Definition Type: ComplexType
Name: FxPerformanceSwap
Namespace: http://www.fpml.org/FpML-5/reporting
Type: nsA:Product
Containing Schema: fpml-fx-5-9.xsd
Abstract
Documentation:
Describes an FX volatility and variance swap.
Collapse XSD Schema Diagram:
Drilldown into cashSettlement in schema fpml-fx-5-9_xsd Drilldown into additionalPayment in schema fpml-fx-5-9_xsd Drilldown into numberOfReturns in schema fpml-fx-5-9_xsd Drilldown into meanAdjustment in schema fpml-fx-5-9_xsd Drilldown into annualizationFactor in schema fpml-fx-5-9_xsd Drilldown into settlementDate in schema fpml-fx-5-9_xsd Drilldown into valuationDateOffset in schema fpml-fx-5-9_xsd Drilldown into valuationDate in schema fpml-fx-5-9_xsd Drilldown into fixingSchedule in schema fpml-fx-5-9_xsd Drilldown into fixingInformationSource in schema fpml-fx-5-9_xsd Drilldown into floatingLeg in schema fpml-fx-5-9_xsd Drilldown into fixedLeg in schema fpml-fx-5-9_xsd Drilldown into notional in schema fpml-fx-5-9_xsd Drilldown into vegaNotional in schema fpml-fx-5-9_xsd Drilldown into quotedCurrencyPair in schema fpml-fx-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 FxPerformanceSwap in schema fpml-fx-5-9_xsd (Financial products Markup Language (FpML®) - Reporting)
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" minOccurs="0">
                    <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" minOccurs="0">
                    <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="floatingLeg" type="FxPerformanceFloatingLeg" minOccurs="0">
                    <xsd:annotation>
                        <xsd:documentation xml:lang="en">Floating FX Rate component describes the Floating FX Rate Payer of the rate determined in accordance with the Floating FX Rate Option specified in the Definitions.</xsd:documentation>
                    </xsd:annotation>
                </xsd:element>
                <xsd:element name="fixingInformationSource" type="FxSpotRateSource" minOccurs="0">
                    <xsd:annotation>
                        <xsd:documentation xml:lang="en">Fixing Information source parameters to determine the rate observed for each good business day within the Fixing Schedule.</xsd:documentation>
                    </xsd:annotation>
                </xsd:element>
                <xsd:element name="fixingSchedule" type="FxFixingScheduleSimple" minOccurs="0">
                    <xsd:annotation>
                        <xsd:documentation xml:lang="en">Parametric schedule of rate observation dates.</xsd:documentation>
                    </xsd:annotation>
                </xsd:element>
                <xsd:choice minOccurs="0">
                    <xsd:annotation>
                        <xsd:documentation xml:lang="en">Valuation Date is the rate calculation date. Unless otherwise specified in the related Confirmation, the Valuation Date will be, in respect of a Non-Deliverable Swap FX Transaction, the Final Observation Date. The valuation date can be: [date] [Final Observation Date][The first Business Day following the Final Observation Date].</xsd:documentation>
                    </xsd:annotation>
                    <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="valuationDateOffset" type="FxValuationDateOffset">
                        <xsd:annotation>
                            <xsd:documentation xml:lang="en">Valuation date offset relative to the Final Observation Date and can be: [Final Observation Date][The first Business Day following the Final Observation Date].</xsd:documentation>
                        </xsd:annotation>
                    </xsd:element>
                </xsd:choice>
                <xsd:element name="settlementDate" type="AdjustableOrAdjustedDate" minOccurs="0">
                    <xsd:annotation>
                        <xsd:documentation xml:lang="en">The date on which the Settlement Amount will be settled.</xsd:documentation>
                    </xsd:annotation>
                </xsd:element>
                <xsd:element name="annualizationFactor" type="xsd:decimal" minOccurs="0">
                    <xsd:annotation>
                        <xsd:documentation xml:lang="en">This specifies the numerator of an annualization factor. Frequently this number is equal to the number of rate observations in a year e.g. Daily Observations: 252.</xsd:documentation>
                    </xsd:annotation>
                </xsd:element>
                <xsd:element name="meanAdjustment" type="xsd:boolean" minOccurs="0">
                    <xsd:annotation>
                        <xsd:documentation xml:lang="en">Specifies whether "Mean Adjustment" is applicable or not in the calculation of the Realized Volatility.</xsd:documentation>
                    </xsd:annotation>
                </xsd:element>
                <xsd:element name="numberOfReturns" type="xsd:nonNegativeInteger" minOccurs="0">
                    <xsd:annotation>
                        <xsd:documentation xml:lang="en">Number of Returns is the number of Observation Dates in the Observation Period, excluding the Initial Observation Date (where the Observation Rate on the Initial Observation Date shall equal S0).</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:element name="cashSettlement" type="FxCashSettlementSimple" minOccurs="0">
                    <xsd:annotation>
                        <xsd:documentation xml:lang="en">Specifies the Settlement currency and fixing details for cash settlement. The FX Volatility and FX Variance Swaps are inherently cash settled, but into the notional currency. The optional cashSettlement block is provided for the case where the Settlement Currency differs from that of the Notional.</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
quotedCurrencyPair nsA:quotedCurrencyPair 0 (1)
vegaNotional nsA:vegaNotional 0 (1)
notional nsA:notional 0 (1)
fixedLeg nsA:fixedLeg 0 (1)
floatingLeg nsA:floatingLeg 0 (1)
fixingInformationSource nsA:fixingInformationSource 0 (1)
fixingSchedule nsA:fixingSchedule 0 (1)
valuationDate nsA:valuationDate (1) (1)
valuationDateOffset nsA:valuationDateOffset (1) (1)
settlementDate nsA:settlementDate 0 (1)
annualizationFactor nsA:annualizationFactor 0 (1)
meanAdjustment nsA:meanAdjustment 0 (1)
numberOfReturns nsA:numberOfReturns 0 (1)
additionalPayment nsA:additionalPayment 0 unbounded
cashSettlement nsA:cashSettlement 0 (1)
Collapse Child Attributes:
Name Type Default Value Use
id nsA:id (Optional)
Collapse Derivation Tree:
Collapse References:
nsA:fxVarianceSwap, nsA:fxVolatilitySwap
Collapse Comments:
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