schemas.fpml-schemas.fpml-ird-5-9.xsd Maven / Gradle / Ivy
A type including a reference to a bond to support the representation of an
asset swap or Condition Precedent Bond.
Reference to a bond underlyer.
To indicate whether the Condition Precedent Bond is applicable. The
swap contract is only valid if the bond is issued and if there is any dispute over the terms of
fixed stream then the bond terms would be used.
To indicate whether the Discrepancy Clause is applicable.
A product to represent a single cashflow.
A known payment between two parties.
A type definining the parameters used in the calculation of fixed or
floating calculation period amounts.
The notional amount or notional amount schedule.
A notional amount schedule where each notional that applied to
a calculation period is calculated with reference to a notional amount or notional amount
schedule in a different currency by means of a spot currency exchange rate which is normally
observed at the beginning of each period.
The fixed rate or fixed rate schedule expressed as explicit
fixed rates and dates. In the case of a schedule, the step dates may be subject to
adjustment in accordance with any adjustments specified in
calculationPeriodDatesAdjustments.
The future value notional is normally only required for BRL
CDI Swaps. The value is calculated as follows: Future Value Notional = Notional Amount *
(1 + Fixed Rate) ^ (Fixed Rate Day Count Fraction). The currency should always match
that expressed in the notional schedule. The value date should match the adjusted
termination date.
This element is the head of a substitution group. It is
substituted by the floatingRateCalculation element for standard Floating Rate legs, or the
inflationRateCalculation element for inflation swaps.
The day count fraction.
The parameters specifying any discounting conventions that may
apply. This element must only be included if discounting applies.
If more that one calculation period contributes to a single payment
amount this element specifies whether compounding is applicable, and if so, what compounding
method is to be used. This element must only be included when more that one calculation period
contributes to a single payment amount.
A type defining the parameters used in the calculation of a fixed or
floating rate calculation period amount. This type forms part of cashflows representation of a swap
stream.
The calculation period start date, adjusted according to any
relevant business day convention.
The calculation period end date, adjusted according to any relevant
business day convention.
The number of days from the adjusted effective / start date to the
adjusted termination / end date calculated in accordance with the applicable day count fraction.
The amount that a cashflow will accrue interest on.
The amount that a cashflow will accrue interest on. This is the
calculated amount of the fx linked - ie the other currency notional amount multiplied by the
appropriate fx spot rate.
The floating rate reset information for the calculation
period.
The calculation period fixed rate. A per annum rate, expressed
as a decimal. A fixed rate of 5% would be represented as 0.05.
The year fraction value of the calculation period, result of
applying the ISDA rules for day count fraction defined in the ISDA Annex.
The amount representing the forecast of the accrued value of the
calculation period. An intermediate value used to generate the forecastPaymentAmount in the
PaymentCalculationPeriod.
A value representing the forecast rate used to calculate the
forecast future value of the accrual period. This is a calculated rate determined based on
averaging the rates in the rateObservation elements, and incorporates all of the rate treatment
and averaging rules. A value of 1% should be represented as 0.01
A type defining the parameters used in the calculation of fixed or floating
rate calculation period amounts or for specifying a known calculation period amount or known amount
schedule.
The parameters used in the calculation of fixed or floaring rate
calculation period amounts.
The known calculation period amount or a known amount schedule
expressed as explicit known amounts and dates. In the case of a schedule, the step dates may be
subject to adjustment in accordance with any adjustments specified in
calculationPeriodDatesAdjustments.
A type defining the parameters used to generate the calculation period
dates schedule, including the specification of any initial or final stub calculation periods. A
calculation perod schedule consists of an optional initial stub calculation period, one or more regular
calculation periods and an optional final stub calculation period. In the absence of any initial or
final stub calculation periods, the regular part of the calculation period schedule is assumed to be
between the effective date and the termination date. No implicit stubs are allowed, i.e. stubs must be
explicitly specified using an appropriate combination of firstPeriodStateDate,
firstRegularPeriodStartDate and lastRegularPeriodEndDate.
The first day of the term of the trade. This day may be subject
to adjustment in accordance with a business day convention.
Defines the effective date.
The last day of the term of the trade. This day may be subject
to adjustment in accordance with a business day convention.
The term/maturity of the swap, express as a tenor (typically in
years).
The business day convention to apply to each calculation period end
date if it would otherwise fall on a day that is not a business day in the specified financial
business centers.
The start date of the calculation period if the date falls before
the effective date. It must only be specified if it is not equal to the effective date. This
date may be subject to adjustment in accordance with a business day convention.
