Documentation for Financial products Markup Language (FpML®)
Definition Type: ComplexType
Name: FxPerformanceSwap
Namespace: http://www.fpml.org/FpML-5/transparency
Type: nsF:Product
Containing Schema: fpml-fx-5-10.xsd
Abstract
Documentation:
Describes an FX volatility and variance swap.
Collapse XSD Schema Diagram:
Drilldown into additionalPayment in schema fpml-fx-5-10_xsd4 Drilldown into valuationDate in schema fpml-fx-5-10_xsd4 Drilldown into fixedLeg in schema fpml-fx-5-10_xsd4 Drilldown into notional in schema fpml-fx-5-10_xsd4 Drilldown into vegaNotional in schema fpml-fx-5-10_xsd4 Drilldown into quotedCurrencyPair in schema fpml-fx-5-10_xsd4 Drilldown into embeddedOptionType in schema fpml-shared-5-10_xsd5 Drilldown into productId in schema fpml-shared-5-10_xsd5 Drilldown into productType in schema fpml-shared-5-10_xsd5 Drilldown into secondaryAssetClass in schema fpml-shared-5-10_xsd5 Drilldown into primaryAssetClass in schema fpml-shared-5-10_xsd5 Drilldown into Product.model in schema fpml-shared-5-10_xsd5 Drilldown into id in schema fpml-shared-5-10_xsd5 Drilldown into Product in schema fpml-shared-5-10_xsd5XSD Diagram of FxPerformanceSwap in schema fpml-fx-5-10_xsd4 (Financial products Markup Language (FpML®))
Collapse XSD Schema Code: 
<xsd:complexType name="FxPerformanceSwap">
    <xsd:annotation>
        <xsd:documentation xml:lang="en">Describes an FX volatility and variance swap.</xsd:documentation>
    </xsd:annotation>
    <xsd:complexContent>
        <xsd:extension base="Product">
            <xsd:sequence>
                <xsd:element name="quotedCurrencyPair" type="QuotedCurrencyPair" minOccurs="0">
                    <xsd:annotation>
                        <xsd:documentation xml:lang="en">A Currency Pair with regards to this transaction and the quoting convention.</xsd:documentation>
                    </xsd:annotation>
                </xsd:element>
                <xsd:element name="vegaNotional" type="NonNegativeMoney">
                    <xsd:annotation>
                        <xsd:documentation xml:lang="en">Vega Notional means the currency and amount specified as such in the related Confirmation.</xsd:documentation>
                    </xsd:annotation>
                </xsd:element>
                <xsd:element name="notional" type="NonNegativeMoney" minOccurs="0">
                    <xsd:annotation>
                        <xsd:documentation xml:lang="en">Notional Amount means, in the case of Transaction Type Variance Swap, the currency and amount specified as such in the related Confirmation or an amount calculated in accordance with the following: Notional Amount = Vega Notional Amount / (0.02 x Fixed FX Rate). This element must be produced in case of Variance Swap transaction.</xsd:documentation>
                    </xsd:annotation>
                </xsd:element>
                <xsd:element name="fixedLeg" type="FxPerformanceFixedLeg">
                    <xsd:annotation>
                        <xsd:documentation xml:lang="en">Fixed FX Rate component describes the Fixed FX Rate and Fixed FX Rate Payer as such in the Confirmation for the Non-Deliverable Swap FX Transaction.</xsd:documentation>
                    </xsd:annotation>
                </xsd:element>
                <xsd:element name="valuationDate" type="xsd:date">
                    <xsd:annotation>
                        <xsd:documentation xml:lang="en">Final Observation Date when Settlement Amount and Settlement Amount Payer determination date.</xsd:documentation>
                    </xsd:annotation>
                </xsd:element>
                <xsd:element name="additionalPayment" type="Payment" minOccurs="0" maxOccurs="unbounded">
                    <xsd:annotation>
                        <xsd:documentation xml:lang="en">Additional Payment means, in respect of an FX Transaction, where such fee is required, and a Transaction Fee Payment Date, the amount, if any, that is specified or otherwise determined as provided in the related Confirmation and, subject to any applicable condition precedent, is payable by one party to the other as further specified or otherwise determined as provided in the related Confirmation on the Transaction Fee Payment Date or on each Transaction Fee Payment Date if more than one is specified, for value on such date.</xsd:documentation>
                    </xsd:annotation>
                </xsd:element>
            </xsd:sequence>
        </xsd:extension>
    </xsd:complexContent>
</xsd:complexType>
Collapse Child Elements:
Name Type Min Occurs Max Occurs
primaryAssetClass nsF:primaryAssetClass 0 (1)
secondaryAssetClass nsF:secondaryAssetClass 0 unbounded
productType nsF:productType 0 unbounded
productId nsF:productId 0 unbounded
embeddedOptionType nsF:embeddedOptionType 0 2
quotedCurrencyPair nsF:quotedCurrencyPair 0 (1)
vegaNotional nsF:vegaNotional (1) (1)
notional nsF:notional 0 (1)
fixedLeg nsF:fixedLeg (1) (1)
valuationDate nsF:valuationDate (1) (1)
additionalPayment nsF:additionalPayment 0 unbounded
Collapse Child Attributes:
Name Type Default Value Use
id nsF:id (Optional)
Collapse Derivation Tree:
Collapse References:
nsF:fxVarianceSwap, nsF:fxVolatilitySwap
Documentation for Financial products Markup Language (FpML®)

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