schemas.fpml-5-12.confirmation.fpml-eq-shared-5-12.xsd Maven / Gradle / Ivy
A type for defining ISDA 2002 Equity Derivative Additional Disruption Events.
If true, then change in law is applicable.
Where the underlying is shares and the transaction is physically settled, then, if true, a failure to deliver the shares on the settlement date will not be an event of default for the purposes of the master agreement.
If true, then insolvency filing is applicable.
If true, then hedging disruption is applicable.
If true, then increased cost of hedging is applicable.
A reference to the party which determines additional disruption events.
If true, then foreign ownership event is applicable.
Specifies the amount of the fee along with, when applicable, the formula that supports its determination.
The currency amount of the payment.
Specifies a formula, with its description and components.
A type describing a date defined as subject to adjustment or defined in reference to another date through one or several date offsets.
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 in relation to some other date defined in the document (the anchor date), where there is the opportunity to specify a combination of offset rules. This component will typically be used for defining the valuation date in relation to the payment date, as both the currency and the exchange holiday calendars need to be considered.
A type describing correlation bounds, which form a cap and a floor on the realized correlation.
Minimum Boundary as a percentage of the Strike Price.
Maximum Boundary as a percentage of the Strike Price.
A type describing variance bounds, which are used to exclude money price values outside of the specified range In a Up Conditional Swap Underlyer price must be equal to or higher than Lower Barrier In a Down Conditional Swap Underlyer price must be equal to or lower than Upper Barrier In a Corridor Conditional Swap Underlyer price must be equal to or higher than Lower Barrier and must be equal to or lower than Upper Barrier.
The contract specifies whether which price must satisfy the boundary condition.
The contract specifies whether the notional should be scaled by the Number of Days in Range divided by the Expected N. The number of Days in Ranges refers to the number of returns that contribute to the realized volatility.
All observations above this price level will be excluded from the variance calculation.
All observations below this price level will be excluded from the variance calculation.
An abstract base class for all calculated money amounts, which are in the currency of the cash multiplier of the calculation.
Specifies the date on which a calculation or an observation will be performed for the purpose of calculating the amount.
The start of the period over which observations are made which are used in the calculation Used when the observation start date differs from the trade date such as for forward starting swaps. Observation Start Date in accordance with the ISDA 2002 Equity Derivatives Definitions. Observation Period Start Date in accordance with the ISDA 2011 Equity Derivatives Definitions.
Abstract base class for all calculation from observed values.
Specifies whether the Initial Index Level should be the Closing Price Level, the Expiring Contract Level, VWAPPrice, TWAPPrice, NAV or Open Price and/or a specified Initial Index Level.
Contract will strike off this initial level. Providing just the initialLevel without initialLevelSource, infers that this is AgreedInitialPrice - a specified Initial Index Level.
In this context, this is AgreedInitialPrice - a specified Initial Index Level. Note: No other values from the DeterminationMethodScheme should not be provided.
Specifies whether the Initial Index Level determination method should be the Closing Price Level, the Expiring Contract Level, VWAPPrice, TWAPPrice, NAV or Open Price. Note: the AgreedInitialPrice value is not allowed here.
DEPRECATED. If true this contract will strike off the closing level of the default exchange traded contract.
DEPRECATED. If true this contract will strike off the expiring level of the default exchange traded contract.
Expected number of trading days.
Specifies the compounding method and the compounding rate.
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.
Defines a compounding rate. The compounding interest can either point back to the interest calculation node on the Interest Leg, or be defined specifically.
Defines the spread to be used for compounding. This field should be used in scenarios where the interest payment is based on a compounding formula that uses a compounding spread in addition to the regular spread.
Defines the compounding dates.
A type defining a compounding rate. The compounding interest can either point back to the floating rate calculation of interest calculation node on the Interest Leg, or be defined specifically.
Reference to the floating rate calculation of interest calculation node on the Interest Leg.
Defines a specific rate.
A type describing the correlation amount of a correlation swap.
Notional amount, which is a cash multiplier.
Correlation Strike Price.
Bounded Correlation.