The start date of the regular part of the calculation period
schedule. It must only be specified if there is an initial stub calculation period. This day may
be subject to adjustment in accordance with any adjustments specified in
calculationPeriodDatesAdjustments.
The end date of the initial compounding period when compounding is
applicable. It must only be specified when the compoundingMethod element is present and not
equal to a value of None. This date may be subject to adjustment in accordance with any
adjustments specified in calculationPeriodDatesAdjustments.
The end date of the regular part of the calculation period
schedule. It must only be specified if there is a final stub calculation period. This day may be
subject to adjustment in accordance with any adjustments specified in
calculationPeriodDatesAdjustments.
Method to allocate any irregular period remaining after regular
periods have been allocated between the effective and termination date.
The frequency at which calculation period end dates occur with the
regular part of the calculation period schedule and their roll date convention.
Reference to a calculation period dates component.
A type defining the right of a party to cancel a swap transaction on the
specified exercise dates. The provision is for 'walkaway' cancellation (i.e. the fair value of the swap
is not paid). A fee payable on exercise can be specified.
Definition of the party to whom notice of exercise should be
given.
A flag to indicate whether follow-up confirmation of exercise
(written or electronic) is required following telephonic notice by the buyer to the seller or
seller's agent.
The adjusted dates associated with a cancelable provision. These
dates have been adjusted for any applicable business day convention.
Business date convention adjustment to final payment period per leg
(swapStream) upon exercise event. The adjustments can be made in-line with leg level BDC's or
they can be specified seperately.
An initial fee for the cancelable option.
A type to define the adjusted dates for a cancelable provision on a swap
transaction.
The adjusted dates for an individual cancellation date.
The adjusted dates for a specific cancellation date, including the adjusted
exercise date and adjusted termination date.
The date on which option exercise takes place. This date should
already be adjusted for any applicable business day convention.
The early termination date that is applicable if an early
termination provision is exercised. This date should already be adjusted for any applicable
business day convention.
A type defining an interest rate cap, floor, or cap/floor strategy (e.g.
collar) product.
Reference to the leg, where date adjustments may apply.
The option premium amount payable by buyer to seller on the
specified payment date.
Additional payments between the principal parties.
Parameters specifying provisions relating to the optional
and mandatory early terminarion of a CapFloor transaction.
A type defining the cashflow representation of a swap trade.
A true/false flag to indicate whether the cashflows match the
parametric definition of the stream, i.e. whether the cashflows could be regenerated from the
parameters without loss of information.
The initial, intermediate and final principal exchange amounts.
Typically required on cross currency interest rate swaps where actual exchanges of principal
occur. A list of principal exchange elements may be ordered in the document by ascending
adjusted principal exchange date. An FpML document containing an unordered principal exchange
list is still regarded as a conformant document.
The adjusted payment date and associated calculation period
parameters required to calculate the actual or projected payment amount. A list of payment
calculation period elements may be ordered in the document by ascending adjusted payment date.
An FpML document containing an unordered list of payment calculation periods is still regarded
as a conformant document.
A type defining the parameters necessary for each of the ISDA cash price
methods for cash settlement.
A container for a set of reference institutions. These reference
institutions may be called upon to provide rate quotations as part of the method to determine
the applicable cash settlement amount. If institutions are not specified, it is assumed that
reference institutions will be agreed between the parties on the exercise date, or in the case
of swap transaction to which mandatory early termination is applicable, the cash settlement
valuation date.
The currency in which the cash settlement amount will be calculated
and settled.
Which rate quote is to be observed, either Bid, Mid, Offer or
Exercising Party Pays. The meaning of Exercising Party Pays is defined in the 2000 ISDA
Definitions, Section 17.2. Certain Definitions Relating to Cash Settlement, paragraph (j)
A type to define the cash settlement terms for a product where cash
settlement is applicable.
The time of the cash settlement valuation date when the cash
settlement amount will be determined according to the cash settlement method if the parties have
not otherwise been able to agree the cash settlement amount.
The date on which the cash settlement amount will be determined
according to the cash settlement method if the parties have not otherwise been able to agree the
cash settlement amount.
The date on which the cash settlement amount will be paid, subject
to adjustment in accordance with any applicable business day convention. This component would
not be present for a mandatory early termination provision where the cash settlement payment
date is the mandatory early termination date.
An ISDA defined cash settlement method used for the
determination of the applicable cash settlement amount. The method is defined in the 2006
ISDA Definitions, Section 18.3. Cash Settlement Methods, paragraph (a).
An ISDA defined cash settlement method used for the
determination of the applicable cash settlement amount. The method is defined in the 2006
ISDA Definitions, Section 18.3. Cash Settlement Methods, paragraph (b).
