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104 lines
3.0 KiB
JSON
104 lines
3.0 KiB
JSON
{
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"fixedLeg": {
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"fixedRatePayer": "Bank A",
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"notional": {
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"pennies": 2500000000,
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"currency": "USD"
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},
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"paymentFrequency": "SemiAnnual",
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"effectiveDate": "2016-03-16",
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"effectiveDateAdjustment": null,
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"terminationDate": "2026-03-16",
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"terminationDateAdjustment": null,
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"fixedRate": {
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"ratioUnit": {
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"value": "0.01676"
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}
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},
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"dayCountBasisDay": "D30",
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"dayCountBasisYear": "Y360",
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"rollConvention": "ModifiedFollowing",
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"dayInMonth": 10,
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"paymentRule": "InArrears",
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"paymentDelay": 0,
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"paymentCalendar": "London",
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"interestPeriodAdjustment": "Adjusted"
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},
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"floatingLeg": {
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"floatingRatePayer": "Bank B",
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"notional": {
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"pennies": 2500000000,
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"currency": "USD"
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},
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"paymentFrequency": "Quarterly",
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"effectiveDate": "2016-03-12",
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"effectiveDateAdjustment": null,
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"terminationDate": "2026-03-12",
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"terminationDateAdjustment": null,
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"dayCountBasisDay": "D30",
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"dayCountBasisYear": "Y360",
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"rollConvention": "ModifiedFollowing",
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"fixingRollConvention": "ModifiedFollowing",
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"dayInMonth": 10,
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"resetDayInMonth": 10,
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"paymentRule": "InArrears",
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"paymentDelay": 0,
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"paymentCalendar": [ "London" ],
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"interestPeriodAdjustment": "Adjusted",
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"fixingPeriod": "TWODAYS",
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"resetRule": "InAdvance",
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"fixingsPerPayment": "Quarterly",
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"fixingCalendar": [ "NewYork" ],
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"index": "ICE LIBOR",
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"indexSource": "Rates Service Provider",
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"indexTenor": {
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"name": "3M"
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}
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},
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"calculation": {
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"expression": "( fixedLeg.notional.pennies * (fixedLeg.fixedRate.ratioUnit.value)) -(floatingLeg.notional.pennies * (calculation.fixingSchedule.get(context.getDate('currentDate')).rate.ratioUnit.value))",
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"floatingLegPaymentSchedule": {
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},
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"fixedLegPaymentSchedule": {
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}
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},
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"common": {
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"baseCurrency": "EUR",
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"eligibleCurrency": "EUR",
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"eligibleCreditSupport": "Cash in an Eligible Currency",
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"independentAmounts": {
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"pennies": 0,
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"currency": "EUR"
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},
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"threshold": {
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"pennies": 0,
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"currency": "EUR"
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},
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"minimumTransferAmount": {
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"pennies": 25000000,
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"currency": "EUR"
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},
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"rounding": {
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"pennies": 1000000,
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"currency": "EUR"
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},
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"valuationDate": "Every Local Business Day",
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"notificationTime": "2:00pm London",
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"resolutionTime": "2:00pm London time on the first LocalBusiness Day following the date on which the notice is given ",
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"interestRate": {
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"oracle": "Rates Service Provider",
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"tenor": {
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"name": "6M"
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},
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"ratioUnit": null,
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"name": "EONIA"
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},
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"addressForTransfers": "",
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"exposure": {},
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"localBusinessDay": [ "London" , "NewYork" ],
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"dailyInterestAmount": "(CashAmount * InterestRate ) / (fixedLeg.notional.currency.currencyCode.equals('GBP')) ? 365 : 360",
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"tradeID": "tradeXXX",
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"hashLegalDocs": "put hash here"
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},
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"programRef": "1E6BBA305D445341F0026E51B6C7F3ACB834AFC6C2510C0EF7BC0477235EFECF"
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} |