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Project to support the implementation a of smart derivative contract.
Accrual calculation process.
Contains the quoted currency pair, and the information source for
fixing FX rate.
Defines the regions of the spot rate where fixings generate an
accumulation of notional.
Describes a parametric schedule of fixing dates.
Reference to an average rate structure in FxAccrualForward or
FxAccrualOption products.
Specifies the behavior with respect to settlement rights
for the accrual period in which a global knockout event occurs (the "knockout period").
"Keep" means that the parties retain settlement rights at the end of the knckout period,
fixed at the prevailing accrued notional, and settlement rights for all future accrual
periods are extinguished. "Lose" means that settlement rights for the knockout period
and all future accrual periods are extinguished, and the product is effectively
extinguished. This element should be produced in case of a global knockout barrier
(barrierType= "Knockout", scope="Global"), and omitted otherwise.
Reference to an 'FxRateObservable' structure.
Defines the two currencies for an FX trade and the
quotation relationship between the two currencies.
The information source where a published or
displayed market rate will be obtained, e.g. Telerate Page 3750.
An FX Accrual Digital Option product The product defines a list of fixing
(or observation) dates. There are m total fixings. At the expiry date of the product, the buyer of the
option has the right to an FX settlement with n/m * Notional. Payout can be cash or physical.
Notional amount Schedule. The notional value of the
product. This number divided by the total number of fixings in the fixing schedule is
the amount that is accrued at each fixing if the accrual factor is one.
Describes accrual features within the product.
Defines the expiry/observation date or schedule of the
accrual product. The default dates' adjustments are as specified in the definitions.
Defines the settlement/payment date or schedule of the
accrual product. The default dates' adjustments are as specified in the definitions.
A set of parameters defining procedures associated with the
exercise.
Defines one or more conditions under which the option will
payout if exercisable.
Defines a knockout barrier conditions where if a barrier
event occurs, the accrual process is terminated for the duration of all remaining
accrual periods. Settlement rights for the next settlement are either retained or
extinguished.
Premium amount or premium installment amount for an
option.
The product defines a schedule of expiry and delivery dates which specify
settlement periods. The product further defines a schedule of fixing (or observation) dates and defines
regions of spot where the product settlement amounts will accrue. There are n total fixings. One
accumulates a fixed proportion of Notional (1/n) for every observation date that spot fixes within the
pre-defined limits of the accrual regions. If spot breaks the limits, the Notional stops accumulating
during the fixings outside the limits, but continues accruing once spot comes back to the accruing
region. At expiry, one buys the accrued Notional at the pre-agreed hedge rate. Payout can be cash or
physical. The variation of this product include: Accrual Forward (European and American), Double Accrual
Forward (DAF), Boosted Accrual Forward, Fading Forward, Leveraged Accrual Forward, Accrual Forward with
Collars, etc.
Notional amount Schedule. The notional value of the product
per settlement period. The notional amount may differ for each settlement period. This
number divided by the total number of fixings in the settlement period is the amount
that is accrued at each fixing if the accrual factor is one.
Describes accrual features within the product.
Defines the expiry/observation date or schedule of the
accrual product.
Defines the settlement/payment date or schedule of the
accrual product.
An optional element used for FX forwards and certain types
of FX OTC options. For deals consummated in the FX Forwards Market, this represents the
current market rate for a particular currency pair. For barrier and digital/binary
options, it can be useful to include the spot rate at the time the option was executed
to make it easier to know whether the option needs to move "up" or "down" to be
triggered.
A region in which linear payoff applies i.e. the payoff
bears a linear relationship to the fixing value (increases/decreases linearly with the
fixing).
Average Rate Forward: means the average of the Reference
Spot Rate on each Business Day from and including the Calculation Start Date up to and
including the Calculation End Date rounded to the precision decimal places.
Defines a FX Accrual barrier conditions. Element
barrier/scope specifies whether the barrier applies to the expiry period in which it is
observed, or globally for whole product.
It supports the representation of premiums, fees, etc.
Cash settlement currency.
It supports the representation of a matrix/tabular approach
of the product by defining a set of settlement periods.
Condition in which leverage applies.
Leverage rate with optional steps. Format is 2 for 200%.
Notional amount Schedule. The notional value of the product
per settlement period. This number divided by the total number of fixings in the fixing
schedule is the amount that is accrued at each fixing if the accrual factor is one.