An ISDA defined cash settlement method used for the
determination of the applicable cash settlement amount. The method is defined in the 2006
ISDA Definitions, Section 18.3. Cash Settlement Methods, paragraph (c).
An ISDA defined cash settlement method used for the
determination of the applicable cash settlement amount. The method is defined in the 2006
ISDA Definitions, Section 18.3. Cash Settlement Methods, paragraph (d).
An ISDA defined cash settlement method used for the
determination of the applicable cash settlement amount. The method is defined in the 2006
ISDA Definitions, Section 18.3. Cash Settlement Methods, paragraph (e).
An ISDA defined cash settlement method used for the
determination of the applicable cash settlement amount. The method is defined in the 2006
ISDA Definitions, Section 18.3. Cash Settlement Methods, paragraph (f) (published in
Supplement number 23).
An ISDA defined cash settlement method used for the
determination of the applicable cash settlement amount. The method is defined in the 2006
ISDA Definitions, Section 18.3. Cash Settlement Methods, paragraph (g) (published in
Supplement number 28).
A type defining the cash settlement payment date(s) as either a set of
explicit dates, together with applicable adjustments, or as a date relative to some other (anchor) date,
or as any date in a range of contiguous business days.
A series of dates that shall be subject to adjustment if they would
otherwise fall on a day that is not a business day in the specified business centers, together
with the convention for adjusting the date.
A date specified as some offset to another date (the anchor
date).
A range of contiguous business days.
A container for a set of reference institutions. These reference
institutions may be called upon to provide rate quotations as part of the method to determine
the applicable cash settlement amount. If institutions are not specified, it is assumed that
reference institutions will be agreed between the parties on the exercise date, or in the case
of swap transaction to which mandatory early termination is applicable, the cash settlement
valuation date.
The currency, or currencies, in which the cash settlement amount(s)
will be calculated and settled. While the order in which the currencies are stated is
unimportant, the cash settlement currency or currencies must correspond to one or both of the
constituent currencies of the swap transaction.
Which rate quote is to be observed, either Bid, Mid, Offer or
Exercising Party Pays. The meaning of Exercising Party Pays is defined in the 2000 ISDA
Definitions, Section 17.2. Certain Definitions Relating to Cash Settlement, paragraph (j)
A type to provide the ability to point to multiple payment nodes in the
document through the unbounded paymentDatesReference.
A set of href pointers to calculation period dates defined
somewhere else in the document.
A type to provide the ability to point to multiple payment nodes in the
document through the unbounded paymentDatesReference.
A set of href pointers to payment dates defined somewhere else in
the document.
A type defining discounting information. The 2000 ISDA definitions, section
8.4. discounting (related to the calculation of a discounted fixed amount or floating amount) apply.
This type must only be included if discounting applies.
The discounting method that is applicable.
A type to define the adjusted dates associated with an early termination
provision.
The date on which option exercise takes place. This date should
already be adjusted for any applicable business day convention.
The early termination date that is applicable if an early
termination provision is exercised. This date should already be adjusted for any applicable
business day convention.
The date by which the cash settlement amount must be agreed. This
date should already be adjusted for any applicable business day convention.
The date on which the cash settlement amount is paid. This date
should already be adjusted for any applicable business dat convention.
The date on which the exercise fee amount is paid. This date should
already be adjusted for any applicable business day convention.
A type defining an early termination provision for a swap. This early
termination is at fair value, i.e. on termination the fair value of the product must be settled between
the parties.
A type defining the adjusted dates associated with a particular exercise
event.
The date on which option exercise takes place. This date should
already be adjusted for any applicable business day convention.
The effective date of the underlying swap associated with a given
exercise date. This date should already be adjusted for any applicable business day convention.
The date by which the cash settlement amount must be agreed. This
date should already be adjusted for any applicable business day convention.
The date on which the cash settlement amount is paid. This date
should already be adjusted for any applicable business dat convention.
The date on which the exercise fee amount is paid. This date should
already be adjusted for any applicable business day convention.
This defines the time interval to the start of the exercise period, i.e.
the earliest exercise date, and the frequency of subsequent exercise dates (if any).
The time interval to the first (and possibly only) exercise date in
the exercise period.
The frequency of subsequent exercise dates in the exercise period
following the earliest exercise date. An interval of 1 day should be used to indicate an
American style exercise period.
A type defining an option to extend an existing swap transaction on the
specified exercise dates for a term ending on the specified new termination date.
Definition of the party to whom notice of exercise should be
given.
