Documentation for Financial products Markup Language (FpML®)
Definition Type: ComplexType
Name: RateObservation
Namespace: http://www.fpml.org/2007/FpML-4-4
Containing Schema: fpml-shared-4-4.xsd
Abstract
Documentation:
A type defining parameters associated with an individual observation or fixing. This type forms part of the cashflow representation of a stream.
Collapse XSD Schema Diagram:
Drilldown into treatedForecastRate in schema fpml-shared-4-4_xsd Drilldown into forecastRate in schema fpml-shared-4-4_xsd Drilldown into rateReference in schema fpml-shared-4-4_xsd Drilldown into observationWeight in schema fpml-shared-4-4_xsd Drilldown into treatedRate in schema fpml-shared-4-4_xsd Drilldown into observedRate in schema fpml-shared-4-4_xsd Drilldown into adjustedFixingDate in schema fpml-shared-4-4_xsd Drilldown into resetDate in schema fpml-shared-4-4_xsd Drilldown into id in schema fpml-shared-4-4_xsdXSD Diagram of RateObservation in schema fpml-shared-4-4_xsd (Financial products Markup Language (FpML®))
Collapse XSD Schema Code: 
<xsd:complexType name="RateObservation">
    <xsd:annotation>
        <xsd:documentation xml:lang="en">A type defining parameters associated with an individual observation or fixing. This type forms part of the cashflow representation of a stream.</xsd:documentation>
    </xsd:annotation>
    <xsd:sequence>
        <xsd:element name="resetDate" type="xsd:date" minOccurs="0">
            <xsd:annotation>
                <xsd:documentation xml:lang="en">The reset date.</xsd:documentation>
            </xsd:annotation>
        </xsd:element>
        <xsd:element name="adjustedFixingDate" type="xsd:date" minOccurs="0">
            <xsd:annotation>
                <xsd:documentation xml:lang="en">The adjusted fixing date, i.e. the actual date the rate is observed. The date should already be adjusted for any applicable business day convention.</xsd:documentation>
            </xsd:annotation>
        </xsd:element>
        <xsd:element name="observedRate" type="xsd:decimal" minOccurs="0">
            <xsd:annotation>
                <xsd:documentation xml:lang="en">The actual observed rate before any required rate treatment is applied, e.g. before converting a rate quoted on a discount basis to an equivalent yield. An observed rate of 5% would be represented as 0.05.</xsd:documentation>
            </xsd:annotation>
        </xsd:element>
        <xsd:element name="treatedRate" type="xsd:decimal" minOccurs="0">
            <xsd:annotation>
                <xsd:documentation xml:lang="en">The observed rate after any required rate treatment is applied. A treated rate of 5% would be represented as 0.05.</xsd:documentation>
            </xsd:annotation>
        </xsd:element>
        <xsd:element name="observationWeight" type="xsd:positiveInteger">
            <xsd:annotation>
                <xsd:documentation xml:lang="en">The number of days weighting to be associated with the rate observation, i.e. the number of days such rate is in effect. This is applicable in the case of a weighted average method of calculation where more than one reset date is established for a single calculation period.</xsd:documentation>
            </xsd:annotation>
        </xsd:element>
        <xsd:element name="rateReference" type="RateReference" minOccurs="0">
            <xsd:annotation>
                <xsd:documentation xml:lang="en">A pointer style reference to a floating rate component defined as part of a stub calculation period amount component. It is only required when it is necessary to distinguish two rate observations for the same fixing date which could occur when linear interpolation of two different rates occurs for a stub calculation period.</xsd:documentation>
            </xsd:annotation>
        </xsd:element>
        <xsd:element name="forecastRate" type="xsd:decimal" minOccurs="0">
            <xsd:annotation>
                <xsd:documentation xml:lang="en">The value representing the forecast rate used to calculate the forecast future value of the accrual period.A value of 1% should be represented as 0.01</xsd:documentation>
            </xsd:annotation>
        </xsd:element>
        <xsd:element name="treatedForecastRate" type="xsd:decimal" minOccurs="0">
            <xsd:annotation>
                <xsd:documentation xml:lang="en">The value representing the forecast rate after applying rate treatment rules. A value of 1% should be represented as 0.01</xsd:documentation>
            </xsd:annotation>
        </xsd:element>
    </xsd:sequence>
    <xsd:attribute name="id" type="xsd:ID" />
</xsd:complexType>
Collapse Child Elements:
Name Type Min Occurs Max Occurs
resetDate fpml:resetDate 0 (1)
adjustedFixingDate fpml:adjustedFixingDate 0 (1)
observedRate fpml:observedRate 0 (1)
treatedRate fpml:treatedRate 0 (1)
observationWeight fpml:observationWeight (1) (1)
rateReference fpml:rateReference 0 (1)
forecastRate fpml:forecastRate 0 (1)
treatedForecastRate fpml:treatedForecastRate 0 (1)
Collapse Child Attributes:
Name Type Default Value Use
id fpml:id (Optional)
Collapse Derivation Tree:
Collapse References:
fpml:rateObservation
Documentation for Financial products Markup Language (FpML®)

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