Definition Type: ComplexType
Name: FxForwardVolatilityAgreement
Namespace: http://www.fpml.org/FpML-5/reporting
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 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 embeddedOptionType in schema fpml-shared-5-9_xsd Drilldown into assetClass 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 secondaryAssetClass 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®) - Reporting)
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 nsA:primaryAssetClass 0 (1)
secondaryAssetClass nsA:secondaryAssetClass 0 unbounded
productType nsA:productType 0 unbounded
productId nsA:productId 0 unbounded
assetClass nsA:assetClass 0 unbounded
embeddedOptionType nsA:embeddedOptionType 0 2
buyerPartyReference nsA:buyerPartyReference 0 (1)
buyerAccountReference nsA:buyerAccountReference 0 (1)
sellerPartyReference nsA:sellerPartyReference 0 (1)
sellerAccountReference nsA:sellerAccountReference 0 (1)
quotedCurrencyPair nsA:quotedCurrencyPair 0 (1)
fixingDate nsA:fixingDate (1) (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:
blog comments powered by Disqus