The opposite currency amount. The counterCurrencyAmount
element is only optional if averageStrike component is present, in all other cases this
element must be populated.
A fixing region in which the payoff varies linearly with the fixing
value.
The rate of exchange between the two currencies.
The opposite currency amount. The
counterCurrencyAmount element is only optional if averageStrike component is
present or if the accrualRegion specifies the amount of counterCurrencyAmount to
accrue, in all other cases this element must be populated.
Average Strike Forward: means the average of the
Reference Spot Rate on each Business Day from and including the Calculation Start
Date up to and including the Calculation End Date rounded to the precision decimal
places.
Defines the boundaries of the accrual region.
These structures define a leverage multiplier to the payoff
amounts at settlement points.
The amount of gain on the client upside or firm upside is
limited. If spot settles above the cap, or below the floor, the payout is adjusted to
limit the gain. The adjustment may be made by varying the strike, or by maintaining the
strike, but varying the payout notionals.
An FX Accrual Option product The product defines a list of fixing (or
observation) dates. There are m total fixings. At the expiry date of the product, the buyer of the
option has the right to an FX settlement with n/m * Notional. Payout can be cash or physical.
A model defining the currencies exchanged by the parties to
an option.
Notional amount Schedule. The notional value of the
product. This number divided by the total number of fixings in the fixing schedule is
the amount that is accrued at each fixing if the accrual factor is one.
Describes accrual features within the product.
Defines the expiry/observation date or schedule of the
accrual product.
Defines the settlement/payment date or schedule of the
accrual product.
A set of parameters defining procedures associated with the
exercise.
An optional element used for FX forwards and certain types
of FX OTC options. For deals consummated in the FX Forwards Market, this represents the
current market rate for a particular currency pair. For barrier and digital/binary
options, it can be useful to include the spot rate at the time the option was executed
to make it easier to know whether the option needs to move "up" or "down" to be
triggered.
Defines the option strike price.
The opposite currency amount the amount which is
not always deterministic.
Average Strike: means the average of the Reference Spot
Rate on each Business Day from and including the Calculation Start Date up to and
including the Calculation End Date rounded to the precision decimal places.
Average Rate: means the average of the Reference Spot Rate
on each Business Day from and including the Calculation Start Date up to and including
the Calculation End Date rounded to the precision decimal places.
Defines a knockout barrier conditions where if a barrier
event occurs, the accrual process is terminated for the duration of all remaining
accrual periods. Settlement rights for the next settlement are either retained or
extinguished.
Premium amount or premium installment amount for an
option.
Reference to a FX Accrual Payoff Region.
Defines a region of spot rate where the notional for the settlement period
accrues by the accrued amount per fixing each time the spot rate fixes within the region.
Identifies the FX rate used as the basis for the condition (the
accrual region).
Defines the boundaries of the accrual region. If an upper or lower
barrier is not defined then it is understood that if the barrier is missing in the direction
facing the strike then the region is bounded by the strike but excludes the strike; if the
barrier is missing in the direction facing away from the strike then the accrual region is
unbounded in that direction. If the region is bounded by the strike then a barrier should be
included to define whether the region includes or excludes the strike. If accrual regions
overlap, it is understood that if one is nested within another wider region, the nested region
takes precedence over the spot range that it applies. If there is an overlap but no nesting then
this is invalid and barriers must be used to unequivocally define the regions.
Defines the end date of the observation period for the
barrier. If omitted, the last barrier observation point is understood to be the last
fixing date in the fixing schedule.
Defines the end date of the observation period for the
barrier. If omitted, the last barrier observation point is understood to be the last
fixing date in the fixing schedule.
Defines the end date of the observation period for the barrier.
If ommitted, the last barrier observation point is understood to be the last fixing date in
the fixing schedule.
A multiplier applied to the notional amount per fixing of each
currency to specify the amount accrued each time the spot rate fixes within the accrual
region. If the accrualFactor is omitted, the factor is one.
The elements describe which notional amounts are accrued. If
'notionalAmount' is supplied, we accrue notional and then convert through strike to find the
settled 'counterCurrencyNotional'. If both 'notionalAmount' and 'countercurrencyAmount' are
supplied, then each of those two values accrue separately. In the case the product has more
than one accrual region, this can result in a product with a variable effective strike. .