Number of data series, normal market practice is that correlation data sets are drawn from geographic market areas, such as America, Europe and Asia Pacific, each of these geographic areas will have its own data series to avoid contagion.
An abstract base class for all directional leg types with effective date, termination date, and underlyer where a payer makes a stream of payments of greater than zero value to a receiver.
Specifies the underlyer of the leg.
Quanto, Composite, or Cross Currency FX features.
An abstract base class for all directional leg types with effective date, termination date, and underlyer, where a payer makes a stream of payments of greater than zero value to a receiver.
Valuation of the underlyer.
Container for Dividend Adjustment Periods, which are used to calculate the Deviation between Expected Dividend and Actual Dividend in that Period.
A single Dividend Adjustment Period.
A type describing the conditions governing the payment of dividends to the receiver of the equity return. With the exception of the dividend payout ratio, which is defined for each of the underlying components.
Boolean element that defines whether the dividend will be reinvested or not.
Defines the date on which the receiver on the equity return is entitled to the dividend.
Specifies when the dividend will be paid to the receiver of the equity return. Has the meaning as defined in the ISDA 2002 Equity Derivatives Definitions. Is not applicable in the case of a dividend reinvestment election.
Dividend period has the meaning as defined in the ISDA 2002 Equity Derivatives Definitions. This element specifies the date on which the dividend period will commence.
Dividend period has the meaning as defined in the ISDA 2002 Equity Derivatives Definitions. This element specifies the date on which the dividend period will end. It includes a boolean attribute for defining whether this end date is included or excluded from the dividend period.
Defines the First Period or the Second Period, as defined in the 2002 ISDA Equity Derivatives Definitions.
Reference to the party which determines if dividends are extraordinary in relation to normal levels.
Determination of Gross Cash Dividend per Share.
Specifies the date on which the FX rate will be considered in the case of a Composite FX swap.
Defines the way in which interests are accrued: the applicable rate (fixed or floating reference) and the compounding method.
FpML entity
Defines the Number Of Index Units applicable to a Dividend.
Defines treatment of Non-Cash Dividends.
Defines how the composition of Dividends is to be determined.
Specifies the method according to which special dividends are determined.
A type describing the date on which the dividend will be paid/received. This type is also used to specify the date on which the FX rate will be determined, when applicable.
Specification of the dividend date using an enumeration, with values such as the pay date, the ex date or the record date.
Only to be used when SharePayment has been specified in the dividendDateReference element. The number of Currency Business Days following the day on which the Issuer of the Shares pays the relevant dividend to holders of record of the Shares.
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.
Abstract base class of all time bounded dividend period types.
Unadjusted inclusive dividend period start date.
Unadjusted inclusive dividend period end date.
Date adjustments for all unadjusted dates in this dividend period.
Reference to the underlyer which is paying dividends. This should be used in all cases, and must be used where there are multiple underlying assets, to avoid any ambiguity about which asset the dividend period relates to.
A time bounded dividend period, with an expected dividend for each period.
Expected dividend in this period.
Multiplier is a percentage value which is used to produce Deviation by multiplying the difference between Expected Dividend and Actual Dividend Deviation = Multiplier * (Expected Dividend — Actual Dividend).
A type for defining the merger events and their treatment.
The consideration paid for the original shares following the Merger Event consists wholly of new shares.
The consideration paid for the original shares following the Merger Event consists wholly of cash/securities other than new shares.
The consideration paid for the original shares following the Merger Event consists of both cash/securities and new shares.
A type used to describe the amount paid for an equity option.
Forward start Premium type
The currency amount of the payment.
The payment date. This date is subject to adjustment in accordance with any applicable business day convention.
Specifies whether or not the premium is to be paid in the style of payments under an interest rate swap contract.
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 type for defining the strike price for an equity option. The strike price is either: (i) in respect of an index option transaction, the level of the relevant index specified or otherwise determined in the transaction; or (ii) in respect of a share option transaction, the price per share specified or otherwise determined in the transaction. This can be expressed either as a percentage of notional amount or as an absolute value.
The price or level at which the option has been struck.
