Documentation for Financial products Markup Language (FpML®)
Definition Type: ComplexType
Name: FxAccrualOption
Namespace: http://www.fpml.org/FpML-5/reporting
Type: nsE:Option
Containing Schema: fpml-fx-accruals-5-10.xsd
Abstract
Documentation:
An FX Accrual Option product The product defines a list of fixing (or observation) dates. There are m total fixings. At the expiry date of the product, the buyer of the option has the right to an FX settlement with n/m * Notional. Payout can be cash or physical.
Collapse XSD Schema Diagram:
Drilldown into premium in schema fpml-fx-accruals-5-10_xsd2 Drilldown into barrier in schema fpml-fx-accruals-5-10_xsd2 Drilldown into averageRate in schema fpml-fx-accruals-5-10_xsd2 Drilldown into averageStrike in schema fpml-fx-accruals-5-10_xsd2 Drilldown into counterCurrencyAmount in schema fpml-fx-accruals-5-10_xsd2 Drilldown into strike in schema fpml-fx-accruals-5-10_xsd2 Drilldown into spotRate in schema fpml-fx-accruals-5-10_xsd2 Drilldown into exerciseProcedure in schema fpml-fx-accruals-5-10_xsd2 Drilldown into settlementSchedule in schema fpml-fx-accruals-5-10_xsd2 Drilldown into settlementDate in schema fpml-fx-accruals-5-10_xsd2 Drilldown into FxSettlementDateOrSchedule.model in schema fpml-fx-accruals-5-10_xsd2 Drilldown into expirySchedule in schema fpml-fx-accruals-5-10_xsd2 Drilldown into expiryDate in schema fpml-fx-accruals-5-10_xsd2 Drilldown into FxExpiryDateOrSchedule.model in schema fpml-fx-accruals-5-10_xsd2 Drilldown into accrual in schema fpml-fx-accruals-5-10_xsd2 Drilldown into notionalAmount in schema fpml-fx-accruals-5-10_xsd2 Drilldown into callCurrency in schema fpml-fx-5-10_xsd3 Drilldown into putCurrency in schema fpml-fx-5-10_xsd3 Drilldown into PutCallCurrency.model in schema fpml-fx-5-10_xsd3 Drilldown into sellerAccountReference in schema fpml-shared-5-10_xsd4 Drilldown into sellerPartyReference in schema fpml-shared-5-10_xsd4 Drilldown into buyerAccountReference in schema fpml-shared-5-10_xsd4 Drilldown into buyerPartyReference in schema fpml-shared-5-10_xsd4 Drilldown into BuyerSeller.model in schema fpml-shared-5-10_xsd4 Drilldown into embeddedOptionType in schema fpml-shared-5-10_xsd4 Drilldown into assetClass in schema fpml-shared-5-10_xsd4 Drilldown into productId in schema fpml-shared-5-10_xsd4 Drilldown into productType in schema fpml-shared-5-10_xsd4 Drilldown into secondaryAssetClass in schema fpml-shared-5-10_xsd4 Drilldown into primaryAssetClass in schema fpml-shared-5-10_xsd4 Drilldown into Product.model in schema fpml-shared-5-10_xsd4 Drilldown into id in schema fpml-shared-5-10_xsd4 Drilldown into Product in schema fpml-shared-5-10_xsd4 Drilldown into Option in schema fpml-option-shared-5-10_xsd3XSD Diagram of FxAccrualOption in schema fpml-fx-accruals-5-10_xsd2 (Financial products Markup Language (FpML®))
Collapse XSD Schema Code: 
<xsd:complexType name="FxAccrualOption">
    <xsd:annotation>
        <xsd:documentation xml:lang="en">An FX Accrual Option product The product defines a list of fixing (or observation) dates. There are m total fixings. At the expiry date of the product, the buyer of the option has the right to an FX settlement with n/m * Notional. Payout can be cash or physical.</xsd:documentation>
    </xsd:annotation>
    <xsd:complexContent>
        <xsd:extension base="Option">
            <xsd:sequence>
                <xsd:group ref="PutCallCurrency.model">
                    <xsd:annotation>
                        <xsd:documentation xml:lang="en">A model defining the currencies exchanged by the parties to an option.</xsd:documentation>
                    </xsd:annotation>
                </xsd:group>
                <xsd:element name="notionalAmount" type="NonNegativeAmountSchedule" minOccurs="0">
                    <xsd:annotation>
                        <xsd:documentation xml:lang="en">Notional amount Schedule. The notional value of the product. This number divided by the total number of fixings in the fixing schedule is the amount that is accrued at each fixing if the accrual factor is one.</xsd:documentation>
                    </xsd:annotation>
                </xsd:element>
                <xsd:element name="accrual" type="FxAccrual" minOccurs="0">
                    <xsd:annotation>
                        <xsd:documentation xml:lang="en">Describes accrual features within the product.</xsd:documentation>
                    </xsd:annotation>
                </xsd:element>
                <xsd:group ref="FxExpiryDateOrSchedule.model">
                    <xsd:annotation>
                        <xsd:documentation xml:lang="en">Defines the expiry/observation date or schedule of the accrual product.</xsd:documentation>
                    </xsd:annotation>
                </xsd:group>
                <xsd:group ref="FxSettlementDateOrSchedule.model">
                    <xsd:annotation>
                        <xsd:documentation xml:lang="en">Defines the settlement/payment date or schedule of the accrual product.</xsd:documentation>
                    </xsd:annotation>
                </xsd:group>
                <xsd:element name="exerciseProcedure" type="ExerciseProcedure" minOccurs="0">
                    <xsd:annotation>