Notional amount Schedule. The notional value of the product
per settlement period. This number divided by the total number of fixings in the fixing
schedule is the amount that is accrued at each fixing if the accrual factor is one.
The opposite currency amount. The 'counterCurrencyAmount'
element is supplied if the accrual process operates on specific amounts of both notional
and counter currency within this accrual region.
The Lower Bound Direction. It only contains the AtOrAbove and Above
values.
The Upper Bound Direction. It only contains the AtOrBelow and Below
values.
Payoff Region within the settlement period to link strike
with the relevant payoff components.
Accrual factor for the settlement period.
The trigger rate of the Global Knockout Barrier for the
settlement period.
Actual fixing dates within the fixing period.
Payoff region
Optional reference to the Payoff Region in the parametric
representation of the product.
Strike for the settlement period.
Counter Currency Amount for the settlement period. Multiple
Counter Currency Amount elements may appear if there are more than one strike in the
settlement period.
Average Strike Fixing Dates.
Average Rate Fixing Dates.
Lower bound to the region.
Upper bound to the region.
Leverage within the period expressed as either an amount or
ratio.
The amount of gain on the client upside or firm upside is limited.
If spot settles above the cap, or below the floor, the payout is adjusted to limit the gain. The
adjustment may be made by varying the strike, or by maintaining the strike, but varying the
payout notionals.
Defines each settlement period in the tabular/matrix representation
of the product.
A shared type between accrual forwards and options where the FX accrual
strike reference can point to.
Reference to a strike structure in FxAccrualForward or FxAccrualOption
products.
Describes a european trigger applied to an FX digtal option.
The information source where a published or displayed
market rate will be obtained, e.g. Telerate Page 3750.
An anchor to be referenced from the accrual region bound.
Reference to a trigger structure in FxAccrualDigitalOption product.
Defines the expiry/observation schedule of the target.
Date adjustments applied to the adjusted dates including the
business day convention and the business centers. The date adjustments are as specified in the
definitions.
List of schedule dates. These dates have been subject to
adjustments based on the dateAdjustments structure.
A layer an Adjustment on the top of the average of the
fixings across the schedule.
Accrual calculation process.
Describes a parametric schedule of fixing dates.
Specifies the rounding precision in terms of a number of
decimal places. Note how a percentage rate rounding of 5 decimal places is expressed as
a rounding precision of 7 in the FpML document since the percentage is expressed as a
decimal, e.g. 9.876543% (or 0.09876543) being rounded to the nearest 5 decimal places is
9.87654% (or 0.0987654).
A type that is used for including the currency exchange rates information
used to cross between the traded currencies for non-base currency FX contracts.
Defines the expiry date of the accrual. The date is adjusted, date
adjustments may be provided, and also the expiry time.
Time of expiration of each expiry date.
A specific date for which an observation against a particular rate
will be made and will be used for subsequent computations.
An optional factor that can be used for weighting certain
observation dates. Typically, firms will weight each date with a factor of 1 if there are
standard, unweighted adjustments. If omitted, weight is defaulted to 1.
Describes a schedule of fixing dates as a parametric description, an
explicit list of dates or both.
Date adjustments applied to the adjusted dates including the
business day convention and the business centers.
List of schedule dates. These dates have been subject to
adjustments based on the dateAdjustments structure.
A parametric description of a schedule of fixing dates.
The number of fixing points in the fixing schedule.
An explicit list of dates in the schedule. Where a conflict
every existed between parametric and explicit dates, the explicit list of dates would
takes precedence.
A type that describes the rate of exchange between the two currencies of
the leg of a deal.
The Quoted Currency Pair that is used across the product.
A type that describes the rate of exchange at which the option has been
struck.
The method by which the strike rate is quoted.
An FX Range Accrual product. A strip of Digital Options product The product
defines a list of fixing (or observation) dates. There are m total fixings. On the relevant Settlement
Date, the Option Seller shall pay to the Option Buyer an amount, in the Settlement Currency, calculated
according to the following formula: Accrual Currency and Notional Amount x (the total number of Accrual
Days / Total Number of Calendar Days in the Accrual Period). Payout can be cash.
Notional amount Schedule. The notional value of the
product. This number divided by the total number of fixings in the fixing schedule is
the amount that is accrued at each fixing if the accrual factor is one.
