Documentation for Financial products Markup Language (FpML®)
Definition Type: ComplexType
Name: FxForwardVolatilityAgreement
Namespace: http://www.fpml.org/FpML-5/pretrade
Type: nsC:Product
Containing Schema: fpml-fx-5-10.xsd
Abstract
Documentation:
Describes a contract on future levels of implied volatility. The main characteristic of this product is that the underlying is a straddle (underlying options) with a specific tenor starting from the fixing (effective or pricing) date, and are priced on that fixing date using a level of volatility that is agreed at the time of execution of the volatility agreement.
Collapse XSD Schema Diagram:
Drilldown into additionalPayment in schema fpml-fx-5-10_xsd1 Drilldown into straddle in schema fpml-fx-5-10_xsd1 Drilldown into forwardVolatilityStrikePrice in schema fpml-fx-5-10_xsd1 Drilldown into fixingTime in schema fpml-fx-5-10_xsd1 Drilldown into fixingDate in schema fpml-fx-5-10_xsd1 Drilldown into tenorPeriod in schema fpml-fx-5-10_xsd1 Drilldown into fixingDate in schema fpml-fx-5-10_xsd1 Drilldown into quotedCurrencyPair in schema fpml-fx-5-10_xsd1 Drilldown into sellerAccountReference in schema fpml-shared-5-10_xsd2 Drilldown into sellerPartyReference in schema fpml-shared-5-10_xsd2 Drilldown into buyerAccountReference in schema fpml-shared-5-10_xsd2 Drilldown into buyerPartyReference in schema fpml-shared-5-10_xsd2 Drilldown into BuyerSeller.model in schema fpml-shared-5-10_xsd2 Drilldown into productId in schema fpml-shared-5-10_xsd2 Drilldown into productType in schema fpml-shared-5-10_xsd2 Drilldown into secondaryAssetClass in schema fpml-shared-5-10_xsd2 Drilldown into primaryAssetClass in schema fpml-shared-5-10_xsd2 Drilldown into Product.model in schema fpml-shared-5-10_xsd2 Drilldown into id in schema fpml-shared-5-10_xsd2 Drilldown into Product in schema fpml-shared-5-10_xsd2XSD Diagram of FxForwardVolatilityAgreement in schema fpml-fx-5-10_xsd1 (Financial products Markup Language (FpML®))
Collapse XSD Schema Code: 
<xsd:complexType name="FxForwardVolatilityAgreement">
    <xsd:annotation>
        <xsd:documentation xml:lang="en">Describes a contract on future levels of implied volatility. The main characteristic of this product is that the underlying is a straddle (underlying options) with a specific tenor starting from the fixing (effective or pricing) date, and are priced on that fixing date using a level of volatility that is agreed at the time of execution of the volatility agreement.</xsd:documentation>
    </xsd:annotation>
    <xsd:complexContent>
        <xsd:extension base="Product">
            <xsd:sequence>
                <xsd:group ref="BuyerSeller.model">
                    <xsd:annotation>
                        <xsd:documentation xml:lang="en">A buyer buys the straddle: (i) pays the Premium for the straddle and (ii) has the right to exercise the underlying options.</xsd:documentation>
                    </xsd:annotation>
                </xsd:group>
                <xsd:element name="quotedCurrencyPair" type="QuotedCurrencyPair">
                    <xsd:annotation>
                        <xsd:documentation xml:lang="en">A currency Pair the straddle is based on.</xsd:documentation>
                    </xsd:annotation>
                </xsd:element>
                <xsd:choice>
                    <xsd:element name="fixingDate" type="xsd:date">
                        <xsd:annotation>
                            <xsd:documentation xml:lang="en">The date when the underlying options are priced using the agreed forwardVolatilityStrikePrice and other market factors as agreed by the parties. Also known as "Effective Date" or "Reference Date".</xsd:documentation>
                        </xsd:annotation>
                    </xsd:element>
                    <xsd:sequence>
                        <xsd:element name="tenorPeriod" type="Period">
                            <xsd:annotation>
                                <xsd:documentation xml:lang="en">The date when the underlying options are priced using the agreed forwardVolatilityStrikePrice and other market factors as agreed by the parties. Also known as "Effective Date" or "Reference Date". This is expressed as a tenor from the trade date (1D, 1M, 1Y, etc.).</xsd:documentation>
                            </xsd:annotation>
                        </xsd:element>
                        <xsd:element name="fixingDate" type="xsd:date" minOccurs="0">
                            <xsd:annotation>
                                <xsd:documentation xml:lang="en">The date when the underlying options are priced using the agreed forwardVolatilityStrikePrice and other market factors as agreed by the parties. Also known as "Effective Date" or "Reference Date".</xsd:documentation>
                            </xsd:annotation>
                        </xsd:element>
                    </xsd:sequence>
                </xsd:choice>
                <xsd:element name="fixingTime" type="BusinessCenterTime" minOccurs="0">
                    <xsd:annotation>
                        <xsd:documentation xml:lang="en">The time of the fixing date when the underlying options are priced using the agreed forwardVolatilityStrikePrice and other market factors as agreed by the parties.</xsd:documentation>
                    </xsd:annotation>
                </xsd:element>
                <xsd:element name="forwardVolatilityStrikePrice" type="PositiveDecimal" minOccurs="0">
                    <xsd:annotation>
                        <xsd:documentation xml:lang="en">the Volatility level as agreed on the Trade Date.</xsd:documentation>
                    </xsd:annotation>
                </xsd:element>
                <xsd:element name="straddle" type="FxStraddle">
                    <xsd:annotation>
                        <xsd:documentation xml:lang="en">details of the straddle (underlying options).</xsd:documentation>
                    </xsd:annotation>
                </xsd:element>
                <xsd:element name="additionalPayment" type="Payment" minOccurs="0" maxOccurs="unbounded">
                    <xsd:annotation>
                        <xsd:documentation xml:lang="en">The currency, amount and payment details for the Forward Volatility Agreement, as agreed at the time of execution.</xsd:documentation>
                    </xsd:annotation>
                </xsd:element>
            </xsd:sequence>
        </xsd:extension>
    </xsd:complexContent>
</xsd:complexType>
Collapse Child Elements:
Name Type Min Occurs Max Occurs
primaryAssetClass nsC:primaryAssetClass 0 (1)
secondaryAssetClass nsC:secondaryAssetClass 0 unbounded
productType nsC:productType 0 unbounded
productId nsC:productId 0 unbounded
buyerPartyReference nsC:buyerPartyReference (1) (1)
buyerAccountReference nsC:buyerAccountReference 0 (1)
sellerPartyReference nsC:sellerPartyReference (1) (1)
sellerAccountReference nsC:sellerAccountReference 0 (1)
quotedCurrencyPair nsC:quotedCurrencyPair (1) (1)
fixingDate nsC:fixingDate (1) (1)
tenorPeriod nsC:tenorPeriod (1) (1)
fixingDate nsC:fixingDate 0 (1)
fixingTime nsC:fixingTime 0 (1)
forwardVolatilityStrikePrice nsC:forwardVolatilityStrikePrice 0 (1)
straddle nsC:straddle (1) (1)
additionalPayment nsC:additionalPayment 0 unbounded
<xs:group> nsC:BuyerSeller.model (1) (1)
Collapse Child Attributes:
Name Type Default Value Use
id nsC:id (Optional)
Collapse Derivation Tree:
Collapse References:
nsC:fxForwardVolatilityAgreement
Documentation for Financial products Markup Language (FpML®)

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