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Project to support the implementation a of smart derivative contract.
A type defining a number specified as a decimal between -1 and 1
inclusive.
A type defining a time specified in hh:mm:ss format where the second
component must be '00', e.g. 11am would be represented as 11:00:00.
A type defining a number specified as non negative decimal greater than 0
inclusive.
A type defining a number specified as positive decimal greater than 0
exclusive.
A type defining a percentage specified as decimal from 0 to 1. A percentage
of 5% would be represented as 0.05.
The base class for all types which define coding schemes that are allowed
to be empty.
The base class for all types which define coding schemes that must be
populated.
The base class for all types which define coding schemes that must be
populated.
A URI that cannot be empty.
A string. FpML may define lenght restrictions in some views.
A normalized string
A token. FpML redefines this type so that in some views it can enforce that
it may not be empty
A type defining a token of length between 1 and 60 characters inclusive.
A generic account that represents any party's account at another party.
Parties may be identified by the account at another party.
An account identifier. For example an Account number.
The name by which the account is known.
The type of account. e.g., Client, House
A reference to the party beneficiary of the account.
A reference to the party that services/supports the
account.
A reference to the party that services/supports the account.
The unique identifier for the account within the document.
The data type used for account identifiers.
The identifier scheme used with this accountId. A unique URI to
determine the authoritative issuer of these identifiers.
The data type used for the name of the account.
The identifier scheme used with this accountName. A unique URI
to determine the source of the account name.
Reference to an account.
The data type used for account type.
The identifier scheme used with this accountType. A unique URI
to determine the the type of account.
The data type used for ESMA action type.
The identifier scheme used with this actionType. A unique URI
to determine the the type of action.
A type that represents a physical postal address.
The set of street and building number information that identifies a
postal address within a city.
The city component of a postal address.
A country subdivision used in postal addresses in some countries.
For example, US states, Canadian provinces, Swiss cantons.
The ISO 3166 standard code for the country within which the postal
address is located.
The code, required for computerised mail sorting systems, that is
allocated to a physical address by a national postal authority.
A type for defining a date that shall be subject to adjustment if it 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 subject to adjustment.
The business day convention and financial business centers used for
adjusting the date if it would otherwise fall on a day that is not a business date in the
specified business centers.
The date once the adjustment has been performed. (Note that this
date may change if the business center holidays change).
A type that is different from AdjustableDate in two regards. First, date
adjustments can be specified with either a dateAdjustments element or a reference to an existing
dateAdjustments element. Second, it does not require the specification of date adjustments.
A date subject to adjustment.
The business day convention and financial business centers used
for adjusting the date if it would otherwise fall on a day that is not a business dat in the
specified business centers.
A pointer style reference to date adjustments defined elsewhere
in the document.
The date once the adjustment has been performed. (Note that this
date may change if the business center holidays change).
A type for defining 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 dates.
A date subject to adjustment.
The business day convention and financial business centers used for
adjusting the date if it would otherwise fall on a day that is not a business dat in the
specified business centers.
The date once the adjustment has been performed. (Note that this
date may change if the business center holidays change).
A type for defining a series of dates, either as a list of adjustable
dates, or a as a repeating sequence from a base date
A series of adjustable dates
A series of dates specified as a repeating sequence from a base
date.
A type for defining a date that shall be subject to adjustment if it 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.
The date once the adjustment has been performed. (Note that this
date may change if the business center holidays change).
A type giving the choice between defining a date as an explicit date
together with applicable adjustments or as relative to some other (anchor) date.
A date that shall be subject to adjustment if it 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 type giving the choice between defining a series of dates as an explicit
list of dates together with applicable adjustments or as relative to some other series of (anchor)
dates.
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 series of dates specified as some offset to another series of
dates (the anchor dates).
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 series of dates specified as some offset to other dates (the
anchor dates) which can
A type giving the choice between defining a series of dates as an explicit
list of dates together with applicable adjustments, or as relative to some other series of (anchor)
dates, or as a set of factors to specify periodic occurences.
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 series of dates specified as some offset to another series of
dates (the anchor dates).
A type defining a date (referred to as the derived date) as a relative
offset from another date (referred to as the anchor date) plus optional date adjustments.
The business day convention and financial business centers
used for adjusting the relative date if it would otherwise fall on a day that is not a
business date in the specified business centers.
A type defining the exercise period for an American style option together
with any rules governing the notional amount of the underlying which can be exercised on any given
exercise date and any associated exercise fees.
The first day of the exercise period for an American style
option.
The last day within an exercise period for an American
style option. For a European style option it is the only day within the exercise period.
The date on the underlying set by the exercise of an
option. What this date is depends on the option (e.g. in a swaption it is the swap
effective date, in an extendible/cancelable provision it is the swap termination date).
The earliest time at which notice of exercise can be given
by the buyer to the seller (or seller's agent) i) on the expriation date, in the case of
a European style option, (ii) on each bermuda option exercise date and the expiration
date, in the case of a Bermuda style option the commencement date to, and including, the
expiration date , in the case of an American option.
For a Bermuda or American style option, the latest time on
an exercise business day (excluding the expiration date) within the exercise period that
notice can be given by the buyer to the seller or seller's agent. Notice of exercise
given after this time will be deemed to have been given on the next exercise business
day.
The latest time for exercise on expirationDate.
As defined in the 2000 ISDA Definitions, Section 12.4.
Multiple Exercise, the buyer of the option has the right to exercise all or less than
all the unexercised notional amount of the underlying swap on one or more days in the
exercise period, but on any such day may not exercise less than the minimum notional
amount or more that the maximum notional amount, and if an integral multiple amount is
specified, the notional amount exercised must be equal to, or be an intergral multiple
of, the integral multiple amount.
The fees associated with an exercise date. The fees are
conditional on the exercise occuring. The fees can be specified as actual currency
amounts or as percentages of the notional amount being exercised.
Specifies a reference to a monetary amount.
A type defining a currency amount or a currency amount schedule.
The currency in which an amount is denominated.
A type to define automatic exercise of a swaption. With automatic exercise
the option is deemed to have exercised if it is in the money by more than the threshold amount on the
exercise date.
A threshold rate. The threshold of 0.10% would be represented as
0.001
To indicate the limitation percentage and limitation period.
Specifies the limitation percentage in Average Daily trading
volume.
Specifies the limitation period for Average Daily trading volume in
number of days.
A type defining the beneficiary of the funds.
Link to the party acting as beneficiary. This element can only
appear within the beneficiary container element.
A type defining the Bermuda option exercise dates and the expiration date
together with any rules govenerning the notional amount of the underlying which can be exercised on any
given exercise date and any associated exercise fee.
The dates the define the Bermuda option exercise dates and
the expiration date. The last specified date is assumed to be the expiration date. The
dates can either be specified as a series of explicit dates and associated adjustments
or as a series of dates defined relative to another schedule of dates, for example, the
calculation period start dates. Where a relative series of dates are defined the first
and last possible exercise dates can be separately specified.
The date on the underlying set by the exercise of an
option. What this date is depends on the option (e.g. in a swaption it is the swap
effective date, in an extendible/cancelable provision it is the swap termination date).
The earliest time at which notice of exercise can be given
by the buyer to the seller (or seller's agent) i) on the expriation date, in the case of
a European style option, (ii) on each bermuda option exercise date and the expiration
date, in the case of a Bermuda style option the commencement date to, and including, the
expiration date , in the case of an American option.
For a Bermuda or American style option, the latest time on
an exercise business day (excluding the expiration date) within the exercise period that
notice can be given by the buyer to the seller or seller's agent. Notice of exercise
given after this time will be deemed to have been given on the next exercise business
day.
The latest time for exercise on expirationDate.
As defined in the 2000 ISDA Definitions, Section 12.4.