A flag to indicate whether follow-up confirmation of exercise
(written or electronic) is required following telephonic notice by the buyer to the seller or
seller's agent.
The adjusted dates associated with an extendible provision. These
dates have been adjusted for any applicable business day convention.
A type defining the adjusted dates associated with a provision to extend a
swap.
The adjusted dates associated with a single extendible exercise
date.
A type to define the adjusted dates associated with an individual extension
event.
The date on which option exercise takes place. This date should
already be adjusted for any applicable business day convention.
The termination date if an extendible provision is exercised. This
date should already be adjusted for any applicable business day convention.
The method, prioritzed by the order it is listed in this element, to get a
replacement rate for the disrupted settlement rate option.
Specifies how long to wait to get a quote from a settlement rate
option upon a price source disruption
This settlement rate option will be used in its place.
Request rate quotes from the market.
The calculation agent will decide the rate.
A type to define business date convention adjustment to final payment
period per leg.
Reference to the unadjusted cancellation effective dates.
Reference to the leg, where date adjustments may apply.
Override business date convention. This takes precedence over leg
level information.
A type defining parameters associated with a floating rate reset. This type
forms part of the cashflows representation of a stream.
The final calculated rate for a calculation period after any
required averaging of rates A calculated rate of 5% would be represented as 0.05.
The details of a particular rate observation, including the fixing
date and observed rate. A list of rate observation elements may be ordered in the document by
ascending adjusted fixing date. An FpML document containing an unordered list of rate
observations is still regarded as a conformant document.
A rate multiplier to apply to the floating rate. The multiplier can
be a positive or negative decimal. This element should only be included if the multiplier is not
equal to 1 (one).
The ISDA Spread, if any, which applies for the calculation period.
The spread is a per annum rate, expressed as a decimal. For purposes of determining a
calculation period amount, if positive the spread will be added to the floating rate and if
negative the spread will be subtracted from the floating rate. A positive 10 basis point (0.1%)
spread would be represented as 0.001.
The cap rate, if any, which applies to the floating rate for the
calculation period. The cap rate (strike) is only required where the floating rate on a swap
stream is capped at a certain strike level. The cap rate is assumed to be exclusive of any
spread and is a per annum rate, expressed as a decimal. A cap rate of 5% would be represented as
0.05.
The floor rate, if any, which applies to the floating rate for the
calculation period. The floor rate (strike) is only required where the floating rate on a swap
stream is floored at a certain strike level. The floor rate is assumed to be exclusive of any
spread and is a per annum rate, expressed as a decimal. The floor rate of 5% would be
represented as 0.05.
A type defining a Forward Rate Agreement (FRA) product.
The start date of the calculation period. This date
should already be adjusted for any applicable business day convention. This is also
the date when the observed rate is applied, the reset date.
The end date of the calculation period. This date
should already be adjusted for any applicable business day convention.
The payment date. This date is subject to adjustment in
accordance with any applicable business day convention.
Specifies the fixing date relative to the reset date in
terms of a business days offset and an associated set of financial business centers.
Normally these offset calculation rules will be those specified in the ISDA definition
for the relevant floating rate index (ISDA's Floating Rate Option). However,
non-standard offset calculation rules may apply for a trade if mutually agreed by the
principal parties to the transaction. The href attribute on the dateRelativeTo element
should reference the id attribute on the adjustedEffectiveDate element.
The day count fraction.
The number of days from the adjusted effective date to the
adjusted termination date calculated in accordance with the applicable day count
fraction.
The notional amount.
The calculation period fixed rate. A per annum rate,
expressed as a decimal. A fixed rate of 5% would be represented as 0.05.
The ISDA Designated Maturity, i.e. the tenor of the
floating rate. A FRA can contain either one or two indexTenor instances.
Specifies whether discounting applies and, if so, what
type.
Additional payments between the principal parties (i.e. the
parties referenced as the FRA buyer and seller).
A type that is extending the Offset structure for providing the ability to
specify an FX fixing date as an offset to dates specified somewhere else in the document.
The convention for adjusting a date if it would otherwise
fall on a day that is not a business day.
The payment date references on which settlements in
non-deliverable currency are due and will then have to be converted according to the
terms specified through the other parts of the nonDeliverableSettlement structure.
The calculation period references on which settlements
in non-deliverable currency are due and will then have to be converted according to
the terms specified through the other parts of the nonDeliverableSettlement
structure. Implemented for Brazilian-CDI swaps where it will refer to the
termination date of the appropriate leg.
A type to describe the cashflow representation for fx linked notionals.
The date on which the fx spot rate is observed. This date should
already be adjusted for any applicable business day convention.
