Documentation for Financial products Markup Language (FpML®)
Definition Type: ComplexType
Name: SwapCurveValuation
Namespace: http://www.fpml.org/FpML-5/reporting
Containing Schema: fpml-bond-option-5-10.xsd
Abstract
Documentation:
A complex type to specify a valuation swap curve, which is used as part of the strike construct for the bond and convertible bond options.
Collapse XSD Schema Diagram:
Drilldown into side in schema fpml-bond-option-5-10_xsd2 Drilldown into spread in schema fpml-bond-option-5-10_xsd2 Drilldown into indexTenor in schema fpml-shared-5-10_xsd4 Drilldown into floatingRateIndex in schema fpml-shared-5-10_xsd4 Drilldown into FloatingRateIndex.model in schema fpml-shared-5-10_xsd4XSD Diagram of SwapCurveValuation in schema fpml-bond-option-5-10_xsd2 (Financial products Markup Language (FpML®))
Collapse XSD Schema Code: 
<xsd:complexType name="SwapCurveValuation">
    <xsd:annotation>
        <xsd:documentation xml:lang="en">A complex type to specify a valuation swap curve, which is used as part of the strike construct for the bond and convertible bond options.</xsd:documentation>
    </xsd:annotation>
    <xsd:sequence>
        <xsd:group ref="FloatingRateIndex.model">
            <xsd:annotation>
                <xsd:documentation xml:lang="en">Defines the benchmark floating rate index and the ISDA Designated Maturity, i.e. the tenor of the floating rate.</xsd:documentation>
            </xsd:annotation>
        </xsd:group>
        <xsd:element name="spread" type="xsd:decimal" minOccurs="0">
            <xsd:annotation>
                <xsd:documentation xml:lang="en">Spread in basis points over the floating rate index.</xsd:documentation>
            </xsd:annotation>
        </xsd:element>
        <xsd:element name="side" type="QuotationSideEnum" minOccurs="0">
            <xsd:annotation>
                <xsd:documentation xml:lang="en">The side (bid/mid/ask) of the measure.</xsd:documentation>
            </xsd:annotation>
        </xsd:element>
    </xsd:sequence>
</xsd:complexType>
Collapse Child Elements:
Name Type Min Occurs Max Occurs
floatingRateIndex nsE:floatingRateIndex 0 (1)
indexTenor nsE:indexTenor 0 (1)
spread nsE:spread 0 (1)
side nsE:side 0 (1)
<xs:group> nsE:FloatingRateIndex.model (1) (1)
Collapse Derivation Tree:
Collapse References:
nsE:MakeWholeAmount, nsE:swapUnwindValue
Documentation for Financial products Markup Language (FpML®)

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