schemas.fpml-5-13.confirmation.fpml-fx-targets-5-13.xsd Maven / Gradle / Ivy
Specifies the outcome (action) in the event that the barrier is triggered i.e. whether the product becomes active (Knockin) or is extinguished (Knockout).
The barrier observation style: continuous (American) or discrete (European).
The scope of the barrier (PerExpiry|Global). Specifies whether the barrier has effect for the current expiry period (in the case of a multi-phase product), or for the product as a whole.
Defines the condition when the barrier applies: AtOrAbove, AtOrBelow, Above, Below.
The market rate is observed relative to the trigger rate, and if it is found to be on the predefined side of (above or below) the trigger rate, a barrier event is deemed to have occurred.
The date on which the observation period for an american barrier starts. If the start date is not present, then the date and time of the start of the period is deemed to be the date and time the transaction was entered into.
The time on the start date at which the observation period for an american barrier starts. If the time is not present and the start date is equivalent to the transaction date, the time is deemed to be the time the transaction was entered into. If the time is not present and the start date is other than the transaction date, then the time is deemed to be the same as the expiration time.
The date on which the observation period for an american barrier ends. If the end date is not present, then the date and time of the end of the period is deemed to be the date and time of expiration.
The time on the end date at which the observation period for an american barrier ends. If the time is not present, then the time is deemed to be the same as the expiration time.
Attribute to be able to point to the
Reference to a barrier structure defined within the parametric representation.
In case of multiple counter currency notionals, a strike reference to the appropriate strike may be provided.
The representation of the schedule as an offset relative to another schedule. For example, the settlement schedule may be relative to the expiry schedule by an FxForward offset.
The FX Offset Convention can be FxSpot or FxForward.
The settlement offset to the expiry schedule or the expiry offset to the settlement schedule. It is only specified when the settlement convention is FxForward.
Indicates whether the settlement schedule is relative to the expiry schedule or the expiry schedule is relative to the settlement schedule.
Indicates the direction who pays and receives a specific currency without specifying the amount.
Defines the expiry/observation schedule of the target.
The final expiry date facilitates informing the final date without having to process all expiry dates in the schedule.
Time of expiration of each expiry date.
Number of fixings that are in the money. No accumulation process.
Whether there is settlement at knockout.
Defines the Target level of gain.
Target level expressed as a cash amount.
Target level expressed as intrinsic value (cumulative benefit over the prevailing spot rate at each observation point).
Target style when it settles, whether it is Inclusive, Exclusive, or Exact. Exclusive: the gain for the knockout period is adjusted to zero i.e. the target yields zero value in the final period. Exact: the gain for the knockout period is adjusted to yield a final accumulated value equal to the target level. Inclusive: the gain for the knockout period is equal to the whole benefit of the final fixing over spot i.e. the final accumulated value may exceed the target level.
Specifies the calculation method by which the final accumulated value is adjusted equal to the target value, in the case where the target style is "Exact". This element must be produced (only) where the target style is "Exact", and should be omitted otherwise.
Level is expressed as Schedule, with an initial value and optional steps.
Reference to a level structure.
Reference to a target structure within the product.
The Settlement Adjustment Style can be VariedStrike or VariedNotional.
The amount of gain on the client upside or firm upside is limited. If spot settles above the cap, or below the floor, the payout is adjusted to limit the gain. The adjustment may be made by varying the strike, or by maintaining the strike, but varying the payout notionals.
Condition in which Cap or Floor applies.
Cap/Floor rate.
The Settlement Adjustment Style can be VariedStrike or VariedNotional.
Pivot is expressed as Schedule, with an initial value and optional steps.
Reference to a pivot structure.
The FxSchedule may be expressed as explicit adjusted dates, or a parametric representation plus optional adjusted dates, or as an offset plus optional adusted dates.
Date adjustments applied to the adjusted dates including the business day convention and the business centers.
List of schedule dates. These dates have been subject to adjustments based on the dateAdjustments structure.
Parametric representation of the schedule.
The representation of the schedule as an offset relative to another schedule. For example, the settlement schedule may be relative to the expiry schedule by an FxForward offset.
List of schedule dates. These dates have been subject to adjustments based on the dateAdjustments structure.
Reference to a FX Schedule structure.
Reference to the barrier structure within the parametric representation of the product.
Barrier trigger rate.
The final settlement date facilitates informing the final date without having to process all settlement dates in the schedule.
Strike is expressed as Schedule, with an initial value and optional steps.
Reference to a strike structure.
Defines the lower/upper bound in which the target accumulation applies.
This is the factor that increases gain, not notional. Used to support Accelerated TARFs.
A rebate payable in the event of knockout. This element may be produced in conjunction with a Global Knockout barrier (barrierType = "Knockout" scope = "Global"), and must be omitted otherwise.
Cash payment.
Payoff (gain) expressed as a fixing adjustment. This style is used in the "bonus collar" TARF.
A fixing region in which the payoff is a constant value (a binary|digital payoff, or zero).
A binary|digital payoff, expressed either as a cash payment, or a (non-zero) fixing adjustment.
A structured forward product which consists of a strip of forwards. Each forward may be settled as an exchange of currencies or cash settled. At each settlement, the amount of gain that one party achieves is measured. The product has a target level of gain. Once the accumulated gain exceeds the target level, the product terminates and there are no further settlements.
The Quoted Currency Pair that is used accross the product.
Notional amount of the Target.
