Documentation for Financial products Markup Language (FpML®) - Pretrade
Definition Type: ComplexType
Name: FxForwardVolatilityAgreement
Namespace: http://www.fpml.org/FpML-5/pretrade
Type: nsA:Product
Containing Schema: fpml-fx-5-9.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-5-9_xsd Drilldown into straddle in schema fpml-fx-5-9_xsd Drilldown into forwardVolatilityStrikePrice in schema fpml-fx-5-9_xsd Drilldown into fixingTime in schema fpml-fx-5-9_xsd Drilldown into fixingDate in schema fpml-fx-5-9_xsd Drilldown into tenorPeriod in schema fpml-fx-5-9_xsd Drilldown into fixingDate in schema fpml-fx-5-9_xsd Drilldown into quotedCurrencyPair in schema fpml-fx-5-9_xsd Drilldown into sellerAccountReference in schema fpml-shared-5-9_xsd Drilldown into sellerPartyReference in schema fpml-shared-5-9_xsd Drilldown into buyerAccountReference in schema fpml-shared-5-9_xsd Drilldown into buyerPartyReference in schema fpml-shared-5-9_xsd Drilldown into BuyerSeller.model in schema fpml-shared-5-9_xsd Drilldown into productId in schema fpml-shared-5-9_xsd Drilldown into productType in schema fpml-shared-5-9_xsd Drilldown into primaryAssetClass in schema fpml-shared-5-9_xsd Drilldown into Product.model in schema fpml-shared-5-9_xsd Drilldown into id in schema fpml-shared-5-9_xsd Drilldown into Product in schema fpml-shared-5-9_xsdXSD Diagram of FxForwardVolatilityAgreement in schema fpml-fx-5-9_xsd (Financial products Markup Language (FpML®) - Pretrade)
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 nsA:primaryAssetClass 0 (1)
productType nsA:productType 0 unbounded
productId nsA:productId 0 unbounded
buyerPartyReference nsA:buyerPartyReference (1) (1)
buyerAccountReference nsA:buyerAccountReference 0 (1)
sellerPartyReference nsA:sellerPartyReference (1) (1)
sellerAccountReference nsA:sellerAccountReference 0 (1)
quotedCurrencyPair nsA:quotedCurrencyPair (1) (1)
fixingDate nsA:fixingDate (1) (1)
tenorPeriod nsA:tenorPeriod (1) (1)
fixingDate nsA:fixingDate 0 (1)
fixingTime nsA:fixingTime 0 (1)
forwardVolatilityStrikePrice nsA:forwardVolatilityStrikePrice 0 (1)
straddle nsA:straddle (1) (1)
additionalPayment nsA:additionalPayment 0 unbounded
<xs:group> nsA:BuyerSeller.model (1) (1)
Collapse Child Attributes:
Name Type Default Value Use
id nsA:id (Optional)
Collapse Derivation Tree:
Collapse References:
nsA:fxForwardVolatilityAgreement
Collapse Comments:
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Documentation for Financial products Markup Language (FpML®) - Pretrade

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