOL" + { + "transfer": { + "quantity": { + "value": 200000, + "unit": { + "financialUnit": "Share" } - } ] - }, - "payerReceiver" : { - "payerPartyReference" : { - "value" : { - "meta" : { - "externalKey" : "Lender0", - "globalKey" : "a896ecd" - }, - "name" : { - "value" : "Standard Fund 1" - }, - "partyId" : [ { - "identifier" : { - "value" : "FM1LEI11111111111111" - }, - "meta" : { - "globalKey" : "87c4d1c6" + }, + "observable": { + "productIdentifier": [ + { + "value": { + "identifier": { + "value": "ST001" + }, + "source": "SEDOL", + "meta": { + "globalKey": "a4ff65ff" + } } - } ] + } + ], + "meta": { + "globalKey": "a4ff65ff" } }, - "receiverPartyReference" : { - "value" : { - "meta" : { - "externalKey" : "Borrower", - "globalKey" : "1f061e68" - }, - "name" : { - "value" : "CP001" - }, - "partyId" : [ { - "identifier" : { - "value" : "CP001LEI111111111111" + "payerReceiver": { + "payerPartyReference": { + "value": { + "partyId": [ + { + "identifier": { + "value": "FM1LEI11111111111111" + }, + "meta": { + "globalKey": "87c4d1c6" + } + } + ], + "name": { + "value": "StandardFund1" + }, + "meta": { + "globalKey": "61517d75", + "externalKey": "Lender0" + } + } + }, + "receiverPartyReference": { + "value": { + "partyId": [ + { + "identifier": { + "value": "CP001LEI111111111111" + }, + "meta": { + "globalKey": "12818f8c" + } + } + ], + "name": { + "value": "CP001" }, - "meta" : { - "globalKey" : "12818f8c" + "meta": { + "globalKey": "7c311b30", + "externalKey": "Borrower" } - } ] + } } - } - }, - "quantity" : { - "unit" : { - "financialUnit" : "SHARE" }, - "value" : 200000 - }, - "settlementDate" : { - "adjustedDate" : { - "meta" : { - "globalKey" : "3f2256" - }, - "value" : "2020-09-22" + "settlementDate": { + "adjustedDate": { + "value": "2020-09-22", + "meta": { + "globalKey": "3f2256" + } + } + }, + "settlementOrigin": { + "assetPayout": { + "globalReference": "3b19750e" + } } }, - "settlementOrigin" : { - "assetPayout" : { - "globalReference" : "73453ae0" - } + "meta": { + "globalKey": "ee032b8f" } } - } ] + ], + "meta": { + "globalKey": "37f065fd" + } }, - "returnInstruction" : { - "quantity" : [ { - "unit" : { - "financialUnit" : "SHARE" - }, - "value" : 200000 - }, { - "unit" : { - "currency" : { - "value" : "USD" + "returnInstruction": { + "quantity": [ + { + "value": 200000, + "unit": { + "financialUnit": "Share" } }, - "value" : 5000000 - } ] + { + "value": 5000000, + "unit": { + "currency": { + "value": "USD" + } + } + } + ] }, - "returnDate" : "2020-10-21" + "returnDate": "2020-10-21" } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/cdm-sample-files/functions/sec-lending/new-settlement-workflow-func-input.json b/rosetta-source/src/main/resources/cdm-sample-files/functions/sec-lending/new-settlement-workflow-func-input.json index 33cd358cf8..12c281b6b6 100644 --- a/rosetta-source/src/main/resources/cdm-sample-files/functions/sec-lending/new-settlement-workflow-func-input.json +++ b/rosetta-source/src/main/resources/cdm-sample-files/functions/sec-lending/new-settlement-workflow-func-input.json @@ -1,303 +1,29 @@ { - "counterparty": [ - { - "partyReference": { - "value": { - "meta": { - "externalKey": "Lender0", - "globalKey": "ad04f7df" - }, - "name": { - "value": "Standard Fund 1" - }, - "partyId": [ - { - "identifier": { - "value": "FM1LEI11111111111111" - } - } - ] - } - }, - "role": "PARTY_1" - }, - { - "partyReference": { - "value": { - "meta": { - "externalKey": "Borrower", - "globalKey": "7601b530" - }, - "name": { - "value": "CP001" - }, - "partyId": [ - { - "identifier": { - "value": "CP001LEI111111111111" - } - } - ] - } - }, - "role": "PARTY_2" - } - ], - "parties": [ - { - "meta": { - "externalKey": "Lender0" - }, - "name": { - "value": "Standard Fund 1" - }, - "partyId": [ - { - "identifier": { - "value": "FM1LEI11111111111111" - } - } - ] - }, - { - "meta": { - "externalKey": "AGENT_LENDER" - }, - "name": { - "value": "KTKL" - }, - "partyId": [ - { - "identifier": { - "value": "KTKLLEILLLLLLLLLLLLL" - } - } - ] - }, - { - "meta": { - "externalKey": "Borrower" - }, - "name": { - "value": "CP001" - }, - "partyId": [ - { - "identifier": { - "value": "CP001LEI111111111111" - } - } - ] - } - ], - "priceQuantity": [ - { - "price": [ - { - "meta": { - "location": [ - { - "scope": "DOCUMENT", - "value": "price-2" - } - ] - }, - "value": { - "unit": { - "currency": { - "value": "USD" - } - }, - "value": 0.01, - "perUnitOf": { - "currency": { - "value": "USD" - } - }, - "priceType": "INTEREST_RATE" - } - } - ], - "quantity": [ - { - "meta": { - "location": [ - { - "scope": "DOCUMENT", - "value": "quantity-8" - } - ] - }, - "value": { - "unit": { - "currency": { - "value": "USD" - } - }, - "value": 5000000 - } - } - ] - }, - { - "observable": { - "productIdentifier": [ - { - "value": { - "identifier": { - "value": "ST001" - }, - "source": "SEDOL" - } - } - ] - }, - "price": [ - { - "meta": { - "location": [ - { - "scope": "DOCUMENT", - "value": "price-1" - } - ] - }, - "value": { - "unit": { - "currency": { - "value": "USD" - } - }, - "value": 25, - "perUnitOf": { - "financialUnit": "SHARE" - }, - "priceType": "ASSET_PRICE" - } - } - ], - "quantity": [ - { - "meta": { - "location": [ - { - "scope": "DOCUMENT", - "value": "quantity-9" - } - ] - }, - "value": { - "unit": { - "financialUnit": "SHARE" - }, - "value": 200000 - } - } - ] - } - ], "product": { "contractualProduct": { "economicTerms": { - "collateral": { - "collateralProvisions": { - "collateralType": "CASH", - "eligibleCollateral": [ - { - "criteria": [ - { - "treatment": { - "valuationTreatment": { - "marginPercentage": 0.02 - } - } - } - ] - } - ] + "effectiveDate": { + "adjustableDate": { + "unadjustedDate": "2020-09-22", + "dateAdjustments": { + "businessDayConvention": "MODFOLLOWING" + } } }, - "effectiveDate": { + "terminationDate": { "adjustableDate": { + "unadjustedDate": "2020-10-22", "dateAdjustments": { "businessDayConvention": "MODFOLLOWING" - }, - "unadjustedDate": "2020-09-22" + } } }, "payout": { - "assetPayout": [ - { - "payerReceiver": { - "payer": "PARTY_1", - "receiver": "PARTY_2" - }, - "assetLeg": [ - { - "deliveryMethod": "DELIVERY_VERSUS_PAYMENT", - "settlementDate": { - "adjustableDate": { - "adjustedDate": { - "value": "2020-09-22" - }, - "dateAdjustments": { - "businessDayConvention": "NONE" - } - } - } - }, - { - "deliveryMethod": "DELIVERY_VERSUS_PAYMENT", - "settlementDate": { - "adjustableDate": { - "adjustedDate": { - "value": "2020-10-22" - }, - "dateAdjustments": { - "businessDayConvention": "NONE" - } - } - } - } - ], - "dividendTerms": { - "manufacturedIncomeRequirement": { - "totalRatio": 1 - } - }, - "durationType": { - "durationType": "TERM" - }, - "minimumFee": { - "unit": { - "currency": { - "value": "USD" - } - }, - "value": 0 - }, - "securityInformation": { - "security": { - "productIdentifier": [ - { - "value": { - "identifier": { - "value": "ST001" - }, - "source": "SEDOL" - } - } - ], - "securityType": "EQUITY" - } - } - } - ], "interestRatePayout": [ { "payerReceiver": { - "payer": "PARTY_1", - "receiver": "PARTY_2" + "payer": "Party1", + "receiver": "Party2" }, "priceQuantity": { "quantitySchedule": { @@ -307,20 +33,33 @@ } } }, + "rateSpecification": { + "fixedRate": { + "rateSchedule": { + "price": { + "address": { + "scope": "DOCUMENT", + "value": "price-2" + } + } + }, + "meta": { + "globalKey": "0" + } + } + }, + "dayCountFraction": { + "value": "ACT/360" + }, "calculationPeriodDates": { - "calculationPeriodFrequency": { - "period": "T", - "periodMultiplier": 1, - "rollConvention": "NONE" - }, "effectiveDate": { "adjustableDate": { - "adjustedDate": { - "value": "2020-09-22" - }, "dateAdjustments": { "businessDayConvention": "MODFOLLOWING" }, + "adjustedDate": { + "value": "2020-09-22" + }, "meta": { "externalKey": "Effective_Date" } @@ -328,81 +67,342 @@ }, "terminationDate": { "adjustableDate": { - "adjustedDate": { - "value": "2020-10-22" - }, "dateAdjustments": { "businessDayConvention": "MODFOLLOWING" }, + "adjustedDate": { + "value": "2020-10-22" + }, "meta": { "externalKey": "Termination_Date" } } + }, + "calculationPeriodFrequency": { + "periodMultiplier": 1, + "period": "T", + "rollConvention": "NONE" } }, - "dayCountFraction": { - "value": "ACT/360" - }, "paymentDates": { + "paymentFrequency": { + "periodMultiplier": 1, + "period": "T" + }, "paymentDatesAdjustments": { + "businessDayConvention": "MODFOLLOWING", "businessCenters": { "businessCenter": [ { "value": "EUTA" } - ] + ] + } + } + } + } + ], + "assetPayout": [ + { + "payerReceiver": { + "payer": "Party1", + "receiver": "Party2" + }, + "assetLeg": [ + { + "settlementDate": { + "adjustableDate": { + "dateAdjustments": { + "businessDayConvention": "NONE" + }, + "adjustedDate": { + "value": "2020-09-22" + } + } + }, + "deliveryMethod": "DeliveryVersusPayment" + }, + { + "settlementDate": { + "adjustableDate": { + "dateAdjustments": { + "businessDayConvention": "NONE" + }, + "adjustedDate": { + "value": "2020-10-22" + } + } }, - "businessDayConvention": "MODFOLLOWING" - }, - "paymentFrequency": { - "period": "T", - "periodMultiplier": 1 + "deliveryMethod": "DeliveryVersusPayment" } - }, - "rateSpecification": { - "fixedRate": { - "meta": { - "globalKey": "0" - }, - "rateSchedule": { - "price": { - "address": { - "scope": "DOCUMENT", - "value": "price-2" + ], + "securityInformation": { + "security": { + "productIdentifier": [ + { + "value": { + "identifier": { + "value": "ST001" + }, + "source": "SEDOL" } } + ], + "securityType": "Equity" + } + }, + "durationType": { + "durationType": "Term" + }, + "minimumFee": { + "value": 0, + "unit": { + "currency": { + "value": "USD" } } + }, + "dividendTerms": { + "manufacturedIncomeRequirement": { + "totalRatio": 1 + } } } ] }, - "terminationDate": { - "adjustableDate": { - "dateAdjustments": { - "businessDayConvention": "MODFOLLOWING" - }, - "unadjustedDate": "2020-10-22" + "collateral": { + "collateralProvisions": { + "collateralType": "Cash", + "eligibleCollateral": [ + { + "criteria": [ + { + "treatment": { + "valuationTreatment": { + "marginPercentage": 0.02 + } + } + } + ] + } + ] } } } } }, + "priceQuantity": [ + { + "price": [ + { + "value": { + "value": 0.01, + "unit": { + "currency": { + "value": "USD" + } + }, + "perUnitOf": { + "currency": { + "value": "USD" + } + }, + "priceType": "InterestRate" + }, + "meta": { + "location": [ + { + "scope": "DOCUMENT", + "value": "price-2" + } + ] + } + } + ], + "quantity": [ + { + "value": { + "value": 5000000, + "unit": { + "currency": { + "value": "USD" + } + } + }, + "meta": { + "location": [ + { + "scope": "DOCUMENT", + "value": "quantity-8" + } + ] + } + } + ] + }, + { + "price": [ + { + "value": { + "value": 25, + "unit": { + "currency": { + "value": "USD" + } + }, + "perUnitOf": { + "financialUnit": "Share" + }, + "priceType": "AssetPrice" + }, + "meta": { + "location": [ + { + "scope": "DOCUMENT", + "value": "price-1" + } + ] + } + } + ], + "quantity": [ + { + "value": { + "value": 200000, + "unit": { + "financialUnit": "Share" + } + }, + "meta": { + "location": [ + { + "scope": "DOCUMENT", + "value": "quantity-9" + } + ] + } + } + ], + "observable": { + "productIdentifier": [ + { + "value": { + "identifier": { + "value": "ST001" + }, + "source": "SEDOL" + } + } + ] + } + } + ], + "counterparty": [ + { + "role": "Party1", + "partyReference": { + "value": { + "partyId": [ + { + "identifier": { + "value": "FM1LEI11111111111111" + } + } + ], + "name": { + "value": "StandardFund1" + }, + "meta": { + "globalKey": "ad04f7df", + "externalKey": "Lender0" + } + } + } + }, + { + "role": "Party2", + "partyReference": { + "value": { + "partyId": [ + { + "identifier": { + "value": "CP001LEI111111111111" + } + } + ], + "name": { + "value": "CP001" + }, + "meta": { + "globalKey": "7601b530", + "externalKey": "Borrower" + } + } + } + } + ], + "parties": [ + { + "partyId": [ + { + "identifier": { + "value": "FM1LEI11111111111111" + } + } + ], + "name": { + "value": "StandardFund1" + }, + "meta": { + "externalKey": "Lender0" + } + }, + { + "partyId": [ + { + "identifier": { + "value": "KTKLLEILLLLLLLLLLLLL" + } + } + ], + "name": { + "value": "KTKL" + }, + "meta": { + "externalKey": "AGENT_LENDER" + } + }, + { + "partyId": [ + { + "identifier": { + "value": "CP001LEI111111111111" + } + } + ], + "name": { + "value": "CP001" + }, + "meta": { + "externalKey": "Borrower" + } + } + ], "tradeDate": { "value": "2020-09-21" }, "tradeIdentifier": [ { + "issuer": { + "value": "KTKL" + }, "assignedIdentifier": [ { "identifier": { "value": "0266001" } } - ], - "issuer": { - "value": "KTKL" - } + ] } ] } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/cdm-sample-files/functions/sec-lending/part-return-settlement-workflow-func-input.json b/rosetta-source/src/main/resources/cdm-sample-files/functions/sec-lending/part-return-settlement-workflow-func-input.json index 7511358557..ffc9230ef5 100644 --- a/rosetta-source/src/main/resources/cdm-sample-files/functions/sec-lending/part-return-settlement-workflow-func-input.json +++ b/rosetta-source/src/main/resources/cdm-sample-files/functions/sec-lending/part-return-settlement-workflow-func-input.json @@ -1,108 +1,26 @@ { "tradeState" : { - "meta" : { - "globalKey" : "55612bed" - }, - "state" : { - "positionState" : "EXECUTED" - }, "trade" : { - "meta" : { - "globalKey" : "3ae100ed" - }, - "party" : [ { - "meta" : { - "externalKey" : "Lender0", - "globalKey" : "a896ecd" - }, - "name" : { - "value" : "Standard Fund 1" - }, - "partyId" : [ { - "identifier" : { - "value" : "FM1LEI11111111111111" - }, - "meta" : { - "globalKey" : "87c4d1c6" - } - } ] - }, { - "meta" : { - "externalKey" : "AGENT_LENDER", - "globalKey" : "73176f1c" - }, - "name" : { + "tradeIdentifier" : [ { + "issuer" : { "value" : "KTKL" }, - "partyId" : [ { + "assignedIdentifier" : [ { "identifier" : { - "value" : "KTKLLEILLLLLLLLLLLLL" - }, - "meta" : { - "globalKey" : "60098fe6" + "value" : "0266001" } - } ] - }, { + } ], "meta" : { - "externalKey" : "Borrower", - "globalKey" : "1f061e68" - }, - "name" : { - "value" : "CP001" - }, - "partyId" : [ { - "identifier" : { - "value" : "CP001LEI111111111111" - }, - "meta" : { - "globalKey" : "12818f8c" - } - } ] + "globalKey" : "569d85e5" + } } ], + "tradeDate" : { + "value" : "2020-09-21", + "meta" : { + "globalKey" : "3f2255" + } + }, "tradableProduct" : { - "counterparty" : [ { - "partyReference" : { - "value" : { - "meta" : { - "externalKey" : "Lender0", - "globalKey" : "a896ecd" - }, - "name" : { - "value" : "Standard Fund 1" - }, - "partyId" : [ { - "identifier" : { - "value" : "FM1LEI11111111111111" - }, - "meta" : { - "globalKey" : "87c4d1c6" - } - } ] - } - }, - "role" : "PARTY_1" - }, { - "partyReference" : { - "value" : { - "meta" : { - "externalKey" : "Borrower", - "globalKey" : "1f061e68" - }, - "name" : { - "value" : "CP001" - }, - "partyId" : [ { - "identifier" : { - "value" : "CP001LEI111111111111" - }, - "meta" : { - "globalKey" : "12818f8c" - } - } ] - } - }, - "role" : "PARTY_2" - } ], "product" : { "contractualProduct" : { "productTaxonomy" : [ { @@ -110,25 +28,9 @@ "productQualifier" : "SecurityLendingAgreement" } ], "economicTerms" : { - "collateral" : { - "collateralProvisions" : { - "collateralType" : "CASH", - "eligibleCollateral" : [ { - "criteria" : [ { - "treatment" : { - "valuationTreatment" : { - "marginPercentage" : 0.02 - } - } - } ], - "meta" : { - "globalKey" : "168480" - } - } ] - } - }, "effectiveDate" : { "adjustableDate" : { + "unadjustedDate" : "2020-09-22", "dateAdjustments" : { "businessDayConvention" : "MODFOLLOWING", "meta" : { @@ -137,196 +39,133 @@ }, "meta" : { "globalKey" : "e742daa5" - }, - "unadjustedDate" : "2020-09-22" + } }, "meta" : { "globalKey" : "e742daa5" } }, - "payout" : { - "assetPayout" : [ { - "payerReceiver" : { - "payer" : "PARTY_1", - "receiver" : "PARTY_2" - }, - "assetLeg" : [ { - "deliveryMethod" : "DELIVERY_VERSUS_PAYMENT", - "settlementDate" : { - "adjustableDate" : { - "adjustedDate" : { - "meta" : { - "globalKey" : "3f2256" - }, - "value" : "2020-09-22" - }, - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "meta" : { - "globalKey" : "24a738" - } - }, - "meta" : { - "globalKey" : "24a738" - } - }, - "meta" : { - "globalKey" : "24a738" - } - } - }, { - "deliveryMethod" : "DELIVERY_VERSUS_PAYMENT", - "settlementDate" : { - "adjustableDate" : { - "adjustedDate" : { - "meta" : { - "globalKey" : "3f2296" - }, - "value" : "2020-10-22" - }, - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "meta" : { - "globalKey" : "24a738" - } - }, - "meta" : { - "globalKey" : "24a738" - } - }, - "meta" : { - "globalKey" : "24a738" - } - } - } ], - "dividendTerms" : { - "manufacturedIncomeRequirement" : { - "totalRatio" : 1 - } - }, - "durationType" : { - "durationType" : "TERM" - }, - "meta" : { - "globalKey" : "73453ae0" - }, - "minimumFee" : { - "unit" : { - "currency" : { - "value" : "USD" - } - }, - "value" : 0, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2020-10-22", + "dateAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", "meta" : { - "globalKey" : "171b36" + "globalKey" : "fa42f5cf" } }, - "securityInformation" : { - "meta" : { - "globalKey" : "7548eca6" - }, - "security" : { - "productIdentifier" : [ { - "value" : { - "identifier" : { - "value" : "ST001" - }, - "meta" : { - "globalKey" : "a4ff65ff" - }, - "source" : "SEDOL" - } - } ], - "securityType" : "EQUITY" - } + "meta" : { + "globalKey" : "e743cae5" } - } ], + }, + "meta" : { + "globalKey" : "e743cae5" + } + }, + "payout" : { "interestRatePayout" : [ { "payerReceiver" : { - "payer" : "PARTY_1", - "receiver" : "PARTY_2" + "payer" : "Party1", + "receiver" : "Party2" }, "priceQuantity" : { - "meta" : { - "globalKey" : "0" - }, "quantitySchedule" : { "address" : { "scope" : "DOCUMENT", "value" : "quantity-8" } + }, + "meta" : { + "globalKey" : "0" } }, - "calculationPeriodDates" : { - "calculationPeriodFrequency" : { - "meta" : { - "globalKey" : "25e2ab" + "rateSpecification" : { + "fixedRate" : { + "rateSchedule" : { + "price" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "price-2" + } + } }, - "period" : "T", - "periodMultiplier" : 1, - "rollConvention" : "NONE" - }, + "meta" : { + "globalKey" : "0" + } + } + }, + "dayCountFraction" : { + "value" : "ACT/360" + }, + "calculationPeriodDates" : { "effectiveDate" : { "adjustableDate" : { - "adjustedDate" : { - "meta" : { - "globalKey" : "3f2256" - }, - "value" : "2020-09-22" - }, "dateAdjustments" : { "businessDayConvention" : "MODFOLLOWING", "meta" : { "globalKey" : "fa42f5cf" } }, + "adjustedDate" : { + "value" : "2020-09-22", + "meta" : { + "globalKey" : "3f2256" + } + }, "meta" : { - "externalKey" : "Effective_Date", - "globalKey" : "fa42f5cf" + "globalKey" : "fa42f5cf", + "externalKey" : "Effective_Date" } }, "meta" : { "globalKey" : "fa42f5cf" } }, - "meta" : { - "globalKey" : "a4273c9" - }, "terminationDate" : { "adjustableDate" : { - "adjustedDate" : { - "meta" : { - "globalKey" : "3f2296" - }, - "value" : "2020-10-22" - }, "dateAdjustments" : { "businessDayConvention" : "MODFOLLOWING", "meta" : { "globalKey" : "fa42f5cf" } }, + "adjustedDate" : { + "value" : "2020-10-22", + "meta" : { + "globalKey" : "3f2296" + } + }, "meta" : { - "externalKey" : "Termination_Date", - "globalKey" : "fa42f5cf" + "globalKey" : "fa42f5cf", + "externalKey" : "Termination_Date" } }, "meta" : { "globalKey" : "fa42f5cf" } + }, + "calculationPeriodFrequency" : { + "periodMultiplier" : 1, + "period" : "T", + "meta" : { + "globalKey" : "24b525" + }, + "rollConvention" : "NONE" + }, + "meta" : { + "globalKey" : "8b1de243" } }, - "dayCountFraction" : { - "value" : "ACT/360" - }, - "meta" : { - "globalKey" : "ce90278b" - }, "paymentDates" : { - "meta" : { - "globalKey" : "b578507f" + "paymentFrequency" : { + "periodMultiplier" : 