Multiple Exercise, the buyer of the option has the right to exercise all or less than
all the unexercised notional amount of the underlying swap on one or more days in the
exercise period, but on any such day may not exercise less than the minimum notional
amount or more that the maximum notional amount, and if an integral multiple amount is
specified, the notional amount exercised must be equal to, or be an intergral multiple
of, the integral multiple amount.
The fees associated with an exercise date. The fees are
conditional on the exercise occuring. The fees can be specified as actual currency
amounts or as percentages of the notional amount being exercised.
Identifies the market sector in which the trade has been arranged.
The type of broker confirmation executed between the parties.
Identifies the market sector in which the trade has been arranged.
A code identifying a business day calendar location. A business day
calendar location is drawn from the list identified by the business day calendar location scheme.
A type for defining business day calendar used in determining whether a day
is a business day or not. A list of business day calendar locations may be ordered in the document
alphabetically based on business day calendar location code. An FpML document containing an unordered
business day calendar location list is still regarded as a conformant document.
A pointer style reference to a set of business day calendar defined
elsewhere in the document.
A type for defining a time with respect to a business day calendar
location. For example, 11:00am London time.
A time specified in hh:mm:ss format where the second component must
be '00', e.g. 11am would be represented as 11:00:00.
A type defining a range of contiguous business days by defining an
unadjusted first date, an unadjusted last date and a business day convention and business centers for
adjusting the first and last dates if they would otherwise fall on a non business day in the specified
business centers. The days between the first and last date must also be good business days in the
specified centers to be counted in the range.
The convention for adjusting a date if it would otherwise
fall on a day that is not a business day.
A type defining the business day convention and financial business centers
used for adjusting any relevant date if it would otherwise fall on a day that is not a business day in
the specified business centers.
The convention for adjusting a date if it would otherwise fall on a
day that is not a business day.
Reference to a business day adjustments structure.
A type that represents information about a unit within an organization.
A name used to describe the organization unit
An identifier used to uniquely identify organization unit
Information on how to contact the unit using various means.
The ISO 3166 standard code for the country where the individual
works.
Reference to an organizational unit.
A type describing a role played by a unit in one or more transactions.
Examples include roles such as Trader, Collateral, Confirmation, Settlement, etc. This can be extended
to provide custom roles.
A type defining the ISDA calculation agent responsible for performing
duties as defined in the applicable product definitions.
A pointer style reference to a party identifier defined elsewhere
in the document. The party referenced is the ISDA Calculation Agent for the trade. If more than
one party is referenced then the parties are assumed to be co-calculation agents, i.e. they have
joint responsibility.
The ISDA calculation agent responsible for performing duties as
defined in the applicable product definitions. For example, the Calculation Agent may be defined
as being the Non-exercising Party.
A type defining the frequency at which calculation period end dates occur
within the regular part of the calculation period schedule and thier roll date convention. In case the
calculation frequency is of value T (term), the period is defined by the
swap\swapStream\calculationPerioDates\effectiveDate and the
swap\swapStream\calculationPerioDates\terminationDate.
Used in conjunction with a frequency and the regular period
start date of a calculation period, determines each calculation period end date within
the regular part of a calculation period schedule.
An identifier used to identify a single component cashflow.
The notional/principal value/quantity/volume used to compute the
cashflow.
The currency in which an amount is denominated.
The units in which an amount (not monetary) is denominated.
The quantity of notional (in currency or other units).
A coding scheme used to describe the type or purpose of a cash flow or cash
flow component.
A type defining the list of reference institutions polled for relevant
rates or prices when determining the cash settlement amount for a product where cash settlement is
applicable.
An institution (party) identified by means of a coding scheme and
an optional name.
Unless otherwise specified, the principal clearance system customarily used
for settling trades in the relevant underlying.
Specifies whether the swap resulting from physical settlement of
the swaption transaction will clear through a clearing house. The meaning of Cleared Physical
Settlement is defined in the 2006 ISDA Definitions, Section 15.2 (published in Supplement number
28).
A reference to the clearing organization (CCP, DCO) to which the
trade should be cleared.
A type for defining the obligations of the counterparty subject to credit
support requirements.
Independent Amount is an amount that usually less creditworthy
counterparties are asked to provide. It can either be a fixed amount or a percentage of the
Transaction's value. The Independent Amount can be: (i) transferred before any trading between
the parties occurs (as a deposit at a third party's account or with the counterparty) or (ii)
callable after trading has occurred (typically because a downgrade has occurred). In situation
(i), the Independent Amount is not included in the calculation of Exposure, but in situation
(ii), it is included in the calculation of Exposure. Thus, for situation (ii), the Independent
Amount may be transferred along with any collateral call. Independent Amount is a defined term
in the ISDA Credit Support Annex. ("with respect to a party, the amount specified as such for
that party in Paragraph 13; if no amount is specified, zero").
The type of allocation e.g. Full or ExcessOverMargin
A type that represents how to contact an individual or organization.
A telephonic contact.
An address on an electronic mail or messaging sysem .
A postal or street address.
The definitions, such as those published by ISDA, that will define the
terms of the trade.
Identifies the form of applicable matrix.
Specifies the publication date of the applicable version of the
matrix. When this element is omitted, the ISDA supplemental language for incorporation of the
relevant matrix will generally define rules for which version of the matrix is applicable.
Defines any applicable key into the relevant matrix. For example,
the Transaction Type would be the single term required for the Credit Derivatives Physical
Settlement Matrix. This element should be omitted in the case of the 2000 ISDA Definitions
Settlement Matrix for Early Termination and Swaptions.
A contractual supplement (such as those published by ISDA) that will apply
to the trade.
A contractual supplement (such as those published by ISDA) and its
publication date that will apply to the trade.
Identifies the form of applicable contractual supplement.
Specifies the publication date of the applicable version of the
contractual supplement.
A type that describes the information to identify a correspondent bank that
will make delivery of the funds on the paying bank's behalf in the country where the payment is to be
made.
Link to the party acting as correspondent. This element can only
appear within the correspondentInformation container element.
The code representation of a country or an area of special sovereignty. By
default it is a valid 2 character country code as defined by the ISO standard 3166-1 alpha-2 - Codes for
representation of countries http://www.niso.org/standards/resources/3166.html.
The repayment precedence of a debt
instrument.
creditSeniorityTradingScheme overrides creditSeniorityScheme
when the underlyer defines the reference obligation used in a single name credit default
swap trade.
The agreement executed between the parties and intended to govern
collateral arrangement for all OTC derivatives transactions between those parties.
The type of ISDA Credit Support Agreement
The date of the agreement executed between the parties and intended
to govern collateral arrangements for all OTC derivatives transactions between those parties.
An identifier used to uniquely identify the CSA
A party's credit rating.
The code representation of a currency or fund. By default it is a valid
currency code as defined by the ISO standard 4217 - Codes for representation of currencies and funds
http://www.iso.org/iso/en/prods-services/popstds/currencycodeslist.html.
List of Dates
A type defining an offset used in calculating a date when this date is
defined in reference to another date through a date offset. The type includes the convention for
adjusting the date and an optional sequence element to indicate the order in a sequence of multiple date
offsets.
The convention for adjusting a date if it would otherwise
fall on a day that is not a business day.
A type defining a contiguous series of calendar dates. The date range is
defined as all the dates between and including the first and the last date. The first date must fall
before the last date.
The first date of a date range.
The last date of a date range.
Reference to an identified date or a complex date structure.
List of DateTimes
The specification for how the number of days between two dates is
calculated for purposes of calculation of a fixed or floating payment amount and the basis for how many
days are assumed to be in a year. Day Count Fraction is an ISDA term. The equivalent AFB (Association
Francaise de Banques) term is Calculation Basis.
Coding scheme that specifies the method according to which an amount or a
date is determined.
A reference to the return swap notional determination method.
An abstract base class for all directional leg types with effective date,
termination date, where a payer makes a stream of payments of greater than zero value to a receiver.
Version aware identification of this leg.
Specifies the effective date of this leg of the swap. When
defined in relation to a date specified somewhere else in the document (through the
relativeDate component), this element will typically point to the effective date of the
other leg of the swap.
