Documentation for Financial products Markup Language (FpML®)
Definition Type: ComplexType
Name: Variance
Namespace: http://www.fpml.org/2005/FpML-4-2
Containing Schema: fpml-eq-shared-4-2.xsd
Abstract
Documentation:
A type describing the variance amount of a variance swap
Collapse XSD Schema Diagram:
Drilldown into fxFeature in schema fpml-eq-shared-4-2_xsd Drilldown into vegaNotionalAmount in schema fpml-eq-shared-4-2_xsd Drilldown into exchangeTradedContractNearest in schema fpml-eq-shared-4-2_xsd Drilldown into unadjustedVarianceCap in schema fpml-eq-shared-4-2_xsd Drilldown into varianceCap in schema fpml-eq-shared-4-2_xsd Drilldown into expectedN in schema fpml-eq-shared-4-2_xsd Drilldown into varianceStrikePrice in schema fpml-eq-shared-4-2_xsd Drilldown into volatilityStrikePrice in schema fpml-eq-shared-4-2_xsd Drilldown into varianceAmount in schema fpml-eq-shared-4-2_xsd Drilldown into expiringLevel in schema fpml-eq-shared-4-2_xsd Drilldown into closingLevel in schema fpml-eq-shared-4-2_xsd Drilldown into initialLevel in schema fpml-eq-shared-4-2_xsdXSD Diagram of Variance in schema fpml-eq-shared-4-2_xsd (Financial products Markup Language (FpML®))
Collapse XSD Schema Code: 
<xsd:complexType name="Variance">
    <xsd:annotation>
        <xsd:documentation xml:lang="en">A type describing the variance amount of a variance swap</xsd:documentation>
    </xsd:annotation>
    <xsd:sequence>
        <xsd:choice>
            <xsd:element name="initialLevel" type="xsd:decimal" />
            <xsd:element name="closingLevel" type="xsd:boolean" />
            <xsd:element name="expiringLevel" type="xsd:boolean">
                <xsd:annotation>
                    <xsd:documentation xml:lang="en">If present and true this contract will strike off the default exchange traded contract</xsd:documentation>
                </xsd:annotation>
            </xsd:element>
        </xsd:choice>
        <xsd:element name="varianceAmount" type="Money" />
        <xsd:choice>
            <xsd:element name="volatilityStrikePrice" type="xsd:decimal" />
            <xsd:element name="varianceStrikePrice" type="xsd:decimal" />
        </xsd:choice>
        <xsd:element name="expectedN" type="xsd:integer" minOccurs="0" />
        <xsd:element name="varianceCap" type="xsd:boolean" minOccurs="0" />
        <xsd:element name="unadjustedVarianceCap" type="xsd:decimal" minOccurs="0">
            <xsd:annotation>
                <xsd:documentation xml:lang="en">For use when varianceCap is applicable. Contains the scaling factor of the Variance Cap that can differ on a trade-by-trade basis in the European market. For example, a Variance Cap of 2.5^2 x Variance Strike Price has an unadjustedVarianceCap of 2.5.</xsd:documentation>
            </xsd:annotation>
        </xsd:element>
        <xsd:element name="exchangeTradedContractNearest" type="ExchangeTradedContract" minOccurs="0" />
        <xsd:element name="vegaNotionalAmount" type="xsd:decimal" minOccurs="0">
            <xsd:annotation>
                <xsd:documentation xml:lang="en">Vega Notional represents the approximate gain/loss at maturity for a 1% difference between RVol (realised vol) and KVol (strike vol). It does not necessarily represent the Vega Risk of the trade.</xsd:documentation>
            </xsd:annotation>
        </xsd:element>
        <xsd:element name="fxFeature" type="FxFeature" minOccurs="0">
            <xsd:annotation>
                <xsd:documentation xml:lang="en">Quanto, Composite, or Cross Currency FX features</xsd:documentation>
            </xsd:annotation>
        </xsd:element>
    </xsd:sequence>
</xsd:complexType>
Collapse Child Elements:
Name Type Min Occurs Max Occurs
initialLevel fpml:initialLevel (1) (1)
closingLevel fpml:closingLevel (1) (1)
expiringLevel fpml:expiringLevel (1) (1)
varianceAmount fpml:varianceAmount (1) (1)
volatilityStrikePrice fpml:volatilityStrikePrice (1) (1)
varianceStrikePrice fpml:varianceStrikePrice (1) (1)
expectedN fpml:expectedN 0 (1)
varianceCap fpml:varianceCap 0 (1)
unadjustedVarianceCap fpml:unadjustedVarianceCap 0 (1)
exchangeTradedContractNearest fpml:exchangeTradedContractNearest 0 (1)
vegaNotionalAmount fpml:vegaNotionalAmount 0 (1)
fxFeature fpml:fxFeature 0 (1)
Collapse Derivation Tree:
Collapse References:
fpml:variance
Documentation for Financial products Markup Language (FpML®)

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