1, + "period" : "T", + "meta" : { + "globalKey" : "73" + } }, "paymentDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", "businessCenters" : { "businessCenter" : [ { "value" : "EUTA" @@ -335,200 +174,356 @@ "globalKey" : "20a71d" } }, - "businessDayConvention" : "MODFOLLOWING", "meta" : { "globalKey" : "365baaee" } }, - "paymentFrequency" : { - "meta" : { - "globalKey" : "a2d" - }, - "period" : "T", - "periodMultiplier" : 1 + "meta" : { + "globalKey" : "fa98fa5b" } }, - "rateSpecification" : { - "fixedRate" : { + "meta" : { + "globalKey" : "98fd77d9" + } + } ], + "assetPayout" : [ { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "assetLeg" : [ { + "settlementDate" : { + "adjustableDate" : { + "dateAdjustments" : { + "businessDayConvention" : "NONE", + "meta" : { + "globalKey" : "24a738" + } + }, + "adjustedDate" : { + "value" : "2020-09-22", + "meta" : { + "globalKey" : "3f2256" + } + }, + "meta" : { + "globalKey" : "24a738" + } + }, "meta" : { - "globalKey" : "0" + "globalKey" : "24a738" + } + }, + "deliveryMethod" : "DeliveryVersusPayment" + }, { + "settlementDate" : { + "adjustableDate" : { + "dateAdjustments" : { + "businessDayConvention" : "NONE", + "meta" : { + "globalKey" : "24a738" + } + }, + "adjustedDate" : { + "value" : "2020-10-22", + "meta" : { + "globalKey" : "3f2296" + } + }, + "meta" : { + "globalKey" : "24a738" + } }, - "rateSchedule" : { - "price" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "price-2" + "meta" : { + "globalKey" : "24a738" + } + }, + "deliveryMethod" : "DeliveryVersusPayment" + } ], + "securityInformation" : { + "security" : { + "productIdentifier" : [ { + "value" : { + "identifier" : { + "value" : "ST001" + }, + "source" : "SEDOL", + "meta" : { + "globalKey" : "a4ff65ff" } } + } ], + "securityType" : "Equity" + }, + "meta" : { + "globalKey" : "7548eca6" + } + }, + "durationType" : { + "durationType" : "Term" + }, + "minimumFee" : { + "value" : 0, + "unit" : { + "currency" : { + "value" : "USD" } + }, + "meta" : { + "globalKey" : "171b36" + } + }, + "dividendTerms" : { + "manufacturedIncomeRequirement" : { + "totalRatio" : 1 } + }, + "meta" : { + "globalKey" : "3b19750e" } } ], "meta" : { - "globalKey" : "eb31e26b" + "globalKey" : "43b3b6a7" } }, - "terminationDate" : { - "adjustableDate" : { - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", + "collateral" : { + "collateralProvisions" : { + "collateralType" : "Cash", + "eligibleCollateral" : [ { + "criteria" : [ { + "treatment" : { + "valuationTreatment" : { + "marginPercentage" : 0.02 + } + } + } ], "meta" : { - "globalKey" : "fa42f5cf" + "globalKey" : "168480" } - }, - "meta" : { - "globalKey" : "e743cae5" - }, - "unadjustedDate" : "2020-10-22" - }, - "meta" : { - "globalKey" : "e743cae5" + } ] } } }, "meta" : { - "globalKey" : "37405ce2" + "globalKey" : "38d91964" } }, "meta" : { - "globalKey" : "37405ce2" + "globalKey" : "38d91964" } }, "tradeLot" : [ { "priceQuantity" : [ { - "meta" : { - "globalKey" : "bc2d9a59" - }, "price" : [ { - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-2" - } ] - }, "value" : { + "value" : 0.01, "unit" : { "currency" : { "value" : "USD" } }, - "value" : 0.01, "perUnitOf" : { "currency" : { "value" : "USD" } }, - "priceType" : "INTEREST_RATE" - } - } ], - "quantity" : [ { + "priceType" : "InterestRate" + }, "meta" : { "location" : [ { "scope" : "DOCUMENT", - "value" : "quantity-8" + "value" : "price-2" } ] - }, + } + } ], + "quantity" : [ { "value" : { + "value" : 5000000, "unit" : { "currency" : { "value" : "USD" } - }, - "value" : 5000000 - } - } ] - }, { - "meta" : { - "globalKey" : "a0b25412" - }, - "observable" : { - "meta" : { - "globalKey" : "a4ff65ff" - }, - "productIdentifier" : [ { - "value" : { - "identifier" : { - "value" : "ST001" - }, - "meta" : { - "globalKey" : "a4ff65ff" - }, - "source" : "SEDOL" } - } ] - }, - "price" : [ { + }, "meta" : { "location" : [ { "scope" : "DOCUMENT", - "value" : "price-1" + "value" : "quantity-8" } ] - }, + } + } ], + "meta" : { + "globalKey" : "c985b0c7" + } + }, { + "price" : [ { "value" : { + "value" : 25, "unit" : { "currency" : { "value" : "USD" } }, - "value" : 25, "perUnitOf" : { - "financialUnit" : "SHARE" + "financialUnit" : "Share" }, - "priceType" : "ASSET_PRICE" + "priceType" : "AssetPrice" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-1" + } ] } } ], "quantity" : [ { + "value" : { + "value" : 200000, + "unit" : { + "financialUnit" : "Share" + } + }, "meta" : { "location" : [ { "scope" : "DOCUMENT", "value" : "quantity-9" } ] + } + } ], + "observable" : { + "productIdentifier" : [ { + "value" : { + "identifier" : { + "value" : "ST001" + }, + "source" : "SEDOL", + "meta" : { + "globalKey" : "a4ff65ff" + } + } + } ], + "meta" : { + "globalKey" : "a4ff65ff" + } + }, + "meta" : { + "globalKey" : "998f6e8c" + } + } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "value" : { + "partyId" : [ { + "identifier" : { + "value" : "FM1LEI11111111111111" + }, + "meta" : { + "globalKey" : "87c4d1c6" + } + } ], + "name" : { + "value" : "StandardFund1" }, - "value" : { - "unit" : { - "financialUnit" : "SHARE" + "meta" : { + "globalKey" : "61517d75", + "externalKey" : "Lender0" + } + } + } + }, { + "role" : "Party2", + "partyReference" : { + "value" : { + "partyId" : [ { + "identifier" : { + "value" : "CP001LEI111111111111" }, - "value" : 200000 + "meta" : { + "globalKey" : "12818f8c" + } + } ], + "name" : { + "value" : "CP001" + }, + "meta" : { + "globalKey" : "7c311b30", + "externalKey" : "Borrower" } - } ] - } ] + } + } } ] }, - "tradeDate" : { - "meta" : { - "globalKey" : "3f2255" + "party" : [ { + "partyId" : [ { + "identifier" : { + "value" : "FM1LEI11111111111111" + }, + "meta" : { + "globalKey" : "87c4d1c6" + } + } ], + "name" : { + "value" : "StandardFund1" }, - "value" : "2020-09-21" - }, - "tradeIdentifier" : [ { - "assignedIdentifier" : [ { + "meta" : { + "globalKey" : "61517d75", + "externalKey" : "Lender0" + } + }, { + "partyId" : [ { "identifier" : { - "value" : "0266001" + "value" : "KTKLLEILLLLLLLLLLLLL" + }, + "meta" : { + "globalKey" : "60098fe6" } } ], - "issuer" : { + "name" : { "value" : "KTKL" }, "meta" : { - "globalKey" : "9e641379" + "globalKey" : "84088af0", + "externalKey" : "AGENT_LENDER" + } + }, { + "partyId" : [ { + "identifier" : { + "value" : "CP001LEI111111111111" + }, + "meta" : { + "globalKey" : "12818f8c" + } + } ], + "name" : { + "value" : "CP001" + }, + "meta" : { + "globalKey" : "7c311b30", + "externalKey" : "Borrower" } - } ] + } ], + "meta" : { + "globalKey" : "1a718ab3" + } + }, + "state" : { + "positionState" : "Executed" }, "transferHistory" : [ { - "meta" : { - "globalKey" : "637bd5fe" - }, "transfer" : { + "quantity" : { + "value" : 100000.00, + "unit" : { + "currency" : { + "value" : "USD" + } + } + }, "payerReceiver" : { "payerPartyReference" : { "value" : { - "meta" : { - "externalKey" : "Borrower", - "globalKey" : "1f061e68" - }, - "name" : { - "value" : "CP001" - }, "partyId" : [ { "identifier" : { "value" : "CP001LEI111111111111" @@ -536,18 +531,18 @@ "meta" : { "globalKey" : "12818f8c" } - } ] + } ], + "name" : { + "value" : "CP001" + }, + "meta" : { + "globalKey" : "7c311b30", + "externalKey" : "Borrower" + } } }, "receiverPartyReference" : { "value" : { - "meta" : { - "externalKey" : "Lender0", - "globalKey" : "a896ecd" - }, - "name" : { - "value" : "Standard Fund 1" - }, "partyId" : [ { "identifier" : { "value" : "FM1LEI11111111111111" @@ -555,63 +550,61 @@ "meta" : { "globalKey" : "87c4d1c6" } - } ] + } ], + "name" : { + "value" : "StandardFund1" + }, + "meta" : { + "globalKey" : "61517d75", + "externalKey" : "Lender0" + } } } }, - "quantity" : { - "unit" : { - "currency" : { - "value" : "USD" - } - }, - "value" : 100000.00 - }, "settlementDate" : { "adjustedDate" : { + "value" : "2020-09-22", "meta" : { "globalKey" : "3f2256" - }, - "value" : "2020-09-22" + } } }, "settlementOrigin" : { "assetPayout" : { - "globalReference" : "73453ae0" + "globalReference" : "3b19750e" } } + }, + "meta" : { + "globalKey" : "dc3410d0" } }, { - "meta" : { - "globalKey" : "79e525e7" - }, "transfer" : { + "quantity" : { + "value" : 200000, + "unit" : { + "financialUnit" : "Share" + } + }, "observable" : { - "meta" : { - "globalKey" : "a4ff65ff" - }, "productIdentifier" : [ { "value" : { "identifier" : { "value" : "ST001" }, + "source" : "SEDOL", "meta" : { "globalKey" : "a4ff65ff" - }, - "source" : "SEDOL" + } } - } ] + } ], + "meta" : { + "globalKey" : "a4ff65ff" + } }, "payerReceiver" : { "payerPartyReference" : { "value" : { - "meta" : { - "externalKey" : "Lender0", - "globalKey" : "a896ecd" - }, - "name" : { - "value" : "Standard Fund 1" - }, "partyId" : [ { "identifier" : { "value" : "FM1LEI11111111111111" @@ -619,18 +612,18 @@ "meta" : { "globalKey" : "87c4d1c6" } - } ] + } ], + "name" : { + "value" : "StandardFund1" + }, + "meta" : { + "globalKey" : "61517d75", + "externalKey" : "Lender0" + } } }, "receiverPartyReference" : { "value" : { - "meta" : { - "externalKey" : "Borrower", - "globalKey" : "1f061e68" - }, - "name" : { - "value" : "CP001" - }, "partyId" : [ { "identifier" : { "value" : "CP001LEI111111111111" @@ -638,45 +631,52 @@ "meta" : { "globalKey" : "12818f8c" } - } ] + } ], + "name" : { + "value" : "CP001" + }, + "meta" : { + "globalKey" : "7c311b30", + "externalKey" : "Borrower" + } } } }, - "quantity" : { - "unit" : { - "financialUnit" : "SHARE" - }, - "value" : 200000 - }, "settlementDate" : { "adjustedDate" : { + "value" : "2020-09-22", "meta" : { "globalKey" : "3f2256" - }, - "value" : "2020-09-22" + } } }, "settlementOrigin" : { "assetPayout" : { - "globalReference" : "73453ae0" + "globalReference" : "3b19750e" } } + }, + "meta" : { + "globalKey" : "ee032b8f" } - } ] + } ], + "meta" : { + "globalKey" : "37f065fd" + } }, "returnInstruction" : { "quantity" : [ { + "value" : 50000, "unit" : { - "financialUnit" : "SHARE" - }, - "value" : 50000 + "financialUnit" : "Share" + } }, { + "value" : 1250000, "unit" : { "currency" : { "value" : "USD" } - }, - "value" : 1250000 + } } ] }, "returnDate" : "2020-10-08" diff --git a/rosetta-source/src/main/resources/cdm-sample-files/functions/sec-lending/reallocation/reallocation-pre-settled-func-input.json b/rosetta-source/src/main/resources/cdm-sample-files/functions/sec-lending/reallocation/reallocation-pre-settled-func-input.json index 0691b2a5f6..13f0e71142 100644 --- a/rosetta-source/src/main/resources/cdm-sample-files/functions/sec-lending/reallocation/reallocation-pre-settled-func-input.json +++ b/rosetta-source/src/main/resources/cdm-sample-files/functions/sec-lending/reallocation/reallocation-pre-settled-func-input.json @@ -1,665 +1,759 @@ { - "instruction" : [ { - "before" : { - "value" : { - "meta" : { - "globalKey" : "7ee521ec" - }, - "trade" : { - "meta" : { - "globalKey" : "7ee521ec" - }, - "party" : [ { - "meta" : { - "externalKey" : "lender-2", - "globalKey" : "ea2310a0" - }, - "name" : { - "value" : "Fund 2" - }, - "partyId" : [ { - "identifier" : { - "value" : "Fund 2" - }, - "meta" : { - "globalKey" : "7e1775b7" - } - } ] - }, { - "meta" : { - "externalKey" : "Borrower", - "globalKey" : "20931af1" - }, - "name" : { - "value" : "CP001 (Borrower)" - }, - "partyId" : [ { - "identifier" : { - "value" : "CP001LEI111111111111" - }, - "meta" : { - "globalKey" : "12818f8c" - } - } ] - }, { - "meta" : { - "externalKey" : "AGENT_LENDER", - "globalKey" : "2691a546" - }, - "name" : { - "value" : "KTKL (Agent Lender)" - }, - "partyId" : [ { - "identifier" : { - "value" : "KTKLLEILLLLLLLLLLLLL" - }, - "meta" : { - "globalKey" : "60098fe6" - } - } ] - } ], - "partyRole" : [ { - "partyReference" : { - "value" : { - "meta" : { - "externalKey" : "AGENT_LENDER", - "globalKey" : "2691a546" - }, - "name" : { - "value" : "KTKL (Agent Lender)" - }, - "partyId" : [ { - "identifier" : { - "value" : "KTKLLEILLLLLLLLLLLLL" - }, - "meta" : { - "globalKey" : "60098fe6" - } - } ] - } - }, - "role" : "AGENT_LENDER" - } ], - "tradableProduct" : { - "counterparty" : [ { - "partyReference" : { - "externalReference" : "lender-2", - "globalReference" : "ea2310a0" - }, - "role" : "PARTY_1" - }, { - "partyReference" : { - "value" : { - "meta" : { - "externalKey" : "Borrower", - "globalKey" : "20931af1" - }, - "name" : { - "value" : "CP001 (Borrower)" - }, - "partyId" : [ { - "identifier" : { - "value" : "CP001LEI111111111111" - }, - "meta" : { - "globalKey" : "12818f8c" - } - } ] - } - }, - "role" : "PARTY_2" - } ], - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "ISDA", - "productQualifier" : "SecurityLendingAgreement" - } ], - "economicTerms" : { - "collateral" : { - "collateralProvisions" : { - "collateralType" : "CASH", - "eligibleCollateral" : [ { - "criteria" : [ { - "treatment" : { - "valuationTreatment" : { - "marginPercentage" : 0.02 - } + "instruction": [ + { + "primitiveInstruction": { + "split": { + "breakdown": [ + { + "partyChange": { + "counterparty": { + "role": "Party1", + "partyReference": { + "value": { + "partyId": [ + { + "identifier": { + "value": "Fund3" + }, + "meta": { + "globalKey": "7e1775b8" } - } ], - "meta" : { - "globalKey" : "168480" } - } ] + ], + "name": { + "value": "Fund3" + }, + "meta": { + "globalKey": "d4285d70", + "externalKey": "lender-3" + } } - }, - "effectiveDate" : { - "adjustableDate" : { - "dateAdjustments" : { - "businessDayConvention" : 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+ ], + "intent": "Reallocation", + "eventDate": "2020-09-21", + "effectiveDate": null } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/cdm-sample-files/functions/workflow-step/cancellation/cancellation-func-input.json b/rosetta-source/src/main/resources/cdm-sample-files/functions/workflow-step/cancellation/cancellation-func-input.json index 7c89004371..8bb3d779a7 100644 --- a/rosetta-source/src/main/resources/cdm-sample-files/functions/workflow-step/cancellation/cancellation-func-input.json +++ b/rosetta-source/src/main/resources/cdm-sample-files/functions/workflow-step/cancellation/cancellation-func-input.json @@ -1,162 +1,10 @@ { "steps" : [ { - "action" : "NEW", "businessEvent" : { "eventDate" : "1994-12-12", "instruction" : [ { "primitiveInstruction" : { "execution" : { - "counterparty" : [ { - "partyReference" : { - "externalReference" : "party1", - "globalReference" : "a82d45fc" - }, - "role" : "PARTY_1" - }, { - "partyReference" : { - "externalReference" : "party2", - "globalReference" : "ca05a501" - }, - "role" : "PARTY_2" - } ], - "parties" : [ { - "meta" : { - "externalKey" : "party1", - "globalKey" : "a82d45fc" - }, - "name" : { - "value" : "Party A" - }, - "partyId" : [ { - "identifier" : { - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/iso9362" - }, - "value" : "PARTYAUS33" - }, - "identifierType" : "BIC", - "meta" : { - "globalKey" : "3d5ebc15" - } - } ] - }, { - "meta" : { - "externalKey" : "party2", - "globalKey" : "ca05a501" - }, - "partyId" : [ { - "identifier" : { - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/iso9362" - }, - "value" : "BARCGB2L" - }, - "identifierType" : "BIC", - "meta" : { - "globalKey" : "ca05a501" - } - } ] - } ], - "priceQuantity" : [ { - "meta" : { - "globalKey" : "61d0453d" - }, - "observable" : { - "meta" : { - "globalKey" : "53c66a4c" - }, - "rateOption" : { - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "rateOption-1" - } ] - }, - "value" : { - "floatingRateIndex" : { - "value" : "EUR-LIBOR-BBA" - }, - "indexTenor" : { - "meta" : { - "globalKey" : "959" - }, - "period" : "M", - "periodMultiplier" : 6 - } - } - } - }, - "quantity" : [ { - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] - }, - "value" : { - "unit" : { - "currency" : { - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/iso4217" - }, - "value" : "EUR" - } - }, - "value" : 99999 - } - } ] - }, { - "meta" : { - "globalKey" : "6d71265e" - }, - "price" : [ { - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-1" - } ] - }, - "value" : { - "unit" : { - "currency" : { - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/iso4217" - }, - "value" : "EUR" - } - }, - "value" : 0.06, - "perUnitOf" : { - "currency" : { - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/iso4217" - }, - "value" : "EUR" - } - }, - "priceType" : "INTEREST_RATE" - } - } ], - "quantity" : [ { - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } ] - }, - "value" : { - "unit" : { - "currency" : { - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/iso4217" - }, - "value" : "EUR" - } - }, - "value" : 99999 - } - } ] - } ], "product" : { "contractualProduct" : { "productTaxonomy" : [ { @@ -167,46 +15,40 @@ "payout" : { "interestRatePayout" : [ { "payerReceiver" : { - "payer" : "PARTY_1", - "receiver" : "PARTY_2" + "payer" : "Party1", + "receiver" : "Party2" }, "priceQuantity" : { - "meta" : { - "globalKey" : "0" - }, "quantitySchedule" : { "address" : { "scope" : "DOCUMENT", "value" : "quantity-1" } + }, + "meta" : { + "globalKey" : "0" } }, - "calculationPeriodDates" : { - "calculationPeriodDatesAdjustments" : { - "businessCenters" : { - "businessCentersReference" : { - "externalReference" : "primaryBusinessCenters", - "globalReference" : "1ff50d" - }, - "meta" : { - "globalKey" : "da36cf11" + "rateSpecification" : { + "floatingRate" : { + "rateOption" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "rateOption-1" } }, - "businessDayConvention" : "MODFOLLOWING", "meta" : { - "globalKey" : "b7d7eda0" + "globalKey" : "0" } - }, - "calculationPeriodFrequency" : { - "meta" : { - "globalKey" : "28c89" - }, - "period" : "M", - "periodMultiplier" : 6, - "rollConvention" : "14" - }, + } + }, + "dayCountFraction" : { + "value" : "ACT/360" + }, + "calculationPeriodDates" : { "effectiveDate" : { "adjustableDate" : { + "unadjustedDate" : "1994-12-14", "dateAdjustments" : { "businessDayConvention" : "NONE", "meta" : { @@ -215,103 +57,108 @@ }, "meta" : { "globalKey" : "ea1a6ec6" - }, - "unadjustedDate" : "1994-12-14" + } }, "meta" : { "globalKey" : "ea1a6ec6" } }, - "meta" : { - "externalKey" : "floatingCalcPeriodDates", - "globalKey" : "a54e5fcd" - }, "terminationDate" : { "adjustableDate" : { + "unadjustedDate" : "1999-12-14", "dateAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", "businessCenters" : { "businessCenter" : [ { "value" : "DEFR" } ], "meta" : { - "externalKey" : "primaryBusinessCenters", - "globalKey" : "1ff50d" + "globalKey" : "1ff50d", + "externalKey" : "primaryBusinessCenters" } }, - "businessDayConvention" : "MODFOLLOWING", "meta" : { "globalKey" : "365af8de" } }, "meta" : { "globalKey" : "a8d53690" - }, - "unadjustedDate" : "1999-12-14" + } }, "meta" : { "globalKey" : "a8d53690" } - } - }, - "dayCountFraction" : { - "value" : "ACT/360" - }, - "meta" : { - "globalKey" : "4443c8bb" - }, - "paymentDates" : { - "meta" : { - "globalKey" : "8c0b539f" }, - "payRelativeTo" : "CALCULATION_PERIOD_END_DATE", - "paymentDatesAdjustments" : { + "calculationPeriodDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", "businessCenters" : { "businessCentersReference" : { - "externalReference" : "primaryBusinessCenters", - "globalReference" : "1ff50d" + "globalReference" : "1ff50d", + "externalReference" : "primaryBusinessCenters" }, "meta" : { "globalKey" : "da36cf11" } }, - "businessDayConvention" : "MODFOLLOWING", "meta" : { "globalKey" : "b7d7eda0" } }, - "paymentFrequency" : { + "calculationPeriodFrequency" : { + "periodMultiplier" : 6, + "period" : "M", "meta" : { - "globalKey" : "959" + "globalKey" : "18a9b" }, - "period" : "M", - "periodMultiplier" : 6 + "rollConvention" : "14" + }, + "meta" : { + "globalKey" : "3836d691", + "externalKey" : "floatingCalcPeriodDates" } }, - "rateSpecification" : { - "floatingRate" : { + "paymentDates" : { + "paymentFrequency" : { + "periodMultiplier" : 