Documentation for Financial products Markup Language (FpML®)
Definition Type: ComplexType
Name: BoundedVariance
Namespace: http://www.fpml.org/2007/FpML-4-4
Containing Schema: fpml-eq-shared-4-4.xsd
Abstract
Documentation:
A type describing variance bounds, which are used to exclude money price values outside of the specified range In a Up Conditional Swap Underlyer price must be equal to or higher than Lower Barrier In a Down Conditional Swap Underlyer price must be equal to or lower than Upper Barrier In a Corridor Conditional Swap Underlyer price must be equal to or higher than Lower Barrier and must be equal to or lower than Upper Barrier.
Collapse XSD Schema Diagram:
Drilldown into lowerBarrier in schema fpml-eq-shared-4-4_xsd Drilldown into upperBarrier in schema fpml-eq-shared-4-4_xsd Drilldown into daysInRangeAdjustment in schema fpml-eq-shared-4-4_xsd Drilldown into realisedVarianceMethod in schema fpml-eq-shared-4-4_xsdXSD Diagram of BoundedVariance in schema fpml-eq-shared-4-4_xsd (Financial products Markup Language (FpML®))
Collapse XSD Schema Code: 
<xsd:complexType name="BoundedVariance">
    <xsd:annotation>
        <xsd:documentation xml:lang="en">A type describing variance bounds, which are used to exclude money price values outside of the specified range In a Up Conditional Swap Underlyer price must be equal to or higher than Lower Barrier In a Down Conditional Swap Underlyer price must be equal to or lower than Upper Barrier In a Corridor Conditional Swap Underlyer price must be equal to or higher than Lower Barrier and must be equal to or lower than Upper Barrier.</xsd:documentation>
    </xsd:annotation>
    <xsd:sequence>
        <xsd:element name="realisedVarianceMethod" type="RealisedVarianceMethodEnum">
            <xsd:annotation>
                <xsd:documentation xml:lang="en">The contract specifies whether which price must satisfy the boundary condition.</xsd:documentation>
            </xsd:annotation>
        </xsd:element>
        <xsd:element name="daysInRangeAdjustment" type="xsd:boolean">
            <xsd:annotation>
                <xsd:documentation xml:lang="en">The contract specifies whether the notional should be scaled by the Number of Days in Range divided by the Expected N. The number of Days in Ranges refers to the number of returns that contribute to the realized volatility.</xsd:documentation>
            </xsd:annotation>
        </xsd:element>
        <xsd:element name="upperBarrier" type="NonNegativeDecimal" minOccurs="0">
            <xsd:annotation>
                <xsd:documentation xml:lang="en">All observations above this price level will be excluded from the variance calculation.</xsd:documentation>
            </xsd:annotation>
        </xsd:element>
        <xsd:element name="lowerBarrier" type="NonNegativeDecimal" minOccurs="0">
            <xsd:annotation>
                <xsd:documentation xml:lang="en">All observations below this price level will be excluded from the variance calculation.</xsd:documentation>
            </xsd:annotation>
        </xsd:element>
    </xsd:sequence>
</xsd:complexType>
Collapse Child Elements:
Name Type Min Occurs Max Occurs
realisedVarianceMethod fpml:realisedVarianceMethod (1) (1)
daysInRangeAdjustment fpml:daysInRangeAdjustment (1) (1)
upperBarrier fpml:upperBarrier 0 (1)
lowerBarrier fpml:lowerBarrier 0 (1)
Collapse Derivation Tree:
Collapse References:
fpml:boundedVariance
Documentation for Financial products Markup Language (FpML®)

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