schemas.fpml-schemas.fpml-volatility-swaps-5-9.xsd Maven / Gradle / Ivy
Under 2002 Definitions, When entering into the Transaction, the parties
should specify whether, for purposes of determining the initial Share price, they are agreeing to (a) a
specific initial price (in which case, the initialLevel element should be populated with the price) or
(b) use the price of a Share at the close of the regular trading session on the Trade Date (in which
case the closingLevel element should be populated as true) or (c) in the case of a forward starting
transaction only, use the Official Settlement Price of the Expiring Contract on the Observation Start
Date (in which case expiring Level element should be populated as true). Under 2011 definitions, When
entering into the Transaction, the parties should specify whether, for purposes of determining the OPSD
Pricing Election, they are agreeing to (a) an agreed price (in which case, the initialLevel element
should be populated with the price) or (b) use the Index Close Pricing (Official), (in which case
closingLevel element should be populated as true) or (c) use OSP Pricing (in which case the
initialLevelSource element should be populated with “OSPPrice”).
Volatility Cap needs to be specified in accordance with the ISDA 2011
Equity Derivatives Definitions.
Volatility Strike Price in accordance with the ISDA 2011 Equity
Derivatives Definitions.
Vega Notional represents the approximate gain/loss at
maturity for a 1% difference between RVol(realised vol) and KVol (strike vol). It does
not necessarily represent the Vega Risk of the trade. Volatility Amount means the Vega
Notional Amount. In accordance with the ISDA 2002 and 2011 Equity Derivatives
Definitions.
Specifies Volatility.
Indicates whether the volatility cap is applicable in accordance
with the ISDA 2011 Equity Derivatives Definitions. Setting the element 'applicable' to 'False' -
means No Volatility Cap and no 'totalVolatilityCap' or 'volatilityCapFactor' should be provided.
Setting the element 'applicable' to 'True' - means Volatility Cap election, then
'totalVolatilityCap' or 'volatilityCapFactor' should be provided, otherwise it defaults to
volatilityCapFactor=2.5.
If volatilityCap is not populated or false totalVolatilityCap
and/or volatilityCapFactor should not be populated. If volatilityCap is true, specify either
totalVolatilityCap OR volatilityCapFactor OR neither on inbound messages. The totalVolatilityCap
OR volatilityCapFactor needs to be on inbound, but both can be populated on outbound MSG.
Volatility Cap Amount in accordance with the ISDA 2011 Equity Derivatives
Definitions. This means the Volatility Cap Amount election is a number.
Volatility Cap Factor in accordance with the ISDA 2011 Equity Derivatives
Definitions. This means the Volatility Cap Amount election is Calculated VolCapAmt
('volatilityCapFactor' * 'volatilityStrikePrice'). By specifying a decimal for
'volatilityCapFactor', means the default value of 2.5 does not apply.
Volatility Cap Amount in accordance with the ISDA 2011 Equity Derivatives
Definitions. The Calculated VolCapAmt can be optionally provided.
Specifies, in relation to each Equity Payment Date, the
amount to which the Equity Payment Date relates. Unless otherwise specified, this term
has the meaning defined in the ISDA 2011 and 2002 Equity Derivatives Definitions.
A Volatility Swap.
Specifies the structure of a volatility swap.
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