Definition Type: ComplexType
Name: CommodityVarianceLeg
Namespace: http://www.fpml.org/FpML-5/transparency
Type: nsA:CommodityPerformanceSwapLeg
Containing Schema: fpml-com-5-9.xsd
Abstract
Documentation:
A type describing the variance leg of a commodity variance swap.
Collapse XSD Schema Diagram:
Drilldown into varianceCalculation in schema fpml-com-5-9_xsd Drilldown into volatilityStrikePrice in schema fpml-com-5-9_xsd Drilldown into varianceStrikePrice in schema fpml-com-5-9_xsd Drilldown into notionalAmount in schema fpml-com-5-9_xsd Drilldown into commodityBasket in schema fpml-com-5-9_xsd Drilldown into commodity in schema fpml-com-5-9_xsd Drilldown into CommodityUnderlyerChoice.model in schema fpml-com-5-9_xsd Drilldown into calculationPeriodsSchedule in schema fpml-com-5-9_xsd Drilldown into CommodityCalculationPeriods.model in schema fpml-com-5-9_xsd Drilldown into payerPartyReference in schema fpml-shared-5-9_xsd Drilldown into Payer.model in schema fpml-shared-5-9_xsd Drilldown into PayerReceiver.model in schema fpml-shared-5-9_xsd Drilldown into id in schema fpml-shared-5-9_xsd Drilldown into Leg in schema fpml-shared-5-9_xsd Drilldown into CommodityPerformanceSwapLeg in schema fpml-com-5-9_xsdXSD Diagram of CommodityVarianceLeg in schema fpml-com-5-9_xsd (Financial products Markup Language (FpML®) - Transparency)
Collapse XSD Schema Code:
<xsd:complexType name="CommodityVarianceLeg">
    <xsd:annotation>
        <xsd:documentation xml:lang="en">A type describing the variance leg of a commodity variance swap.</xsd:documentation>
    </xsd:annotation>
    <xsd:complexContent>
        <xsd:extension base="CommodityPerformanceSwapLeg">
            <xsd:sequence>
                <xsd:group ref="CommodityCalculationPeriods.model" />
                <xsd:group ref="CommodityUnderlyerChoice.model">
                    <xsd:annotation>
                        <xsd:documentation xml:lang="en">Specifies the type of asset underlying the swap: a commodity reference price or a basket.</xsd:documentation>
                    </xsd:annotation>
                </xsd:group>
                <xsd:element name="notionalAmount" type="CommodityNotionalAmount">
                    <xsd:annotation>
                        <xsd:documentation xml:lang="en">Specifies the notional amount of a commodity performance type swap. It is a currency-denominated value (i.e. price-times-quantity). In confirmations is also referred to as the Notional Quantity (sic, expressed in currency units), Notional Amount, Equity Notional Amount and, in the case of reinvesting swaps, Initial Notional Amount.</xsd:documentation>
                    </xsd:annotation>
                </xsd:element>
                <xsd:choice>
                    <xsd:element name="varianceStrikePrice" type="xsd:decimal">
                        <xsd:annotation>
                            <xsd:documentation xml:lang="en">Specifies the variance strike price when this strike is expressed in variance units. Payments on the variance leg are equal to the national amount multiplied by the realized variance minus this variance strike price: notional amount * (realized variance - variance strike price).</xsd:documentation>
                        </xsd:annotation>
                    </xsd:element>
                    <xsd:element name="volatilityStrikePrice" type="xsd:decimal">
                        <xsd:annotation>
                            <xsd:documentation xml:lang="en">Specifies the volatility strike price when this strike is expressed in standard deviation units. Payments on the variance leg are equal to the national amount multiplied by the realized volatility squared minus the volatility strike price squared. Notional amount * (realized volatility^2 - volatility strike^2). Squaring the volatility strike price converts the volatility strike price into a variance strike price. Squaring the realized volatility converts realized volatility to realized variance.</xsd:documentation>
                        </xsd:annotation>
                    </xsd:element>
                </xsd:choice>
                <xsd:element name="varianceCalculation" type="CommodityVarianceCalculation">
                    <xsd:annotation>
                        <xsd:documentation xml:lang="en">Specifies, in relation to each Payment Date, the variance percentage which, when multiplied times the notional amount is the amount to which the Payment Date relates. For purposes of this representation the realized variance is: (annualizationFactor / N) * signma from i = 1 to N (ln (S sub (i+1)) / (S sub i)), where: ln is the natural logarithm, N is the number of pricing dates, S sub i is the relevant price on the observation date i. If nAdjustment is 'true' then the denominator of the annualization factor is (N - 1) rather than N. If realized volatility is the performance metric in a variance swap rather than realized variance then the square root of the formula above will appear in the confirmation.</xsd:documentation>
                    </xsd:annotation>
                </xsd:element>
            </xsd:sequence>
        </xsd:extension>
    </xsd:complexContent>
</xsd:complexType>
Collapse Child Elements:
Name Type Min Occurs Max Occurs
payerPartyReference nsA:payerPartyReference 0 (1)
calculationPeriodsSchedule nsA:calculationPeriodsSchedule 0 (1)
commodity nsA:commodity (1) (1)
commodityBasket nsA:commodityBasket (1) (1)
notionalAmount nsA:notionalAmount (1) (1)
varianceStrikePrice nsA:varianceStrikePrice (1) (1)
volatilityStrikePrice nsA:volatilityStrikePrice (1) (1)
varianceCalculation nsA:varianceCalculation (1) (1)
<xs:group> nsA:PayerReceiver.model (1) (1)
<xs:group> nsA:Payer.model (1) (1)
<xs:group> nsA:CommodityCalculationPeriods.model (1) (1)
<xs:group> nsA:CommodityUnderlyerChoice.model (1) (1)
Collapse Child Attributes:
Name Type Default Value Use
id nsA:id (Optional)
Collapse Derivation Tree:
Collapse References:
nsA:commodityVarianceLeg
Collapse Comments:
blog comments powered by Disqus