6, + "period" : "M", "meta" : { - "globalKey" : "0" - }, - "rateOption" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "rateOption-1" + "globalKey" : "107" + } + }, + "payRelativeTo" : "CalculationPeriodEndDate", + "paymentDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCentersReference" : { + "globalReference" : "1ff50d", + "externalReference" : "primaryBusinessCenters" + }, + "meta" : { + "globalKey" : "da36cf11" } + }, + "meta" : { + "globalKey" : "b7d7eda0" } + }, + "meta" : { + "globalKey" : "8563938d" } }, "resetDates" : { "calculationPeriodDatesReference" : { - "externalReference" : "floatingCalcPeriodDates", - "globalReference" : "a54e5fcd" + "globalReference" : "3836d691", + "externalReference" : "floatingCalcPeriodDates" }, + "resetRelativeTo" : "CalculationPeriodStartDate", "fixingDates" : { + "periodMultiplier" : -2, + "period" : "D", "meta" : { - "globalKey" : "131ae8a2" + "globalKey" : "eff6d356" }, - "period" : "D", - "periodMultiplier" : -2, - "dayType" : "BUSINESS", + "dayType" : "Business", + "businessDayConvention" : "NONE", "businessCenters" : { "businessCenter" : [ { "value" : "GBLO" @@ -320,82 +167,79 @@ "globalKey" : "21479e" } }, - "businessDayConvention" : "NONE", "dateRelativeTo" : { - "externalReference" : "resetDates", - "globalReference" : "d533d3ee" + "globalReference" : "25625c64", + "externalReference" : "resetDates" } }, - "meta" : { - "externalKey" : "resetDates", - "globalKey" : "d533d3ee" + "resetFrequency" : { + "periodMultiplier" : 6, + "period" : "M", + "meta" : { + "globalKey" : "107" + } }, "resetDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", "businessCenters" : { "businessCentersReference" : { - "externalReference" : "primaryBusinessCenters", - "globalReference" : "1ff50d" + "globalReference" : "1ff50d", + "externalReference" : "primaryBusinessCenters" }, "meta" : { "globalKey" : "da36cf11" } }, - "businessDayConvention" : "MODFOLLOWING", "meta" : { "globalKey" : "b7d7eda0" } }, - "resetFrequency" : { - "meta" : { - "globalKey" : "959" - }, - "period" : "M", - "periodMultiplier" : 6 - }, - "resetRelativeTo" : "CALCULATION_PERIOD_START_DATE" + "meta" : { + "globalKey" : "25625c64", + "externalKey" : "resetDates" + } + }, + "meta" : { + "globalKey" : "56791807" } }, { "payerReceiver" : { - "payer" : "PARTY_2", - "receiver" : "PARTY_1" + "payer" : "Party2", + "receiver" : "Party1" }, "priceQuantity" : { - "meta" : { - "globalKey" : "0" - }, "quantitySchedule" : { "address" : { "scope" : "DOCUMENT", "value" : "quantity-2" } + }, + "meta" : { + "globalKey" : "0" } }, - "calculationPeriodDates" : { - "calculationPeriodDatesAdjustments" : { - "businessCenters" : { - "businessCentersReference" : { - "externalReference" : "primaryBusinessCenters", - "globalReference" : "1ff50d" - }, - "meta" : { - "globalKey" : "da36cf11" - } + "rateSpecification" : { + "fixedRate" : { + "rateSchedule" : { + "price" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "price-1" + } + } }, - "businessDayConvention" : "MODFOLLOWING", "meta" : { - "globalKey" : "b7d7eda0" + "globalKey" : "0" } - }, - "calculationPeriodFrequency" : { - "meta" : { - "globalKey" : "2b8fa" - }, - "period" : "Y", - "periodMultiplier" : 1, - "rollConvention" : "14" - }, + } + }, + "dayCountFraction" : { + "value" : "30E/360" + }, + "calculationPeriodDates" : { "effectiveDate" : { "adjustableDate" : { + "unadjustedDate" : "1994-12-14", "dateAdjustments" : { "businessDayConvention" : "NONE", "meta" : { @@ -404,197 +248,317 @@ }, "meta" : { "globalKey" : "ea1a6ec6" - }, - "unadjustedDate" : "1994-12-14" + } }, "meta" : { "globalKey" : "ea1a6ec6" } }, - "meta" : { - "externalKey" : "fixedCalcPeriodDates", - "globalKey" : "fbf296c2" - }, "terminationDate" : { "adjustableDate" : { + "unadjustedDate" : "1999-12-14", "dateAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", "businessCenters" : { "businessCentersReference" : { - "externalReference" : "primaryBusinessCenters", - "globalReference" : "1ff50d" + "globalReference" : "1ff50d", + "externalReference" : "primaryBusinessCenters" }, "meta" : { "globalKey" : "da36cf11" } }, - "businessDayConvention" : "MODFOLLOWING", "meta" : { "globalKey" : "b7d7eda0" } }, "meta" : { "globalKey" : "97297aae" - }, - "unadjustedDate" : "1999-12-14" + } }, "meta" : { "globalKey" : "97297aae" } - } - }, - "dayCountFraction" : { - "value" : "30E/360" - }, - "meta" : { - "globalKey" : "8b5a674a" - }, - "paymentDates" : { - "meta" : { - "globalKey" : "8c0b550e" }, - "payRelativeTo" : "CALCULATION_PERIOD_END_DATE", - "paymentDatesAdjustments" : { + "calculationPeriodDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", "businessCenters" : { "businessCentersReference" : { - "externalReference" : "primaryBusinessCenters", - "globalReference" : "1ff50d" + "globalReference" : "1ff50d", + "externalReference" : "primaryBusinessCenters" }, "meta" : { "globalKey" : "da36cf11" } }, - "businessDayConvention" : "MODFOLLOWING", "meta" : { "globalKey" : "b7d7eda0" } }, - "paymentFrequency" : { + "calculationPeriodFrequency" : { + "periodMultiplier" : 1, + "period" : "Y", "meta" : { - "globalKey" : "ac8" + "globalKey" : "1794a" }, - "period" : "Y", - "periodMultiplier" : 1 + "rollConvention" : "14" + }, + "meta" : { + "globalKey" : "a5f8cf12", + "externalKey" : "fixedCalcPeriodDates" } }, - "rateSpecification" : { - "fixedRate" : { + "paymentDates" : { + "paymentFrequency" : { + "periodMultiplier" : 1, + "period" : "Y", "meta" : { - "globalKey" : "0" - }, - "rateSchedule" : { - "price" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "price-1" - } + "globalKey" : "78" + } + }, + "payRelativeTo" : "CalculationPeriodEndDate", + "paymentDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCentersReference" : { + "globalReference" : "1ff50d", + "externalReference" : "primaryBusinessCenters" + }, + "meta" : { + "globalKey" : "da36cf11" } + }, + "meta" : { + "globalKey" : "b7d7eda0" } + }, + "meta" : { + "globalKey" : "b32991fe" } + }, + "meta" : { + "globalKey" : "3703de42" } } ], "meta" : { - "globalKey" : "e40a62af" + "globalKey" : "a74ffedb" } } }, "meta" : { - "globalKey" : "88a15c60" + "globalKey" : "4be6f88c" } }, "meta" : { - "globalKey" : "88a15c60" + "globalKey" : "4be6f88c" } }, + "priceQuantity" : [ { + "quantity" : [ { + "value" : { + "value" : 99999, + "unit" : { + "currency" : { + "value" : "EUR", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/iso4217" + } + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] + } + } ], + "observable" : { + "rateOption" : { + "value" : { + "floatingRateIndex" : { + "value" : "EUR-LIBOR-BBA" + }, + "indexTenor" : { + "periodMultiplier" : 6, + "period" : "M", + "meta" : { + "globalKey" : "107" + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "rateOption-1" + } ] + } + }, + "meta" : { + "globalKey" : "2505dd46" + } + }, + "meta" : { + "globalKey" : "ed98830f" + } + }, { + "price" : [ { + "value" : { + "value" : 0.06, + "unit" : { + "currency" : { + "value" : "EUR", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/iso4217" + } + } + }, + "perUnitOf" : { + "currency" : { + "value" : "EUR", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/iso4217" + } + } + }, + "priceType" : "InterestRate" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-1" + } ] + } + } ], + "quantity" : [ { + "value" : { + "value" : 99999, + "unit" : { + "currency" : { + "value" : "EUR", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/iso4217" + } + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } ] + } + } ], + "meta" : { + "globalKey" : "40b3a562" + } + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "9495a03c", + "externalReference" : "party1" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "ca05a501", + "externalReference" : "party2" + } + } ], + "parties" : [ { + "partyId" : [ { + "identifier" : { + "value" : "PARTYAUS33", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/iso9362" + } + }, + "identifierType" : "BIC", + "meta" : { + "globalKey" : "3d5ebc15" + } + } ], + "name" : { + "value" : "Party A" + }, + "meta" : { + "globalKey" : "9495a03c", + "externalKey" : "party1" + } + }, { + "partyId" : [ { + "identifier" : { + "value" : "BARCGB2L", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/iso9362" + } + }, + "identifierType" : "BIC", + "meta" : { + "globalKey" : "ca05a501" + } + } ], + "meta" : { + "globalKey" : "ca05a501", + "externalKey" : "party2" + } + } ], "tradeDate" : { + "value" : "1994-12-12", "meta" : { "globalKey" : "3e530c" - }, - "value" : "1994-12-12" + } }, "tradeIdentifier" : [ { + "issuerReference" : { + "globalReference" : "ca05a501", + "externalReference" : "party2" + }, "assignedIdentifier" : [ { "identifier" : { + "value" : "SW2000", "meta" : { "scheme" : "http://www.barclays.com/swaps/trade-id" - }, - "value" : "SW2000" + } }, "version" : 1 } ], - "issuerReference" : { - "externalReference" : "party2", - "globalReference" : "ca05a501" - }, "meta" : { - "globalKey" : "fc2ee432" + "globalKey" : "958d38d8" } } ] } } } ], + "eventQualifier" : "Execution", "after" : [ { - "meta" : { - "globalKey" : "632669e6" - }, - "state" : { - "positionState" : "EXECUTED" - }, "trade" : { - "meta" : { - "globalKey" : "3068bd95" - }, - "party" : [ { - "meta" : { - "externalKey" : "party1", - "globalKey" : "a82d45fc" - }, - "name" : { - "value" : "Party A" + "tradeIdentifier" : [ { + "issuerReference" : { + "globalReference" : "ca05a501", + "externalReference" : "party2" }, - "partyId" : [ { + "assignedIdentifier" : [ { "identifier" : { + "value" : "SW2000", "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/iso9362" - }, - "value" : "PARTYAUS33" + "scheme" : "http://www.barclays.com/swaps/trade-id" + } }, - "identifierType" : "BIC", - "meta" : { - "globalKey" : "3d5ebc15" - } - } ] - }, { + "version" : 1 + } ], "meta" : { - "externalKey" : "party2", - "globalKey" : "ca05a501" - }, - "partyId" : [ { - "identifier" : { - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/iso9362" - }, - "value" : "BARCGB2L" - }, - "identifierType" : "BIC", - "meta" : { - "globalKey" : "ca05a501" - } - } ] + "globalKey" : "958d38d8" + } } ], + "tradeDate" : { + "value" : "1994-12-12", + "meta" : { + "globalKey" : "3e530c" + } + }, "tradableProduct" : { - "counterparty" : [ { - "partyReference" : { - "externalReference" : "party1", - "globalReference" : "a82d45fc" - }, - "role" : "PARTY_1" - }, { - "partyReference" : { - "externalReference" : "party2", - "globalReference" : "ca05a501" - }, - "role" : "PARTY_2" - } ], "product" : { "contractualProduct" : { "productTaxonomy" : [ { @@ -605,46 +569,40 @@ "payout" : { "interestRatePayout" : [ { "payerReceiver" : { - "payer" : "PARTY_1", - "receiver" : "PARTY_2" + "payer" : "Party1", + "receiver" : "Party2" }, "priceQuantity" : { - "meta" : { - "globalKey" : "0" - }, "quantitySchedule" : { "address" : { "scope" : "DOCUMENT", "value" : "quantity-1" } + }, + "meta" : { + "globalKey" : "0" } }, - "calculationPeriodDates" : { - "calculationPeriodDatesAdjustments" : { - "businessCenters" : { - "businessCentersReference" : { - "externalReference" : "primaryBusinessCenters", - "globalReference" : "1ff50d" - }, - "meta" : { - "globalKey" : "da36cf11" + "rateSpecification" : { + "floatingRate" : { + "rateOption" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "rateOption-1" } }, - "businessDayConvention" : "MODFOLLOWING", "meta" : { - "globalKey" : "b7d7eda0" + "globalKey" : "0" } - }, - "calculationPeriodFrequency" : { - "meta" : { - "globalKey" : "28c89" - }, - "period" : "M", - "periodMultiplier" : 6, - "rollConvention" : "14" - }, + } + }, + "dayCountFraction" : { + "value" : "ACT/360" + }, + "calculationPeriodDates" : { "effectiveDate" : { "adjustableDate" : { + "unadjustedDate" : "1994-12-14", "dateAdjustments" : { "businessDayConvention" : "NONE", "meta" : { @@ -653,103 +611,108 @@ }, "meta" : { "globalKey" : "ea1a6ec6" - }, - "unadjustedDate" : "1994-12-14" + } }, "meta" : { "globalKey" : "ea1a6ec6" } }, - "meta" : { - "externalKey" : "floatingCalcPeriodDates", - "globalKey" : "a54e5fcd" - }, "terminationDate" : { "adjustableDate" : { + "unadjustedDate" : "1999-12-14", "dateAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", "businessCenters" : { "businessCenter" : [ { "value" : "DEFR" } ], "meta" : { - "externalKey" : "primaryBusinessCenters", - "globalKey" : "1ff50d" + "globalKey" : "1ff50d", + "externalKey" : "primaryBusinessCenters" } }, - "businessDayConvention" : "MODFOLLOWING", "meta" : { "globalKey" : "365af8de" } }, "meta" : { "globalKey" : "a8d53690" - }, - "unadjustedDate" : "1999-12-14" + } }, "meta" : { "globalKey" : "a8d53690" } - } - }, - "dayCountFraction" : { - "value" : "ACT/360" - }, - "meta" : { - "globalKey" : "4443c8bb" - }, - "paymentDates" : { - "meta" : { - "globalKey" : "8c0b539f" }, - "payRelativeTo" : "CALCULATION_PERIOD_END_DATE", - "paymentDatesAdjustments" : { + "calculationPeriodDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", "businessCenters" : { "businessCentersReference" : { - "externalReference" : "primaryBusinessCenters", - "globalReference" : "1ff50d" + "globalReference" : "1ff50d", + "externalReference" : "primaryBusinessCenters" }, "meta" : { "globalKey" : "da36cf11" } }, - "businessDayConvention" : "MODFOLLOWING", "meta" : { "globalKey" : "b7d7eda0" } }, - "paymentFrequency" : { + "calculationPeriodFrequency" : { + "periodMultiplier" : 6, + "period" : "M", "meta" : { - "globalKey" : "959" + "globalKey" : "18a9b" }, - "period" : "M", - "periodMultiplier" : 6 + "rollConvention" : "14" + }, + "meta" : { + "globalKey" : "3836d691", + "externalKey" : "floatingCalcPeriodDates" } }, - "rateSpecification" : { - "floatingRate" : { + "paymentDates" : { + "paymentFrequency" : { + "periodMultiplier" : 6, + "period" : "M", "meta" : { - "globalKey" : "0" - }, - "rateOption" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "rateOption-1" + "globalKey" : "107" + } + }, + "payRelativeTo" : "CalculationPeriodEndDate", + "paymentDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCentersReference" : { + "globalReference" : "1ff50d", + "externalReference" : "primaryBusinessCenters" + }, + "meta" : { + "globalKey" : "da36cf11" } + }, + "meta" : { + "globalKey" : "b7d7eda0" } + }, + "meta" : { + "globalKey" : "8563938d" } }, "resetDates" : { "calculationPeriodDatesReference" : { - "externalReference" : "floatingCalcPeriodDates", - "globalReference" : "a54e5fcd" + "globalReference" : "3836d691", + "externalReference" : "floatingCalcPeriodDates" }, + "resetRelativeTo" : "CalculationPeriodStartDate", "fixingDates" : { + "periodMultiplier" : -2, + "period" : "D", "meta" : { - "globalKey" : "131ae8a2" + "globalKey" : "eff6d356" }, - "period" : "D", - "periodMultiplier" : -2, - "dayType" : "BUSINESS", + "dayType" : "Business", + "businessDayConvention" : "NONE", "businessCenters" : { "businessCenter" : [ { "value" : "GBLO" @@ -758,82 +721,79 @@ "globalKey" : "21479e" } }, - "businessDayConvention" : "NONE", "dateRelativeTo" : { - "externalReference" : "resetDates", - "globalReference" : "d533d3ee" + "globalReference" : "25625c64", + "externalReference" : "resetDates" } }, - "meta" : { - "externalKey" : "resetDates", - "globalKey" : "d533d3ee" + "resetFrequency" : { + "periodMultiplier" : 6, + "period" : "M", + "meta" : { + "globalKey" : "107" + } }, "resetDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", "businessCenters" : { "businessCentersReference" : { - "externalReference" : "primaryBusinessCenters", - "globalReference" : "1ff50d" + "globalReference" : "1ff50d", + "externalReference" : "primaryBusinessCenters" }, "meta" : { "globalKey" : "da36cf11" } }, - "businessDayConvention" : "MODFOLLOWING", "meta" : { "globalKey" : "b7d7eda0" } }, - "resetFrequency" : { - "meta" : { - "globalKey" : "959" - }, - "period" : "M", - "periodMultiplier" : 6 - }, - "resetRelativeTo" : "CALCULATION_PERIOD_START_DATE" + "meta" : { + "globalKey" : "25625c64", + "externalKey" : "resetDates" + } + }, + "meta" : { + "globalKey" : "56791807" } }, { "payerReceiver" : { - "payer" : "PARTY_2", - "receiver" : "PARTY_1" + "payer" : "Party2", + "receiver" : "Party1" }, "priceQuantity" : { - "meta" : { - "globalKey" : "0" - }, "quantitySchedule" : { "address" : { "scope" : "DOCUMENT", "value" : "quantity-2" } + }, + "meta" : { + "globalKey" : "0" } }, - "calculationPeriodDates" : { - "calculationPeriodDatesAdjustments" : { - "businessCenters" : { - "businessCentersReference" : { - "externalReference" : "primaryBusinessCenters", - "globalReference" : "1ff50d" - }, - "meta" : { - "globalKey" : "da36cf11" + "rateSpecification" : { + "fixedRate" : { + "rateSchedule" : { + "price" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "price-1" + } } }, - "businessDayConvention" : "MODFOLLOWING", "meta" : { - "globalKey" : "b7d7eda0" + "globalKey" : "0" } - }, - "calculationPeriodFrequency" : { - "meta" : { - "globalKey" : "2b8fa" - }, - "period" : "Y", - "periodMultiplier" : 1, - "rollConvention" : "14" - }, + } + }, + "dayCountFraction" : { + "value" : "30E/360" + }, + "calculationPeriodDates" : { "effectiveDate" : { "adjustableDate" : { + "unadjustedDate" : "1994-12-14", "dateAdjustments" : { "businessDayConvention" : "NONE", "meta" : { @@ -842,241 +802,289 @@ }, "meta" : { "globalKey" : "ea1a6ec6" - }, - "unadjustedDate" : "1994-12-14" + } }, "meta" : { "globalKey" : "ea1a6ec6" } }, - "meta" : { - "externalKey" : "fixedCalcPeriodDates", - "globalKey" : "fbf296c2" - }, "terminationDate" : { "adjustableDate" : { + "unadjustedDate" : "1999-12-14", "dateAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", "businessCenters" : { "businessCentersReference" : { - "externalReference" : "primaryBusinessCenters", - "globalReference" : "1ff50d" + "globalReference" : "1ff50d", + "externalReference" : "primaryBusinessCenters" }, "meta" : { "globalKey" : "da36cf11" } }, - "businessDayConvention" : "MODFOLLOWING", "meta" : { "globalKey" : "b7d7eda0" } }, "meta" : { "globalKey" : "97297aae" - }, - "unadjustedDate" : "1999-12-14" + } }, "meta" : { "globalKey" : "97297aae" } - } - }, - "dayCountFraction" : { - "value" : "30E/360" - }, - "meta" : { - "globalKey" : "8b5a674a" - }, - "paymentDates" : { - "meta" : { - "globalKey" : "8c0b550e" }, - "payRelativeTo" : "CALCULATION_PERIOD_END_DATE", - "paymentDatesAdjustments" : { + "calculationPeriodDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", "businessCenters" : { "businessCentersReference" : { - "externalReference" : "primaryBusinessCenters", - "globalReference" : "1ff50d" + "globalReference" : "1ff50d", + "externalReference" : "primaryBusinessCenters" }, "meta" : { "globalKey" : "da36cf11" } }, - "businessDayConvention" : "MODFOLLOWING", "meta" : { "globalKey" : "b7d7eda0" } }, - "paymentFrequency" : { + "calculationPeriodFrequency" : { + "periodMultiplier" : 1, + "period" : "Y", "meta" : { - "globalKey" : "ac8" + "globalKey" : "1794a" }, - "period" : "Y", - "periodMultiplier" : 1 + "rollConvention" : "14" + }, + "meta" : { + "globalKey" : "a5f8cf12", + "externalKey" : "fixedCalcPeriodDates" } }, - "rateSpecification" : { - "fixedRate" : { + "paymentDates" : { + "paymentFrequency" : { + "periodMultiplier" : 1, + "period" : "Y", "meta" : { - "globalKey" : "0" - }, - "rateSchedule" : { - "price" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "price-1" - } + "globalKey" : "78" + } + }, + "payRelativeTo" : "CalculationPeriodEndDate", + "paymentDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCentersReference" : { + "globalReference" : "1ff50d", + "externalReference" : "primaryBusinessCenters" + }, + "meta" : { + "globalKey" : "da36cf11" } + }, + "meta" : { + "globalKey" : "b7d7eda0" } + }, + "meta" : { + "globalKey" : "b32991fe" } + }, + "meta" : { + "globalKey" : "3703de42" } } ], "meta" : { - "globalKey" : "e40a62af" + "globalKey" : "a74ffedb" } } }, "meta" : { - "globalKey" : "88a15c60" + "globalKey" : "4be6f88c" } }, "meta" : { - "globalKey" : "88a15c60" + "globalKey" : "4be6f88c" } }, "tradeLot" : [ { "priceQuantity" : [ { - "meta" : { - "globalKey" : "61d0453d" - }, - "observable" : { - "meta" : { - "globalKey" : "53c66a4c" + "quantity" : [ { + "value" : { + "value" : 99999, + "unit" : { + "currency" : { + "value" : "EUR", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/iso4217" + } + } + } }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] + } + } ], + "observable" : { "rateOption" : { - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "rateOption-1" - } ] - }, "value" : { "floatingRateIndex" : { "value" : "EUR-LIBOR-BBA" }, "indexTenor" : { + "periodMultiplier" : 6, + "period" : "M", "meta" : { - "globalKey" : "959" - }, - "period" : "M", - "periodMultiplier" : 6 + "globalKey" : "107" + } } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "rateOption-1" + } ] } - } - }, - "quantity" : [ { - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] }, - "value" : { - "unit" : { - "currency" : { - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/iso4217" - }, - "value" : "EUR" - } - }, - "value" : 99999 + "meta" : { + "globalKey" : "2505dd46" } - } ] - }, { - "meta" : { - "globalKey" : "6d71265e" }, + "meta" : { + "globalKey" : "ed98830f" + } + }, { "price" : [ { - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-1" - } ] - }, "value" : { + "value" : 0.06, "unit" : { "currency" : { + "value" : "EUR", "meta" : { "scheme" : "http://www.fpml.org/coding-scheme/external/iso4217" - }, - "value" : "EUR" + } } }, - "value" : 0.06, "perUnitOf" : { "currency" : { + "value" : "EUR", "meta" : { "scheme" : "http://www.fpml.org/coding-scheme/external/iso4217" - }, - "value" : "EUR" + } } }, - "priceType" : "INTEREST_RATE" - } - } ], - "quantity" : [ { + "priceType" : "InterestRate" + }, "meta" : { "location" : [ { "scope" : "DOCUMENT", - "value" : "quantity-2" + "value" : "price-1" } ] - }, + } + } ], + "quantity" : [ { "value" : { + "value" : 99999, "unit" : { "currency" : { + "value" : "EUR", "meta" : { "scheme" : "http://www.fpml.org/coding-scheme/external/iso4217" - }, - "value" : "EUR" + } } - }, - "value" : 99999 + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } ] } - } ] + } ], + "meta" : { + "globalKey" : "40b3a562" + } } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "9495a03c", + "externalReference" : "party1" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "ca05a501", + "externalReference" : "party2" + } } ] }, - "tradeDate" : { - "meta" : { - "globalKey" : "3e530c" - }, - "value" : "1994-12-12" - }, - "tradeIdentifier" : [ { - "assignedIdentifier" : [ { + "party" : [ { + "partyId" : [ { "identifier" : { + "value" : "PARTYAUS33", "meta" : { - "scheme" : "http://www.barclays.com/swaps/trade-id" - }, - "value" : "SW2000" + "scheme" : "http://www.fpml.org/coding-scheme/external/iso9362" + } }, - "version" : 1 + "identifierType" : "BIC", + "meta" : { + "globalKey" : "3d5ebc15" + } } ], - "issuerReference" : { - "externalReference" : "party2", - "globalReference" : "ca05a501" + "name" : { + "value" : "Party A" }, "meta" : { - "globalKey" : "fc2ee432" + "globalKey" : "9495a03c", + "externalKey" : "party1" + } + }, { + "partyId" : [ { + "identifier" : { + "value" : "BARCGB2L", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/iso9362" + } + }, + "identifierType" : "BIC", + "meta" : { + "globalKey" : "ca05a501" + } + } ], + "meta" : { + "globalKey" : "ca05a501", + "externalKey" : "party2" } - } ] + } ], + "meta" : { + "globalKey" : "58b08a6f" + } + }, + "state" : { + "positionState" : "Executed" + }, + "meta" : { + "globalKey" : "9723923e" } } ], - "eventQualifier" : "Execution", "meta" : { - "globalKey" : "7274cf2b" + "globalKey" : "e3d2ae1b" } }, + "messageInformation" : { + "messageId" : { + "value" : "msg-1" + } + }, + "timestamp" : [ { + "dateTime" : "1994-12-12T18:12:00Z", + "qualification" : "eventCreationDateTime" + } ], "eventIdentifier" : [ { "assignedIdentifier" : [ { "identifier" : { @@ -1087,58 +1095,61 @@ "globalKey" : "3137ff" } } ], - "messageInformation" : { - "messageId" : { - "value" : "msg-1" - } - }, - "meta" : { - "globalKey" : "75bcdcc" - }, + "action" : "New", "party" : [ { - "meta" : { - "externalKey" : "party2", - "globalKey" : "ca05a501" - }, "partyId" : [ { "identifier" : { + "value" : "BARCGB2L", "meta" : { "scheme" : "http://www.fpml.org/coding-scheme/external/iso9362" - }, - "value" : "BARCGB2L" + } }, "identifierType" : "BIC", "meta" : { "globalKey" : "ca05a501" } - } ] - }, { + } ], "meta" : { - "externalKey" : "party1", - "globalKey" : "a82d45fc" - }, - "name" : { - "value" : "Party A" - }, + "globalKey" : "ca05a501", + "externalKey" : "party2" + } + }, { "partyId" : [ { "identifier" : { + "value" : "PARTYAUS33", "meta" : { "scheme" : "http://www.fpml.org/coding-scheme/external/iso9362" - }, - "value" : "PARTYAUS33" + } }, "identifierType" : "BIC", "meta" : { "globalKey" : "3d5ebc15" } - } ] + } ], + "name" : { + "value" : "Party A" + }, + "meta" : { + "globalKey" : "9495a03c", + "externalKey" : "party1" + } } ], - "timestamp" : [ { - "dateTime" : "1994-12-12T18:12:00Z", - "qualification" : "EVENT_CREATION_DATE_TIME" - } ] + "meta" : { + "globalKey" : "778a2256" + } }, { - "action" : "CANCEL", + "previousWorkflowStep" : { + "globalReference" : "778a2256" + }, + "messageInformation" : { + "messageId" : { + "value" : "msg-2" + } + }, + "timestamp" : [ { + "dateTime" : "1994-12-12T18:55:00Z", + "qualification" : "eventCreationDateTime" + } ], "eventIdentifier" : [ { "assignedIdentifier" : [ { "identifier" : { @@ -1149,179 +1160,16 @@ "globalKey" : "313800" } } ], - "messageInformation" : { - "messageId" : { - "value" : "msg-2" - } - }, + "action" : "Cancel", "meta" : { - "globalKey" : "c092fde8" - }, - "previousWorkflowStep" : { - "globalReference" : "75bcdcc" - }, - "timestamp" : [ { - "dateTime" : "1994-12-12T18:55:00Z", - "qualification" : "EVENT_CREATION_DATE_TIME" - } ] + "globalKey" : "1f98425c" + } }, { - "action" : "NEW", "businessEvent" : { "eventDate" : "1994-12-12", "instruction" : [ { "primitiveInstruction" : { "execution" : { - "counterparty" : [ { - "partyReference" : { - "externalReference" : "party1", - "globalReference" : "a82d45fc" - }, - "role" : "PARTY_1" - }, { - "partyReference" : { - "externalReference" : "party2", - "globalReference" : "ca05a501" - }, - "role" : "PARTY_2" - } ], - "parties" : [ { - "meta" : { - "externalKey" : "party1", - "globalKey" : "a82d45fc" - }, - "name" : { - "value" : "Party A" - }, - "partyId" : [ { - "identifier" : { - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/iso9362" - }, - "value" : "PARTYAUS33" - }, - "identifierType" : "BIC", - "meta" : { - "globalKey" : "3d5ebc15" - } - } ] - }, { - "meta" : { - "externalKey" : "party2", - "globalKey" : "ca05a501" - }, - "partyId" : [ { - "identifier" : { - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/iso9362" - }, - "value" : "BARCGB2L" - }, - "identifierType" : "BIC", - "meta" : { - "globalKey" : "ca05a501" - } - } ] - } ], - "priceQuantity" : [ { - "meta" : { - "globalKey" : "3ce21b9b" - }, - "observable" : { - "meta" : { - "globalKey" : "53c66a4c" - }, - "rateOption" : { - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "rateOption-1" - } ] - }, - "value" : { - "floatingRateIndex" : { - "value" : "EUR-LIBOR-BBA" - }, - "indexTenor" : { - "meta" : { - "globalKey" : "959" - }, - "period" : "M", - "periodMultiplier" : 6 - } - } - } - }, - "quantity" : [ { - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] - }, - "value" : { - "unit" : { - "currency" : { - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/iso4217" - }, - "value" : "EUR" - } - }, - "value" : 50000000.00 - } - } ] - }, { - "meta" : { - "globalKey" : "4882fcbc" - }, - "price" : [ { - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-1" - } ] - }, - "value" : { - "unit" : { - "currency" : { - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/iso4217" - }, - "value" : "EUR" - } - }, - "value" : 0.06, - "perUnitOf" : { - "currency" : { - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/iso4217" - }, - "value" : "EUR" - } - }, - "priceType" : "INTEREST_RATE" - } - } ], - "quantity" : [ { - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } ] - }, - "value" : { - "unit" : { - "currency" : { - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/iso4217" - }, - "value" : "EUR" - } - }, - "value" : 50000000.00 - } - } ] - } ], "product" : { "contractualProduct" : { "productTaxonomy" : [ { @@ -1332,46 +1180,40 @@ "payout" : { "interestRatePayout" : [ { "payerReceiver" : { - "payer" : "PARTY_1", - "receiver" : "PARTY_2" + "payer" : "Party1", + "receiver" : "Party2" }, "priceQuantity" : { - "meta" : { - "globalKey" : "0" - }, "quantitySchedule" : { "address" : { "scope" : "DOCUMENT", "value" : "quantity-1" } + }, + "meta" : { + "globalKey" : "0" } }, - "calculationPeriodDates" : { - "calculationPeriodDatesAdjustments" : { - "businessCenters" : { - "businessCentersReference" : { - "externalReference" : "primaryBusinessCenters", - "globalReference" : "1ff50d" - }, - "meta" : { - "globalKey" : "da36cf11" + "rateSpecification" : { + "floatingRate" : { + "rateOption" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "rateOption-1" } }, - "businessDayConvention" : "MODFOLLOWING", "meta" : { - "globalKey" : "b7d7eda0" + "globalKey" : "0" } - }, - "calculationPeriodFrequency" : { - "meta" : { - "globalKey" : "28c89" - }, - "period" : "M", - "periodMultiplier" : 6, - "rollConvention" : "14" - }, + } + }, + "dayCountFraction" : { + "value" : "ACT/360" + }, + "calculationPeriodDates" : { "effectiveDate" : { "adjustableDate" : { + "unadjustedDate" : "1994-12-14", "dateAdjustments" : { "businessDayConvention" : "NONE", "meta" : { @@ -1380,103 +1222,108 @@ }, "meta" : { "globalKey" : "ea1a6ec6" - }, - "unadjustedDate" : "1994-12-14" + } }, "meta" : { "globalKey" : "ea1a6ec6" } }, - "meta" : { - "externalKey" : "floatingCalcPeriodDates", - "globalKey" : "a54e5fcd" - }, "terminationDate" : { "adjustableDate" : { + "unadjustedDate" : "1999-12-14", "dateAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", "businessCenters" : { "businessCenter" : [ { "value" : "DEFR" } ], "meta" : { - "externalKey" : "primaryBusinessCenters", - "globalKey" : "1ff50d" + "globalKey" : "1ff50d", + "externalKey" : "primaryBusinessCenters" } }, - "businessDayConvention" : "MODFOLLOWING", "meta" : { "globalKey" : "365af8de" } }, "meta" : { "globalKey" : "a8d53690" - }, - "unadjustedDate" : "1999-12-14" + } }, "meta" : { "globalKey" : "a8d53690" } - } - }, - "dayCountFraction" : { - "value" : "ACT/360" - }, - "meta" : { - "globalKey" : "4443c8bb" - }, - "paymentDates" : { - "meta" : { - "globalKey" : "8c0b539f" }, - "payRelativeTo" : "CALCULATION_PERIOD_END_DATE", - "paymentDatesAdjustments" : { + "calculationPeriodDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", "businessCenters" : { "businessCentersReference" : { - "externalReference" : "primaryBusinessCenters", - "globalReference" : "1ff50d" + "globalReference" : "1ff50d", + "externalReference" : "primaryBusinessCenters" }, "meta" : { "globalKey" : "da36cf11" } }, - "businessDayConvention" : "MODFOLLOWING", "meta" : { "globalKey" : "b7d7eda0" } }, - "paymentFrequency" : { + "calculationPeriodFrequency" : { + "periodMultiplier" : 6, + "period" : "M", "meta" : { - "globalKey" : "959" + "globalKey" : "18a9b" }, - "period" : "M", - "periodMultiplier" : 6 + "rollConvention" : "14" + }, + "meta" : { + "globalKey" : "3836d691", + "externalKey" : "floatingCalcPeriodDates" } }, - "rateSpecification" : { - "floatingRate" : { + "paymentDates" : { + "paymentFrequency" : { + "periodMultiplier" : 6, + "period" : "M", "meta" : { - "globalKey" : "0" - }, - "rateOption" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "rateOption-1" + "globalKey" : "107" + } + }, + "payRelativeTo" : "CalculationPeriodEndDate", + "paymentDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCentersReference" : { + "globalReference" : "1ff50d", + "externalReference" : "primaryBusinessCenters" + }, + "meta" : { + "globalKey" : "da36cf11" } + }, + "meta" : { + "globalKey" : "b7d7eda0" } + }, + "meta" : { + "globalKey" : "8563938d" } }, "resetDates" : { "calculationPeriodDatesReference" : { - "externalReference" : "floatingCalcPeriodDates", - "globalReference" : "a54e5fcd" + "globalReference" : "3836d691", + "externalReference" : "floatingCalcPeriodDates" }, + "resetRelativeTo" : "CalculationPeriodStartDate", "fixingDates" : { + "periodMultiplier" : -2, + "period" : "D", "meta" : { - "globalKey" : "131ae8a2" + "globalKey" : "eff6d356" }, - "period" : "D", - "periodMultiplier" : -2, - "dayType" : "BUSINESS", + "dayType" : "Business", + "businessDayConvention" : "NONE", "businessCenters" : { "businessCenter" : [ { "value" : "GBLO" @@ -1485,82 +1332,79 @@ "globalKey" : "21479e" } }, - "businessDayConvention" : "NONE", "dateRelativeTo" : { - "externalReference" : "resetDates", - "globalReference" : "d533d3ee" + "globalReference" : "25625c64", + "externalReference" : "resetDates" } }, - "meta" : { - "externalKey" : "resetDates", - "globalKey" : "d533d3ee" + "resetFrequency" : { + "periodMultiplier" : 6, + "period" : "M", + "meta" : { + "globalKey" : "107" + } }, "resetDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", "businessCenters" : { "businessCentersReference" : { - "externalReference" : "primaryBusinessCenters", - "globalReference" : "1ff50d" + "globalReference" : "1ff50d", + "externalReference" : "primaryBusinessCenters" }, "meta" : { "globalKey" : "da36cf11" } }, - "businessDayConvention" : "MODFOLLOWING", "meta" : { "globalKey" : "b7d7eda0" } }, - "resetFrequency" : { - "meta" : { - "globalKey" : "959" - }, - "period" : "M", - "periodMultiplier" : 6 - }, - "resetRelativeTo" : "CALCULATION_PERIOD_START_DATE" + "meta" : { + "globalKey" : "25625c64", + "externalKey" : "resetDates" + } + }, + "meta" : { + "globalKey" : "56791807" } }, { "payerReceiver" : { - "payer" : "PARTY_2", - "receiver" : "PARTY_1" + "payer" : "Party2", + "receiver" : "Party1" }, "priceQuantity" : { - "meta" : { - "globalKey" : "0" - }, "quantitySchedule" : { "address" : { "scope" : "DOCUMENT", "value" : "quantity-2" } + }, + "meta" : { + "globalKey" : "0" } }, - "calculationPeriodDates" : { - "calculationPeriodDatesAdjustments" : { - "businessCenters" : { - "businessCentersReference" : { - "externalReference" : "primaryBusinessCenters", - "globalReference" : "1ff50d" - }, - "meta" : { - "globalKey" : "da36cf11" + "rateSpecification" : { + "fixedRate" : { + "rateSchedule" : { + "price" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "price-1" + } } }, - "businessDayConvention" : "MODFOLLOWING", "meta" : { - "globalKey" : "b7d7eda0" + "globalKey" : "0" } - }, - "calculationPeriodFrequency" : { - "meta" : { - "globalKey" : "2b8fa" - }, - "period" : "Y", - "periodMultiplier" : 1, - "rollConvention" : "14" - }, + } + }, + "dayCountFraction" : { + "value" : "30E/360" + }, + "calculationPeriodDates" : { "effectiveDate" : { "adjustableDate" : { + "unadjustedDate" : "1994-12-14", "dateAdjustments" : { "businessDayConvention" : "NONE", "meta" : { @@ -1569,197 +1413,317 @@ }, "meta" : { "globalKey" : "ea1a6ec6" - }, - "unadjustedDate" : "1994-12-14" + } }, "meta" : { "globalKey" : "ea1a6ec6" } }, - "meta" : { - "externalKey" : "fixedCalcPeriodDates", - "globalKey" : "fbf296c2" - }, "terminationDate" : { "adjustableDate" : { + "unadjustedDate" : "1999-12-14", "dateAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", "businessCenters" : { "businessCentersReference" : { - "externalReference" : "primaryBusinessCenters", - "globalReference" : "1ff50d" + "globalReference" : "1ff50d", + "externalReference" : "primaryBusinessCenters" }, "meta" : { "globalKey" : "da36cf11" } }, - "businessDayConvention" : "MODFOLLOWING", "meta" : { "globalKey" : "b7d7eda0" } }, "meta" : { "globalKey" : "97297aae" - }, - "unadjustedDate" : "1999-12-14" + } }, "meta" : { "globalKey" : "97297aae" } - } - }, - "dayCountFraction" : { - "value" : "30E/360" - }, - "meta" : { - "globalKey" : "8b5a674a" - }, - "paymentDates" : { - "meta" : { - "globalKey" : "8c0b550e" }, - "payRelativeTo" : "CALCULATION_PERIOD_END_DATE", - "paymentDatesAdjustments" : { + "calculationPeriodDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", "businessCenters" : { "businessCentersReference" : { - "externalReference" : "primaryBusinessCenters", - "globalReference" : "1ff50d" + "globalReference" : "1ff50d", + "externalReference" : "primaryBusinessCenters" }, "meta" : { "globalKey" : "da36cf11" } }, - "businessDayConvention" : "MODFOLLOWING", "meta" : { "globalKey" : "b7d7eda0" } }, - "paymentFrequency" : { + "calculationPeriodFrequency" : { + "periodMultiplier" : 1, + "period" : "Y", "meta" : { - "globalKey" : "ac8" + "globalKey" : "1794a" }, - "period" : "Y", - "periodMultiplier" : 1 + "rollConvention" : "14" + }, + "meta" : { + "globalKey" : "a5f8cf12", + "externalKey" : "fixedCalcPeriodDates" } }, - "rateSpecification" : { - "fixedRate" : { + "paymentDates" : { + "paymentFrequency" : { + "periodMultiplier" : 1, + "period" : "Y", "meta" : { - "globalKey" : "0" - }, - "rateSchedule" : { - "price" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "price-1" - } + "globalKey" : "78" + } + }, + "payRelativeTo" : "CalculationPeriodEndDate", + "paymentDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCentersReference" : { + "globalReference" : "1ff50d", + "externalReference" : "primaryBusinessCenters" + }, + "meta" : { + "globalKey" : "da36cf11" } + }, + "meta" : { + "globalKey" : "b7d7eda0" } + }, + "meta" : { + "globalKey" : "b32991fe" } + }, + "meta" : { + "globalKey" : "3703de42" + } + } ], + "meta" : { + "globalKey" : "a74ffedb" + } + } + }, + "meta" : { + "globalKey" : "4be6f88c" + } + }, + "meta" : { + "globalKey" : "4be6f88c" + } + }, + "priceQuantity" : [ { + "quantity" : [ { + "value" : { + "value" : 50000000.00, + "unit" : { + "currency" : { + "value" : "EUR", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/iso4217" + } + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] + } + } ], + "observable" : { + "rateOption" : { + "value" : { + "floatingRateIndex" : { + "value" : "EUR-LIBOR-BBA" + }, + "indexTenor" : { + "periodMultiplier" : 6, + "period" : "M", + "meta" : { + "globalKey" : "107" + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "rateOption-1" + } ] + } + }, + "meta" : { + "globalKey" : "2505dd46" + } + }, + "meta" : { + "globalKey" : "c0d07bed" + } + }, { + "price" : [ { + "value" : { + "value" : 0.06, + "unit" : { + "currency" : { + "value" : "EUR", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/iso4217" + } + } + }, + "perUnitOf" : { + "currency" : { + "value" : "EUR", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/iso4217" + } + } + }, + "priceType" : "InterestRate" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-1" + } ] + } + } ], + "quantity" : [ { + "value" : { + "value" : 50000000.00, + "unit" : { + "currency" : { + "value" : "EUR", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/iso4217" } - } ], - "meta" : { - "globalKey" : "e40a62af" } } }, "meta" : { - "globalKey" : "88a15c60" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } ] + } + } ], + "meta" : { + "globalKey" : "c7dc9ac4" + } + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "9495a03c", + "externalReference" : "party1" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "ca05a501", + "externalReference" : "party2" + } + } ], + "parties" : [ { + "partyId" : [ { + "identifier" : { + "value" : "PARTYAUS33", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/iso9362" + } + }, + "identifierType" : "BIC", + "meta" : { + "globalKey" : "3d5ebc15" } + } ], + "name" : { + "value" : "Party A" }, "meta" : { - "globalKey" : "88a15c60" + "globalKey" : "9495a03c", + "externalKey" : "party1" } - }, + }, { + "partyId" : [ { + "identifier" : { + "value" : "BARCGB2L", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/iso9362" + } + }, + "identifierType" : "BIC", + "meta" : { + "globalKey" : "ca05a501" + } + } ], + "meta" : { + "globalKey" : "ca05a501", + "externalKey" : "party2" + } + } ], "tradeDate" : { + "value" : "1994-12-12", "meta" : { "globalKey" : "3e530c" - }, - "value" : "1994-12-12" + } }, "tradeIdentifier" : [ { + "issuerReference" : { + "globalReference" : "ca05a501", + "externalReference" : "party2" + }, "assignedIdentifier" : [ { "identifier" : { + "value" : "SW2000", "meta" : { "scheme" : "http://www.barclays.com/swaps/trade-id" - }, - "value" : "SW2000" + } }, "version" : 1 } ], - "issuerReference" : { - "externalReference" : "party2", - "globalReference" : "ca05a501" - }, "meta" : { - "globalKey" : "fc2ee432" + "globalKey" : "958d38d8" } } ] } } } ], + "eventQualifier" : "Execution", "after" : [ { - "meta" : { - "globalKey" : "74748122" - }, - "state" : { - "positionState" : "EXECUTED" - }, "trade" : { - "meta" : { - "globalKey" : "41b6d4d1" - }, - "party" : [ { - "meta" : { - "externalKey" : "party1", - "globalKey" : "a82d45fc" - }, - "name" : { - "value" : "Party A" + "tradeIdentifier" : [ { + "issuerReference" : { + "globalReference" : "ca05a501", + "externalReference" : "party2" }, - "partyId" : [ { + "assignedIdentifier" : [ { "identifier" : { + "value" : "SW2000", "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/iso9362" - }, - "value" : "PARTYAUS33" + "scheme" : "http://www.barclays.com/swaps/trade-id" + } }, - "identifierType" : "BIC", - "meta" : { - "globalKey" : "3d5ebc15" - } - } ] - }, { + "version" : 1 + } ], "meta" : { - "externalKey" : "party2", - "globalKey" : "ca05a501" - }, - "partyId" : [ { - "identifier" : { - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/iso9362" - }, - "value" : "BARCGB2L" - }, - "identifierType" : "BIC", - "meta" : { - "globalKey" : "ca05a501" - } - } ] + "globalKey" : "958d38d8" + } } ], + "tradeDate" : { + "value" : "1994-12-12", + "meta" : { + "globalKey" : "3e530c" + } + }, "tradableProduct" : { - "counterparty" : [ { - "partyReference" : { - "externalReference" : "party1", - "globalReference" : "a82d45fc" - }, - "role" : "PARTY_1" - }, { - "partyReference" : { - "externalReference" : "party2", - "globalReference" : "ca05a501" - }, - "role" : "PARTY_2" - } ], "product" : { "contractualProduct" : { "productTaxonomy" : [ { @@ -1770,46 +1734,40 @@ "payout" : { "interestRatePayout" : [ { "payerReceiver" : { - "payer" : "PARTY_1", - "receiver" : "PARTY_2" + "payer" : "Party1", + "receiver" : "Party2" }, "priceQuantity" : { - "meta" : { - "globalKey" : "0" - }, "quantitySchedule" : { "address" : { "scope" : "DOCUMENT", "value" : "quantity-1" } + }, + "meta" : { + "globalKey" : "0" } }, - "calculationPeriodDates" : { - "calculationPeriodDatesAdjustments" : { - "businessCenters" : { - "businessCentersReference" : { - "externalReference" : "primaryBusinessCenters", - "globalReference" : "1ff50d" - }, - "meta" : { - "globalKey" : "da36cf11" + "rateSpecification" : { + "floatingRate" : { + "rateOption" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "rateOption-1" } }, - "businessDayConvention" : "MODFOLLOWING", "meta" : { - "globalKey" : "b7d7eda0" + "globalKey" : "0" } - }, - "calculationPeriodFrequency" : { - "meta" : { - "globalKey" : "28c89" - }, - "period" : "M", - "periodMultiplier" : 6, - "rollConvention" : "14" - }, + } + }, + "dayCountFraction" : { + "value" : "ACT/360" + }, + "calculationPeriodDates" : { "effectiveDate" : { "adjustableDate" : { + "unadjustedDate" : "1994-12-14", "dateAdjustments" : { "businessDayConvention" : "NONE", "meta" : { @@ -1818,103 +1776,108 @@ }, "meta" : { "globalKey" : "ea1a6ec6" - }, - "unadjustedDate" : "1994-12-14" + } }, "meta" : { "globalKey" : "ea1a6ec6" } }, - "meta" : { - "externalKey" : "floatingCalcPeriodDates", - "globalKey" : "a54e5fcd" - }, "terminationDate" : { "adjustableDate" : { + "unadjustedDate" : "1999-12-14", "dateAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", "businessCenters" : { "businessCenter" : [ { "value" : "DEFR" } ], "meta" : { - "externalKey" : "primaryBusinessCenters", - "globalKey" : "1ff50d" + "globalKey" : "1ff50d", + "externalKey" : "primaryBusinessCenters" } }, - "businessDayConvention" : "MODFOLLOWING", "meta" : { "globalKey" : "365af8de" } }, "meta" : { "globalKey" : "a8d53690" - }, - "unadjustedDate" : "1999-12-14" + } }, "meta" : { "globalKey" : "a8d53690" } - } - }, - "dayCountFraction" : { - "value" : "ACT/360" - }, - "meta" : { - "globalKey" : "4443c8bb" - }, - "paymentDates" : { - "meta" : { - "globalKey" : "8c0b539f" }, - "payRelativeTo" : "CALCULATION_PERIOD_END_DATE", - "paymentDatesAdjustments" : { + "calculationPeriodDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", "businessCenters" : { "businessCentersReference" : { - "externalReference" : "primaryBusinessCenters", - "globalReference" : "1ff50d" + "globalReference" : "1ff50d", + "externalReference" : "primaryBusinessCenters" }, "meta" : { "globalKey" : "da36cf11" } }, - "businessDayConvention" : "MODFOLLOWING", "meta" : { "globalKey" : "b7d7eda0" } }, - "paymentFrequency" : { + "calculationPeriodFrequency" : { + "periodMultiplier" : 6, + "period" : "M", "meta" : { - "globalKey" : "959" + "globalKey" : "18a9b" }, - "period" : "M", - "periodMultiplier" : 6 + "rollConvention" : "14" + }, + "meta" : { + "globalKey" : "3836d691", + "externalKey" : "floatingCalcPeriodDates" } }, - "rateSpecification" : { - "floatingRate" : { + "paymentDates" : { + "paymentFrequency" : { + "periodMultiplier" : 6, + "period" : "M", "meta" : { - "globalKey" : "0" - }, - "rateOption" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "rateOption-1" + "globalKey" : "107" + } + }, + "payRelativeTo" : "CalculationPeriodEndDate", + "paymentDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCentersReference" : { + "globalReference" : "1ff50d", + "externalReference" : "primaryBusinessCenters" + }, + "meta" : { + "globalKey" : "da36cf11" } + }, + "meta" : { + "globalKey" : "b7d7eda0" } + }, + "meta" : { + "globalKey" : "8563938d" } }, "resetDates" : { "calculationPeriodDatesReference" : { - "externalReference" : "floatingCalcPeriodDates", - "globalReference" : "a54e5fcd" + "globalReference" : "3836d691", + "externalReference" : "floatingCalcPeriodDates" }, + "resetRelativeTo" : "CalculationPeriodStartDate", "fixingDates" : { + "periodMultiplier" : -2, + "period" : "D", "meta" : { - "globalKey" : "131ae8a2" + "globalKey" : "eff6d356" }, - "period" : "D", - "periodMultiplier" : -2, - "dayType" : "BUSINESS", + "dayType" : "Business", + "businessDayConvention" : "NONE", "businessCenters" : { "businessCenter" : [ { "value" : "GBLO" @@ -1923,82 +1886,79 @@ "globalKey" : "21479e" } }, - "businessDayConvention" : "NONE", "dateRelativeTo" : { - "externalReference" : "resetDates", - "globalReference" : "d533d3ee" + "globalReference" : "25625c64", + "externalReference" : "resetDates" } }, - "meta" : { - "externalKey" : "resetDates", - "globalKey" : "d533d3ee" + "resetFrequency" : { + "periodMultiplier" : 6, + "period" : "M", + "meta" : { + "globalKey" : "107" + } }, "resetDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", "businessCenters" : { "businessCentersReference" : { - "externalReference" : "primaryBusinessCenters", - "globalReference" : "1ff50d" + "globalReference" : "1ff50d", + "externalReference" : "primaryBusinessCenters" }, "meta" : { "globalKey" : "da36cf11" } }, - "businessDayConvention" : "MODFOLLOWING", "meta" : { "globalKey" : "b7d7eda0" } }, - "resetFrequency" : { - "meta" : { - "globalKey" : "959" - }, - "period" : "M", - "periodMultiplier" : 6 - }, - "resetRelativeTo" : "CALCULATION_PERIOD_START_DATE" + "meta" : { + "globalKey" : "25625c64", + "externalKey" : "resetDates" + } + }, + "meta" : { + "globalKey" : "56791807" } }, { "payerReceiver" : { - "payer" : "PARTY_2", - "receiver" : "PARTY_1" + "payer" : "Party2", + "receiver" : "Party1" }, "priceQuantity" : { - "meta" : { - "globalKey" : "0" - }, "quantitySchedule" : { "address" : { "scope" : "DOCUMENT", "value" : "quantity-2" } + }, + "meta" : { + "globalKey" : "0" } }, - "calculationPeriodDates" : { - "calculationPeriodDatesAdjustments" : { - "businessCenters" : { - "businessCentersReference" : { - "externalReference" : "primaryBusinessCenters", - "globalReference" : "1ff50d" - }, - "meta" : { - "globalKey" : "da36cf11" - } - }, - "businessDayConvention" : "MODFOLLOWING", - "meta" : { - "globalKey" : "b7d7eda0" - } - }, - "calculationPeriodFrequency" : { - "meta" : { - "globalKey" : "2b8fa" + "rateSpecification" : { + "fixedRate" : { + "rateSchedule" : { + "price" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "price-1" + } + } }, - "period" : "Y", - "periodMultiplier" : 1, - "rollConvention" : "14" - }, + "meta" : { + "globalKey" : "0" + } + } + }, + "dayCountFraction" : { + "value" : "30E/360" + }, + "calculationPeriodDates" : { "effectiveDate" : { "adjustableDate" : { + "unadjustedDate" : "1994-12-14", "dateAdjustments" : { "businessDayConvention" : "NONE", "meta" : { @@ -2007,241 +1967,289 @@ }, "meta" : { "globalKey" : "ea1a6ec6" - }, - "unadjustedDate" : "1994-12-14" + } }, "meta" : { "globalKey" : "ea1a6ec6" } }, - "meta" : { - "externalKey" : "fixedCalcPeriodDates", - "globalKey" : "fbf296c2" - }, "terminationDate" : { "adjustableDate" : { + "unadjustedDate" : "1999-12-14", "dateAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", "businessCenters" : { "businessCentersReference" : { - "externalReference" : "primaryBusinessCenters", - "globalReference" : "1ff50d" + "globalReference" : "1ff50d", + "externalReference" : "primaryBusinessCenters" }, "meta" : { "globalKey" : "da36cf11" } }, - "businessDayConvention" : "MODFOLLOWING", "meta" : { "globalKey" : "b7d7eda0" } }, "meta" : { "globalKey" : "97297aae" - }, - "unadjustedDate" : "1999-12-14" + } }, "meta" : { "globalKey" : "97297aae" } - } - }, - "dayCountFraction" : { - "value" : "30E/360" - }, - "meta" : { - "globalKey" : "8b5a674a" - }, - "paymentDates" : { - "meta" : { - "globalKey" : "8c0b550e" }, - "payRelativeTo" : "CALCULATION_PERIOD_END_DATE", - "paymentDatesAdjustments" : { + "calculationPeriodDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", "businessCenters" : { "businessCentersReference" : { - "externalReference" : "primaryBusinessCenters", - "globalReference" : "1ff50d" + "globalReference" : "1ff50d", + "externalReference" : "primaryBusinessCenters" }, "meta" : { "globalKey" : "da36cf11" } }, - "businessDayConvention" : "MODFOLLOWING", "meta" : { "globalKey" : "b7d7eda0" } }, - "paymentFrequency" : { + "calculationPeriodFrequency" : { + "periodMultiplier" : 1, + "period" : "Y", "meta" : { - "globalKey" : "ac8" + "globalKey" : "1794a" }, - "period" : "Y", - "periodMultiplier" : 1 + "rollConvention" : "14" + }, + "meta" : { + "globalKey" : "a5f8cf12", + "externalKey" : "fixedCalcPeriodDates" } }, - "rateSpecification" : { - "fixedRate" : { + "paymentDates" : { + "paymentFrequency" : { + "periodMultiplier" : 1, + "period" : "Y", "meta" : { - "globalKey" : "0" - }, - "rateSchedule" : { - "price" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "price-1" - } + "globalKey" : "78" + } + }, + "payRelativeTo" : "CalculationPeriodEndDate", + "paymentDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCentersReference" : { + "globalReference" : "1ff50d", + "externalReference" : "primaryBusinessCenters" + }, + "meta" : { + "globalKey" : "da36cf11" } + }, + "meta" : { + "globalKey" : "b7d7eda0" } + }, + "meta" : { + "globalKey" : "b32991fe" } + }, + "meta" : { + "globalKey" : "3703de42" } } ], "meta" : { - "globalKey" : "e40a62af" + "globalKey" : "a74ffedb" } } }, "meta" : { - "globalKey" : "88a15c60" + "globalKey" : "4be6f88c" } }, "meta" : { - "globalKey" : "88a15c60" + "globalKey" : "4be6f88c" } }, "tradeLot" : [ { "priceQuantity" : [ { - "meta" : { - "globalKey" : "3ce21b9b" - }, - "observable" : { - "meta" : { - "globalKey" : "53c66a4c" - }, - "rateOption" : { - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "rateOption-1" - } ] - }, - "value" : { - "floatingRateIndex" : { - "value" : "EUR-LIBOR-BBA" - }, - "indexTenor" : { + "quantity" : [ { + "value" : { + "value" : 50000000.00, + "unit" : { + "currency" : { + "value" : "EUR", "meta" : { - "globalKey" : "959" - }, - "period" : "M", - "periodMultiplier" : 6 + "scheme" : "http://www.fpml.org/coding-scheme/external/iso4217" + } } } - } - }, - "quantity" : [ { + }, "meta" : { "location" : [ { "scope" : "DOCUMENT", "value" : "quantity-1" } ] - }, - "value" : { - "unit" : { - "currency" : { + } + } ], + "observable" : { + "rateOption" : { + "value" : { + "floatingRateIndex" : { + "value" : "EUR-LIBOR-BBA" + }, + "indexTenor" : { + "periodMultiplier" : 6, + "period" : "M", "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/iso4217" - }, - "value" : "EUR" + "globalKey" : "107" + } } }, - "value" : 50000000.00 + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "rateOption-1" + } ] + } + }, + "meta" : { + "globalKey" : "2505dd46" } - } ] - }, { - "meta" : { - "globalKey" : "4882fcbc" }, + "meta" : { + "globalKey" : "c0d07bed" + } + }, { "price" : [ { - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-1" - } ] - }, "value" : { + "value" : 0.06, "unit" : { "currency" : { + "value" : "EUR", "meta" : { "scheme" : "http://www.fpml.org/coding-scheme/external/iso4217" - }, - "value" : "EUR" + } } }, - "value" : 0.06, "perUnitOf" : { "currency" : { + "value" : "EUR", "meta" : { "scheme" : "http://www.fpml.org/coding-scheme/external/iso4217" - }, - "value" : "EUR" + } } }, - "priceType" : "INTEREST_RATE" - } - } ], - "quantity" : [ { + "priceType" : "InterestRate" + }, "meta" : { "location" : [ { "scope" : "DOCUMENT", - "value" : "quantity-2" + "value" : "price-1" } ] - }, + } + } ], + "quantity" : [ { "value" : { + "value" : 50000000.00, "unit" : { "currency" : { + "value" : "EUR", "meta" : { "scheme" : "http://www.fpml.org/coding-scheme/external/iso4217" - }, - "value" : "EUR" + } } - }, - "value" : 50000000.00 + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } ] } - } ] + } ], + "meta" : { + "globalKey" : "c7dc9ac4" + } } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "9495a03c", + "externalReference" : "party1" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "ca05a501", + "externalReference" : "party2" + } } ] }, - "tradeDate" : { - "meta" : { - "globalKey" : "3e530c" - }, - "value" : "1994-12-12" - }, - "tradeIdentifier" : [ { - "assignedIdentifier" : [ { + "party" : [ { + "partyId" : [ { "identifier" : { + "value" : "PARTYAUS33", "meta" : { - "scheme" : "http://www.barclays.com/swaps/trade-id" - }, - "value" : "SW2000" + "scheme" : "http://www.fpml.org/coding-scheme/external/iso9362" + } }, - "version" : 1 + "identifierType" : "BIC", + "meta" : { + "globalKey" : "3d5ebc15" + } } ], - "issuerReference" : { - "externalReference" : "party2", - "globalReference" : "ca05a501" + "name" : { + "value" : "Party A" }, "meta" : { - "globalKey" : "fc2ee432" + "globalKey" : "9495a03c", + "externalKey" : "party1" + } + }, { + "partyId" : [ { + "identifier" : { + "value" : "BARCGB2L", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/iso9362" + } + }, + "identifierType" : "BIC", + "meta" : { + "globalKey" : "ca05a501" + } + } ], + "meta" : { + "globalKey" : "ca05a501", + "externalKey" : "party2" } - } ] + } ], + "meta" : { + "globalKey" : "b2493d2f" + } + }, + "state" : { + "positionState" : "Executed" + }, + "meta" : { + "globalKey" : "ed5a94fe" } } ], - "eventQualifier" : "Execution", "meta" : { - "globalKey" : "a5bcedab" + "globalKey" : "b45f561b" + } + }, + "messageInformation" : { + "messageId" : { + "value" : "msg-3" } }, + "timestamp" : [ { + "dateTime" : "1994-12-12T19:13:00Z", + "qualification" : "eventCreationDateTime" + } ], "eventIdentifier" : [ { "assignedIdentifier" : [ { "identifier" : { @@ -2252,55 +2260,47 @@ "globalKey" : "313801" } } ], - "messageInformation" : { - "messageId" : { - "value" : "msg-3" - } - }, - "meta" : { - "globalKey" : "52e5b8c8" - }, + "action" : "New", "party" : [ { - "meta" : { - "externalKey" : "party2", - "globalKey" : "ca05a501" - }, "partyId" : [ { "identifier" : { + "value" : "BARCGB2L", "meta" : { "scheme" : "http://www.fpml.org/coding-scheme/external/iso9362" - }, - "value" : "BARCGB2L" + } }, "identifierType" : "BIC", "meta" : { "globalKey" : "ca05a501" } - } ] - }, { + } ], "meta" : { - "externalKey" : "party1", - "globalKey" : "a82d45fc" - }, - "name" : { - "value" : "Party A" - }, + "globalKey" : "ca05a501", + "externalKey" : "party2" + } + }, { "partyId" : [ { "identifier" : { + "value" : "PARTYAUS33", "meta" : { "scheme" : "http://www.fpml.org/coding-scheme/external/iso9362" - }, - "value" : "PARTYAUS33" + } }, "identifierType" : "BIC", "meta" : { "globalKey" : "3d5ebc15" } - } ] + } ], + "name" : { + "value" : "Party A" + }, + "meta" : { + "globalKey" : "9495a03c", + "externalKey" : "party1" + } } ], - "timestamp" : [ { - "dateTime" : "1994-12-12T19:13:00Z", - "qualification" : "EVENT_CREATION_DATE_TIME" - } ] + "meta" : { + "globalKey" : "1ccfb952" + } } ] } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/cdm-sample-files/functions/workflow-step/correction/correction-func-input.json b/rosetta-source/src/main/resources/cdm-sample-files/functions/workflow-step/correction/correction-func-input.json index 8a47dcf153..bd262104ed 100644 --- a/rosetta-source/src/main/resources/cdm-sample-files/functions/workflow-step/correction/correction-func-input.json +++ b/rosetta-source/src/main/resources/cdm-sample-files/functions/workflow-step/correction/correction-func-input.json @@ -1,162 +1,10 @@ { "steps" : [ { - "action" : "NEW", "businessEvent" : { "eventDate" : "1994-12-12", "instruction" : [ { "primitiveInstruction" : { "execution" : { - "counterparty" : [ { - "partyReference" : { - "externalReference" : "party1", - "globalReference" : "a82d45fc" - }, - "role" : "PARTY_1" - }, { - "partyReference" : { - "externalReference" : "party2", - "globalReference" : "ca05a501" - }, - "role" : "PARTY_2" - } ], - "parties" : [ { - "meta" : { - "externalKey" : "party1", - "globalKey" : "a82d45fc" - }, - "name" : { - "value" : "Party A" - }, - "partyId" : [ { - "identifier" : { - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/iso9362" - }, - "value" : "PARTYAUS33" - }, - "identifierType" : "BIC", - "meta" : { - "globalKey" : "3d5ebc15" - } - } ] - }, { - "meta" : { - "externalKey" : "party2", - "globalKey" : "ca05a501" - }, - "partyId" : [ { - "identifier" : { - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/iso9362" - }, - "value" : "BARCGB2L" - }, - "identifierType" : "BIC", - "meta" : { - "globalKey" : "ca05a501" - } - } ] - } ], - "priceQuantity" : [ { - "meta" : { - "globalKey" : "61d0453d" - }, - "observable" : { - "meta" : { - "globalKey" : "53c66a4c" - }, - "rateOption" : { - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "rateOption-1" - } ] - }, - "value" : { - "floatingRateIndex" : { - "value" : "EUR-LIBOR-BBA" - }, - "indexTenor" : { - "meta" : { - "globalKey" : "959" - }, - "period" : "M", - "periodMultiplier" : 6 - } - } - } - }, - "quantity" : [ { - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] - }, - "value" : { - "unit" : { - "currency" : { - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/iso4217" - }, - "value" : "EUR" - } - }, - "value" : 99999 - } - } ] - }, { - "meta" : { - "globalKey" : "6d71265e" - }, - "price" : [ { - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-1" - } ] - }, - "value" : { - "unit" : { - "currency" : { - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/iso4217" - }, - "value" : "EUR" - } - }, - "value" : 0.06, - "perUnitOf" : { - "currency" : { - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/iso4217" - }, - "value" : "EUR" - } - }, - "priceType" : "INTEREST_RATE" - } - } ], - "quantity" : [ { - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } ] - }, - "value" : { - "unit" : { - "currency" : { - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/iso4217" - }, - "value" : "EUR" - } - }, - "value" : 