Specifies the termination date of this leg of the swap.
When defined in relation to a date specified somewhere else in the document (through the
relativeDate component), this element will typically point to the termination date of
the other leg of the swap.
An entity for defining the definitions that govern the document and should
include the year and type of definitions referenced, along with any relevant documentation (such as
master agreement) and the date it was signed.
The agreement executed between the parties and intended to govern
all OTC derivatives transactions between those parties.
The agreement executed between the parties and intended to
govern all OTC derivatives transactions between those parties.
Specifies the deails for a broker confirm.
The definitions such as those published by ISDA that will define
the terms of the trade.
A contractual supplement (such as those published by ISDA) that
will apply to the trade.
A reference to a contractual matrix of elected terms/values (such
as those published by ISDA) that shall be deemed to apply to the trade. The applicable matrix is
identified by reference to a name and optionally a publication date. Depending on the structure
of the matrix, an additional term (specified in the matrixTerm element) may be required to
further identify a subset of applicable terms/values within the matrix.
The agreement executed between the parties and intended to govern
collateral arrangement for all OTC derivatives transactions between those parties.
Any other agreement executed between the parties.
A human readable document related to this transaction, for example
a confirmation.
A special type meant to be used for elements with no content and no
attributes.
A legal entity identifier (e.g. RED entity code).
The name of the reference entity. A free format string. FpML does not
define usage rules for this element.
A type defining the exercise period for a European style option together
with any rules governing the notional amount of the underlying which can be exercised on any given
exercise date and any associated exercise fees.
The last day within an exercise period for an American
style option. For a European style option it is the only day within the exercise period.
The date on the underlying set by the exercise of an
option. What this date is depends on the option (e.g. in a swaption it is the swap
effective date, in an extendible/cancelable provision it is the swap termination date).
The earliest time at which notice of exercise can be given
by the buyer to the seller (or seller's agent) i) on the expriation date, in the case of
a European style option, (ii) on each bermuda option exercise date and the expiration
date, in the case of a Bermuda style option the commencement date to, and including, the
expiration date , in the case of an American option.
The latest time for exercise on expirationDate.
As defined in the 2000 ISDA Definitions, Section 12.3.
Partial Exercise, the buyer of the option has the right to exercise all or less than all
the notional amount of the underlying swap on the expiration date, but may not exercise
less than the minimum notional amount, and if an integral multiple amount is specified,
the notional amount exercised must be equal to, or be an integral multiple of, the
integral multiple amount.
A fee to be paid on exercise. This could be represented as
an amount or a rate and notional reference on which to apply the rate.
A short form unique identifier for an exchange. If the element is not
present then the exchange shall be the primary exchange on which the underlying is listed. The term
"Exchange" is assumed to have the meaning as defined in the ISDA 2002 Equity Derivatives Definitions.
The abstract base class for all types which define way in which options may
be exercised.
A type defining the fee payable on exercise of an option. This fee may be
defined as an amount or a percentage of the notional exercised.
A pointer style reference to the associated notional schedule
defined elsewhere in the document.
The amount of fee to be paid on exercise. The fee currency is
that of the referenced notional.
A fee represented as a percentage of some referenced notional.
A percentage of 5% would be represented as 0.05.
The date on which exercise fee(s) will be paid. It is specified as
a relative date.
A type to define a fee or schedule of fees to be payable on the exercise of
an option. This fee may be defined as an amount or a percentage of the notional exercised.
A pointer style reference to the associated notional schedule
defined elsewhere in the document.
The exercise fee amount schedule. The fees are expressed as
currency amounts. The currency of the fee is assumed to be that of the notional schedule
referenced.
The exercise free rate schedule. The fees are expressed as
percentage rates of the notional being exercised. The currency of the fee is assumed to be
that of the notional schedule referenced.
The date on which exercise fee(s) will be paid. It is specified as
a relative date.
A type defining to whom and where notice of execution should be given. The
partyReference refers to one of the principal parties of the trade. If present the
exerciseNoticePartyReference refers to a party, other than the principal party, to whome notice should
be given.
The party referenced has allocated the trade identifier.
The party referenced is the party to which notice of exercise
should be given by the buyer.
A type describing how notice of exercise should be given. This can be
either manual or automatic.
Specifies that the notice of exercise must be given by the
buyer to the seller or seller's agent.
If automatic is specified then the notional amount of the
underlying swap, not previously exercised under the swaption will be automatically exercised
at the expriration time on the expiration date if at such time the buyer is in-the-money,
provided that the difference between the settlement rate and the fixed rate under the
relevant underlying swap is not less than the specified threshold rate. The term
in-the-money is assumed to have the meaning defining in the 2000 ISDA Definitions, Section
17.4 In-the-money.
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.
Has the meaning defined as part of the 1997 ISDA Government Bond
Option Definitions, section 4.5 Limited Right to Confirm Exercise. If present, (i) the Seller
may request the Buyer to confirm its intent if not done on or before the expiration time on the
Expiration date (ii) specific rules will apply in relation to the settlement mode.
Typically applicable to the physical settlement of bond and
convertible bond options. If present, means that the Party required to deliver the bonds will
divide those to be delivered as notifying party desires to facilitate delivery obligations.
A type describing how notice of exercise should be given. This can be
either manual or automatic.
Specifies that the notice of exercise must be given by the buyer to
the seller or seller's agent.
If automatic is specified then the notional amount of the
underlying swap, not previously exercised under the swaption will be automatically exercised at
the expriration time on the expiration date if at such time the buyer is in-the-money, provided
that the difference between the settlement rate and the fixed rate under the relevant underlying
swap is not less than the specified threshold rate. The term in-the-money is assumed to have the
meaning defining in the 2000 ISDA Definitions, Section 17.4 In-the-money.
A type defining a floating rate.
A rate multiplier or multiplier schedule to apply to the
floating rate. A multiplier schedule is expressed as explicit multipliers and dates. In
the case of a schedule, the step dates may be subject to adjustment in accordance with
any adjustments specified in the calculationPeriodDatesAdjustments. The multiplier can
be a positive or negative decimal. This element should only be included if the
multiplier is not equal to 1 (one) for the term of the stream.
The ISDA Spread or a Spread schedule expressed as explicit
spreads 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 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 specification of any rate conversion which needs to be
applied to the observed rate before being used in any calculations. The two common
conversions are for securities quoted on a bank discount basis which will need to be
converted to either a Money Market Yield or Bond Equivalent Yield. See the Annex to the
2000 ISDA Definitions, Section 7.3. Certain General Definitions Relating to Floating
Rate Options, paragraphs (g) and (h) for definitions of these terms.
The cap rate or cap rate schedule, if any, which applies to
the floating rate. The cap rate (strike) is only required where the floating rate on a
swap stream is capped at a certain level. A cap rate schedule is expressed as explicit
cap rates and dates and the step dates may be subject to adjustment in accordance with
any adjustments specified in calculationPeriodDatesAdjustments. 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 or floor rate schedule, if any, which
applies to the floating rate. The floor rate (strike) is only required where the
floating rate on a swap stream is floored at a certain strike level. A floor rate
schedule is expressed as explicit floor rates and dates and the step dates may be
subject to adjustment in accordance with any adjustments specified in
calculationPeriodDatesAdjustments. The floor rate is assumed to be exclusive of any
spread and is a per annum rate, expressed as a decimal. A floor rate of 5% would be
represented as 0.05.
A type defining the floating rate and definitions relating to the
calculation of floating rate amounts.
The initial floating rate reset agreed between the
principal parties involved in the trade. This is assumed to be the first required reset
rate for the first regular calculation period. It should only be included when the rate
is not equal to the rate published on the source implied by the floating rate index. An
initial rate of 5% would be represented as 0.05.
The rounding convention to apply to the final rate used in
determination of a calculation period amount.
