complexType "InflationRateCalculation"

Namespace:	http://www.fpml.org/FpML-5/confirmation
Content:	complex, 1 attribute, 20 elements
Defined:	globally in fpml-ird-5-13.xsd; see XML source
Includes:	definitions of 9 elements
Used:	at 1 location

Component Diagram

XML Representation Summary

<...

xsd:ID

Content:

</...>

Content Model Elements (20):

averagingMethod (defined in FloatingRateCalculation.model group),

calculationMethod (in inflationRateCalculation),

calculationStyle (in inflationRateCalculation),

capRateSchedule,

fallbackBondApplicable (in inflationRateCalculation),

finalPrincipalExchangeCalculation (in inflationRateCalculation),

finalRateRounding,

floatingRateIndex (defined in FloatingRateIndex.model group),

floatingRateMultiplierSchedule,

floorRateSchedule,

indexSource (in inflationRateCalculation),

indexTenor (defined in FloatingRateIndex.model group),

inflationLag (in inflationRateCalculation),

initialIndexLevel (in inflationRateCalculation),

initialRate,

interpolationMethod (in inflationRateCalculation),

mainPublication (in inflationRateCalculation),

negativeInterestRateTreatment,

rateTreatment,

spreadSchedule (defined in FloatingRate.model group)

All Direct / Indirect Based Elements (1):

inflationRateCalculation

Known Usage Locations

As direct type of elements (1):

inflationRateCalculation

Annotation

A type defining the components specifiying an Inflation Rate Calculation

Type Definition Detail

Type Derivation Tree

Rate (extension)

InflationRateCalculationBase (extension)

InflationRateCalculation

XML Source (w/o annotations (10); see within schema source)

<xsd:complexType name="InflationRateCalculation">

<xsd:complexContent>

<xsd:extension base="InflationRateCalculationBase">

<xsd:sequence>

<xsd:element name="inflationLag" type="Offset"/>

<xsd:element name="indexSource" type="RateSourcePage"/>

<xsd:element minOccurs="0" name="mainPublication" type="MainPublication"/>

<xsd:element name="interpolationMethod" type="InterpolationMethod"/>

<xsd:element minOccurs="0" name="initialIndexLevel" type="xsd:decimal"/>

<xsd:element name="fallbackBondApplicable" type="xsd:boolean"/>

<xsd:element minOccurs="0" name="calculationMethod" type="InflationCalculationMethodEnum"/>

<xsd:element minOccurs="0" name="calculationStyle" type="InflationCalculationStyleEnum"/>

<xsd:element minOccurs="0" name="finalPrincipalExchangeCalculation" type="FinalPrincipalExchangeCalculation"/>

</xsd:sequence>

</xsd:extension>

</xsd:complexContent>

</xsd:complexType>

Content Element Detail (all declarations; defined within this component only; 9/20)

calculationMethod

Type:

InflationCalculationMethodEnum, simple content

Indicates how to use the inflation index to calculate the payment (e.g. Ratio, Return, Spread). Added for Inflation Asset Swap

Simple Content

enumeration of xsd:token

Enumeration:

"Ratio"	-	(Inflation Index Final / Inflation Index Base). Inflation Index Final is inflation index for Reference Month that is the Lag number of months prior to Payment Date (subject to interpolation). Inflation Index Base subject to the Calculation Style. Used in inflation asset swaps to calculate the inflation coupons and principal exchange.
"Return"	-	(Inflation Index Final / Inflation Index Base -1). Inflation Index Final is the inflation index for Reference Month that is the Lag number of months prior to Payment Date (subject to interp). Inflation Index Base subject to the Calculation Style. Used in market standard ZC Inflation swaps.
"Spread"	-	Inflation Index Final - Inflation Index Base). Inflation Index Final is Index for Ref month the Lag months prior to Payment Date (subject to interp). Inflation Index Base subject to the Calculation Style. Typically used for fixing locks.

XML Source (w/o annotations (1); see within schema source)

<xsd:element minOccurs="0" name="calculationMethod" type="InflationCalculationMethodEnum"/>

calculationStyle

Type:

InflationCalculationStyleEnum, simple content

Indicates the style of how the inflation index calculates the payment (e.g. YearOnYear, ZeroCoupon).

Simple Content

enumeration of xsd:token

Enumeration:

"YearOnYear"	-	YearOnYear means Inflation Index Base is the inflation index for Reference Month that is 12 months prior to Inflation Index Final (subject to interpolation). Inflation Index Base is cashflow dependent.
"ZeroCoupon"	-	ZeroCoupon means Inflation Index Base used in the CalculationMethod is the inflation index for the Reference Month that is the lag number of months prior to Effective Date in the case of a swap, or Bond Interest Accrual Date in the case of an Asset Swap (subject to interpolation). Inflation Index Base has the same value for each inflation cashflow and Principal Exchange calculation within the trade.

XML Source (w/o annotations (1); see within schema source)

<xsd:element minOccurs="0" name="calculationStyle" type="InflationCalculationStyleEnum"/>

fallbackBondApplicable

Type:

xsd:boolean, predefined, simple content

The applicability of a fallback bond as defined in the 2006 ISDA Inflation Derivatives Definitions, sections 1.3 and 1.8.

XML Source (w/o annotations (1); see within schema source)

<xsd:element name="fallbackBondApplicable" type="xsd:boolean"/>

finalPrincipalExchangeCalculation

Type:

FinalPrincipalExchangeCalculation, complex content

To be specified only for inflation products that embed a redemption payment, e.g. inflation linked asset swap.

XML Source (w/o annotations (1); see within schema source)

<xsd:element minOccurs="0" name="finalPrincipalExchangeCalculation" type="FinalPrincipalExchangeCalculation"/>

indexSource

Type:

RateSourcePage, simple content

The reference source such as Reuters or Bloomberg.

Simple Content

xsd:normalizedString

maxLength:	255
minLength:	0

XML Source (w/o annotations (1); see within schema source)

<xsd:element name="indexSource" type="RateSourcePage"/>

inflationLag

Type:

Offset, complex content

an offsetting period from the payment date which determines the reference period for which the inflation index is onserved.

XML Source (w/o annotations (1); see within schema source)

<xsd:element name="inflationLag" type="Offset"/>

initialIndexLevel

Type:

xsd:decimal, predefined, simple content

initial known index level for the first calculation period.

XML Source (w/o annotations (1); see within schema source)

<xsd:element minOccurs="0" name="initialIndexLevel" type="xsd:decimal"/>

interpolationMethod

Type:

InterpolationMethod, simple content

The method used when calculating the Inflation Index Level from multiple points - the most common is Linear.

Simple Content

xsd:normalizedString

maxLength:	255
minLength:	0

XML Source (w/o annotations (1); see within schema source)

<xsd:element name="interpolationMethod" type="InterpolationMethod"/>

mainPublication

Type:

MainPublication, simple content

The current main publication source such as relevant web site or a government body.

Simple Content

xsd:normalizedString

maxLength:	255
minLength:	0

XML Source (w/o annotations (1); see within schema source)

<xsd:element minOccurs="0" name="mainPublication" type="MainPublication"/>

XML schema documentation generated with FlexDoc/XML 1.12.2 using FlexDoc/XML XSDDoc 2.9.1 template set. All XSD diagrams generated by FlexDoc/XML DiagramKit.