99999 - } - } ] - } ], "product" : { "contractualProduct" : { "productTaxonomy" : [ { @@ -167,46 +15,40 @@ "payout" : { "interestRatePayout" : [ { "payerReceiver" : { - "payer" : "PARTY_1", - "receiver" : "PARTY_2" + "payer" : "Party1", + "receiver" : "Party2" }, "priceQuantity" : { - "meta" : { - "globalKey" : "0" - }, "quantitySchedule" : { "address" : { "scope" : "DOCUMENT", "value" : "quantity-1" } + }, + "meta" : { + "globalKey" : "0" } }, - "calculationPeriodDates" : { - "calculationPeriodDatesAdjustments" : { - "businessCenters" : { - "businessCentersReference" : { - "externalReference" : "primaryBusinessCenters", - "globalReference" : "1ff50d" - }, - "meta" : { - "globalKey" : "da36cf11" + "rateSpecification" : { + "floatingRate" : { + "rateOption" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "rateOption-1" } }, - "businessDayConvention" : "MODFOLLOWING", "meta" : { - "globalKey" : "b7d7eda0" + "globalKey" : "0" } - }, - "calculationPeriodFrequency" : { - "meta" : { - "globalKey" : "28c89" - }, - "period" : "M", - "periodMultiplier" : 6, - "rollConvention" : "14" - }, + } + }, + "dayCountFraction" : { + "value" : "ACT/360" + }, + "calculationPeriodDates" : { "effectiveDate" : { "adjustableDate" : { + "unadjustedDate" : "1994-12-14", "dateAdjustments" : { "businessDayConvention" : "NONE", "meta" : { @@ -215,103 +57,108 @@ }, "meta" : { "globalKey" : "ea1a6ec6" - }, - "unadjustedDate" : "1994-12-14" + } }, "meta" : { "globalKey" : "ea1a6ec6" } }, - "meta" : { - "externalKey" : "floatingCalcPeriodDates", - "globalKey" : "a54e5fcd" - }, "terminationDate" : { "adjustableDate" : { + "unadjustedDate" : "1999-12-14", "dateAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", "businessCenters" : { "businessCenter" : [ { "value" : "DEFR" } ], "meta" : { - "externalKey" : "primaryBusinessCenters", - "globalKey" : "1ff50d" + "globalKey" : "1ff50d", + "externalKey" : "primaryBusinessCenters" } }, - "businessDayConvention" : "MODFOLLOWING", "meta" : { "globalKey" : "365af8de" } }, "meta" : { "globalKey" : "a8d53690" - }, - "unadjustedDate" : "1999-12-14" + } }, "meta" : { "globalKey" : "a8d53690" } - } - }, - "dayCountFraction" : { - "value" : "ACT/360" - }, - "meta" : { - "globalKey" : "4443c8bb" - }, - "paymentDates" : { - "meta" : { - "globalKey" : "8c0b539f" }, - "payRelativeTo" : "CALCULATION_PERIOD_END_DATE", - "paymentDatesAdjustments" : { + "calculationPeriodDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", "businessCenters" : { "businessCentersReference" : { - "externalReference" : "primaryBusinessCenters", - "globalReference" : "1ff50d" + "globalReference" : "1ff50d", + "externalReference" : "primaryBusinessCenters" }, "meta" : { "globalKey" : "da36cf11" } }, - "businessDayConvention" : "MODFOLLOWING", "meta" : { "globalKey" : "b7d7eda0" } }, - "paymentFrequency" : { + "calculationPeriodFrequency" : { + "periodMultiplier" : 6, + "period" : "M", "meta" : { - "globalKey" : "959" + "globalKey" : "18a9b" }, - "period" : "M", - "periodMultiplier" : 6 + "rollConvention" : "14" + }, + "meta" : { + "globalKey" : "3836d691", + "externalKey" : "floatingCalcPeriodDates" } }, - "rateSpecification" : { - "floatingRate" : { + "paymentDates" : { + "paymentFrequency" : { + "periodMultiplier" : 6, + "period" : "M", "meta" : { - "globalKey" : "0" - }, - "rateOption" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "rateOption-1" + "globalKey" : "107" + } + }, + "payRelativeTo" : "CalculationPeriodEndDate", + "paymentDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCentersReference" : { + "globalReference" : "1ff50d", + "externalReference" : "primaryBusinessCenters" + }, + "meta" : { + "globalKey" : "da36cf11" } + }, + "meta" : { + "globalKey" : "b7d7eda0" } + }, + "meta" : { + "globalKey" : "8563938d" } }, "resetDates" : { "calculationPeriodDatesReference" : { - "externalReference" : "floatingCalcPeriodDates", - "globalReference" : "a54e5fcd" + "globalReference" : "3836d691", + "externalReference" : "floatingCalcPeriodDates" }, + "resetRelativeTo" : "CalculationPeriodStartDate", "fixingDates" : { + "periodMultiplier" : -2, + "period" : "D", "meta" : { - "globalKey" : "131ae8a2" + "globalKey" : "eff6d356" }, - "period" : "D", - "periodMultiplier" : -2, - "dayType" : "BUSINESS", + "dayType" : "Business", + "businessDayConvention" : "NONE", "businessCenters" : { "businessCenter" : [ { "value" : "GBLO" @@ -320,82 +167,79 @@ "globalKey" : "21479e" } }, - "businessDayConvention" : "NONE", "dateRelativeTo" : { - "externalReference" : "resetDates", - "globalReference" : "d533d3ee" + "globalReference" : "25625c64", + "externalReference" : "resetDates" } }, - "meta" : { - "externalKey" : "resetDates", - "globalKey" : "d533d3ee" + "resetFrequency" : { + "periodMultiplier" : 6, + "period" : "M", + "meta" : { + "globalKey" : "107" + } }, "resetDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", "businessCenters" : { "businessCentersReference" : { - "externalReference" : "primaryBusinessCenters", - "globalReference" : "1ff50d" + "globalReference" : "1ff50d", + "externalReference" : "primaryBusinessCenters" }, "meta" : { "globalKey" : "da36cf11" } }, - "businessDayConvention" : "MODFOLLOWING", "meta" : { "globalKey" : "b7d7eda0" } }, - "resetFrequency" : { - "meta" : { - "globalKey" : "959" - }, - "period" : "M", - "periodMultiplier" : 6 - }, - "resetRelativeTo" : "CALCULATION_PERIOD_START_DATE" + "meta" : { + "globalKey" : "25625c64", + "externalKey" : "resetDates" + } + }, + "meta" : { + "globalKey" : "56791807" } }, { "payerReceiver" : { - "payer" : "PARTY_2", - "receiver" : "PARTY_1" + "payer" : "Party2", + "receiver" : "Party1" }, "priceQuantity" : { - "meta" : { - "globalKey" : "0" - }, "quantitySchedule" : { "address" : { "scope" : "DOCUMENT", "value" : "quantity-2" } + }, + "meta" : { + "globalKey" : "0" } }, - "calculationPeriodDates" : { - "calculationPeriodDatesAdjustments" : { - "businessCenters" : { - "businessCentersReference" : { - "externalReference" : "primaryBusinessCenters", - "globalReference" : "1ff50d" - }, - "meta" : { - "globalKey" : "da36cf11" - } + "rateSpecification" : { + "fixedRate" : { + "rateSchedule" : { + "price" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "price-1" + } + } }, - "businessDayConvention" : "MODFOLLOWING", "meta" : { - "globalKey" : "b7d7eda0" + "globalKey" : "0" } - }, - "calculationPeriodFrequency" : { - "meta" : { - "globalKey" : "2b8fa" - }, - "period" : "Y", - "periodMultiplier" : 1, - "rollConvention" : "14" - }, + } + }, + "dayCountFraction" : { + "value" : "30E/360" + }, + "calculationPeriodDates" : { "effectiveDate" : { "adjustableDate" : { + "unadjustedDate" : "1994-12-14", "dateAdjustments" : { "businessDayConvention" : "NONE", "meta" : { @@ -404,197 +248,317 @@ }, "meta" : { "globalKey" : "ea1a6ec6" - }, - "unadjustedDate" : "1994-12-14" + } }, "meta" : { "globalKey" : "ea1a6ec6" } }, - "meta" : { - "externalKey" : "fixedCalcPeriodDates", - "globalKey" : "fbf296c2" - }, "terminationDate" : { "adjustableDate" : { + "unadjustedDate" : "1999-12-14", "dateAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", "businessCenters" : { "businessCentersReference" : { - "externalReference" : "primaryBusinessCenters", - "globalReference" : "1ff50d" + "globalReference" : "1ff50d", + "externalReference" : "primaryBusinessCenters" }, "meta" : { "globalKey" : "da36cf11" } }, - "businessDayConvention" : "MODFOLLOWING", "meta" : { "globalKey" : "b7d7eda0" } }, "meta" : { "globalKey" : "97297aae" - }, - "unadjustedDate" : "1999-12-14" + } }, "meta" : { "globalKey" : "97297aae" } - } - }, - "dayCountFraction" : { - "value" : "30E/360" - }, - "meta" : { - "globalKey" : "8b5a674a" - }, - "paymentDates" : { - "meta" : { - "globalKey" : "8c0b550e" }, - "payRelativeTo" : "CALCULATION_PERIOD_END_DATE", - "paymentDatesAdjustments" : { + "calculationPeriodDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", "businessCenters" : { "businessCentersReference" : { - "externalReference" : "primaryBusinessCenters", - "globalReference" : "1ff50d" + "globalReference" : "1ff50d", + "externalReference" : "primaryBusinessCenters" }, "meta" : { "globalKey" : "da36cf11" } }, - "businessDayConvention" : "MODFOLLOWING", "meta" : { "globalKey" : "b7d7eda0" } }, - "paymentFrequency" : { + "calculationPeriodFrequency" : { + "periodMultiplier" : 1, + "period" : "Y", "meta" : { - "globalKey" : "ac8" + "globalKey" : "1794a" }, - "period" : "Y", - "periodMultiplier" : 1 + "rollConvention" : "14" + }, + "meta" : { + "globalKey" : "a5f8cf12", + "externalKey" : "fixedCalcPeriodDates" } }, - "rateSpecification" : { - "fixedRate" : { + "paymentDates" : { + "paymentFrequency" : { + "periodMultiplier" : 1, + "period" : "Y", "meta" : { - "globalKey" : "0" - }, - "rateSchedule" : { - "price" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "price-1" - } + "globalKey" : "78" + } + }, + "payRelativeTo" : "CalculationPeriodEndDate", + "paymentDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCentersReference" : { + "globalReference" : "1ff50d", + "externalReference" : "primaryBusinessCenters" + }, + "meta" : { + "globalKey" : "da36cf11" } + }, + "meta" : { + "globalKey" : "b7d7eda0" } + }, + "meta" : { + "globalKey" : "b32991fe" } + }, + "meta" : { + "globalKey" : "3703de42" } } ], "meta" : { - "globalKey" : "e40a62af" + "globalKey" : "a74ffedb" } } }, "meta" : { - "globalKey" : "88a15c60" + "globalKey" : "4be6f88c" } }, "meta" : { - "globalKey" : "88a15c60" + "globalKey" : "4be6f88c" } }, + "priceQuantity" : [ { + "quantity" : [ { + "value" : { + "value" : 99999, + "unit" : { + "currency" : { + "value" : "EUR", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/iso4217" + } + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] + } + } ], + "observable" : { + "rateOption" : { + "value" : { + "floatingRateIndex" : { + "value" : "EUR-LIBOR-BBA" + }, + "indexTenor" : { + "periodMultiplier" : 6, + "period" : "M", + "meta" : { + "globalKey" : "107" + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "rateOption-1" + } ] + } + }, + "meta" : { + "globalKey" : "2505dd46" + } + }, + "meta" : { + "globalKey" : "ed98830f" + } + }, { + "price" : [ { + "value" : { + "value" : 0.06, + "unit" : { + "currency" : { + "value" : "EUR", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/iso4217" + } + } + }, + "perUnitOf" : { + "currency" : { + "value" : "EUR", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/iso4217" + } + } + }, + "priceType" : "InterestRate" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-1" + } ] + } + } ], + "quantity" : [ { + "value" : { + "value" : 99999, + "unit" : { + "currency" : { + "value" : "EUR", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/iso4217" + } + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } ] + } + } ], + "meta" : { + "globalKey" : "40b3a562" + } + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "9495a03c", + "externalReference" : "party1" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "ca05a501", + "externalReference" : "party2" + } + } ], + "parties" : [ { + "partyId" : [ { + "identifier" : { + "value" : "PARTYAUS33", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/iso9362" + } + }, + "identifierType" : "BIC", + "meta" : { + "globalKey" : "3d5ebc15" + } + } ], + "name" : { + "value" : "Party A" + }, + "meta" : { + "globalKey" : "9495a03c", + "externalKey" : "party1" + } + }, { + "partyId" : [ { + "identifier" : { + "value" : "BARCGB2L", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/iso9362" + } + }, + "identifierType" : "BIC", + "meta" : { + "globalKey" : "ca05a501" + } + } ], + "meta" : { + "globalKey" : "ca05a501", + "externalKey" : "party2" + } + } ], "tradeDate" : { + "value" : "1994-12-12", "meta" : { "globalKey" : "3e530c" - }, - "value" : "1994-12-12" + } }, "tradeIdentifier" : [ { + "issuerReference" : { + "globalReference" : "ca05a501", + "externalReference" : "party2" + }, "assignedIdentifier" : [ { "identifier" : { + "value" : "SW2000", "meta" : { "scheme" : "http://www.barclays.com/swaps/trade-id" - }, - "value" : "SW2000" + } }, "version" : 1 } ], - "issuerReference" : { - "externalReference" : "party2", - "globalReference" : "ca05a501" - }, "meta" : { - "globalKey" : "fc2ee432" + "globalKey" : "958d38d8" } } ] } } } ], + "eventQualifier" : "Execution", "after" : [ { - "meta" : { - "globalKey" : "632669e6" - }, - "state" : { - "positionState" : "EXECUTED" - }, "trade" : { - "meta" : { - "globalKey" : "3068bd95" - }, - "party" : [ { - "meta" : { - "externalKey" : "party1", - "globalKey" : "a82d45fc" - }, - "name" : { - "value" : "Party A" + "tradeIdentifier" : [ { + "issuerReference" : { + "globalReference" : "ca05a501", + "externalReference" : "party2" }, - "partyId" : [ { + "assignedIdentifier" : [ { "identifier" : { + "value" : "SW2000", "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/iso9362" - }, - "value" : "PARTYAUS33" + "scheme" : "http://www.barclays.com/swaps/trade-id" + } }, - "identifierType" : "BIC", - "meta" : { - "globalKey" : "3d5ebc15" - } - } ] - }, { + "version" : 1 + } ], "meta" : { - "externalKey" : "party2", - "globalKey" : "ca05a501" - }, - "partyId" : [ { - "identifier" : { - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/iso9362" - }, - "value" : "BARCGB2L" - }, - "identifierType" : "BIC", - "meta" : { - "globalKey" : "ca05a501" - } - } ] + "globalKey" : "958d38d8" + } } ], + "tradeDate" : { + "value" : "1994-12-12", + "meta" : { + "globalKey" : "3e530c" + } + }, "tradableProduct" : { - "counterparty" : [ { - "partyReference" : { - "externalReference" : "party1", - "globalReference" : "a82d45fc" - }, - "role" : "PARTY_1" - }, { - "partyReference" : { - "externalReference" : "party2", - "globalReference" : "ca05a501" - }, - "role" : "PARTY_2" - } ], "product" : { "contractualProduct" : { "productTaxonomy" : [ { @@ -605,46 +569,40 @@ "payout" : { "interestRatePayout" : [ { "payerReceiver" : { - "payer" : "PARTY_1", - "receiver" : "PARTY_2" + "payer" : "Party1", + "receiver" : "Party2" }, "priceQuantity" : { - "meta" : { - "globalKey" : "0" - }, "quantitySchedule" : { "address" : { "scope" : "DOCUMENT", "value" : "quantity-1" } + }, + "meta" : { + "globalKey" : "0" } }, - "calculationPeriodDates" : { - "calculationPeriodDatesAdjustments" : { - "businessCenters" : { - "businessCentersReference" : { - "externalReference" : "primaryBusinessCenters", - "globalReference" : "1ff50d" - }, - "meta" : { - "globalKey" : "da36cf11" + "rateSpecification" : { + "floatingRate" : { + "rateOption" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "rateOption-1" } }, - "businessDayConvention" : "MODFOLLOWING", "meta" : { - "globalKey" : "b7d7eda0" + "globalKey" : "0" } - }, - "calculationPeriodFrequency" : { - "meta" : { - "globalKey" : "28c89" - }, - "period" : "M", - "periodMultiplier" : 6, - "rollConvention" : "14" - }, + } + }, + "dayCountFraction" : { + "value" : "ACT/360" + }, + "calculationPeriodDates" : { "effectiveDate" : { "adjustableDate" : { + "unadjustedDate" : "1994-12-14", "dateAdjustments" : { "businessDayConvention" : "NONE", "meta" : { @@ -653,103 +611,108 @@ }, "meta" : { "globalKey" : "ea1a6ec6" - }, - "unadjustedDate" : "1994-12-14" + } }, "meta" : { "globalKey" : "ea1a6ec6" } }, - "meta" : { - "externalKey" : "floatingCalcPeriodDates", - "globalKey" : "a54e5fcd" - }, "terminationDate" : { "adjustableDate" : { + "unadjustedDate" : "1999-12-14", "dateAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", "businessCenters" : { "businessCenter" : [ { "value" : "DEFR" } ], "meta" : { - "externalKey" : "primaryBusinessCenters", - "globalKey" : "1ff50d" + "globalKey" : "1ff50d", + "externalKey" : "primaryBusinessCenters" } }, - "businessDayConvention" : "MODFOLLOWING", "meta" : { "globalKey" : "365af8de" } }, "meta" : { "globalKey" : "a8d53690" - }, - "unadjustedDate" : "1999-12-14" + } }, "meta" : { "globalKey" : "a8d53690" } - } - }, - "dayCountFraction" : { - "value" : "ACT/360" - }, - "meta" : { - "globalKey" : "4443c8bb" - }, - "paymentDates" : { - "meta" : { - "globalKey" : "8c0b539f" }, - "payRelativeTo" : "CALCULATION_PERIOD_END_DATE", - "paymentDatesAdjustments" : { + "calculationPeriodDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", "businessCenters" : { "businessCentersReference" : { - "externalReference" : "primaryBusinessCenters", - "globalReference" : "1ff50d" + "globalReference" : "1ff50d", + "externalReference" : "primaryBusinessCenters" }, "meta" : { "globalKey" : "da36cf11" } }, - "businessDayConvention" : "MODFOLLOWING", "meta" : { "globalKey" : "b7d7eda0" } }, - "paymentFrequency" : { + "calculationPeriodFrequency" : { + "periodMultiplier" : 6, + "period" : "M", "meta" : { - "globalKey" : "959" + "globalKey" : "18a9b" }, - "period" : "M", - "periodMultiplier" : 6 + "rollConvention" : "14" + }, + "meta" : { + "globalKey" : "3836d691", + "externalKey" : "floatingCalcPeriodDates" } }, - "rateSpecification" : { - "floatingRate" : { + "paymentDates" : { + "paymentFrequency" : { + "periodMultiplier" : 6, + "period" : "M", "meta" : { - "globalKey" : "0" - }, - "rateOption" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "rateOption-1" + "globalKey" : "107" + } + }, + "payRelativeTo" : "CalculationPeriodEndDate", + "paymentDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCentersReference" : { + "globalReference" : "1ff50d", + "externalReference" : "primaryBusinessCenters" + }, + "meta" : { + "globalKey" : "da36cf11" } + }, + "meta" : { + "globalKey" : "b7d7eda0" } + }, + "meta" : { + "globalKey" : "8563938d" } }, "resetDates" : { "calculationPeriodDatesReference" : { - "externalReference" : "floatingCalcPeriodDates", - "globalReference" : "a54e5fcd" + "globalReference" : "3836d691", + "externalReference" : "floatingCalcPeriodDates" }, + "resetRelativeTo" : "CalculationPeriodStartDate", "fixingDates" : { + "periodMultiplier" : -2, + "period" : "D", "meta" : { - "globalKey" : "131ae8a2" + "globalKey" : "eff6d356" }, - "period" : "D", - "periodMultiplier" : -2, - "dayType" : "BUSINESS", + "dayType" : "Business", + "businessDayConvention" : "NONE", "businessCenters" : { "businessCenter" : [ { "value" : "GBLO" @@ -758,82 +721,79 @@ "globalKey" : "21479e" } }, - "businessDayConvention" : "NONE", "dateRelativeTo" : { - "externalReference" : "resetDates", - "globalReference" : "d533d3ee" + "globalReference" : "25625c64", + "externalReference" : "resetDates" } }, - "meta" : { - "externalKey" : "resetDates", - "globalKey" : "d533d3ee" + "resetFrequency" : { + "periodMultiplier" : 6, + "period" : "M", + "meta" : { + "globalKey" : "107" + } }, "resetDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", "businessCenters" : { "businessCentersReference" : { - "externalReference" : "primaryBusinessCenters", - "globalReference" : "1ff50d" + "globalReference" : "1ff50d", + "externalReference" : "primaryBusinessCenters" }, "meta" : { "globalKey" : "da36cf11" } }, - "businessDayConvention" : "MODFOLLOWING", "meta" : { "globalKey" : "b7d7eda0" } }, - "resetFrequency" : { - "meta" : { - "globalKey" : "959" - }, - "period" : "M", - "periodMultiplier" : 6 - }, - "resetRelativeTo" : "CALCULATION_PERIOD_START_DATE" + "meta" : { + "globalKey" : "25625c64", + "externalKey" : "resetDates" + } + }, + "meta" : { + "globalKey" : "56791807" } }, { "payerReceiver" : { - "payer" : "PARTY_2", - "receiver" : "PARTY_1" + "payer" : "Party2", + "receiver" : "Party1" }, "priceQuantity" : { - "meta" : { - "globalKey" : "0" - }, "quantitySchedule" : { "address" : { "scope" : "DOCUMENT", "value" : "quantity-2" } + }, + "meta" : { + "globalKey" : "0" } }, - "calculationPeriodDates" : { - "calculationPeriodDatesAdjustments" : { - "businessCenters" : { - "businessCentersReference" : { - "externalReference" : "primaryBusinessCenters", - "globalReference" : "1ff50d" - }, - "meta" : { - "globalKey" : "da36cf11" + "rateSpecification" : { + "fixedRate" : { + "rateSchedule" : { + "price" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "price-1" + } } }, - "businessDayConvention" : "MODFOLLOWING", "meta" : { - "globalKey" : "b7d7eda0" + "globalKey" : "0" } - }, - "calculationPeriodFrequency" : { - "meta" : { - "globalKey" : "2b8fa" - }, - "period" : "Y", - "periodMultiplier" : 