{
  "pricing": {
    "as_of_date": "2025-01-15",
    "rates": {
      "indices": [
        {
          "id": "USD_SOFR",
          "name": "SOFR",
          "index_type": "Overnight",
          "currency": "USD",
          "tenor": {
            "n": 0,
            "unit": "Days"
          },
          "fixing_days": 0,
          "calendar": "UnitedStatesGovernmentBond",
          "day_counter": "Actual360",
          "business_day_convention": "ModifiedFollowing",
          "end_of_month": true
        }
      ],
      "curves": [
        {
          "id": "USD_SOFR_OIS",
          "reference_date": "2025-01-15",
          "day_counter": "Actual365Fixed",
          "interpolator": "LogLinear",
          "bootstrap_trait": "Discount",
          "points": [
            {
              "point_type": "OISHelper",
              "point": {
                "rate": 0.0533,
                "settlement_days": 2,
                "overnight_index": {
                  "id": "USD_SOFR"
                },
                "tenor": {
                  "n": 1,
                  "unit": "Months"
                },
                "calendar": "UnitedStatesGovernmentBond",
                "fixed_leg_convention": "ModifiedFollowing",
                "fixed_leg_frequency": "Annual",
                "payment_lag": 2,
                "averaging_method": "Compound",
                "lookback_days": 0,
                "lockout_days": 0,
                "apply_observation_shift": false
              }
            },
            {
              "point_type": "OISHelper",
              "point": {
                "rate": 0.053,
                "settlement_days": 2,
                "overnight_index": {
                  "id": "USD_SOFR"
                },
                "tenor": {
                  "n": 3,
                  "unit": "Months"
                },
                "calendar": "UnitedStatesGovernmentBond",
                "fixed_leg_convention": "ModifiedFollowing",
                "fixed_leg_frequency": "Annual",
                "payment_lag": 2,
                "averaging_method": "Compound",
                "lookback_days": 0,
                "lockout_days": 0,
                "apply_observation_shift": false
              }
            },
            {
              "point_type": "OISHelper",
              "point": {
                "rate": 0.052,
                "settlement_days": 2,
                "overnight_index": {
                  "id": "USD_SOFR"
                },
                "tenor": {
                  "n": 6,
                  "unit": "Months"
                },
                "calendar": "UnitedStatesGovernmentBond",
                "fixed_leg_convention": "ModifiedFollowing",
                "fixed_leg_frequency": "Annual",
                "payment_lag": 2,
                "averaging_method": "Compound",
                "lookback_days": 0,
                "lockout_days": 0,
                "apply_observation_shift": false
              }
            },
            {
              "point_type": "OISHelper",
              "point": {
                "rate": 0.0495,
                "settlement_days": 2,
                "overnight_index": {
                  "id": "USD_SOFR"
                },
                "tenor": {
                  "n": 1,
                  "unit": "Years"
                },
                "calendar": "UnitedStatesGovernmentBond",
                "fixed_leg_convention": "ModifiedFollowing",
                "fixed_leg_frequency": "Annual",
                "payment_lag": 2,
                "averaging_method": "Compound",
                "lookback_days": 0,
                "lockout_days": 0,
                "apply_observation_shift": false
              }
            },
            {
              "point_type": "OISHelper",
              "point": {
                "rate": 0.044,
                "settlement_days": 2,
                "overnight_index": {
                  "id": "USD_SOFR"
                },
                "tenor": {
                  "n": 2,
                  "unit": "Years"
                },
                "calendar": "UnitedStatesGovernmentBond",
                "fixed_leg_convention": "ModifiedFollowing",
                "fixed_leg_frequency": "Annual",
                "payment_lag": 2,
                "averaging_method": "Compound",
                "lookback_days": 0,
                "lockout_days": 0,
                "apply_observation_shift": false
              }
            },
            {
              "point_type": "OISHelper",
              "point": {
                "rate": 0.0405,
                "settlement_days": 2,
                "overnight_index": {
                  "id": "USD_SOFR"
                },
                "tenor": {
                  "n": 3,
                  "unit": "Years"
                },
                "calendar": "UnitedStatesGovernmentBond",
                "fixed_leg_convention": "ModifiedFollowing",
                "fixed_leg_frequency": "Annual",
                "payment_lag": 2,
                "averaging_method": "Compound",
                "lookback_days": 0,
                "lockout_days": 0,
                "apply_observation_shift": false
              }
            },
            {
              "point_type": "OISHelper",
              "point": {
                "rate": 0.0375,
                "settlement_days": 2,
                "overnight_index": {
                  "id": "USD_SOFR"
                },
                "tenor": {
                  "n": 5,
                  "unit": "Years"
                },
                "calendar": "UnitedStatesGovernmentBond",
                "fixed_leg_convention": "ModifiedFollowing",
                "fixed_leg_frequency": "Annual",
                "payment_lag": 2,
                "averaging_method": "Compound",
                "lookback_days": 0,
                "lockout_days": 0,
                "apply_observation_shift": false
              }
            },
            {
              "point_type": "OISHelper",
              "point": {
                "rate": 0.0365,
                "settlement_days": 2,
                "overnight_index": {
                  "id": "USD_SOFR"
                },
                "tenor": {
                  "n": 7,
                  "unit": "Years"
                },
                "calendar": "UnitedStatesGovernmentBond",
                "fixed_leg_convention": "ModifiedFollowing",
                "fixed_leg_frequency": "Annual",
                "payment_lag": 2,
                "averaging_method": "Compound",
                "lookback_days": 0,
                "lockout_days": 0,
                "apply_observation_shift": false
              }
            },
            {
              "point_type": "OISHelper",
              "point": {
                "rate": 0.036,