The actual observed fx spot rate.
The calculation period notional amount.
A type to describe a notional schedule where each notional that applies to
a calculation period is calculated with reference to a notional amount or notional amount schedule in a
different currency by means of a spot currency exchange rate which is normally observed at the beginning
of each period.
A pointer style reference to the associated constant notional
schedule defined elsewhere in the document which contains the currency amounts which will be
converted into the varying notional currency amounts using the spot currency exchange rate.
The initial currency amount for the varying notional. This may be
omitted for a forward starting swap if the FX-linked notional value is not known at deal
inception.
The currency of the varying notional amount, i.e. the notional
amount being determined periodically based on observation of a spot currency exchange rate.
The dates on which spot currency exchange rates are observed for
purposes of determining the varying notional currency amount that will apply to a calculation
period.
The information source and time at which the spot currency exchange
rate will be observed.
The dates on which interim exchanges of notional are paid. Interim
exchanges will arise as a result of changes in the spot currency exchange amount or changes in
the constant notional schedule (e.g. amortization).
A type defining the components specifiying an Inflation Rate Calculation
an offsetting period from the payment date which determines
the reference period for which the inflation index is onserved.
The reference source such as Reuters or Bloomberg.
The current main publication source such as relevant web
site or a government body.
The method used when calculating the Inflation Index Level
from multiple points - the most common is Linear.
initial known index level for the first calculation
period.
The applicability of a fallback bond as defined in the 2006
ISDA Inflation Derivatives Definitions, sections 1.3 and 1.8.
A type defining the components specifiying an interest rate stream,
including both a parametric and cashflow representation for the stream of payments.
The calculation periods dates schedule.
The payment dates schedule.
The reset dates schedule. The reset dates schedule only
applies for a floating rate stream.
The calculation period amount parameters.
The stub calculation period amount parameters. This element
must only be included if there is an initial or final stub calculation period. Even
then, it must only be included if either the stub references a different floating rate
tenor to the regular calculation periods, or if the stub is calculated as a linear
interpolation of two different floating rate tenors, or if a specific stub rate or stub
amount has been negotiated.
The true/false flags indicating whether initial,
intermediate or final exchanges of principal should occur.
The cashflows representation of the swap stream.
A provision that allows the specification of settlement
terms, occuring when the settlement currency is different to the notional currency of
the trade.
An interest rate derivative formula.
Reference to an InterestRateStream component.
A type to define an early termination provision for which exercise is
mandatory.
The early termination date associated with a mandatory early
termination of a swap.
The ISDA Calculation Agent responsible for performing duties
associated with an optional early termination.
If specified, this means that cash settlement is applicable to the
transaction and defines the parameters associated with the cash settlement prodcedure. If not
specified, then physical settlement is applicable.
The adjusted dates associated with a mandatory early termination
provision. These dates have been adjusted for any applicable business day convention.
A type defining the adjusted dates associated with a mandatory early
termination provision.
The early termination date that is applicable if an early
termination provision is exercised. This date should already be adjusted for any applicable
business day convention.
The date by which the cash settlement amount must be agreed. This
date should already be adjusted for any applicable business day convention.
The date on which the cash settlement amount is paid. This date
should already be adjusted for any applicable business dat convention.
A type defining the parameters used when the reference currency of the
swapStream is non-deliverable.
The currency in which the swap stream is denominated.
The date, when expressed as a relative date, on which the
currency rate will be determined for the purpose of specifying the amount in deliverable
currency.
The date, when expressed as a schedule of date(s), on which the
currency rate will be determined for the purpose of specifying the amount in deliverable
currency.
The rate source for the conversion to the settlement currency. This
source is specified through a scheme that reflects the terms of the Annex A to the 1998 FX and
Currency Option Definitions.
A type defining the parameters to get a new quote when a settlement
rate option is disrupted.
An type defining the notional amount or notional amount schedule associated
with a swap stream. The notional schedule will be captured explicitly, specifying the dates that the
notional changes and the outstanding notional amount that applies from that date. A parametric
representation of the rules defining the notional step schedule can optionally be included.
The notional amount or notional amount schedule expressed as
explicit outstanding notional amounts and dates. In the case of a schedule, the step dates may
be subject to adjustment in accordance with any adjustments specified in
calculationPeriodDatesAdjustments.
A parametric representation of the notional step schedule, i.e.
parameters used to generate the notional schedule.
A type defining a parametric representation of the notional step schedule,
i.e. parameters used to generate the notional balance on each step date. The step change in notional can
be expressed in terms of either a fixed amount or as a percentage of either the initial notional or
previous notional amount. This parametric representation is intended to cover the more common
amortizing/accreting.