                        <xsd:documentation xml:lang="en">A set of parameters defining procedures associated with the exercise.</xsd:documentation>
                    </xsd:annotation>
                </xsd:element>
                <xsd:element name="spotRate" type="PositiveDecimal" minOccurs="0">
                    <xsd:annotation>
                        <xsd:documentation xml:lang="en">An optional element used for FX forwards and certain types of FX OTC options. For deals consummated in the FX Forwards Market, this represents the current market rate for a particular currency pair. For barrier and digital/binary options, it can be useful to include the spot rate at the time the option was executed to make it easier to know whether the option needs to move "up" or "down" to be triggered.</xsd:documentation>
                    </xsd:annotation>
                </xsd:element>
                <xsd:choice minOccurs="0">
                    <xsd:sequence>
                        <xsd:element name="strike" type="FxOptionStrikePrice" minOccurs="0">
                            <xsd:annotation>
                                <xsd:documentation xml:lang="en">Defines the option strike price.</xsd:documentation>
                            </xsd:annotation>
                        </xsd:element>
                        <xsd:element name="counterCurrencyAmount" type="NonNegativeAmountSchedule" minOccurs="0">
                            <xsd:annotation>
                                <xsd:documentation xml:lang="en">The opposite currency amount the amount which is not always deterministic.</xsd:documentation>
                            </xsd:annotation>
                        </xsd:element>
                    </xsd:sequence>
                    <xsd:element name="averageStrike" type="FxAverageStrike">
                        <xsd:annotation>
                            <xsd:documentation xml:lang="en">Average Strike: means the average of the Reference Spot Rate on each Business Day from and including the Calculation Start Date up to and including the Calculation End Date rounded to the precision decimal places.</xsd:documentation>
                        </xsd:annotation>
                    </xsd:element>
                </xsd:choice>
                <xsd:element name="averageRate" type="FxAverageRate" minOccurs="0">
                    <xsd:annotation>
                        <xsd:documentation xml:lang="en">Average Rate: means the average of the Reference Spot Rate on each Business Day from and including the Calculation Start Date up to and including the Calculation End Date rounded to the precision decimal places.</xsd:documentation>
                    </xsd:annotation>
                </xsd:element>
                <xsd:element name="barrier" type="FxAccrualBarrier" minOccurs="0" maxOccurs="unbounded">
                    <xsd:annotation>
                        <xsd:documentation xml:lang="en">Defines a knockout barrier conditions where if a barrier event occurs, the accrual process is terminated for the duration of all remaining accrual periods. Settlement rights for the next settlement are either retained or extinguished.</xsd:documentation>
                    </xsd:annotation>
                </xsd:element>
                <xsd:element name="premium" type="FxOptionPremium" minOccurs="0" maxOccurs="unbounded">
                    <xsd:annotation>
                        <xsd:documentation xml:lang="en">Premium amount or premium installment amount for an option.</xsd:documentation>
                    </xsd:annotation>
                </xsd:element>
            </xsd:sequence>
        </xsd:extension>
    </xsd:complexContent>
</xsd:complexType>
Collapse Child Elements:
Name Type Min Occurs Max Occurs
primaryAssetClass nsE:primaryAssetClass 0 (1)
secondaryAssetClass nsE:secondaryAssetClass 0 unbounded
productType nsE:productType 0 unbounded
productId nsE:productId 0 unbounded
assetClass nsE:assetClass 0 unbounded
embeddedOptionType nsE:embeddedOptionType 0 2
buyerPartyReference nsE:buyerPartyReference 0 (1)
buyerAccountReference nsE:buyerAccountReference 0 (1)
sellerPartyReference nsE:sellerPartyReference 0 (1)
sellerAccountReference nsE:sellerAccountReference 0 (1)
putCurrency nsE:putCurrency 0 (1)
callCurrency nsE:callCurrency 0 (1)
notionalAmount nsE:notionalAmount 0 (1)
accrual nsE:accrual 0 (1)
expiryDate nsE:expiryDate (1) (1)
expirySchedule nsE:expirySchedule (1) (1)
settlementDate nsE:settlementDate (1) (1)
settlementSchedule nsE:settlementSchedule (1) (1)
exerciseProcedure nsE:exerciseProcedure 0 (1)
spotRate nsE:spotRate 0 (1)
strike nsE:strike 0 (1)
counterCurrencyAmount nsE:counterCurrencyAmount 0 (1)
averageStrike nsE:averageStrike (1) (1)
averageRate nsE:averageRate 0 (1)
barrier nsE:barrier 0 unbounded
premium nsE:premium 0 unbounded
<xs:group> nsE:BuyerSeller.model (1) (1)
<xs:group> nsE:PutCallCurrency.model (1) (1)
<xs:group> nsE:FxExpiryDateOrSchedule.model (1) (1)
<xs:group> nsE:FxSettlementDateOrSchedule.model (1) (1)
Collapse Child Attributes:
Name Type Default Value Use
id nsE:id (Optional)
Collapse Derivation Tree:
Collapse References:
nsE:fxAccrualOption
Documentation for Financial products Markup Language (FpML®)

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