If averaging is applicable, this component specifies
whether a weighted or unweighted average method of calculation is to be used. The
component must only be included when averaging applies.
The specification of any provisions for calculating payment
obligations when a floating rate is negative (either due to a quoted negative floating
rate or by operation of a spread that is subtracted from the floating rate).
The ISDA Floating Rate Option, i.e. the floating rate index.
A type defining a rate index.
The ISDA Floating Rate Option, i.e. the floating rate index.
The ISDA Designated Maturity, i.e. the tenor of the floating
rate.
A type describing a financial formula, with its description and
components.
Text description of the formula
An element for containing an XML representation of the formula.
Defined using xsd:any currently for flexibility in choice of language (MathML, OpenMath)
Elements describing the components of the formula. The name
attribute points to a value used in the math element. The href attribute points to a value
elsewhere in the document
Elements describing the components of the formula. The name attribute
points to a value used in the math element. The href attribute points to a numeric value defined
elsewhere in the document that is used by the formula component.
Text description of the component
Additional formulas required to describe this component
A type defining a time frequency, e.g. one day, three months. Used for
specifying payment or calculation frequencies at which the value T (Term) is applicable.
A time period multiplier, e.g. 1, 2 or 3 etc. If the period value
is T (Term) then periodMultiplier must contain the value 1.
A time period, e.g. a day, week, month, year or term of the
stream.
A type defining a currency amount as at a future value date.
The number of days from the adjusted calculation period
start date to the adjusted value date, calculated in accordance with the applicable day
count fraction.
Adjusted value date of the future value amount.
A type that is used for describing cash settlement of an option / non
deliverable forward. It includes the currency to settle into together with the fixings required to
calculate the currency amount.
The currency in which cash settlement occurs for non-deliverable
forwards and cash-settled options (non-deliverable or otherwise).
The amount of money that the settlement will be derived from.
Specifies the source for and timing of a fixing of an exchange
rate. This is used in the agreement of non-deliverable forward trades as well as various
types of FX OTC options that require observations against a particular rate. This element is
optional, permitting it to be omitted where fixing details are unavailable at the point of
message creation. It has multiple occurrence to support the case where fixing details must
be specified for more than one currency pair e.g. on an option settled into a third currency
(that is not one of the option currencies).
Specifies the source for and timing of a fixing of an exchange
rate. This is used in the agreement of non-deliverable forward trades as well as various
types of FX OTC options that require observations against a particular rate. This element is
optional, permitting it to be omitted where fixing details are unavailable at the point of
message creation. It has multiple occurrence to support the case where fixing details must
be specified for more than one currency pair e.g. on an option settled into a third currency
(that is not one of the option currencies).
The date on which settlement is scheduled to occur
A type that is used for describing cash settlement of a variance or
volatility swap option. It includes the settlement currency together with the spot currency exchange
required to calculate the settlement currency amount.
The currency in which cash settlement occurs.
Reference Currency.
Quoted currency pair.
Settlement Rate Source and Fixing Date.
The time that the fixing will be taken along with a
business center to define the time zone
A type that specifies the source for and timing of a fixing of an exchange
rate. This is used in the agreement of non-deliverable forward trades as well as various types of FX OTC
options that require observations against a particular rate.
Defines the two currencies for an FX trade and the quotation
relationship between the two currencies.
Describes the specific date when a non-deliverable forward or
cash-settled option will "fix" against a particular rate, which will be used to compute the
ultimate cash settlement. This element should be omitted where a single, discrete fixing date
cannot be identified e.g. on an american option, where fixing may occur at any date on a
continuous range.
Specifies the methodology (reference source and, optionally, fixing
time) to be used for determining a currency conversion rate.
A type describing the rate of a currency conversion: pair of currency,
quotation mode and exchange rate.
Defines the two currencies for an FX trade and the quotation
relationship between the two currencies.
The rate of exchange between the two currencies of the leg of a
deal. Must be specified with a quote basis.
Describes a rate source to be fixed and the date the fixing occurs
The date on which the fixing is scheduled to occur.
Indicates that an officially defined rate settlement rate option
will be the used for the fixing.
Indicates that a non-standard rate source will be used for the
fixing.
A type defining the rate source and fixing time for an fx rate.
The primary source for where the rate observation will occur. Will
typically be either a page or a reference bank published rate.
An alternative, or secondary, source for where the rate observation
will occur. Will typically be either a page or a reference bank published rate.
The time at which the spot currency exchange rate will be observed.
It is specified as a time in a business day calendar location, e.g. 11:00am London time.
Identification of the law governing the transaction.
A payment component owed from one party to the other for the cash flow
date. This payment component should by of only a single type, e.g. a fee or a cashflow from a cashflow
stream.
Unique identifier for a cash flow.
Pointer-style reference to the partyTradeIdentifier block
within the tradeIdentifyingItems collection, which identifies the parent trade for this
cashflow.
Cash flow amount in a given currency to be paid/received.
Defines the type of cash flow. For instance, a type of fee,
premium, principal exchange, leg fee.
Specifies Currency with ID attribute.
Reference to a currency with ID attribute
A date which can be referenced elsewhere.
A type extending the PayerReceiverEnum type wih an id attribute.
A rate which can be referenced elsewhere.
A container element allowing a schedule of payments associated with
the Independent Amount.
A party's industry sector classification.
A type defining the source for a piece of information (e.g. a rate refix or
an fx fixing).
An information source for obtaining a market rate. For example
Bloomberg, Reuters, Telerate etc.
A specific page for the rate source for obtaining a market rate.
The heading for the rate source on a given rate source page.
A short form unique identifier for a security.
A type defining the way in which interests are accrued: the applicable rate
(fixed or floating reference) and the compounding method.
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 describing the method for accruing interests on dividends. Can be
either a fixed rate reference or a floating rate reference.
The floating rate calculation definitions
The calculation period fixed rate. A per annum rate, expressed as a
decimal. A fixed rate of 5% would be represented as 0.05.
A type that describes the information to identify an intermediary through
which payment will be made by the correspondent bank to the ultimate beneficiary of the funds.
A sequence number that gives the position of the current
intermediary in the chain of payment intermediaries. The assumed domain value set is an
ascending sequence of integers starting from 1.
Reference to the party acting as intermediary.
The type of interpolation used.
The data type used for indicating the language of the resource, described
using the ISO 639-2/T Code.
A supertype of leg. All swap legs extend this type.
Leg identity.
Version aware identification of a leg.
Identity of this leg.
A type defining a legal entity.
The name of the reference entity. A free format string. FpML
does not define usage rules for this element.
A legal entity identifier (e.g. RED entity code).
A legal entity identifier (e.g. RED entity code)..
References a credit entity defined elsewhere in the document.
A type to define the main publication source.
A type defining manual exercise, i.e. that the option buyer counterparty
must give notice to the option seller of exercise.
Definition of the party to whom notice of exercise should be
given.
If fallback exercise is specified then the notional amount of the
underlying swap, not previously exercised under the swaption, will be automatically exercised at
the expiration time on the expiration date if at such time the buyer is in-the-money, provided
that the difference between the settlement rate and the fixed rate under the relevant underlying
swap is not less than one tenth of a percentage point (0.10% or 0.001). The term in-the-money is
assumed to have the meaning defined in the 2000 ISDA Definitions, Section 17.4. In-the-money.
An entity for defining the agreement executed between the parties and
intended to govern all OTC derivatives transactions between those parties.
An identifier that has been created to identify the master
agreement.
The agreement executed between the parties and intended to govern
product-specific derivatives transactions between those parties.
The version of the master agreement.
The date on which the master agreement was signed.
A master agreement identifier allocated by a party. FpML does not define
the domain values associated with this element. Note that the domain values for this element are not
strictly an enumerated list.
An entity for defining the master confirmation agreement executed between
the parties.
The type of master confirmation executed between the parties.
The date of the confirmation executed between the parties and
intended to govern all relevant transactions between those parties.
The date that an annex to the master confirmation was executed
between the parties.