1, - "rollConvention" : "14" - }, + } + }, + "dayCountFraction" : { + "value" : "30E/360" + }, + "calculationPeriodDates" : { "effectiveDate" : { "adjustableDate" : { + "unadjustedDate" : "1994-12-14", "dateAdjustments" : { "businessDayConvention" : "NONE", "meta" : { @@ -842,241 +802,289 @@ }, "meta" : { "globalKey" : "ea1a6ec6" - }, - "unadjustedDate" : "1994-12-14" + } }, "meta" : { "globalKey" : "ea1a6ec6" } }, - "meta" : { - "externalKey" : "fixedCalcPeriodDates", - "globalKey" : "fbf296c2" - }, "terminationDate" : { "adjustableDate" : { + "unadjustedDate" : "1999-12-14", "dateAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", "businessCenters" : { "businessCentersReference" : { - "externalReference" : "primaryBusinessCenters", - "globalReference" : "1ff50d" + "globalReference" : "1ff50d", + "externalReference" : "primaryBusinessCenters" }, "meta" : { "globalKey" : "da36cf11" } }, - "businessDayConvention" : "MODFOLLOWING", "meta" : { "globalKey" : "b7d7eda0" } }, "meta" : { "globalKey" : "97297aae" - }, - "unadjustedDate" : "1999-12-14" + } }, "meta" : { "globalKey" : "97297aae" } - } - }, - "dayCountFraction" : { - "value" : "30E/360" - }, - "meta" : { - "globalKey" : "8b5a674a" - }, - "paymentDates" : { - "meta" : { - "globalKey" : "8c0b550e" }, - "payRelativeTo" : "CALCULATION_PERIOD_END_DATE", - "paymentDatesAdjustments" : { + "calculationPeriodDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", "businessCenters" : { "businessCentersReference" : { - "externalReference" : "primaryBusinessCenters", - "globalReference" : "1ff50d" + "globalReference" : "1ff50d", + "externalReference" : "primaryBusinessCenters" }, "meta" : { "globalKey" : "da36cf11" } }, - "businessDayConvention" : "MODFOLLOWING", "meta" : { "globalKey" : "b7d7eda0" } }, - "paymentFrequency" : { + "calculationPeriodFrequency" : { + "periodMultiplier" : 1, + "period" : "Y", "meta" : { - "globalKey" : "ac8" + "globalKey" : "1794a" }, - "period" : "Y", - "periodMultiplier" : 1 + "rollConvention" : "14" + }, + "meta" : { + "globalKey" : "a5f8cf12", + "externalKey" : "fixedCalcPeriodDates" } }, - "rateSpecification" : { - "fixedRate" : { + "paymentDates" : { + "paymentFrequency" : { + "periodMultiplier" : 1, + "period" : "Y", "meta" : { - "globalKey" : "0" - }, - "rateSchedule" : { - "price" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "price-1" - } + "globalKey" : "78" + } + }, + "payRelativeTo" : "CalculationPeriodEndDate", + "paymentDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCentersReference" : { + "globalReference" : "1ff50d", + "externalReference" : "primaryBusinessCenters" + }, + "meta" : { + "globalKey" : "da36cf11" } + }, + "meta" : { + "globalKey" : "b7d7eda0" } + }, + "meta" : { + "globalKey" : "b32991fe" } + }, + "meta" : { + "globalKey" : "3703de42" } } ], "meta" : { - "globalKey" : "e40a62af" + "globalKey" : "a74ffedb" } } }, "meta" : { - "globalKey" : "88a15c60" + "globalKey" : "4be6f88c" } }, "meta" : { - "globalKey" : "88a15c60" + "globalKey" : "4be6f88c" } }, "tradeLot" : [ { "priceQuantity" : [ { - "meta" : { - "globalKey" : "61d0453d" - }, - "observable" : { - "meta" : { - "globalKey" : "53c66a4c" + "quantity" : [ { + "value" : { + "value" : 99999, + "unit" : { + "currency" : { + "value" : "EUR", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/iso4217" + } + } + } }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] + } + } ], + "observable" : { "rateOption" : { - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "rateOption-1" - } ] - }, "value" : { "floatingRateIndex" : { "value" : "EUR-LIBOR-BBA" }, "indexTenor" : { + "periodMultiplier" : 6, + "period" : "M", "meta" : { - "globalKey" : "959" - }, - "period" : "M", - "periodMultiplier" : 6 + "globalKey" : "107" + } } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "rateOption-1" + } ] } - } - }, - "quantity" : [ { - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] }, - "value" : { - "unit" : { - "currency" : { - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/iso4217" - }, - "value" : "EUR" - } - }, - "value" : 99999 + "meta" : { + "globalKey" : "2505dd46" } - } ] - }, { - "meta" : { - "globalKey" : "6d71265e" }, + "meta" : { + "globalKey" : "ed98830f" + } + }, { "price" : [ { - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-1" - } ] - }, "value" : { + "value" : 0.06, "unit" : { "currency" : { + "value" : "EUR", "meta" : { "scheme" : "http://www.fpml.org/coding-scheme/external/iso4217" - }, - "value" : "EUR" + } } }, - "value" : 0.06, "perUnitOf" : { "currency" : { + "value" : "EUR", "meta" : { "scheme" : "http://www.fpml.org/coding-scheme/external/iso4217" - }, - "value" : "EUR" + } } }, - "priceType" : "INTEREST_RATE" - } - } ], - "quantity" : [ { + "priceType" : "InterestRate" + }, "meta" : { "location" : [ { "scope" : "DOCUMENT", - "value" : "quantity-2" + "value" : "price-1" } ] - }, + } + } ], + "quantity" : [ { "value" : { + "value" : 99999, "unit" : { "currency" : { + "value" : "EUR", "meta" : { "scheme" : "http://www.fpml.org/coding-scheme/external/iso4217" - }, - "value" : "EUR" + } } - }, - "value" : 99999 + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } ] } - } ] + } ], + "meta" : { + "globalKey" : "40b3a562" + } } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "9495a03c", + "externalReference" : "party1" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "ca05a501", + "externalReference" : "party2" + } } ] }, - "tradeDate" : { - "meta" : { - "globalKey" : "3e530c" - }, - "value" : "1994-12-12" - }, - "tradeIdentifier" : [ { - "assignedIdentifier" : [ { + "party" : [ { + "partyId" : [ { "identifier" : { + "value" : "PARTYAUS33", "meta" : { - "scheme" : "http://www.barclays.com/swaps/trade-id" - }, - "value" : "SW2000" + "scheme" : "http://www.fpml.org/coding-scheme/external/iso9362" + } }, - "version" : 1 + "identifierType" : "BIC", + "meta" : { + "globalKey" : "3d5ebc15" + } } ], - "issuerReference" : { - "externalReference" : "party2", - "globalReference" : "ca05a501" + "name" : { + "value" : "Party A" }, "meta" : { - "globalKey" : "fc2ee432" + "globalKey" : "9495a03c", + "externalKey" : "party1" + } + }, { + "partyId" : [ { + "identifier" : { + "value" : "BARCGB2L", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/iso9362" + } + }, + "identifierType" : "BIC", + "meta" : { + "globalKey" : "ca05a501" + } + } ], + "meta" : { + "globalKey" : "ca05a501", + "externalKey" : "party2" } - } ] + } ], + "meta" : { + "globalKey" : "58b08a6f" + } + }, + "state" : { + "positionState" : "Executed" + }, + "meta" : { + "globalKey" : "9723923e" } } ], - "eventQualifier" : "Execution", "meta" : { - "globalKey" : "7274cf2b" + "globalKey" : "e3d2ae1b" + } + }, + "messageInformation" : { + "messageId" : { + "value" : "msg-1" } }, + "timestamp" : [ { + "dateTime" : "1994-12-12T18:12:00Z", + "qualification" : "eventCreationDateTime" + } ], "eventIdentifier" : [ { "assignedIdentifier" : [ { "identifier" : { @@ -1087,214 +1095,54 @@ "globalKey" : "3137ff" } } ], - "messageInformation" : { - "messageId" : { - "value" : "msg-1" - } - }, - "meta" : { - "globalKey" : "75bcdcc" - }, + "action" : "New", "party" : [ { - "meta" : { - "externalKey" : "party2", - "globalKey" : "ca05a501" - }, "partyId" : [ { "identifier" : { + "value" : "BARCGB2L", "meta" : { "scheme" : "http://www.fpml.org/coding-scheme/external/iso9362" - }, - "value" : "BARCGB2L" + } }, "identifierType" : "BIC", "meta" : { "globalKey" : "ca05a501" } - } ] - }, { + } ], "meta" : { - "externalKey" : "party1", - "globalKey" : "a82d45fc" - }, - "name" : { - "value" : "Party A" - }, + "globalKey" : "ca05a501", + "externalKey" : "party2" + } + }, { "partyId" : [ { "identifier" : { + "value" : "PARTYAUS33", "meta" : { "scheme" : "http://www.fpml.org/coding-scheme/external/iso9362" - }, - "value" : "PARTYAUS33" + } }, "identifierType" : "BIC", "meta" : { "globalKey" : "3d5ebc15" } - } ] + } ], + "name" : { + "value" : "Party A" + }, + "meta" : { + "globalKey" : "9495a03c", + "externalKey" : "party1" + } } ], - "timestamp" : [ { - "dateTime" : "1994-12-12T18:12:00Z", - "qualification" : "EVENT_CREATION_DATE_TIME" - } ] + "meta" : { + "globalKey" : "778a2256" + } }, { - "action" : "CORRECT", "businessEvent" : { "eventDate" : "1994-12-12", "instruction" : [ { "primitiveInstruction" : { "execution" : { - "counterparty" : [ { - "partyReference" : { - "externalReference" : "party1", - "globalReference" : "a82d45fc" - }, - "role" : "PARTY_1" - }, { - "partyReference" : { - "externalReference" : "party2", - "globalReference" : "ca05a501" - }, - "role" : "PARTY_2" - } ], - "parties" : [ { - "meta" : { - "externalKey" : "party1", - "globalKey" : "a82d45fc" - }, - "name" : { - "value" : "Party A" - }, - "partyId" : [ { - "identifier" : { - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/iso9362" - }, - "value" : "PARTYAUS33" - }, - "identifierType" : "BIC", - "meta" : { - "globalKey" : "3d5ebc15" - } - } ] - }, { - "meta" : { - "externalKey" : "party2", - "globalKey" : "ca05a501" - }, - "partyId" : [ { - "identifier" : { - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/iso9362" - }, - "value" : "BARCGB2L" - }, - "identifierType" : "BIC", - "meta" : { - "globalKey" : "ca05a501" - } - } ] - } ], - "priceQuantity" : [ { - "meta" : { - "globalKey" : "3ce21b9b" - }, - "observable" : { - "meta" : { - "globalKey" : "53c66a4c" - }, - "rateOption" : { - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "rateOption-1" - } ] - }, - "value" : { - "floatingRateIndex" : { - "value" : "EUR-LIBOR-BBA" - }, - "indexTenor" : { - "meta" : { - "globalKey" : "959" - }, - "period" : "M", - "periodMultiplier" : 6 - } - } - } - }, - "quantity" : [ { - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] - }, - "value" : { - "unit" : { - "currency" : { - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/iso4217" - }, - "value" : "EUR" - } - }, - "value" : 50000000.00 - } - } ] - }, { - "meta" : { - "globalKey" : "4882fcbc" - }, - "price" : [ { - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-1" - } ] - }, - "value" : { - "unit" : { - "currency" : { - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/iso4217" - }, - "value" : "EUR" - } - }, - "value" : 0.06, - "perUnitOf" : { - "currency" : { - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/iso4217" - }, - "value" : "EUR" - } - }, - "priceType" : "INTEREST_RATE" - } - } ], - "quantity" : [ { - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } ] - }, - "value" : { - "unit" : { - "currency" : { - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/iso4217" - }, - "value" : "EUR" - } - }, - "value" : 50000000.00 - } - } ] - } ], "product" : { "contractualProduct" : { "productTaxonomy" : [ { @@ -1305,46 +1153,40 @@ "payout" : { "interestRatePayout" : [ { "payerReceiver" : { - "payer" : "PARTY_1", - "receiver" : "PARTY_2" + "payer" : "Party1", + "receiver" : "Party2" }, "priceQuantity" : { - "meta" : { - "globalKey" : "0" - }, "quantitySchedule" : { "address" : { "scope" : "DOCUMENT", "value" : "quantity-1" } + }, + "meta" : { + "globalKey" : "0" } }, - "calculationPeriodDates" : { - "calculationPeriodDatesAdjustments" : { - "businessCenters" : { - "businessCentersReference" : { - "externalReference" : "primaryBusinessCenters", - "globalReference" : "1ff50d" - }, - "meta" : { - "globalKey" : "da36cf11" + "rateSpecification" : { + "floatingRate" : { + "rateOption" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "rateOption-1" } }, - "businessDayConvention" : "MODFOLLOWING", "meta" : { - "globalKey" : "b7d7eda0" + "globalKey" : "0" } - }, - "calculationPeriodFrequency" : { - "meta" : { - "globalKey" : "28c89" - }, - "period" : "M", - "periodMultiplier" : 6, - "rollConvention" : "14" - }, + } + }, + "dayCountFraction" : { + "value" : "ACT/360" + }, + "calculationPeriodDates" : { "effectiveDate" : { "adjustableDate" : { + "unadjustedDate" : "1994-12-14", "dateAdjustments" : { "businessDayConvention" : "NONE", "meta" : { @@ -1353,103 +1195,108 @@ }, "meta" : { "globalKey" : "ea1a6ec6" - }, - "unadjustedDate" : "1994-12-14" + } }, "meta" : { "globalKey" : "ea1a6ec6" } }, - "meta" : { - "externalKey" : "floatingCalcPeriodDates", - "globalKey" : "a54e5fcd" - }, "terminationDate" : { "adjustableDate" : { + "unadjustedDate" : "1999-12-14", "dateAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", "businessCenters" : { "businessCenter" : [ { "value" : "DEFR" } ], "meta" : { - "externalKey" : "primaryBusinessCenters", - "globalKey" : "1ff50d" + "globalKey" : "1ff50d", + "externalKey" : "primaryBusinessCenters" } }, - "businessDayConvention" : "MODFOLLOWING", "meta" : { "globalKey" : "365af8de" } }, "meta" : { "globalKey" : "a8d53690" - }, - "unadjustedDate" : "1999-12-14" + } }, "meta" : { "globalKey" : "a8d53690" } - } - }, - "dayCountFraction" : { - "value" : "ACT/360" - }, - "meta" : { - "globalKey" : "4443c8bb" - }, - "paymentDates" : { - "meta" : { - "globalKey" : "8c0b539f" }, - "payRelativeTo" : "CALCULATION_PERIOD_END_DATE", - "paymentDatesAdjustments" : { + "calculationPeriodDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", "businessCenters" : { "businessCentersReference" : { - "externalReference" : "primaryBusinessCenters", - "globalReference" : "1ff50d" + "globalReference" : "1ff50d", + "externalReference" : "primaryBusinessCenters" }, "meta" : { "globalKey" : "da36cf11" } }, - "businessDayConvention" : "MODFOLLOWING", "meta" : { "globalKey" : "b7d7eda0" } }, - "paymentFrequency" : { + "calculationPeriodFrequency" : { + "periodMultiplier" : 6, + "period" : "M", "meta" : { - "globalKey" : "959" + "globalKey" : "18a9b" }, - "period" : "M", - "periodMultiplier" : 6 + "rollConvention" : "14" + }, + "meta" : { + "globalKey" : "3836d691", + "externalKey" : "floatingCalcPeriodDates" } }, - "rateSpecification" : { - "floatingRate" : { + "paymentDates" : { + "paymentFrequency" : { + "periodMultiplier" : 6, + "period" : "M", "meta" : { - "globalKey" : "0" - }, - "rateOption" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "rateOption-1" + "globalKey" : "107" + } + }, + "payRelativeTo" : "CalculationPeriodEndDate", + "paymentDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCentersReference" : { + "globalReference" : "1ff50d", + "externalReference" : "primaryBusinessCenters" + }, + "meta" : { + "globalKey" : "da36cf11" } + }, + "meta" : { + "globalKey" : "b7d7eda0" } + }, + "meta" : { + "globalKey" : "8563938d" } }, "resetDates" : { "calculationPeriodDatesReference" : { - "externalReference" : "floatingCalcPeriodDates", - "globalReference" : "a54e5fcd" + "globalReference" : "3836d691", + "externalReference" : "floatingCalcPeriodDates" }, + "resetRelativeTo" : "CalculationPeriodStartDate", "fixingDates" : { + "periodMultiplier" : -2, + "period" : "D", "meta" : { - "globalKey" : "131ae8a2" + "globalKey" : "eff6d356" }, - "period" : "D", - "periodMultiplier" : -2, - "dayType" : "BUSINESS", + "dayType" : "Business", + "businessDayConvention" : "NONE", "businessCenters" : { "businessCenter" : [ { "value" : "GBLO" @@ -1458,82 +1305,79 @@ "globalKey" : "21479e" } }, - "businessDayConvention" : "NONE", "dateRelativeTo" : { - "externalReference" : "resetDates", - "globalReference" : "d533d3ee" + "globalReference" : "25625c64", + "externalReference" : "resetDates" } }, - "meta" : { - "externalKey" : "resetDates", - "globalKey" : "d533d3ee" + "resetFrequency" : { + "periodMultiplier" : 6, + "period" : "M", + "meta" : { + "globalKey" : "107" + } }, "resetDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", "businessCenters" : { "businessCentersReference" : { - "externalReference" : "primaryBusinessCenters", - "globalReference" : "1ff50d" + "globalReference" : "1ff50d", + "externalReference" : "primaryBusinessCenters" }, "meta" : { "globalKey" : "da36cf11" } }, - "businessDayConvention" : "MODFOLLOWING", "meta" : { "globalKey" : "b7d7eda0" } }, - "resetFrequency" : { - "meta" : { - "globalKey" : "959" - }, - "period" : "M", - "periodMultiplier" : 6 - }, - "resetRelativeTo" : "CALCULATION_PERIOD_START_DATE" + "meta" : { + "globalKey" : "25625c64", + "externalKey" : "resetDates" + } + }, + "meta" : { + "globalKey" : "56791807" } }, { "payerReceiver" : { - "payer" : "PARTY_2", - "receiver" : "PARTY_1" + "payer" : "Party2", + "receiver" : "Party1" }, "priceQuantity" : { - "meta" : { - "globalKey" : "0" - }, "quantitySchedule" : { "address" : { "scope" : "DOCUMENT", "value" : "quantity-2" } + }, + "meta" : { + "globalKey" : "0" } }, - "calculationPeriodDates" : { - "calculationPeriodDatesAdjustments" : { - "businessCenters" : { - "businessCentersReference" : { - "externalReference" : "primaryBusinessCenters", - "globalReference" : "1ff50d" - }, - "meta" : { - "globalKey" : "da36cf11" + "rateSpecification" : { + "fixedRate" : { + "rateSchedule" : { + "price" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "price-1" + } } }, - "businessDayConvention" : "MODFOLLOWING", "meta" : { - "globalKey" : "b7d7eda0" + "globalKey" : "0" } - }, - "calculationPeriodFrequency" : { - "meta" : { - "globalKey" : "2b8fa" - }, - "period" : "Y", - "periodMultiplier" : 1, - "rollConvention" : "14" - }, + } + }, + "dayCountFraction" : { + "value" : "30E/360" + }, + "calculationPeriodDates" : { "effectiveDate" : { "adjustableDate" : { + "unadjustedDate" : "1994-12-14", "dateAdjustments" : { "businessDayConvention" : "NONE", "meta" : { @@ -1542,197 +1386,317 @@ }, "meta" : { "globalKey" : "ea1a6ec6" - }, - "unadjustedDate" : "1994-12-14" + } }, "meta" : { "globalKey" : "ea1a6ec6" } }, - "meta" : { - "externalKey" : "fixedCalcPeriodDates", - "globalKey" : "fbf296c2" - }, "terminationDate" : { "adjustableDate" : { + "unadjustedDate" : "1999-12-14", "dateAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", "businessCenters" : { "businessCentersReference" : { - "externalReference" : "primaryBusinessCenters", - "globalReference" : "1ff50d" + "globalReference" : "1ff50d", + "externalReference" : "primaryBusinessCenters" }, "meta" : { "globalKey" : "da36cf11" } }, - "businessDayConvention" : "MODFOLLOWING", "meta" : { "globalKey" : "b7d7eda0" } }, "meta" : { "globalKey" : "97297aae" - }, - "unadjustedDate" : "1999-12-14" + } }, "meta" : { "globalKey" : "97297aae" } - } - }, - "dayCountFraction" : { - "value" : "30E/360" - }, - "meta" : { - "globalKey" : "8b5a674a" - }, - "paymentDates" : { - "meta" : { - "globalKey" : "8c0b550e" }, - "payRelativeTo" : "CALCULATION_PERIOD_END_DATE", - "paymentDatesAdjustments" : { + "calculationPeriodDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", "businessCenters" : { "businessCentersReference" : { - "externalReference" : "primaryBusinessCenters", - "globalReference" : "1ff50d" + "globalReference" : "1ff50d", + "externalReference" : "primaryBusinessCenters" }, "meta" : { "globalKey" : "da36cf11" } }, - "businessDayConvention" : "MODFOLLOWING", "meta" : { "globalKey" : "b7d7eda0" } }, - "paymentFrequency" : { + "calculationPeriodFrequency" : { + "periodMultiplier" : 1, + "period" : "Y", "meta" : { - "globalKey" : "ac8" + "globalKey" : "1794a" }, - "period" : "Y", - "periodMultiplier" : 1 + "rollConvention" : "14" + }, + "meta" : { + "globalKey" : "a5f8cf12", + "externalKey" : "fixedCalcPeriodDates" } }, - "rateSpecification" : { - "fixedRate" : { + "paymentDates" : { + "paymentFrequency" : { + "periodMultiplier" : 