Documentation for Financial products Markup Language (FpML®)
Definition Type: ComplexType
Name: FxForwardVolatilityAgreement
Namespace: http://www.fpml.org/FpML-5/reporting
Type: nsE: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_xsd3 Drilldown into straddle in schema fpml-fx-5-10_xsd3 Drilldown into forwardVolatilityStrikePrice in schema fpml-fx-5-10_xsd3 Drilldown into fixingTime in schema fpml-fx-5-10_xsd3 Drilldown into fixingDate in schema fpml-fx-5-10_xsd3 Drilldown into quotedCurrencyPair 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_xsd4XSD Diagram of FxForwardVolatilityAgreement in schema fpml-fx-5-10_xsd3 (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" minOccurs="0">
                    <xsd:annotation>
                        <xsd:documentation xml:lang="en">A currency Pair the straddle is based on.</xsd:documentation>
                    </xsd:annotation>
                </xsd:element>
                <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: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 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)
quotedCurrencyPair nsE:quotedCurrencyPair 0 (1)
fixingDate nsE:fixingDate (1) (1)
fixingTime nsE:fixingTime 0 (1)
forwardVolatilityStrikePrice nsE:forwardVolatilityStrikePrice 0 (1)
straddle nsE:straddle (1) (1)
additionalPayment nsE:additionalPayment 0 unbounded
<xs:group> nsE:BuyerSeller.model (1) (1)
Collapse Child Attributes:
Name Type Default Value Use
id nsE:id (Optional)
Collapse Derivation Tree:
Collapse References:
nsE:fxForwardVolatilityAgreement
Documentation for Financial products Markup Language (FpML®)

Generated using Liquid Studio - Developer Bundle 21.0.0.0