It defines the target level of gain. Once the accumulated gain exceeds the target level, the product terminates and there are no further settlements.
Defines the expiry/observation schedule of the target product.
Defines the settlement/payment schedule of the target product.
Information source for fixing the exchange rate. It is the same for all fixing periods.
Spot rate
The boundary where the contract flips from being long and short is the pivot point. So the pivot indicates the level in which there is a change in direction of the currencies exchanged by the parties.
A region in which constant payoff applies i.e. the payoff is defined as a contant currency amount or fixing adjustment, unrelated to the fixing. In absence of the "payoff" element, zero payoff is assumed (note: zero payoff does not necessarily imply that no settlement occurs).
A region in which linear payoff applies i.e. the payoff bears a linear relationship to the fixing value (increases/decreases linearly with the fixing).
It defines a region in which a digital payment occurs.
A region in which linear payoff applies i.e. the payoff bears a linear relationship to the fixing value (increases/decreases linearly with the fixing).
Choice permitting digital-, vanilla- and zero- PayoffRegions to be combined arbitrarily.
It defines a region in which a digital payment occurs.
A region in which linear payoff applies i.e. the payoff bears a linear relationship to the fixing value (increases/decreases linearly with the fixing).
Generic FxTarget barrier. Element "scope" specifies whether the barrier has effect for the expiry period in which it is observed, or globally for whole product. Optional element "rebate" may be produced in conjunction with a Global Knockout barrier, to specify a rebate payable in the event of knockout.
It supports the representation of premiums, fees, etc.
Cash settlement currency.
It supports the representation of a matrix/tabular approach of the product by defining a set of settlement periods.
Condition in which leverage applies.
Leverage rate with optional steps. Format is 2 for 200%.
Leveraged notional expressed as amount with optional steps.
The opposite currency amount of the Target.
A fixing region in which the payoff varies linearly with the fixing value.
Strike price of the Target.
The opposite currency amount of the Target.
Defines the lower bound of a payoff region.
Defines the upper bound of a payoff region.
Notional leverage.
The amount of gain on the client upside or firm upside is limited. If spot settles above the cap, or below the floor, the payout is adjusted to limit the gain. The adjustment may be made by varying the strike, or by maintaining the strike, but varying the payout notionals.
Reference to a FX Target Payoff Region.
A rebate can be expressed as a payment amount or as amount of outstanding gain.
Rebate amount expressed as a payment between the two parties.
Rebate expressed as amount of outstanding gain.
AtOrAbove, Above.
AtOrBelow, Below.
Payoff region
Optional reference to the Payoff Region in the parametric representation of the product.
Strike for the settlement period.
Counter Currency Amount for the settlement period. Multiple Counter Currency Amount elements may appear if there are more than one strike in the settlement period.
Lower bound to the region.
Upper bound to the region.
Leverage within the period expressed as either an amount or ratio.
The amount of gain on the client upside or firm upside is limited. If spot settles above the cap, or below the floor, the payout is adjusted to limit the gain. The adjustment may be made by varying the strike, or by maintaining the strike, but varying the payout notionals.
Defines each settlement period in the tabular/matrix representation of the product.
Pivot for the settlement period. When pivot is present, at least two payoff elements must be present within the settlement period.
Payoff Region within the settlement period to link strike with the relevant payoff components.
The trigger rate of the barrier (Per Expiry or Global Knockout) for the settlement period.
Indicates the direction of physical settlement exchanges.
The Settlement Adjustment Style can be VariedStrike or VariedNotional.
The strike should be specified if the Settlement Style is VariedNotional.
Reference to a target structure.
Expiry date for the settlement period.
Settlement date for the settlement period.
Notional Amount for the settlement period.
Observation date in a fixing period.
Start date of the period.
End date of the period.
Number of fixings between the fixing start and end date.
Leverage expressed as ratio.
Leverage notional.
Leverage counter currency notional.
A structured forward product which consists of a strip of forwards. Each forward may be settled as an exchange of currencies or cash settled. At each settlement, the amount of gain that one party achieves is measured. The product has a target level of gain. Once the accumulated gain exceeds the target level, the product terminates and there are no further settlements.
Indicates the directions of who pays and receives a specific currency without specifying the amount.
Indicates the first direction of who pays and receives a specific currency without specifying the amount.
Indicates the second direction of who pays and receives a specific currency without specifying the amount.
Conditions can be expressed in different ways: as a specific level, as strike, pivot, or barrier.
Level expressed as a level with optional steps different from strike, pivot, or barrier.
Reference to a strike defined within the FX product.
Reference to the pivot defined within the FX product.
Reference to a perExpiryBarrier component to indicate theat the bound of the region is defined by the barrier component.
Reference to a level defined within the FX product.
Defines the upper bound of a payoff region.
Defines the lower bound of a payoff region.
Defines the upper bound of a payoff region.
The schedule defined by the set of parameters to be able to calculate the schedule of adjusted date. The combination of the [start/endDate + dayType + businessCenters] will be used only to represent a daily schedule and the combination of [start/endDate + observationFrequency + dateAdjustments] for parametric representation of the schedules other than daily schedule.
Start of the schedule.
End of the schedule.
End of the schedule.
Defines the frequency at which calculation period end dates occur within the period schedule and their roll date convention.
Date adjustments applied to the schedule including the business day convention and the business centers.
A day type classification, e.g. Business, Calendar, etc.
Business day calender location, or pointer style reference.
Strike price of the Target.
Reference to an existing strike structure within the FX product.
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