1, + "period" : "Y", "meta" : { - "globalKey" : "0" - }, - "rateSchedule" : { - "price" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "price-1" - } + "globalKey" : "78" + } + }, + "payRelativeTo" : "CalculationPeriodEndDate", + "paymentDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCentersReference" : { + "globalReference" : "1ff50d", + "externalReference" : "primaryBusinessCenters" + }, + "meta" : { + "globalKey" : "da36cf11" } + }, + "meta" : { + "globalKey" : "b7d7eda0" } + }, + "meta" : { + "globalKey" : "b32991fe" } + }, + "meta" : { + "globalKey" : "3703de42" } } ], "meta" : { - "globalKey" : "e40a62af" + "globalKey" : "a74ffedb" + } + } + }, + "meta" : { + "globalKey" : "4be6f88c" + } + }, + "meta" : { + "globalKey" : "4be6f88c" + } + }, + "priceQuantity" : [ { + "quantity" : [ { + "value" : { + "value" : 50000000.00, + "unit" : { + "currency" : { + "value" : "EUR", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/iso4217" + } + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] + } + } ], + "observable" : { + "rateOption" : { + "value" : { + "floatingRateIndex" : { + "value" : "EUR-LIBOR-BBA" + }, + "indexTenor" : { + "periodMultiplier" : 6, + "period" : "M", + "meta" : { + "globalKey" : "107" + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "rateOption-1" + } ] + } + }, + "meta" : { + "globalKey" : "2505dd46" + } + }, + "meta" : { + "globalKey" : "c0d07bed" + } + }, { + "price" : [ { + "value" : { + "value" : 0.06, + "unit" : { + "currency" : { + "value" : "EUR", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/iso4217" + } + } + }, + "perUnitOf" : { + "currency" : { + "value" : "EUR", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/iso4217" + } + } + }, + "priceType" : "InterestRate" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-1" + } ] + } + } ], + "quantity" : [ { + "value" : { + "value" : 50000000.00, + "unit" : { + "currency" : { + "value" : "EUR", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/iso4217" + } } } }, "meta" : { - "globalKey" : "88a15c60" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } ] + } + } ], + "meta" : { + "globalKey" : "c7dc9ac4" + } + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "9495a03c", + "externalReference" : "party1" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "ca05a501", + "externalReference" : "party2" + } + } ], + "parties" : [ { + "partyId" : [ { + "identifier" : { + "value" : "PARTYAUS33", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/iso9362" + } + }, + "identifierType" : "BIC", + "meta" : { + "globalKey" : "3d5ebc15" } + } ], + "name" : { + "value" : "Party A" }, "meta" : { - "globalKey" : "88a15c60" + "globalKey" : "9495a03c", + "externalKey" : "party1" } - }, + }, { + "partyId" : [ { + "identifier" : { + "value" : "BARCGB2L", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/iso9362" + } + }, + "identifierType" : "BIC", + "meta" : { + "globalKey" : "ca05a501" + } + } ], + "meta" : { + "globalKey" : "ca05a501", + "externalKey" : "party2" + } + } ], "tradeDate" : { + "value" : "1994-12-12", "meta" : { "globalKey" : "3e530c" - }, - "value" : "1994-12-12" + } }, "tradeIdentifier" : [ { + "issuerReference" : { + "globalReference" : "ca05a501", + "externalReference" : "party2" + }, "assignedIdentifier" : [ { "identifier" : { + "value" : "SW2000", "meta" : { "scheme" : "http://www.barclays.com/swaps/trade-id" - }, - "value" : "SW2000" + } }, "version" : 1 } ], - "issuerReference" : { - "externalReference" : "party2", - "globalReference" : "ca05a501" - }, "meta" : { - "globalKey" : "fc2ee432" + "globalKey" : "958d38d8" } } ] } } } ], + "eventQualifier" : "Execution", "after" : [ { - "meta" : { - "globalKey" : "74748122" - }, - "state" : { - "positionState" : "EXECUTED" - }, "trade" : { - "meta" : { - "globalKey" : "41b6d4d1" - }, - "party" : [ { - "meta" : { - "externalKey" : "party1", - "globalKey" : "a82d45fc" - }, - "name" : { - "value" : "Party A" + "tradeIdentifier" : [ { + "issuerReference" : { + "globalReference" : "ca05a501", + "externalReference" : "party2" }, - "partyId" : [ { + "assignedIdentifier" : [ { "identifier" : { + "value" : "SW2000", "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/iso9362" - }, - "value" : "PARTYAUS33" + "scheme" : "http://www.barclays.com/swaps/trade-id" + } }, - "identifierType" : "BIC", - "meta" : { - "globalKey" : "3d5ebc15" - } - } ] - }, { + "version" : 1 + } ], "meta" : { - "externalKey" : "party2", - "globalKey" : "ca05a501" - }, - "partyId" : [ { - "identifier" : { - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/iso9362" - }, - "value" : "BARCGB2L" - }, - "identifierType" : "BIC", - "meta" : { - "globalKey" : "ca05a501" - } - } ] + "globalKey" : "958d38d8" + } } ], + "tradeDate" : { + "value" : "1994-12-12", + "meta" : { + "globalKey" : "3e530c" + } + }, "tradableProduct" : { - "counterparty" : [ { - "partyReference" : { - "externalReference" : "party1", - "globalReference" : "a82d45fc" - }, - "role" : "PARTY_1" - }, { - "partyReference" : { - "externalReference" : "party2", - "globalReference" : "ca05a501" - }, - "role" : "PARTY_2" - } ], "product" : { "contractualProduct" : { "productTaxonomy" : [ { @@ -1743,46 +1707,40 @@ "payout" : { "interestRatePayout" : [ { "payerReceiver" : { - "payer" : "PARTY_1", - "receiver" : "PARTY_2" + "payer" : "Party1", + "receiver" : "Party2" }, "priceQuantity" : { - "meta" : { - "globalKey" : "0" - }, "quantitySchedule" : { "address" : { "scope" : "DOCUMENT", "value" : "quantity-1" } + }, + "meta" : { + "globalKey" : "0" } }, - "calculationPeriodDates" : { - "calculationPeriodDatesAdjustments" : { - "businessCenters" : { - "businessCentersReference" : { - "externalReference" : "primaryBusinessCenters", - "globalReference" : "1ff50d" - }, - "meta" : { - "globalKey" : "da36cf11" + "rateSpecification" : { + "floatingRate" : { + "rateOption" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "rateOption-1" } }, - "businessDayConvention" : "MODFOLLOWING", "meta" : { - "globalKey" : "b7d7eda0" + "globalKey" : "0" } - }, - "calculationPeriodFrequency" : { - "meta" : { - "globalKey" : "28c89" - }, - "period" : "M", - "periodMultiplier" : 6, - "rollConvention" : "14" - }, + } + }, + "dayCountFraction" : { + "value" : "ACT/360" + }, + "calculationPeriodDates" : { "effectiveDate" : { "adjustableDate" : { + "unadjustedDate" : "1994-12-14", "dateAdjustments" : { "businessDayConvention" : "NONE", "meta" : { @@ -1791,103 +1749,108 @@ }, "meta" : { "globalKey" : "ea1a6ec6" - }, - "unadjustedDate" : "1994-12-14" + } }, "meta" : { "globalKey" : "ea1a6ec6" } }, - "meta" : { - "externalKey" : "floatingCalcPeriodDates", - "globalKey" : "a54e5fcd" - }, "terminationDate" : { "adjustableDate" : { + "unadjustedDate" : "1999-12-14", "dateAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", "businessCenters" : { "businessCenter" : [ { "value" : "DEFR" } ], "meta" : { - "externalKey" : "primaryBusinessCenters", - "globalKey" : "1ff50d" + "globalKey" : "1ff50d", + "externalKey" : "primaryBusinessCenters" } }, - "businessDayConvention" : "MODFOLLOWING", "meta" : { "globalKey" : "365af8de" } }, "meta" : { "globalKey" : "a8d53690" - }, - "unadjustedDate" : "1999-12-14" + } }, "meta" : { "globalKey" : "a8d53690" } - } - }, - "dayCountFraction" : { - "value" : "ACT/360" - }, - "meta" : { - "globalKey" : "4443c8bb" - }, - "paymentDates" : { - "meta" : { - "globalKey" : "8c0b539f" }, - "payRelativeTo" : "CALCULATION_PERIOD_END_DATE", - "paymentDatesAdjustments" : { + "calculationPeriodDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", "businessCenters" : { "businessCentersReference" : { - "externalReference" : "primaryBusinessCenters", - "globalReference" : "1ff50d" + "globalReference" : "1ff50d", + "externalReference" : "primaryBusinessCenters" }, "meta" : { "globalKey" : "da36cf11" } }, - "businessDayConvention" : "MODFOLLOWING", "meta" : { "globalKey" : "b7d7eda0" } }, - "paymentFrequency" : { + "calculationPeriodFrequency" : { + "periodMultiplier" : 6, + "period" : "M", "meta" : { - "globalKey" : "959" + "globalKey" : "18a9b" }, - "period" : "M", - "periodMultiplier" : 6 + "rollConvention" : "14" + }, + "meta" : { + "globalKey" : "3836d691", + "externalKey" : "floatingCalcPeriodDates" } }, - "rateSpecification" : { - "floatingRate" : { + "paymentDates" : { + "paymentFrequency" : { + "periodMultiplier" : 6, + "period" : "M", "meta" : { - "globalKey" : "0" - }, - "rateOption" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "rateOption-1" + "globalKey" : "107" + } + }, + "payRelativeTo" : "CalculationPeriodEndDate", + "paymentDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCentersReference" : { + "globalReference" : "1ff50d", + "externalReference" : "primaryBusinessCenters" + }, + "meta" : { + "globalKey" : "da36cf11" } + }, + "meta" : { + "globalKey" : "b7d7eda0" } + }, + "meta" : { + "globalKey" : "8563938d" } }, "resetDates" : { "calculationPeriodDatesReference" : { - "externalReference" : "floatingCalcPeriodDates", - "globalReference" : "a54e5fcd" + "globalReference" : "3836d691", + "externalReference" : "floatingCalcPeriodDates" }, + "resetRelativeTo" : "CalculationPeriodStartDate", "fixingDates" : { + "periodMultiplier" : -2, + "period" : "D", "meta" : { - "globalKey" : "131ae8a2" + "globalKey" : "eff6d356" }, - "period" : "D", - "periodMultiplier" : -2, - "dayType" : "BUSINESS", + "dayType" : "Business", + "businessDayConvention" : "NONE", "businessCenters" : { "businessCenter" : [ { "value" : "GBLO" @@ -1896,82 +1859,79 @@ "globalKey" : "21479e" } }, - "businessDayConvention" : "NONE", "dateRelativeTo" : { - "externalReference" : "resetDates", - "globalReference" : "d533d3ee" + "globalReference" : "25625c64", + "externalReference" : "resetDates" } }, - "meta" : { - "externalKey" : "resetDates", - "globalKey" : "d533d3ee" + "resetFrequency" : { + "periodMultiplier" : 6, + "period" : "M", + "meta" : { + "globalKey" : "107" + } }, "resetDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", "businessCenters" : { "businessCentersReference" : { - "externalReference" : "primaryBusinessCenters", - "globalReference" : "1ff50d" + "globalReference" : "1ff50d", + "externalReference" : "primaryBusinessCenters" }, "meta" : { "globalKey" : "da36cf11" } }, - "businessDayConvention" : "MODFOLLOWING", "meta" : { "globalKey" : "b7d7eda0" } }, - "resetFrequency" : { - "meta" : { - "globalKey" : "959" - }, - "period" : "M", - "periodMultiplier" : 6 - }, - "resetRelativeTo" : "CALCULATION_PERIOD_START_DATE" + "meta" : { + "globalKey" : "25625c64", + "externalKey" : "resetDates" + } + }, + "meta" : { + "globalKey" : "56791807" } }, { "payerReceiver" : { - "payer" : "PARTY_2", - "receiver" : "PARTY_1" + "payer" : "Party2", + "receiver" : "Party1" }, "priceQuantity" : { - "meta" : { - "globalKey" : "0" - }, "quantitySchedule" : { "address" : { "scope" : "DOCUMENT", "value" : "quantity-2" } + }, + "meta" : { + "globalKey" : "0" } }, - "calculationPeriodDates" : { - "calculationPeriodDatesAdjustments" : { - "businessCenters" : { - "businessCentersReference" : { - "externalReference" : "primaryBusinessCenters", - "globalReference" : "1ff50d" - }, - "meta" : { - "globalKey" : "da36cf11" - } - }, - "businessDayConvention" : "MODFOLLOWING", - "meta" : { - "globalKey" : "b7d7eda0" - } - }, - "calculationPeriodFrequency" : { - "meta" : { - "globalKey" : "2b8fa" - }, - "period" : "Y", - "periodMultiplier" : 1, - "rollConvention" : "14" - }, + "rateSpecification" : { + "fixedRate" : { + "rateSchedule" : { + "price" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "price-1" + } + } + }, + "meta" : { + "globalKey" : "0" + } + } + }, + "dayCountFraction" : { + "value" : "30E/360" + }, + "calculationPeriodDates" : { "effectiveDate" : { "adjustableDate" : { + "unadjustedDate" : "1994-12-14", "dateAdjustments" : { "businessDayConvention" : "NONE", "meta" : { @@ -1980,241 +1940,292 @@ }, "meta" : { "globalKey" : "ea1a6ec6" - }, - "unadjustedDate" : "1994-12-14" + } }, "meta" : { "globalKey" : "ea1a6ec6" } }, - "meta" : { - "externalKey" : "fixedCalcPeriodDates", - "globalKey" : "fbf296c2" - }, "terminationDate" : { "adjustableDate" : { + "unadjustedDate" : "1999-12-14", "dateAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", "businessCenters" : { "businessCentersReference" : { - "externalReference" : "primaryBusinessCenters", - "globalReference" : "1ff50d" + "globalReference" : "1ff50d", + "externalReference" : "primaryBusinessCenters" }, "meta" : { "globalKey" : "da36cf11" } }, - "businessDayConvention" : "MODFOLLOWING", "meta" : { "globalKey" : "b7d7eda0" } }, "meta" : { "globalKey" : "97297aae" - }, - "unadjustedDate" : "1999-12-14" + } }, "meta" : { "globalKey" : "97297aae" } - } - }, - "dayCountFraction" : { - "value" : "30E/360" - }, - "meta" : { - "globalKey" : "8b5a674a" - }, - "paymentDates" : { - "meta" : { - "globalKey" : "8c0b550e" }, - "payRelativeTo" : "CALCULATION_PERIOD_END_DATE", - "paymentDatesAdjustments" : { + "calculationPeriodDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", "businessCenters" : { "businessCentersReference" : { - "externalReference" : "primaryBusinessCenters", - "globalReference" : "1ff50d" + "globalReference" : "1ff50d", + "externalReference" : "primaryBusinessCenters" }, "meta" : { "globalKey" : "da36cf11" } }, - "businessDayConvention" : "MODFOLLOWING", "meta" : { "globalKey" : "b7d7eda0" } }, - "paymentFrequency" : { + "calculationPeriodFrequency" : { + "periodMultiplier" : 1, + "period" : "Y", "meta" : { - "globalKey" : "ac8" + "globalKey" : "1794a" }, - "period" : "Y", - "periodMultiplier" : 1 + "rollConvention" : "14" + }, + "meta" : { + "globalKey" : "a5f8cf12", + "externalKey" : "fixedCalcPeriodDates" } }, - "rateSpecification" : { - "fixedRate" : { + "paymentDates" : { + "paymentFrequency" : { + "periodMultiplier" : 1, + "period" : "Y", "meta" : { - "globalKey" : "0" - }, - "rateSchedule" : { - "price" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "price-1" - } + "globalKey" : "78" + } + }, + "payRelativeTo" : "CalculationPeriodEndDate", + "paymentDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCentersReference" : { + "globalReference" : "1ff50d", + "externalReference" : "primaryBusinessCenters" + }, + "meta" : { + "globalKey" : "da36cf11" } + }, + "meta" : { + "globalKey" : "b7d7eda0" } + }, + "meta" : { + "globalKey" : "b32991fe" } + }, + "meta" : { + "globalKey" : "3703de42" } } ], "meta" : { - "globalKey" : "e40a62af" + "globalKey" : "a74ffedb" } } }, "meta" : { - "globalKey" : "88a15c60" + "globalKey" : "4be6f88c" } }, "meta" : { - "globalKey" : "88a15c60" + "globalKey" : "4be6f88c" } }, "tradeLot" : [ { "priceQuantity" : [ { - "meta" : { - "globalKey" : "3ce21b9b" - }, - "observable" : { - "meta" : { - "globalKey" : "53c66a4c" - }, - "rateOption" : { - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "rateOption-1" - } ] - }, - "value" : { - "floatingRateIndex" : { - "value" : "EUR-LIBOR-BBA" - }, - "indexTenor" : { + "quantity" : [ { + "value" : { + "value" : 50000000.00, + "unit" : { + "currency" : { + "value" : "EUR", "meta" : { - "globalKey" : "959" - }, - "period" : "M", - "periodMultiplier" : 6 + "scheme" : "http://www.fpml.org/coding-scheme/external/iso4217" + } } } - } - }, - "quantity" : [ { + }, "meta" : { "location" : [ { "scope" : "DOCUMENT", "value" : "quantity-1" } ] - }, - "value" : { - "unit" : { - "currency" : { + } + } ], + "observable" : { + "rateOption" : { + "value" : { + "floatingRateIndex" : { + "value" : "EUR-LIBOR-BBA" + }, + "indexTenor" : { + "periodMultiplier" : 6, + "period" : "M", "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/iso4217" - }, - "value" : "EUR" + "globalKey" : "107" + } } }, - "value" : 50000000.00 + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "rateOption-1" + } ] + } + }, + "meta" : { + "globalKey" : "2505dd46" } - } ] - }, { - "meta" : { - "globalKey" : "4882fcbc" }, + "meta" : { + "globalKey" : "c0d07bed" + } + }, { "price" : [ { - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-1" - } ] - }, "value" : { + "value" : 0.06, "unit" : { "currency" : { + "value" : "EUR", "meta" : { "scheme" : "http://www.fpml.org/coding-scheme/external/iso4217" - }, - "value" : "EUR" + } } }, - "value" : 0.06, "perUnitOf" : { "currency" : { + "value" : "EUR", "meta" : { "scheme" : "http://www.fpml.org/coding-scheme/external/iso4217" - }, - "value" : "EUR" + } } }, - "priceType" : "INTEREST_RATE" - } - } ], - "quantity" : [ { + "priceType" : "InterestRate" + }, "meta" : { "location" : [ { "scope" : "DOCUMENT", - "value" : "quantity-2" + "value" : "price-1" } ] - }, + } + } ], + "quantity" : [ { "value" : { + "value" : 50000000.00, "unit" : { "currency" : { + "value" : "EUR", "meta" : { "scheme" : "http://www.fpml.org/coding-scheme/external/iso4217" - }, - "value" : "EUR" + } } - }, - "value" : 50000000.00 + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } ] } - } ] + } ], + "meta" : { + "globalKey" : "c7dc9ac4" + } } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "9495a03c", + "externalReference" : "party1" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "ca05a501", + "externalReference" : "party2" + } } ] }, - "tradeDate" : { - "meta" : { - "globalKey" : "3e530c" - }, - "value" : "1994-12-12" - }, - "tradeIdentifier" : [ { - "assignedIdentifier" : [ { + "party" : [ { + "partyId" : [ { "identifier" : { + "value" : "PARTYAUS33", "meta" : { - "scheme" : "http://www.barclays.com/swaps/trade-id" - }, - "value" : "SW2000" + "scheme" : "http://www.fpml.org/coding-scheme/external/iso9362" + } }, - "version" : 1 + "identifierType" : "BIC", + "meta" : { + "globalKey" : "3d5ebc15" + } } ], - "issuerReference" : { - "externalReference" : "party2", - "globalReference" : "ca05a501" + "name" : { + "value" : "Party A" }, "meta" : { - "globalKey" : "fc2ee432" + "globalKey" : "9495a03c", + "externalKey" : "party1" } - } ] + }, { + "partyId" : [ { + "identifier" : { + "value" : "BARCGB2L", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/iso9362" + } + }, + "identifierType" : "BIC", + "meta" : { + "globalKey" : "ca05a501" + } + } ], + "meta" : { + "globalKey" : "ca05a501", + "externalKey" : "party2" + } + } ], + "meta" : { + "globalKey" : "b2493d2f" + } + }, + "state" : { + "positionState" : "Executed" + }, + "meta" : { + "globalKey" : "ed5a94fe" } } ], - "eventQualifier" : "Execution", "meta" : { - "globalKey" : "a5bcedab" + "globalKey" : "b45f561b" + } + }, + "previousWorkflowStep" : { + "globalReference" : "778a2256" + }, + "messageInformation" : { + "messageId" : { + "value" : "msg-2" } }, + "timestamp" : [ { + "dateTime" : "1994-12-12T19:13:00Z", + "qualification" : "eventCreationDateTime" + } ], "eventIdentifier" : [ { "assignedIdentifier" : [ { "identifier" : { @@ -2225,58 +2236,47 @@ "globalKey" : "313800" } } ], - "messageInformation" : { - "messageId" : { - "value" : "msg-2" - } - }, - "meta" : { - "globalKey" : "40ca964e" - }, + "action" : "Correct", "party" : [ { - "meta" : { - "externalKey" : "party2", - "globalKey" : "ca05a501" - }, "partyId" : [ { "identifier" : { + "value" : "BARCGB2L", "meta" : { "scheme" : "http://www.fpml.org/coding-scheme/external/iso9362" - }, - "value" : "BARCGB2L" + } }, "identifierType" : "BIC", "meta" : { "globalKey" : "ca05a501" } - } ] - }, { + } ], "meta" : { - "externalKey" : "party1", - "globalKey" : "a82d45fc" - }, - "name" : { - "value" : "Party A" - }, + "globalKey" : "ca05a501", + "externalKey" : "party2" + } + }, { "partyId" : [ { "identifier" : { + "value" : "PARTYAUS33", "meta" : { "scheme" : "http://www.fpml.org/coding-scheme/external/iso9362" - }, - "value" : "PARTYAUS33" + } }, "identifierType" : "BIC", "meta" : { "globalKey" : "3d5ebc15" } - } ] + } ], + "name" : { + "value" : "Party A" + }, + "meta" : { + "globalKey" : "9495a03c", + "externalKey" : "party1" + } } ], - "previousWorkflowStep" : { - "globalReference" : "75bcdcc" - }, - "timestamp" : [ { - "dateTime" : "1994-12-12T19:13:00Z", - "qualification" : "EVENT_CREATION_DATE_TIME" - } ] + "meta" : { + "globalKey" : "20a3e512" + } } ] } \ No newline at end of file