The price or level expressed as a percentage of the forward starting spot price. A value expressed in percentage units i.e. 5 means 5%.
The date on which the strike is determined, where this is not the effective date of a forward starting option.
The currency in which an amount is denominated.
A type for defining how and when an equity option is to be valued.
The term "Valuation Date" is assumed to have the meaning as defined in the ISDA 2002 Equity Derivatives Definitions. Cash Settlement Payment Date in accordance with the ISDA 2002 Equity Derivatives Definitions. SettlementCycle in accordance with the ISDA 2011 Equity Derivatives Definitions.
Specifies the interim equity valuation dates of a swap.
The time of day at which the calculation agent values the underlying, for example the official closing time of the exchange.
The specific time of day at which the calculation agent values the underlying. The SpecificTime is the only case when the valuationTime (time + business center location – e.g. 10:00:00 USNY) should be provided. You should be able to provide just the valuationTime without valuationTimeType, which infer that this is a specific time.
The official settlement price as announced by the related exchange is applicable, in accordance with the ISDA 2002 definitions.
The official settlement price as announced by the related exchange is applicable, in accordance with the ISDA 2002 definitions.
The number of valuation dates between valuation start date and valuation end date.
Specifies the dividend valuation dates of the swap.
Specifies the fallback provisions for Hedging Party in the determination of the Final Price.
Where the underlying is shares, defines market events affecting the issuer of those shares that may require the terms of the transaction to be adjusted.
Occurs when the underlying ceases to exist following a merger between the Issuer and another company.
DEPRECATED. If present and true, then tender offer is applicable.
ISDA 2002 Equity Tender Offer Events.
If present and true, then composition of combined consideration is applicable.
ISDA 2002 Equity Index Adjustment Events.
ISDA 2002 Equity Additional Disruption Events.
If true, failure to deliver is applicable.
ISDA 2002 Equity Derivative Representations.
The terms "Nationalisation" and "Insolvency" have the meaning as defined in the ISDA 2002 Equity Derivatives Definitions.
The term "Delisting" has the meaning defined in the ISDA 2002 Equity Derivatives Definitions.
In order for a contract to be considered a 'Designated Contract', the Related Exchange that the contract is traded on must also be a Specified Exchange (i.e. the Related Exchange specified for the underlier contract must be either Eure, Euronext, MEF, or IDEM or an exchange specified in the Transaction Supplement, in order for the contract to qualify as a Designated Contract). If the Related Exchange is not one of the Specified Exchanges, then no Designated Contract is deemed to exist.
Reference to a floating rate calculation of interest calculation component.
Defines the specification of the consequences of Index Events as defined by the 2002 ISDA Equity Derivatives Definitions.
Consequence of index modification.
Consequence of index cancellation.
Consequence of index disruption.
Specifies the calculation method of the interest rate leg of the return swap. Includes the floating or fixed rate calculation definitions, along with the determination of the day count fraction.
The day count fraction.
Defines compounding rates on the Interest Leg.
Specifies the type of interpolation used.
Defines applicable periods for interpolation.
A type describing the fixed income leg of the equity swap.
Component that holds the various dates used to specify the interest leg of the equity swap. It is used to define the InterestPeriodDates identifyer.
Specifies the notional of a return type swap. When used in the equity leg, the definition will typically combine the actual amount (using the notional component defined by the FpML industry group) and the determination method. When used in the interest leg, the definition will typically point to the definition of the equity leg.
Specifies, in relation to each Interest Payment Date, the amount to which the Interest Payment Date relates. Unless otherwise specified, this term has the meaning defined in the ISDA 2000 ISDA Definitions.
Specifies the calculation method of the interest rate leg of the equity swap. Includes the floating or fixed rate calculation definitions, along with the determination of the day count fraction.
Specifies the stub calculation period.
Component that holds the various dates used to specify the interest leg of the return swap. It is used to define the InterestPeriodDates identifyer.
Specifies the effective date of the return swap. This global element is valid within the return swaps namespace. Within the FpML namespace, another effectiveDate global element has been defined, that is different in the sense that it does not propose the choice of refering to another date in the document.