Describes accrual features within the product.
Defines the expiry/observation date or schedule of the
accrual product.
Defines the settlement/payment date or schedule of the
accrual product.
Defines a knockout barrier conditions where if a barrier
event occurs, the accrual process is terminated for the duration of all remaining
accrual periods. Settlement rights for the next settlement are either retained or
extinguished.
Premium amount or premium installment amount for an
option.
FX rate to be observed. The Quoted Currency Pair that is used
across the product.
Information source for fixing the exchange rate. It is the same
for all fixing periods.
Contains the currency exchange rates information used to cross
between the traded currencies for non-base currency FX contracts.
Reference to an "FxRateObservable" structure.
Describes a schedule of fixing dates as a parametric description, an
explicit list of dates or both.
Date adjustments applied to the adjusted dates including the
business day convention and the business centers.
List of schedule dates. These dates have been subject to
adjustments based on the dateAdjustments structure.
A parametric description of a schedule of fixing dates.
The number of fixing points in the fixing schedule.
An explicit list of dates in the schedule. Where a conflict
every existed between parametric and explicit dates, the explicit list of dates would
takes precedence.
A structured option product which consists of a single digital option or a
strip of digital options. At each settlement the settled amounts are a fraction of the notional amount
for that settlement period calculated as the number of fixings which fall within accrual regions divided
by the total number of fixings in the settlement period.
A structured forward product consisting of a single forward or a strip of
forwards. For each forward, a fixed proportion of Notional is accumulated for each occasion that spot
fixes within pre-defined limits (the 'accrual region') - the proportion determined by the number of
fixings, which may occur every business day or with some other defined frequency. The Notional does not
accumulate during any period where fixings fall outside the accrual region, but resumes accruing when
spot returns within the limits. At expiry, the accrued Notional is bought at the pre-agreed hedge rate
(the 'strike' rate). The trade allows for a hedge rate that is better than the forward rate, however the
notional amount hedged is uncertain, and can be zero in the worst case.
A financial contract between two parties (the buyer and the seller) that
provides the buyer the right to buy a currency (or receive a payment) at expiry. The distinctive
characteristic of this contract is that the Notional to be transacted at expiry is uncertain and depends
on the amount of time that the underlying currency trades within a pre-set level, or levels (the
'accrual barrier', or 'barriers'). The total Notional is only known at the end of the accrual period,
and this extra uncertainty can make an accrual option substantially cheaper than the comparable vanilla
one.
A structured product which consists of a single cash payment or a strip of
cash payments. At each settlement the settled amounts are a fraction of the notional amount for that
settlement period calculated as the number of fixings which fall within accrual regions divided by the
total number of fixings in the settlement period.
Conditions can be expressed in different ways: as a specific level, or a
reference to a strike, or a reference to an average strike in FxAccrualForward and FxAccrualOption, or a
reference to a trigger in FxDigitalOption.
Level expressed as a level.
The Quoted Currency Pair that is used accross the product.
Reference to a strike defined within the FxAccrualForward and
FxAccrualOption products.
Reference to an average rate defined within the FxAccrualForward
and FxAccrualOption products.
Reference to a trigger defined within the FxAccrualDigitalOption
product.
Defines the boundaries of the accrual region. If an upper or lower barrier
is not defined then it is understood that if the barrier is missing in the direction facing the strike
then the region is bounded by the strike but excludes the strike; if the barrier is missing in the
direction facing away from the strike then the accrual region is unbounded in that direction. If the
region is bounded by the strike then a barrier should be included to define whether the region includes
or excludes the strike. If accrual regions overlap, it is understood that if one is nested within
another wider region, the nested region takes precedence over the spot range that it applies. If there
is an overlap but no nesting then this is invalid and barriers must be used to unequivocally define the
regions.
Defines the upper bound of a payoff region.
Defines the lower bound of a payoff region.
Defines the upper bound of a payoff region.
Defines the expiry/observation date or schedule of the accrual product.
Defines the expiry of a single period accrual forward FX
transaction.
The parameters for defining a schedule of expiry periods for an
accrual forward FX transaction.
Defines the settlement/payment date or schedule of the accrual product.
The date on which settlement takes place for a settlement period.
The parameters for defining a schedule of settlement periods for a
accrual forward FX transaction.
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