The type of master confirmation annex executed between the
parties.
An identifier used to identify matched cashflows.
A type defining a mathematical expression.
The type that indicates the type of media used to store the content.
MimeType is used to determine the software product(s) that can read the content. MIME types are
described in RFC 2046.
A type defining a currency amount.
The monetary quantity in currency units.
Abstract base class for all money types.
The currency in which an amount is denominated.
A type defining multiple exercises. As defining in the 2000 ISDA
Definitions, Section 12.4. Multiple Exercise, the buyer of the option has the right to exercise all or
less than all the unexercised notional amount of the underlying swap on one or more days in the exercise
period, but on any such day may not exercise less than the minimum notional amount or more than the
maximum notional amount, and if an integral multiple amount is specified, the notional exercised must be
equal to or, be an integral multiple of, the integral multiple amount.
The maximum notional amount that can be exercised on a given
exercise date.
The maximum number of options that can be exercised on a given
exercise date. If the number is not specified, it means that the maximum number of options
corresponds to the remaining unexercised options.
A type defining a currency amount or a currency amount schedule.
The currency in which an amount is denominated.
A type defining a non negative money amount.
The non negative monetary quantity in currency units.
A complex type to specify non negative payments.
Non negative payment amount.
A type defining a schedule of non-negative rates or amounts in terms of an
initial value and then a series of step date and value pairs. On each step date the rate or amount
changes to the new step value. The series of step date and value pairs are optional. If not specified,
this implies that the initial value remains unchanged over time.
The non-negative initial rate or amount, as the case may be. An
initial rate of 5% would be represented as 0.05.
The schedule of step date and non-negative value pairs. On each
step date the associated step value becomes effective. A list of steps may be ordered in the
document by ascending step date. An FpML document containing an unordered list of steps is still
regarded as a conformant document.
A type defining a step date and non-negative step value pair. This step
definitions are used to define varying rate or amount schedules, e.g. a notional amortization or a
step-up coupon schedule.
The non-negative rate or amount which becomes effective on
the associated stepDate. A rate of 5% would be represented as 0.05.
A complex type to specify the notional amount.
A reference to the notional amount.
A reference to the notional amount.
A reference to the number of options.
A reference to the number of units.
A type defining the frequency at which calculation period end dates occur
within the regular part of the calculation period schedule and thier roll date convention. In case the
calculation frequency is of value T (term), the period is defined by the
swap\swapStream\calculationPerioDates\effectiveDate and the
swap\swapStream\calculationPerioDates\terminationDate.
Used in conjunction with a frequency and the regular period
start date of an observation period, determines each observation period end date within
the regular part of a observation period schedule.
A type defining an offset used in calculating a new date relative to a
reference date. E.g. calendar days, business days, Commodity Business days, etc..
In the case of an offset specified as a number of days,
this element defines whether consideration is given as to whether a day is a good
business day or not. If a day type of business days is specified then non-business days
are ignored when calculating the offset. The financial business centers to use for
determination of business days are implied by the context in which this element is used.
This element must only be included when the offset is specified as a number of days. If
the offset is zero days then the dayType element should not be included.
Allows the specification of a time that may be on a day prior or subsequent
to the day in question. This type is intended for use with a day of the week (i.e. where no actual date
is specified) as part of, for example, a period that runs from 23:00-07:00 on a series of days and where
holidays on the actual days would affect the entire time period.
Indicates whether time applies to the actual day specified (in
which case this element should be omitted) the day prior to that day (in which case
periodMultiplier should be -1 and period should be Day) or the day subsequent to that day (in
which case periodMultiplier should be 1 and period should be Day).
The party for which the message reciever should work.
Identifies the account(s) related to the party when they cannot be
determined from the party alone, for example in a inter-book trade.
A code that describes what type of role an organization plays, for example
a SwapsDealer, a Major Swaps Participant, or Other
An entity for defining the an agreement executed between parties.
An identifier that has been created to identify the agreement.
The agreement executed between the parties and intended to govern
product-specific derivatives transactions between those parties.
The version of the agreement.
The date on which the agreement was signed.
A agreement identifier allocated by a party. FpML does not define the
domain values associated with this element. Note that the domain values for this element are not
strictly an enumerated list.
A type defining partial exercise. As defined in the 2000 ISDA Definitions,
Section 12.3 Partial Exercise, the buyer of the option may exercise all or less than all the notional
amount of the underlying swap but may not be less than the minimum notional amount (if specified) and
must be an integral multiple of the integral multiple amount if specified.
A type defining a legal entity or a subdivision of a legal entity.
Parties can perform multiple roles in a trade lifecycle. For example, the
principal parties obligated to make payments from time to time during the term of the trade, but may
include other parties involved in, or incidental to, the trade, such as parties acting in the role of
novation transferor/transferee, broker, calculation agent, etc. In FpML roles are defined in multiple
places within a document.
A group of parties acting as a single party (e.g. joint and
several).
Party Group Type, e.g. JointAndSeveralLiability
Reference to a party that is a member of the group of entities
that are acting together as a single party in a transaction.
The id uniquely identifying the Party within the document.
The data type used for party group classification.
The data type used for party identifiers.
The data type used for the legal name of an organization.
Reference to a party.
A type describing a role played by a party in one or more transactions.
Examples include roles such as guarantor, custodian, confirmation service provider, etc. This can be
extended to provide custom roles.
A type refining the role a role played by a party in one or more
transactions. Examples include "AllPositions" and "SomePositions" for Guarantor. This can be extended to
provide custom types.
Reference to an individual.
A reference to a partyTradeIdentifier object.
A type for defining payments. In Transparency view, normally the payer and
receiver party references are not used; however they may be provided if necessary for administrative
activities such as Reporting Party Determination in FX.
The currency amount of the payment.
The payment date. This date is subject to adjustment in
accordance with any applicable business day convention.
A classification of the type of fee or additional payment,
e.g. brokerage, upfront fee etc. FpML does not define domain values for this element.
The information required to settle a currency payment that
results from a trade.
The value representing the discount factor used to
calculate the present value of the cash flow.
The amount representing the present value of the forecast
payment.
Can be used to reference the yield curve used to estimate the
discount factor.
An abstract base class for payment types.
Base type for payments.
The payment date, which can be expressed as either an
adjustable or relative date.
Payment date.
A fixed payment amount.
A type defining the calculation rule.
A fixed payment amount.
Details on the referenced payment. e.g. Its cashflow components, settlement
details.
The reference to the identified payment strucutre.
Payment details of this cash flow component, including currency,
amount and payer/payee.
The information required to settle a currency payment.
Reference to a payment.
The abstract base type from which all calculation rules of the independent
amount must be derived.
A type to define recurring periods or time offsets.
A time period multiplier, e.g. 1, 2 or 3 etc. A negative value can
be used when specifying an offset relative to another date, e.g. -2 days.
A time period, e.g. a day, week, month or year of the stream. If
the periodMultiplier value is 0 (zero) then period must contain the value D (day).
The frequency at which calculation period end dates occur with the
regular part of the calculation period schedule and their roll date convention.
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.
A type that represents information about a person connected with a trade or
business process.
An honorific title, such as Mr., Ms., Dr. etc.
Given name, such as John or Mary.
Family name, such as Smith or Jones.
Name suffix, such as Jr., III, etc.
An identifier assigned by a system for uniquely identifying the
individual
The unit for which the indvidual works.
Information on how to contact the individual using various means.
The birth date of the person, e.g. 1970-01-01
The ISO 3166 standard code for the country where the individual
works.
An identifier used to identify an individual person.
A type describing a role played by a person in one or more transactions.
Examples include roles such as Trader, Broker, MiddleOffice, Legal, etc. This can be extended to provide
custom roles.
A type defining a positive money amount
The positive monetary quantity in currency units.
A type for defining a time with respect to a geographic location, for
example 11:00 Phoenix, USA. This type should be used where a wider range of locations than those
available as business centres is required.