                "settlement_days": 2,
                "overnight_index": {
                  "id": "USD_SOFR"
                },
                "tenor": {
                  "n": 10,
                  "unit": "Years"
                },
                "calendar": "UnitedStatesGovernmentBond",
                "fixed_leg_convention": "ModifiedFollowing",
                "fixed_leg_frequency": "Annual",
                "payment_lag": 2,
                "averaging_method": "Compound",
                "lookback_days": 0,
                "lockout_days": 0,
                "apply_observation_shift": false
              }
            },
            {
              "point_type": "OISHelper",
              "point": {
                "rate": 0.0358,
                "settlement_days": 2,
                "overnight_index": {
                  "id": "USD_SOFR"
                },
                "tenor": {
                  "n": 15,
                  "unit": "Years"
                },
                "calendar": "UnitedStatesGovernmentBond",
                "fixed_leg_convention": "ModifiedFollowing",
                "fixed_leg_frequency": "Annual",
                "payment_lag": 2,
                "averaging_method": "Compound",
                "lookback_days": 0,
                "lockout_days": 0,
                "apply_observation_shift": false
              }
            },
            {
              "point_type": "OISHelper",
              "point": {
                "rate": 0.0352,
                "settlement_days": 2,
                "overnight_index": {
                  "id": "USD_SOFR"
                },
                "tenor": {
                  "n": 20,
                  "unit": "Years"
                },
                "calendar": "UnitedStatesGovernmentBond",
                "fixed_leg_convention": "ModifiedFollowing",
                "fixed_leg_frequency": "Annual",
                "payment_lag": 2,
                "averaging_method": "Compound",
                "lookback_days": 0,
                "lockout_days": 0,
                "apply_observation_shift": false
              }
            },
            {
              "point_type": "OISHelper",
              "point": {
                "rate": 0.0342,
                "settlement_days": 2,
                "overnight_index": {
                  "id": "USD_SOFR"
                },
                "tenor": {
                  "n": 25,
                  "unit": "Years"
                },
                "calendar": "UnitedStatesGovernmentBond",
                "fixed_leg_convention": "ModifiedFollowing",
                "fixed_leg_frequency": "Annual",
                "payment_lag": 2,
                "averaging_method": "Compound",
                "lookback_days": 0,
                "lockout_days": 0,
                "apply_observation_shift": false
              }
            },
            {
              "point_type": "OISHelper",
              "point": {
                "rate": 0.0332,
                "settlement_days": 2,
                "overnight_index": {
                  "id": "USD_SOFR"
                },
                "tenor": {
                  "n": 30,
                  "unit": "Years"
                },
                "calendar": "UnitedStatesGovernmentBond",
                "fixed_leg_convention": "ModifiedFollowing",
                "fixed_leg_frequency": "Annual",
                "payment_lag": 2,
                "averaging_method": "Compound",
                "lookback_days": 0,
                "lockout_days": 0,
                "apply_observation_shift": false
              }
            },
            {
              "point_type": "OISHelper",
              "point": {
                "rate": 0.031,
                "settlement_days": 2,
                "overnight_index": {
                  "id": "USD_SOFR"
                },
                "tenor": {
                  "n": 40,
                  "unit": "Years"
                },
                "calendar": "UnitedStatesGovernmentBond",
                "fixed_leg_convention": "ModifiedFollowing",
                "fixed_leg_frequency": "Annual",
                "payment_lag": 2,
                "averaging_method": "Compound",
                "lookback_days": 0,
                "lockout_days": 0,
                "apply_observation_shift": false
              }
            },
            {
              "point_type": "OISHelper",
              "point": {
                "rate": 0.0295,
                "settlement_days": 2,
                "overnight_index": {
                  "id": "USD_SOFR"
                },
                "tenor": {
                  "n": 50,
                  "unit": "Years"
                },
                "calendar": "UnitedStatesGovernmentBond",
                "fixed_leg_convention": "ModifiedFollowing",
                "fixed_leg_frequency": "Annual",
                "payment_lag": 2,
                "averaging_method": "Compound",
                "lookback_days": 0,
                "lockout_days": 0,
                "apply_observation_shift": false
              }
            }
          ]
        }
      ]
    }
  },
  "swaps": [
    {
      "ois_swap": {
        "swap_type": "Payer",
        "fixed_leg": {
          "notional": 10000000.0,
          "schedule": {
            "calendar": "UnitedStatesGovernmentBond",
            "effective_date": "2025-01-17",
            "termination_date": "2030-01-17",
            "frequency": "Annual",
            "convention": "ModifiedFollowing",
            "termination_date_convention": "ModifiedFollowing",
            "date_generation_rule": "Forward",
            "end_of_month": false
          },
          "rate": 0.03,
          "day_counter": "Actual360",
          "payment_convention": "ModifiedFollowing"
        },
        "overnight_leg": {
          "notional": 10000000.0,
          "schedule": {
            "calendar": "UnitedStatesGovernmentBond",
            "effective_date": "2025-01-17",
            "termination_date": "2030-01-17",
            "frequency": "Annual",
            "convention": "ModifiedFollowing",
            "termination_date_convention": "ModifiedFollowing",
            "date_generation_rule": "Forward",
            "end_of_month": false
          },
          "index": {
            "id": "USD_SOFR"
          },
          "spread": 0.0,
          "day_counter": "Actual360",
          "payment_convention": "ModifiedFollowing",
          "payment_calendar": "UnitedStatesGovernmentBond",
          "averaging_method": "Compound",
          "lockout_days": 0,
          "apply_observation_shift": false,
          "telescopic_value_dates": false,
          "payment_lag": 2,
          "lookback_days": 0
        }
      },
      "discounting_curve": "USD_SOFR_OIS",
      "forwarding_curve": "USD_SOFR_OIS"
    }
  ]
}