Specifies the termination date of the return swap. This global element is valid within the return swaps namespace. Within the FpML namespace, another terminationDate global element has been defined, that is different in the sense that it does not propose the choice of refering to another date in the document.
Specifies the reset dates of the interest leg of the swap.
Specifies the payment dates of the interest leg of the swap. When defined in relation to a date specified somewhere else in the document (through the relativeDates component), this element will typically point to the payment dates of the equity leg of the swap.
Reference to the calculation period dates of the interest leg.
A pointer style reference to the associated calculation period dates component defined elsewhere in the document.
Specifies whether the reset dates are determined with respect to each adjusted calculation period start date or adjusted calculation period end date. If the reset frequency is specified as daily this element must not be included.
The frequency at which reset dates occur. In the case of a weekly reset frequency, also specifies the day of the week that the reset occurs. If the reset frequency is greater than the calculation period frequency then this implies that more than one reset date is established for each calculation period and some form of rate averaging is applicable.
Initial fixing date expressed as an offset to another date defined elsewhere in the document.
Specifies the fixing date relative to the reset date in terms of a business days offset, or by providing a series of adjustable dates.
A type describing the amount that will paid or received on each of the payment dates. This type is used to define both the Equity Amount and the Interest Amount.
Specifies the reference Amount when this term either corresponds to the standard ISDA Definition (either the 2002 Equity Definition for the Equity Amount, or the 2000 Definition for the Interest Amount), or points to a term defined elsewhere in the swap document.
Specifies a formula, with its description and components.
Description of the leg amount when represented through an encoded image.
Specifies the date on which a calculation or an observation will be performed for the purpose of defining the Equity Amount, and in accordance to the definition terms of this latter.
A type to hold early exercise provisions.
Date through which option can not be exercised without penalty.
Spread used if exercised before make whole date. Early termination penalty. Expressed in bp, e.g. 25 bp.
An abstract base class for all swap types which have a single netted leg, such as Variance Swaps, and Correlation Swaps.
Specifies additional payment(s) between the principal parties to the netted swap.
Where the underlying is shares, specifies events affecting the issuer of those shares that may require the terms of the transaction to be adjusted.
A type for defining option features.
An option where and average price is taken on valuation.
An option with a barrier feature.
A knock feature.
Pass through payments from the underlyer, such as dividends.
Dividend adjustment of the contract is driven by the difference between the Expected Dividend, and the Actual Dividend, which is multiplied by an agreed Factor to produce a Deviation, which is used as the basis for adjusting the contract. The parties acknowledge that in determining the Call Strike Price of the Transaction the parties have assumed that the Dividend scheduled to be paid by the Issuer to holders of record of the Shares, in the period set out in Column headed Relevant Period will equal per Share the amount stated in respect of such Relevant Period.
Specifies the principal exchange amount, either by explicitly defining it, or by point to an amount defined somewhere else in the swap document.
Reference to an amount defined elsewhere in the document.
Specifies the method according to which an amount or a date is determined.
Principal exchange amount when explictly stated.
Specifies each of the characteristics of the principal exchange cashflows, in terms of paying/receiving counterparties, amounts and dates.
Specifies the principal echange amount, either by explicitly defining it, or by point to an amount defined somewhere else in the swap document.
Date on which each of the principal exchanges will take place. This date is either explictly stated, or is defined by reference to another date in the swap document. In this latter case, it will typically refer to one other date of the equity leg: either the effective date (initial exchange), or the last payment date (final exchange).
A type describing the principal exchange features of the return swap.
The true/false flags indicating whether initial, intermediate or final exchanges of principal should occur.
Specifies each of the characteristics of the principal exchange cashflows, in terms of paying/receiving counterparties, amounts and dates.
A type for defining ISDA 2002 Equity Derivative Representations.
If true, then non reliance is applicable.
If true, then agreements regarding hedging are applicable.
If present and true, then index disclaimer is applicable.
If true, then additional acknowledgements are applicable.
A type describing the dividend return conditions applicable to the swap.
Defines the type of return associated with the return swap.