A pointer style reference to the associated calculation period
dates component defined elsewhere in the document.
The frequency at which the notional step changes occur. This
frequency must be an integer multiple of the stream calculation period frequency.
Effective date of the first change in notional (i.e. a calculation
period start date).
Effective date of the last change in notional (i.e. a calculation
period start date).
The explicit amount that the notional changes on each step
date. This can be a positive or negative amount.
The percentage amount by which the notional changes on each
step date. The percentage is either a percentage applied to the initial notional amount
or the previous outstanding notional, depending on the value of the element
stepRelativeTo. The percentage can be either positive or negative. A percentage of 5%
would be represented as 0.05.
Specifies whether the notionalStepRate should be applied to
the initial notional or the previous notional in order to calculate the notional step
change amount.
A type defining an early termination provision where either or both parties
have the right to exercise.
If optional early termination is not available to both parties then
this component specifies the buyer and seller of the option.
Definition of the party to whom notice of exercise should be
given.
A flag to indicate whether follow-up confirmation of exercise
(written or electronic) is required following telephonic notice by the buyer to the seller or
seller's agent.
The ISDA Calculation Agent responsible for performing duties
associated with an optional early termination.
If specified, this means that cash settlement is applicable to the
transaction and defines the parameters associated with the cash settlement prodcedure. If not
specified, then physical settlement is applicable.
An early termination provision to terminate the trade at fair value
where one or both parties have the right to decide on termination.
A type defining the adjusted dates associated with an optional early
termination provision.
The adjusted dates associated with an individual earley termination
date.
A type defining the adjusted payment date and associated calculation period
parameters required to calculate the actual or projected payment amount. This type forms part of the
cashflow representation of a swap stream.
The adjusted payment date. This date should already be adjusted for
any applicable business day convention. This component is not intended for use in trade
confirmation but may be specified to allow the fee structure to also serve as a cashflow type
component (all dates the Cashflows type are adjusted payment dates).
The parameters used in the calculation of a fixed or floating
rate calculation period amount. A list of calculation period elements may be ordered in the
document by ascending start date. An FpML document which contains an unordered list of
calcularion periods is still regarded as a conformant document.
A known fixed payment amount.
A decimal value representing the discount factor used to calculate
the present value of cash flow.
A monetary amount representing the forecast of the future value of
the payment.
A monetary amount representing the present value of the forecast
payment.
Attribute that can be used to reference the yield curve used to
estimate the discount factor.
A type defining parameters used to generate the payment dates schedule,
including the specification of early or delayed payments. Payment dates are determined relative to the
calculation period dates or the reset dates.
A pointer style reference to the associated calculation period
dates component defined elsewhere in the document.
A pointer style reference to the associated reset dates
component defined elsewhere in the document.
A pointer style reference to the associated valuation dates
component defined elsewhere in the document. Implemented for Brazilian-CDI Swaps where it
will refer to the settlemementProvision/nonDeliverableSettlement/fxFixingDate structure.
The frequency at which regular payment dates occur. If the payment
frequency is equal to the frequency defined in the calculation period dates component then one
calculation period contributes to each payment amount. If the payment frequency is less frequent
than the frequency defined in the calculation period dates component then more than one
calculation period will contribute to the payment amount. A payment frequency more frequent than
the calculation period frequency or one that is not a multiple of the calculation period
frequency is invalid. If the payment frequency is of value T (term), the period is defined by
the swap\swapStream\calculationPerioDates\effectiveDate and the
swap\swapStream\calculationPerioDates\terminationDate.
The first unadjusted payment date. This day may be subject to
adjustment in accordance with any business day convention specified in paymentDatesAdjustments.
This element must only be included if there is an initial stub. This date will normally
correspond to an unadjusted calculation period start or end date. This is true even if early or
delayed payment is specified to be applicable since the actual first payment date will be the
specified number of days before or after the applicable adjusted calculation period start or end
date with the resulting payment date then being adjusted in accordance with any business day
convention specified in paymentDatesAdjustments.
The last regular unadjusted payment date. This day may be subject
to adjustment in accordance with any business day convention specified in
paymentDatesAdjustments. This element must only be included if there is a final stub. All
calculation periods after this date contribute to the final payment. The final payment is made
relative to the final set of calculation periods or the final reset date as the case may be.
This date will normally correspond to an unadjusted calculation period start or end date. This
is true even if early or delayed payment is specified to be applicable since the actual last
regular payment date will be the specified number of days before or after the applicable
adjusted calculation period start or end date with the resulting payment date then being
adjusted in accordance with any business day convention specified in paymentDatesAdjustments.