A time specified in hh:mm:ss format where the second component must
be '00', e.g. 11am would be represented as 11:00:00.
The geographic location to which the hourMinuteTime applies. The
time takes into account any current day light saving changes or other adjustments i.e. it is the
prevaling time at the location.
An abstract pricing structure base type. Used as a base for structures such
as yield curves and volatility matrices.
The name of the structure, e.g "USDLIBOR-3M EOD Curve".
The currency that the structure is expressed in (this is relevant
mostly for the Interes Rates asset class).
Reference to a pricing structure or any derived components (i.e. yield
curve).
A type defining which principal exchanges occur for the stream.
A true/false flag to indicate whether there is an initial exchange
of principal on the effective date.
A true/false flag to indicate whether there is a final exchange of
principal on the termination date.
A true/false flag to indicate whether there are intermediate or
interim exchanges of principal during the term of the swap.
The base type which all FpML products extend.
Reference to a full FpML product.
The proposed collateral allocation.
A pointer style reference to a party identifier and optionally an
account identifier defined elsewhere in the document.
Collateral allocation by value.
A type that describes the composition of a rate that has been quoted or is
to be quoted. This includes the two currencies and the quotation relationship between the two currencies
and is used as a building block throughout the FX specification.
The first currency specified when a pair of currencies is to be
evaluated.
The second currency specified when a pair of currencies is to be
evaluated.
The method by which the exchange rate is quoted.
The abstract base class for all types which define interest rate streams.
A type defining parameters associated with an individual observation or
fixing. This type forms part of the cashflow representation of a stream.
The reset date.
The adjusted fixing date, i.e. the actual date the rate is
observed. The date should already be adjusted for any applicable business day convention.
The actual observed rate before any required rate treatment is
applied, e.g. before converting a rate quoted on a discount basis to an equivalent yield. An
observed rate of 5% would be represented as 0.05.
The observed rate after any required rate treatment is applied. A
treated rate of 5% would be represented as 0.05.
The number of days weighting to be associated with the rate
observation, i.e. the number of days such rate is in effect. This is applicable in the case of a
weighted average method of calculation where more than one reset date is established for a
single calculation period.
A pointer style reference to a floating rate component defined as
part of a stub calculation period amount component. It is only required when it is necessary to
distinguish two rate observations for the same fixing date which could occur when linear
interpolation of two different rates occurs for a stub calculation period.
The value representing the forecast rate used to calculate the
forecast future value of the accrual period.A value of 1% should be represented as 0.01
The value representing the forecast rate after applying rate
treatment rules. A value of 1% should be represented as 0.01
Reference to any rate (floating, inflation) derived from the abstract Rate
component.
The abstract base class for all types which define intra-document
pointers.
Specifies the reference amount using a scheme.
A type to describe an institution (party) identified by means of a coding
scheme and an optional name.
An institution (party) identifier, e.g. a bank identifier code
(BIC).
The name of the institution (party). A free format string. FpML
does not define usage rules for the element.
A code that describes the world region of a counterparty. For example,
NorthAmerica, Europe, Asia.
The unit that is related to this.
The category of the relationship. The related unit performs the
role specified in this field for the base party. For example, if the role is "Trader", the
related unit acts acts or acted as the base party's trading unit.
The category of the relationship. The related party performs the
role specified in this field for the base party. For example, if the role is "Guarantor", the
related party acts as a guarantor for the base party.
Additional definition refining the type of relationship. For
example, if the "role" is Guarantor, this element may be used to specify whether all positions
are guaranteed, or only a subset of them.
The individual person that is related to this.
The category of the relationship. The related individual performs
the role specified in this field for the base party. For example, if the role is "Trader", the
related person acts acts or acted as the base party's trader.
A type defining a date (referred to as the derived date) as a relative
offset from another date (referred to as the anchor date). If the anchor date is itself an adjustable
date then the offset is assumed to be calculated from the adjusted anchor date. A number of different
scenarios can be supported, namely; 1) the derived date may simply be a number of calendar periods
(days, weeks, months or years) preceding or following the anchor date; 2) the unadjusted derived date
may be a number of calendar periods (days, weeks, months or years) preceding or following the anchor
date with the resulting unadjusted derived date subject to adjustment in accordance with a specified
business day convention, i.e. the derived date must fall on a good business day; 3) the derived date may
be a number of business days preceding or following the anchor date. Note that the businessDayConvention
specifies any required adjustment to the unadjusted derived date. A negative or positive value in the
periodMultiplier indicates whether the unadjusted derived precedes or follows the anchor date. The
businessDayConvention should contain a value NONE if the day type element contains a value of Business
(since specifying a negative or positive business days offset would already guarantee that the derived
date would fall on a good business day in the specified business centers).
The convention for adjusting a date if it would otherwise
fall on a day that is not a business day.
Specifies the anchor as an href attribute. The href
attribute value is a pointer style reference to the element or component elsewhere in
the document where the anchor date is defined.
The date once the adjustment has been performed. (Note that
this date may change if the business center holidays change).
A type describing a set of dates defined as relative to another set of
dates.
The number of periods in the referenced date schedule that
are between each date in the relative date schedule. Thus a skip of 2 would mean that
dates are relative to every second date in the referenced schedule. If present this
should have a value greater than 1.
The first and last dates of a schedule. This can be used to
restrict the range of values in a reference series of dates.
A type describing a date when this date is defined in reference to another
date through one or several date offsets.
Specifies the anchor as an href attribute. The href attribute value
is a pointer style reference to the element or component elsewhere in the document where the
anchor date is defined.
An identifier of an reporting regime or format used for regulatory
reporting, for example DoddFrankAct, MiFID, HongKongOTCDRepository, etc.
A date with a required identifier which can be referenced elsewhere.
A type defining the reset frequency. In the case of a weekly reset, also
specifies the day of the week that the reset occurs. If the reset frequency is greater than the
calculation period frequency the this implies that more or more reset dates is established for each
calculation period and some form of rate averaginhg is applicable. The specific averaging method of
calculation is specified in FloatingRateCalculation. In case the reset frequency is of value T (term),
the period is defined by the swap\swapStream\calculationPerioDates\effectiveDate and the
swap\swapStream\calculationPerioDates\terminationDate.
The day of the week on which a weekly reset date occurs.
This element must be included if the reset frequency is defined as weekly and not
otherwise.
Describes the resource that contains the media representation of a business
event (i.e used for stating the Publicly Available Information). For example, can describe a file or a
URL that represents the event. This type is an extended version of a type defined by RIXML
(www.rixml.org).
The unique identifier of the resource within the event.
A description of the type of the resource, e.g. a confirmation.
Indicates the language of the resource, described using the ISO
639-2/T Code.
Indicates the size of the resource in bytes. It could be used by
the end user to estimate the download time and storage needs.
Indicates the length of the resource. For example, if the resource
were a PDF file, the length would be in pages.
Indicates the type of media used to store the content. mimeType is
used to determine the software product(s) that can read the content. MIME Types are described in
RFC 2046.
The name of the resource.
Any additional comments that are deemed necessary. For example,
which software version is required to open the document? Or, how does this resource relate to
the others for this event?
Provides extra information as string. In case the extra
information is in XML format, a CDATA section must be placed around the source message to
prevent its interpretation as XML content.
Provides extra information as binary contents coded in
hexadecimal.
Provides extra information as binary contents coded in
base64.
Indicates where the resource can be found, as a URL that
references the information on a web server accessible to the message recipient.
The data type used for resource identifiers.
The type that indicates the length of the resource.
The length unit of the resource. For example, pages (pdf, text
documents) or time (audio, video files).
The length value of the resource.
The data type used for describing the type or purpose of a resource, e.g.
"Confirmation".
A reference to the return swap notional amount.
A type defining a rounding direction and precision to be used in the
rounding of a rate.
Specifies the rounding direction.