Specifies the conditions governing the payment of the dividends to the receiver of the equity return. With the exception of the dividend payout ratio, which is defined for each of the underlying components.
A type describing the return leg of a return type swap.
Specifies the terms of the initial price of the return type swap and of the subsequent valuations of the underlyer.
Specifies the notional of a return type swap. When used in the equity leg, the definition will typically combine the actual amount (using the notional component defined by the FpML industry group) and the determination method. When used in the interest leg, the definition will typically point to the definition of the equity leg.
Specifies, in relation to each Payment Date, the amount to which the Payment Date relates. For return swaps this element is equivalent to the Equity Amount term as defined in the ISDA 2002 Equity Derivatives Definitions.
Specifies the conditions under which dividend affecting the underlyer will be paid to the receiver of the amounts.
Specifies the conditions that govern the adjustment to the number of units of the return swap.
A quanto or composite FX feature.
Averaging Dates used in the swap.
A type describing the initial and final valuation of the underlyer.
Specifies the initial reference price of the underlyer. This price can be expressed either as an actual amount/currency, as a determination method, or by reference to another value specified in the swap document.
For return swaps, this element is equivalent to the term "Equity Notional Reset" as defined in the ISDA 2002 Equity Derivatives Definitions. The reference to the ISDA definition is either "Applicable" or 'Inapplicable".
Specifies the final valuation price of the underlyer. This price can be expressed either as an actual amount/currency, as a determination method, or by reference to another value specified in the swap document.
Specifies the final valuation price of the underlyer. This price can be expressed either as an actual amount/currency, as a determination method, or by reference to another value specified in the swap document.
Specifies the payment dates of the swap.
References a Contract on the Exchange.
Specifies valuation.
A type describing return swaps including return swaps (long form), total return swaps, and variance swaps.
Specifies, for one or for both the parties to the trade, the date from which it can early terminate it.
Where the underlying is shares, specifies events affecting the issuer of those shares that may require the terms of the transaction to be adjusted.
A type describing the additional payment(s) between the principal parties to the trade. This component extends some of the features of the additionalPayment component previously developed in FpML. Appropriate discussions will determine whether it would be appropriate to extend the shared component in order to meet the further requirements of equity swaps.
Specifies the amount of the fee along with, when applicable, the formula that supports its determination.
Specifies the value date of the fee payment/receipt.
Classification of the payment.
Specifies, in relation to each Payment Date, the amount to which the Payment Date relates. For Equity Swaps this element is equivalent to the Equity Amount term as defined in the ISDA 2002 Equity Derivatives Definitions.
If true, then cash settlement is applicable.
A type describing the components that are common for return type swaps, including short and long form return swaps representations.
BuyerSeller.model has been included as an optional child of ReturnSwapBase to support the situation where an implementor wishes to indicate who has manufactured the Swap through representing them as the Seller. It may be removed in future major revisions.
This is used to document a Fully Funded Return Swap.
Specifies additional payment(s) between the principal parties to the trade.
A type describing the date from which each of the party may be allowed to terminate the trade.
Reference to a party defined elsewhere in this document which may be allowed to terminate the trade.
Specifies the date from which the early termination clause can be exercised.
A base class for all return leg types with an underlyer.
Specifies the strike date of this leg of the swap, used for forward starting swaps. When defined in relation to a date specified somewhere else in the document (through the relativeDate component), this element will typically by relative to the trade date of the swap.
Specifies the underlying component of the leg, which can be either one or many and consists in either equity, index or convertible bond component, or a combination of these.
Specifies the notional of return type swap. When used in the equity leg, the definition will typically combine the actual amount (using the notional component defined by the FpML industry group) and the determination method. When used in the interest leg, the definition will typically point to the definition of the equity leg.
A reference to the return swap notional amount defined elsewhere in this document.
A reference to the return swap notional determination method defined elsewhere in this document.
Specifies the method according to which an amount or a date is determined.
The notional amount.
A type describing the return payment dates of the swap.