Specifies whether the payments occur relative to each adjusted
calculation period start date, adjusted calculation period end date or each reset date. The
reset date is applicable in the case of certain euro (former French Franc) floating rate
indices. Calculation period start date means relative to the start of the first calculation
period contributing to a given payment. Similarly, calculation period end date means the end of
the last calculation period contributing to a given payment.The valuation date is applicable for
Brazilian-CDI swaps.
If early payment or delayed payment is required, specifies the
number of days offset that the payment occurs relative to what would otherwise be the unadjusted
payment date. The offset can be specified in terms of either calendar or business days. Even in
the case of a calendar days offset, the resulting payment date, adjusted for the specified
calendar days offset, will still be adjusted in accordance with the specified payment dates
adjustments. This element should only be included if early or delayed payment is applicable,
i.e. if the periodMultiplier element value is not equal to zero. An early payment would be
indicated by a negative periodMultiplier element value and a delayed payment (or payment lag)
would be indicated by a positive periodMultiplier element value.
The business day convention to apply to each payment date if it
would otherwise fall on a day that is not a business day in the specified financial business
centers.
Reference to a payment dates structure.
A type defining the parameters used to get a price quote to replace the
settlement rate option that is disrupted.
The method, prioritzed by the order it is listed in this element,
to get a replacement rate for the disrupted settlement rate option.
A type defining a principal exchange amount and adjusted exchange date. The
type forms part of the cashflow representation of a swap stream.
The principal exchange date. This date should already be adjusted
for any applicable business day convention.
The principal exchange amount. This amount should be positive if
the stream payer is paying the exchange amount and signed negative if they are receiving it.
The value representing the discount factor used to calculate the
present value of the principal exchange amount.
The amount representing the present value of the principal
exchange.
Reference to relevant underlying date.
A type defining the parameters used to generate the reset dates schedule
and associated fixing dates. The reset dates are determined relative to the calculation periods
schedules dates.
A pointer style reference to the associated calculation period
dates component defined elsewhere in the document.
Specifies whether the reset dates are determined with respect to
each adjusted calculation period start date or adjusted calculation period end date. If the
reset frequency is specified as daily this element must not be included.
Specifies the fixing date relative to the reset date in terms of a
business days offset and an associated set of financial business centers. Normally these offset
calculation rules will be those specified in the ISDA definition for the relevant floating rate
index (ISDA's Floating Rate Option). However, non-standard offset calculation rules may apply
for a trade if mutually agreed by the principal parties to the transaction. The href attribute
on the dateRelativeTo element should reference the id attribute on the resetDates element.
Specifies the number of business days before the period end date
when the rate cut-off date is assumed to apply. The financial business centers associated with
determining the rate cut-off date are those specified in the reset dates adjustments. The rate
cut-off number of days must be a negative integer (a value of zero would imply no rate cut off
applies in which case the rateCutOffDaysOffset element should not be included). The relevant
rate for each reset date in the period from, and including, a rate cut-off date to, but
excluding, the next applicable period end date (or, in the case of the last calculation period,
the termination date) will (solely for purposes of calculating the floating amount payable on
the next applicable payment date) be deemed to be the relevant rate in effect on that rate
cut-off date. For example, if rate cut-off days for a daily averaging deal is -2 business days,
then the refix rate applied on (period end date - 2 days) will also be applied as the reset on
(period end date - 1 day), i.e. the actual number of reset dates remains the same but from the
rate cut-off date until the period end date, the same refix rate is applied. Note that in the
case of several calculation periods contributing to a single payment, the rate cut-off is
assumed only to apply to the final calculation period contributing to that payment. The day type
associated with the offset must imply a business days offset.
The frequency at which reset dates occur. In the case of a weekly
reset frequency, also specifies the day of the week that the reset occurs. If the reset
frequency is greater than the calculation period frequency then this implies that more than one
reset date is established for each calculation period and some form of rate averaging is
applicable.
The business day convention to apply to each reset date if it would
otherwise fall on a day that is not a business day in the specified financial business centers.
Reference to a reset dates component.
A type defining the specification of settlement terms, occuring when the
settlement currency is different to the notional currency of the trade.
The currency that stream settles in (to support swaps that settle
in a currency different from the notional currency).
The specification of the non-deliverable settlement provision.
A type describing the buyer and seller of an option.
A type defining how the initial or final stub calculation period amounts is
calculated. For example, the rate to be applied to the initial or final stub calculation period may be
the linear interpolation of two different tenors for the floating rate index specified in the
calculation period amount component, e.g. A two month stub period may used the linear interpolation of a
one month and three month floating rate. The different rate tenors would be specified in this component.