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 provides three alternative ways of identifying a party involved
in the routing of a payment. The identification may use payment system identifiers only; actual name,
address and other reference information; or a combination of both.
A type that models name, address and supplementary textual information for
the purposes of identifying a party involved in the routing of a payment.
A type that provides for identifying a party involved in the routing of a
payment by means of one or more standard identification codes. For example, both a SWIFT BIC code and a
national bank identifier may be required.
A unique identifier for party that is a participant in a recognized
payment system.
A type that provides a combination of payment system identification codes
with physical postal address details, for the purposes of identifying a party involved in the routing of
a payment.
A set of unique identifiers for a party, eachone identifying the
party within a payment system. The assumption is that each party will not have more than one
identifier within the same payment system.
A type defining a schedule of rates or amounts in terms of an initial value
and then a series of step date and value pairs. On each step date the rate or amount changes to the new
step value. The series of step date and value pairs are optional. If not specified, this implies that
the initial value remains unchanged over time.
The initial rate or amount, as the case may be. An initial rate of
5% would be represented as 0.05.
The schedule of step date and value pairs. On each step date the
associated step value becomes effective A list of steps may be ordered in the document by
ascending step date. An FpML document containing an unordered list of steps is still regarded as
a conformant document.
Reference to a schedule of rates or amounts.
A type that represents the choice of methods for settling a potential
currency payment resulting from a trade: by means of a standard settlement instruction, by netting it
out with other payments, or with an explicit settlement instruction.
An optional element used to describe how a trade will settle. This
defines a scheme and is used for identifying trades that are identified as settling standard
and/or flagged for settlement netting.
An explicit specification of how a currency payment is to be made,
when the payment is not netted and the route is other than the recipient's standard settlement
instruction.
A type that models a complete instruction for settling a currency payment,
including the settlement method to be used, the correspondent bank, any intermediary banks and the
ultimate beneficary.
The mechanism by which settlement is to be made. The scheme of
domain values will include standard mechanisms such as CLS, Fedwire, Chips ABA, Chips UID,
SWIFT, CHAPS and DDA.
The information required to identify the correspondent bank that
will make delivery of the funds on the paying bank's behalf in the country where the payment is
to be made
Information to identify an intermediary through which payment will
be made by the correspondent bank to the ultimate beneficiary of the funds.
The bank that acts for the ultimate beneficiary of the funds in
receiving payments.
The ultimate beneficiary of the funds. The beneficiary can be
identified either by an account at the beneficiaryBank (qv) or by explicit routingInformation.
This element provides for the latter.
Reference to the depository of the settlement.
The set of individual payments that are to be made when a currency
payment settling a trade needs to be split between a number of ultimate beneficiaries. Each
split payment may need to have its own routing information.
Coding scheme that specifies the settlement price default election.
The source from which the settlement price is to be obtained, e.g. a
Reuters page, Prezzo di Riferimento, etc.
A type defining the settlement rate options through a scheme reflecting the
terms of the Annex A to the 1998 FX and Currency Option Definitions.
A type describing the method for obtaining a settlement rate.
The information source where a published or displayed market rate
will be obtained, e.g. Telerate Page 3750.
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.
TBA
The first day of the exercise period for an American style
option.
The last day within an exercise period for an American
style option. For a European style option it is the only day within the exercise period.
Choice between latest exercise time expressed as literal
time, or using a determination method.
For a Bermuda or American style option, the latest time
on an exercise business day (excluding the expiration date) within the exercise
period that notice can be given by the buyer to the seller or seller's agent. Notice
of exercise given after this time will be deemed to have been given on the next
exercise business day.
Latest exercise time determination method.
A complex type to specified payments in a simpler fashion than the Payment
type. This construct should be used from the version 4.3 onwards.
The payment date. This date is subject to adjustment in
accordance with any applicable business day convention.
A type that supports the division of a gross settlement amount into a
number of split settlements, each requiring its own settlement instruction.
One of the monetary amounts in a split settlement payment.
The bank that acts for the ultimate beneficiary of the funds in
receiving payments.
The ultimate beneficiary of the funds. The beneficiary can be
identified either by an account at the beneficiaryBank (qv) or by explicit routingInformation.
This element provides for the latter.
Adds an optional spread type element to the Schedule to identify a long or
short spread value.
Provides a reference to a spread schedule.
Defines a Spread Type Scheme to identify a long or short spread value.
A type defining a step date and step value pair. This step definitions are
used to define varying rate or amount schedules, e.g. a notional amortization or a step-up coupon
schedule.
The rate or amount which becomes effective on the
associated stepDate. A rate of 5% would be represented as 0.05.
A type defining a step date and step value pair. This step definitions are
used to define varying rate or amount schedules, e.g. a notional amortization or a step-up coupon
schedule.
The date on which the associated stepValue becomes effective. This
day may be subject to adjustment in accordance with a business day convention.
A type that describes the set of street and building number information
that identifies a postal address within a city.
An individual line of street and building number information,
forming part of a postal address.
A type describing a single cap or floor rate.
The rate for a cap or floor.
The buyer of the option
The party that has sold.
A type describing a schedule of cap or floor rates.
The buyer of the option
The party that has sold.
A type defining how a stub calculation period amount is calculated and the
start and end date of the stub. A single floating rate tenor different to that used for the regular part
of the calculation periods schedule may be specified, or two floating rate tenors many 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.
Start date of stub period. This was created to support use
of the InterestRateStream within the Equity Derivative sphere, and this element is not
expected to be produced in the representation of Interest Rate products.
End date of stub period. This was created to support use of
the InterestRateStream within the Equity Derivative sphere, and this element is not
expected to be produced in the representation of Interest Rate products.
A type defining how a stub calculation period 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 rate tenors many 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.
The rates to be applied to the initial or final stub may be the
linear interpolation of two different rates. While the majority of the time, the rate indices
will be the same as that specified in the stream and only the tenor itself will be different, it
is possible to specift two different rates. For example, a 2 month stub period may use the
linear interpolation of a 1 month and 3 month rate. The different rates would be specified in
this component. Note that a maximum of two rates can be specified. If a stub period uses the
same floating rate index, including tenor, as the regular calculation periods then this should
not be specified again within this component, i.e. the stub calculation period amount component
may not need to be specified even if there is an initial or final stub period. If a stub period
uses a different floating rate index compared to the regular calculation periods then this
should be specified within this component. If specified here, they are likely to have id
attributes, allowing them to be referenced from within the cashflows component.
An actual rate to apply for the initial or final stub period may
have been agreed between the principal parties (in a similar way to how an initial rate may have
been agreed for the first regular period). If an actual stub rate has been agreed then it would
be included in this component. It will be a per annum rate, expressed as a decimal. A stub rate
of 5% would be represented as 0.05.
An actual amount to apply for the initial or final stub period may
have been agreed between th two parties. If an actual stub amount has been agreed then it would
be included in this component.
A type defining a floating rate.
A rate multiplier or multiplier schedule to apply to the
floating rate. A multiplier schedule is expressed as explicit multipliers and dates. In
the case of a schedule, the step dates may be subject to adjustment in accordance with
any adjustments specified in the calculationPeriodDatesAdjustments. The multiplier can
be a positive or negative decimal. This element should only be included if the
multiplier is not equal to 1 (one) for the term of the stream.
The ISDA Spread or a Spread schedule expressed as explicit
spreads 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 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 specification of any rate conversion which needs to be
applied to the observed rate before being used in any calculations. The two common
conversions are for securities quoted on a bank discount basis which will need to be
converted to either a Money Market Yield or Bond Equivalent Yield. See the Annex to the
2000 ISDA Definitions, Section 7.3. Certain General Definitions Relating to Floating
Rate Options, paragraphs (g) and (h) for definitions of these terms.