Specifies the interim payment dates of the swap. When defined in relation to a date specified somewhere else in the document (through the relativeDates component), this element will typically refer to the valuation dates and add a lag corresponding to the settlement cycle of the underlyer.
Specifies the final payment date of the swap. When defined in relation to a date specified somewhere else in the document (through the relativeDate component), this element will typically refer to the final valuation date and add a lag corresponding to the settlement cycle of the underlyer.
A type specifying the date from which the early termination clause can be exercised.
Reference to a date defined elswhere in the document.
Date from which early termination clause can be exercised.
A type describing the Stub Calculation Period.
Choice group between mandatory specification of initial stub and optional specification of final stub, or mandatory final stub.
A type describing the variance amount of a variance swap.
Variance amount, which is a cash multiplier.
Choice between expressing the strike as volatility or variance.
If present and true, then variance cap is applicable.
For use when varianceCap is applicable. Contains the scaling factor of the Variance Cap that can differ on a trade-by-trade basis in the European market. For example, a Variance Cap of 2.5^2 x Variance Strike Price has an unadjustedVarianceCap of 2.5.
Conditions which bound variance. The contract specifies one or more boundary levels. These levels are expressed as prices for confirmation purposes Underlyer price must be equal to or higher than Lower Barrier is known as Up Conditional Swap Underlyer price must be equal to or lower than Upper Barrier is known as Down Conditional Swap Underlyer price must be equal to or higher than Lower Barrier and must be equal to or lower than Upper Barrier is known as Barrier Conditional Swap.
Specification of the exchange traded contract nearest.
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.
The fixed income amounts of the return type swap.
Return amounts of the return type swap.
Specifies the structure of a return type swap. It can represent return swaps, total return swaps, variance swaps.
An placeholder for the actual Return Swap Leg definition.
A group containing return swap amount currency definition methods
The currency in which an amount is denominated.
Specifies the method according to which an amount or a date is determined.
Reference to a currency defined elsewhere in the document
Declared Cash Dividend Percentage. A value expressed in percentage units i.e. 5 means 5%.
Declared Cash Equivalent Dividend Percentage. A value expressed in percentage units i.e. 5 means 5%.
A group containing Dividend content
If present and true, then options exchange dividends are applicable.
If present and true, then additional dividends are applicable.
Represents the European Master Confirmation value of 'All Dividends' which, when applicable, signifies that, for a given Ex-Date, the daily observed Share Price for that day is adjusted (reduced) by the cash dividend and/or the cash value of any non cash dividend per Share (including Extraordinary Dividends) declared by the Issuer. All Dividends in accordance with the ISDA 2002 Equity Derivatives Definitions.
A group containing Equity Underlyer provisions.
Local Jurisdiction is a term used in the AEJ Master Confirmation, which is used to determine local taxes, which shall mean taxes, duties, and similar charges imposed by the taxing authority of the Local Jurisdiction If this element is not present Local Jurisdiction is Not Applicable.
Relevent Jurisdiction is a term used in the AEJ Master Confirmation, which is used to determine local taxes, which shall mean taxes, duties and similar charges that would be imposed by the taxing authority of the Country of Underlyer on a Hypothetical Broker Dealer assuming the Applicable Hedge Positions are held by its office in the Relevant Jurisdiction. If this element is not present Relevant Jurisdiction is Not Applicable.
A group containing Swap and Derivative features.
Asian, Barrier, Knock and Pass Through features.
Quanto, Composite, or Cross Currency FX features.
For an index option transaction, a flag to indicate whether a relevant Multiple Exchange Index Annex is applicable to the transaction. This annex defines additional provisions which are applicable where an index is comprised of component securities that are traded on multiple exchanges.
For an index option transaction, a flag to indicate whether a relevant Component Security Index Annex is applicable to the transaction.
Used for specifying whether the Mutual Early Termination Right that is detailed in the Master Confirmation will apply.
A Boolean element used for specifying whether the Optional Early Termination clause detailed in the agreement will apply.
Optional Early Termination Date
Optional Early Termination Electing Party Reference
A Boolean element used for specifying whether the Break Funding Recovery detailed in the agreement will apply.
Defines the fee type.
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