complexType "CalculationParameters"
Namespace:
http://www.fpml.org/FpML-5/confirmation
Content:
complex, 7 elements
Defined:
globally in fpml-shared-5-13.xsd; see XML source
Includes:
definitions of 5 elements
Used:
at 2 locations
Component Diagram
XML Representation Summary
<...>
   
Content: 
calculationMethod, applicableBusinessDays?, (lookback | observationShift | lockout)?, (observationCapRate?, observationFloorRate?)?
</...>
Content Model Elements (7):
applicableBusinessDays,
calculationMethod (defined in CalculationParameters complexType),
lockout,
lookback,
observationCapRate,
observationFloorRate,
observationShift
All Direct / Indirect Based Elements (2):
calculationParameters (defined in FallbackRate complexType),
calculationParameters (defined in FloatingRate complexType)
Known Usage Locations
Annotation
A type defining a rate that is calculated based on a number of observations of an underlying rate that are averaged or compounded using a specified method. These are sometimes called modular calculated rates. These are described in the 2021 ISDA Definitions in Section 7.
XML Source (w/o annotations (7); see within schema source)
<xsd:complexType name="CalculationParameters">
<xsd:sequence>
<xsd:element name="calculationMethod" type="CalculationMethodEnum"/>
<xsd:element minOccurs="0" name="applicableBusinessDays" type="BusinessCentersOrReference"/>
<xsd:choice minOccurs="0">
<xsd:element name="lookback" type="ObservationOffset"/>
<xsd:element name="observationShift" type="ObservationShiftParameters"/>
<xsd:element name="lockout" type="ObservationOffset"/>
</xsd:choice>
<xsd:group minOccurs="0" ref="ObservationParameters.model"/>
</xsd:sequence>
</xsd:complexType>
Content Element Detail (all declarations; defined within this component only; 5/7)
applicableBusinessDays
Type:
BusinessCentersOrReference, complex content
Specifies the applicable business days to be used for this calculation. If omitted, the business days should be defaulted from the FRO Matrix, as represented in the FRO metadata. Failing that, it should be defaulted from the default business center for the relevant currency. See the ISDA 2021 Definitions Section 7.2.1.
XML Source (w/o annotations (1); see within schema source)
<xsd:element minOccurs="0" name="applicableBusinessDays" type="BusinessCentersOrReference"/>
calculationMethod
Type:
CalculationMethodEnum, simple content
Specifies the type of calculation, e.g. whether the calculation is a compounding or an averaging calculation. This element distinguishes between the applicable subsections of Section 7 (7.3, 7.4, and 7.7). If the calculationMethod is Componding or Averaging, this implies that a daily compounded calculation will be done, i.e. that the underlying rate will be observed eacy applicalbe business day during the observation period and then compounded or averaged. If it is CompoundedIndex, this means that the rate administrator is doing the compounding each day and publishing the resulting index value. In this case the calculation agent is responsible for observing the index and the start and at the end of the observation period, and then backing out the implied rate by following the formula in section 7.7. (This formula divides the index value at the end by the index value at the beginning, subtracts 1, and then scales the resulting value based on the year fraction to annualize the rate.) In other words, for CompoundedIndex the observation frequency is effectively 1T, where for Compounding and Averaging, it is 1D.
Simple Content
enumeration of xsd:token
Enumeration:
"Averaging"
 - 
The resulting value is based on the weighted arithmetic average of the observations performed by the calculation agent. These are described in the 2021 ISDA Definitions in Section 7.4
See:  http://www.FpML.org
"Compounding"
 - 
The resulting value is based on a geometric averaging formula which is based on the multiplying the weighted daily rates. It is calculated by the calculation agent. These are described in the 2021 ISDA Definitions in Section 7.3
See:  http://www.FpML.org
"CompoundedIndex"
 - 
The resulting value is based on a compounded index calculated by the rate administrator. The calculation agent is responsible for backing out the implied rate by calculating (final_index_level/initial_index_level - 1) / yearFraction. This calculation is described in Supplement 76 to the 2006 ISDA Definitions, for example in section 6.15, and in the 2021 ISDA Definitions in section 7.7.2 and 7.7.3.
See:  http://www.FpML.org
XML Source (w/o annotations (1); see within schema source)
<xsd:element name="calculationMethod" type="CalculationMethodEnum"/>
lockout
Type:
ObservationOffset, complex content
Specifies that lockout calculation is in effect, and supplies parameters needed to support that. See the ISDA 2021 Definitions Section 7.3.4 and 7.4.4. This should not be used when the calculationMethod is CompoundedIndex.
XML Source (w/o annotations (1); see within schema source)
<xsd:element name="lockout" type="ObservationOffset"/>
lookback
Type:
ObservationOffset, complex content
Specifies that lookback calculation is in effect, and supplies parameters needed to support that. See the ISDA 2021 Definitions Section 7.3.2 and 7.4.2. This should not be used when the calculationMethod is CompoundedIndex.
XML Source (w/o annotations (1); see within schema source)
<xsd:element name="lookback" type="ObservationOffset"/>
observationShift
Type:
ObservationShiftParameters, complex content
Specifies that observation shift calculation is in effect, and supplies parameters needed to support that. See the ISDA 2021 Definitions Section 7.3.3 and 7.4.3 and 7.7.3.
XML Source (w/o annotations (1); see within schema source)
<xsd:element name="observationShift" type="ObservationShiftParameters"/>
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.