The cap rate or cap rate schedule, if any, which applies to
the floating rate. The cap rate (strike) is only required where the floating rate on a
swap stream is capped at a certain level. A cap rate schedule is expressed as explicit
cap rates and dates and the step dates may be subject to adjustment in accordance with
any adjustments specified in calculationPeriodDatesAdjustments. 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 or floor rate schedule, if any, which
applies to the floating rate. The floor rate (strike) is only required where the
floating rate on a swap stream is floored at a certain strike level. A floor rate
schedule is expressed as explicit floor rates and dates and the step dates may be
subject to adjustment in accordance with any adjustments specified in
calculationPeriodDatesAdjustments. The floor rate is assumed to be exclusive of any
spread and is a per annum rate, expressed as a decimal. A floor rate of 5% would be
represented as 0.05.
An identifier of an organization that supervises or regulates trading
activity, e.g. CFTC, SEC, FSA, ODRF, etc.
A type that represents a telephonic contact.
The type of telephone number (work, personal, mobile).
A telephonic contact.
A geophraphic location for the purposes of defining a prevailing time
according to the tz database.
A trade reference identifier allocated by a party. FpML does not define the
domain values associated with this element. Note that the domain values for this element are not
strictly an enumerated list.
A type describing interest payments associated with and underlyer, such as
financing
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 Spread or a Spread schedule expressed as
explicit spreads 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 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.
A type used to record information about a unit, subdivision, desk, or other
similar business entity.
The parameters for defining the exercise period for an American style
option together with any rules governing the notional amount of the underlying which can be exercised on
any given exercise date and any associated exercise fees.
The parameters for defining the exercise period for a Bermuda style option
together with any rules governing the notional amount of the underlying which can be exercised on any
given exercise date and any associated exercise fees.
The parameters for defining the exercise period for a European style option
together with any rules governing the notional amount of the underlying which can be exercised on any
given exercise date and any associated exercise fees.
An placeholder for the actual option exercise definitions.
An abstract element used as a place holder for the substituting product
elements.
A date subject to adjustment.
The business day convention and financial business centers used for
adjusting the date if it would otherwise fall on a day that is not a business date in the
specified business centers.
The date once the adjustment has been performed. (Note that this
date may change if the business center holidays change).
A pointer style reference to a set of financial business centers
defined elsewhere in the document. This set of business centers is used to determine whether a
particular day is a business day or not.
A reference to the party that buys this instrument, ie. pays for
this instrument and receives the rights defined by it. See 2000 ISDA definitions Article 11.1
(b). In the case of FRAs this the fixed rate payer.
A reference to the account that buys this instrument.
A reference to the party that sells ("writes") this instrument,
i.e. that grants the rights defined by this instrument and in return receives a payment for it.
See 2000 ISDA definitions Article 11.1 (a). In the case of FRAs this is the floating rate payer.
A reference to the account that sells this instrument.
Reference to a party.
Reference to an account.
The ISDA Designated Maturity, i.e. the tenor of the floating
rate.
Indicates which party (or parties) (and accounts) a trade or event
is being processed for. Normally there will only be a maximum of 2 parties, but in the case of a
novation there could be a transferor, transferee, remaining party, and other remaining party.
Also, in the context of a trade package there could be several parties for which limit check is
requested, necessitating multiple onBehalfOf elements. Except for these cases, there should be
no more than two onBehalfOf references in a message.
A pointer style reference to the associated notional schedule
defined elsewhere in the document. This element has been made optional as part of its
integration in the OptionBaseExtended, because not required for the options on securities.
A notional amount which restricts the amount of notional that can
be exercised when partial exercise or multiple exercise is applicable. The integral multiple
amount defines a lower limit of notional that can be exercised and also defines a unit multiple
of notional that can be exercised, i.e. only integer multiples of this amount can be exercised.
The minimum notional amount that can be exercised on a given
exercise date. See multipleExercise.
The minimum number of options that can be exercised on a given
exercise date.
Supporting party and account definitions.
A legal entity or a subdivision of a legal entity.
Parties can perform multiple roles in a trade lifecycle. For
example, the principal parties obligated to make payments from time to time during the term of
the trade, but may include other parties involved in, or incidental to, the trade, such as
parties acting in the role of novation transferor/transferee, broker, calculation agent, etc. In
FpML roles are defined in multiple places within a document.
Optional account information used to precisely define the
origination and destination of financial instruments.
A model group with the content model of a party.
A party identifier, e.g. a S.W.I.F.T. bank identifier code (BIC).
The legal name of the organization. A free format string. FpML does
not define usage rules for this element.
Descriptive/categorization information for a party.
Information on how to contact the party using various means.
Optional organization unit information used to describe the
organization units (e.g. trading desks) involved in a transaction or business process .
Optional information about people involved in a transaction or
busines process. (These are eomployees of the party).
Reference to a party.
Reference to an account.
Information about a party for reporting purposes.
The party's industry sector classification.
The party's credit rating.
The country where the party is domiciled.
A code for a grouping of countries to which this belongs.
The legal jurisdiction of the entity's registration.
The type of an organization's participantion in the OTC derivatives
market.
A reference to the party responsible for making the payments
defined by this structure.
A reference to the account responsible for making the payments
defined by this structure.
A reference to the party responsible for making the payments
defined by this structure.
A reference to the party that receives the payments corresponding
to this structure.
A model group for representing the discounting elements that can be
associated with a payment.
The value representing the discount factor used to calculate the
present value of the cash flow.
The amount representing the present value of the forecast
payment.
Date on which this period begins.
Date on which this period ends.
A model group for representing the option premium when expressed in a way
other than an amount.
Forward start Premium type
The amount of premium to be paid expressed as a function of the
number of options.
The amount of premium to be paid expressed as a percentage of the
notional value of the transaction. A percentage of 5% would be expressed as 0.05.
A classification of the most important risk class of the trade.
FpML defines a simple asset class categorization using a coding scheme.
A classification of additional risk classes of the trade, if any.
FpML defines a simple asset class categorization using a coding scheme.
A classification of the type of product. FpML defines a simple
product categorization using a coding scheme.
A product reference identifier. The product ID is an identifier
that describes the key economic characteristics of the trade type, with the exception of
concepts such as size (notional, quantity, number of units) and price (fixed rate, strike,
etc.) that are negotiated for each transaction. It can be used to hold identifiers such as
the "UPI" (universal product identifier) required by certain regulatory reporting rules. It
can also be used to hold identifiers of benchmark products or product temnplates used by
certain trading systems or facilities. FpML does not define the domain values associated
with this element. Note that the domain values for this element are not strictly an
enumerated list.
A classification of the risk class of the trade. FpML defines a
simple asset class categorization using a coding scheme.
A reference to the party that receives the payments corresponding
to this structure.
A reference to the account that receives the payments corresponding
to this structure.
A real name that is used to identify a party involved in the
routing of a payment.
A physical postal address via which a payment can be routed.
An account number via which a payment can be routed.
A piece of free-format text used to assist the identification of a
party involved in the routing of a payment.
A set of unique identifiers for a party, eachone identifying the
party within a payment system. The assumption is that each party will not have more than one
identifier within the same payment system.
A set of details that is used to identify a party involved in the
routing of a payment when the party does not have a code that identifies it within one of the
recognized payment systems.
A combination of coded payment system identifiers and details for
physical addressing for a party involved in the routing of a payment.
Settlement Amount
Settlement Currency for use where the Settlement Amount cannot be
known in advance
Stock Loan Content Model
If true, then loss of stock borrow is applicable.
Specifies the maximum stock loan rate for Loss of Stock Borrow.
If true, then increased cost of stock borrow is applicable.
Specifies the initial stock loan rate for Increased Cost of Stock
Borrow.
The ISDA Designated Maturity, i.e. the tenor of the floating
rate.
A group which has unit based trade elements (copied from FpML Extensions
2.2 - fpmlext-repo.xsd).
The number of units (index or securities).
The price of each unit.
The data type used for issuer identifiers.
A complex type for a two part identifier such as a USI.
A model group for a two part identifier such as a USI.
The version number
Optionally it is possible to specify a version effective date when
a versionId is supplied.
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