Documentation for Financial products Markup Language (FpML®)
Definition Type: ComplexType
Name: Swaption
Namespace: http://www.fpml.org/FpML-5/reporting
Type: nsE:Product
Containing Schema: fpml-ird-5-10.xsd
Abstract
Documentation:
A type to define an option on a swap.
Collapse XSD Schema Diagram:
Drilldown into swap in schema fpml-ird-5-10_xsd3 Drilldown into swaptionAdjustedDates in schema fpml-ird-5-10_xsd3 Drilldown into swaptionStraddle in schema fpml-ird-5-10_xsd3 Drilldown into physicalSettlement in schema fpml-ird-5-10_xsd3 Drilldown into cashSettlement in schema fpml-ird-5-10_xsd3 Drilldown into calculationAgent in schema fpml-ird-5-10_xsd3 Drilldown into exerciseProcedure in schema fpml-ird-5-10_xsd3 Drilldown into exercise in schema fpml-shared-5-10_xsd4 Drilldown into optionType in schema fpml-ird-5-10_xsd3 Drilldown into premium in schema fpml-ird-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 Swaption in schema fpml-ird-5-10_xsd3 (Financial products Markup Language (FpML®))
Collapse XSD Schema Code: 
<xsd:complexType name="Swaption">
    <xsd:annotation>
        <xsd:documentation xml:lang="en">A type to define an option on a swap.</xsd:documentation>
    </xsd:annotation>
    <xsd:complexContent>
        <xsd:extension base="Product">
            <xsd:sequence>
                <xsd:group ref="BuyerSeller.model" />
                <xsd:element name="premium" type="Payment" minOccurs="0" maxOccurs="unbounded">
                    <xsd:annotation>
                        <xsd:documentation xml:lang="en">The option premium amount payable by buyer to seller on the specified payment date.</xsd:documentation>
                    </xsd:annotation>
                </xsd:element>
                <xsd:element name="optionType" type="SwaptionTypeEnum" minOccurs="0">
                    <xsd:annotation>
                        <xsd:documentation xml:lang="en">The type of option transaction. From a usage standpoint, put/call is the default option type, while payer/receiver indicator is used for options index credit default swaps, consistently with the industry practice. Straddle is used for the case of straddle strategy, that combine a call and a put with the same strike. This element is needed for transparency reporting because the counterparties are not available, and is made available in other views for convenience; it is not intended to be used for confirmation processing. If the swaption straddle indicator is provided, this must not be in conflict with that indicator.</xsd:documentation>
                    </xsd:annotation>
                </xsd:element>
                <xsd:element ref="exercise" minOccurs="0" />
                <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="calculationAgent" type="CalculationAgent" minOccurs="0">
                    <xsd:annotation>
                        <xsd:documentation xml:lang="en">The ISDA Calculation Agent responsible for performing duties associated with an optional early termination.</xsd:documentation>
                    </xsd:annotation>
                </xsd:element>
                <xsd:choice minOccurs="0">
                    <xsd:annotation>
                        <xsd:documentation xml:lang="en">In the absence of both cashSettlement and (explicit) physicalSettlement terms, physical settlement is inferred.</xsd:documentation>
                    </xsd:annotation>
                    <xsd:element name="cashSettlement" type="CashSettlement">
                        <xsd:annotation>
                            <xsd:documentation xml:lang="en">If specified, this means that cash settlement is applicable to the transaction and defines the parameters associated with the cash settlement procedure. If not specified, then physical settlement is applicable.</xsd:documentation>
                        </xsd:annotation>
                    </xsd:element>
                    <xsd:element name="physicalSettlement" type="SwaptionPhysicalSettlement">
                        <xsd:annotation>
                            <xsd:documentation xml:lang="en">If specified, this defines physical settlement terms which apply to the transaction.</xsd:documentation>
                        </xsd:annotation>
                    </xsd:element>
                </xsd:choice>
                <xsd:element name="swaptionStraddle" type="xsd:boolean" minOccurs="0">
                    <xsd:annotation>
                        <xsd:documentation xml:lang="en">Whether the option is a swaption or a swaption straddle.</xsd:documentation>
                    </xsd:annotation>
                </xsd:element>
                <xsd:element name="swaptionAdjustedDates" type="SwaptionAdjustedDates" minOccurs="0">
                    <xsd:annotation>
                        <xsd:documentation xml:lang="en">The adjusted dates associated with swaption exercise. These dates have been adjusted for any applicable business day convention.</xsd:documentation>
                    </xsd:annotation>
                </xsd:element>
                <xsd:element name="swap" type="Swap" minOccurs="0" />
            </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)
premium nsE:premium 0 unbounded
optionType nsE:optionType 0 (1)
exercise nsE:exercise 0 (1)
exerciseProcedure nsE:exerciseProcedure 0 (1)
calculationAgent nsE:calculationAgent 0 (1)
cashSettlement nsE:cashSettlement (1) (1)
physicalSettlement nsE:physicalSettlement (1) (1)
swaptionStraddle nsE:swaptionStraddle 0 (1)
swaptionAdjustedDates nsE:swaptionAdjustedDates 0 (1)
swap nsE:swap 0 (1)
<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:swaption
Documentation for Financial products Markup Language (FpML®)

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