Note that a maximum of two rate tenors can be specified. If a stub period uses a single index tenor and
this is the same as that specified in the calculation period amount component then the initial stub or
final stub component, as the case may be, must not be included.
A pointer style reference to the associated calculation period
dates component defined elsewhere in the document.
Specifies how the initial stub amount is calculated. A
single floating rate tenor different to that used for the regular part of the
calculation periods schedule may be specified, or two floating tenors may be specified.
If two floating rate tenors are specified then Linear Interpolation (in accordance with
the 2000 ISDA Definitions, Section 8.3. Interpolation) is assumed to apply.
Alternatively, an actual known stub rate or stub amount may be specified.
Specifies how the final stub amount is calculated. A single
floating rate tenor different to that used for the regular part of the calculation
periods schedule may be specified, or two floating tenors may be specified. If two
floating rate tenors are specified then Linear Interpolation (in accordance with the
2000 ISDA Definitions, Section 8.3. Interpolation) is assumed to apply. Alternatively,
an actual known stub rate or stub amount may be specified.
Specifies how the final stub amount is calculated. A single
floating rate tenor different to that used for the regular part of the calculation periods
schedule may be specified, or two floating tenors may be specified. If two floating rate
tenors are specified then Linear Interpolation (in accordance with the 2000 ISDA
Definitions, Section 8.3. Interpolation) is assumed to apply. Alternatively, an actual known
stub rate or stub amount may be specified.
A type defining swap streams and additional payments between the principal
parties involved in the swap.
The swap streams.
Parameters specifying provisions relating to the optional
and mandatory early terminarion of a swap transaction.
A provision that allows the specification of an embedded
option within a swap giving the buyer of the option the right to terminate the swap, in
whole or in part, on the early termination date.
A provision that allows the specification of an embedded
option with a swap giving the buyer of the option the right to extend the swap, in whole
or in part, to the extended termination date.
Additional payments between the principal parties.
Contains any additional terms to the swap contract.
Additional terms to a swap contract.
Reference to a bond underlyer to represent an asset swap or
Condition Precedent Bond.
A type to define an option on a swap.
The option premium amount payable by buyer to seller on the
specified payment date.
A set of parameters defining procedures associated with the
exercise.
The ISDA Calculation Agent responsible for performing
duties associated with an optional early termination.
In the absence of both cashSettlement and (explicit)
physicalSettlement terms, physical settlement is inferred.
If specified, this means that cash settlement is
applicable to the transaction and defines the parameters associated with the cash
settlement procedure. If not specified, then physical settlement is applicable.
If specified, this defines physical settlement terms
which apply to the transaction.
Whether the option is a swaption or a swaption straddle.
The adjusted dates associated with swaption exercise. These
dates have been adjusted for any applicable business day convention.
A type describing the adjusted dates associated with swaption exercise and
settlement.
The adjusted dates associated with an individual swaption exercise
date.
Reference to a Valuation dates node.
Specifies how long to wait to get a quote from a settlement rate option
upon a price source disruption.
The maximum number of days to wait for a quote from the disrupted
settlement rate option before proceding to the next method.
A type defining the parameters required for each of the ISDA defined yield
curve methods for cash settlement.
The method for obtaining a settlement rate. This may be from some
information source (e.g. Reuters) or from a set of reference banks.
Which rate quote is to be observed, either Bid, Mid, Offer or
Exercising Party Pays. The meaning of Exercising Party Pays is defined in the 2000 ISDA
Definitions, Section 17.2. Certain Definitions Relating to Cash Settlement, paragraph (j)
A product to represent a single known payment.
A cap, floor or cap floor structures product definition.
A floating rate calculation definition.
A forward rate agreement product definition.
An inflation rate calculation definition.
The base element for the floating rate calculation definitions.
A swap product definition.
A swaption product definition.
Model group enforces association of day count fraction with the discount
rate.
A discount rate, expressed as a decimal, to be used in the
calculation of a discounted amount. A discount amount of 5% would be represented as 0.05.
A discount day count fraction to be used in the calculation of a
discounted amount.
A mandatory early termination provision to terminate the swap at
fair value.
Period after trade date of the mandatory early termination
date.
A mandatory early termination provision to terminate the swap
at fair value.
An option for either or both parties to terminate the swap at fair
value.
Definition of the first early termination date and the
frequency of the termination dates subsequent to that. American exercise is defined by
having a frequency of one day.
An option for either or both parties to terminate the swap at
fair value.
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