XML Schema "fpml-fx-5-13.xsd"
Target Namespace:
http://www.fpml.org/FpML-5/pretrade
Version:
$Revision: 14153 $
Defined Components:
elements (8 global + 158 local), complexTypes (36), element groups (3)
Default Namespace-Qualified Form:
Local Elements: qualified; Local Attributes: unqualified
Schema Location:
c:\init\trunk\xml\pretrade\fpml-fx-5-13.xsd; see XML source
Includes Schemas (1):
fpml-option-shared-5-13.xsd [src]
Included in Schemas (1):
fpml-main-5-13.xsd [src]
All Element Summary
additionalPayment (defined in FxPerformanceSwap complexType)
Additional Payment means, in respect of an FX Transaction, where such fee is required, and a Transaction Fee Payment Date, the amount, if any, that is specified or otherwise determined as provided in the related Confirmation and, subject to any applicable condition precedent, is payable by one party to the other as further specified or otherwise determined as provided in the related Confirmation on the Transaction Fee Payment Date or on each Transaction Fee Payment Date if more than one is specified, for value on such date.
Type:
Payment
Content:
complex, 1 attribute, 7 elements
Defined:
locally within FxPerformanceSwap complexType; see XML source
additionalPayment (in fxFlexibleForward)
Fee paid by the client at inception (analagous to an option premium).
Type:
Payment
Content:
complex, 1 attribute, 7 elements
Defined:
locally within FxFlexibleForward complexType; see XML source
additionalPayment (in fxForwardVolatilityAgreement)
The currency, amount and payment details for the Forward Volatility Agreement, as agreed at the time of execution.
Type:
Payment
Content:
complex, 1 attribute, 7 elements
Defined:
locally within FxForwardVolatilityAgreement complexType; see XML source
americanExercise (in fxDigitalOption)
The parameters for defining the exercise period for an American style option.
Type:
FxDigitalAmericanExercise
Content:
complex, 1 attribute, 5 elements
Defined:
locally within FxDigitalOption complexType; see XML source
americanExercise (in fxOption)
The parameters for defining the exercise period for an American style option.
Type:
FxAmericanExercise
Content:
complex, 1 attribute, 6 elements
Defined:
locally within FxOption complexType; see XML source
annualizationFactor
This specifies the numerator of an annualization factor.
Type:
xsd:decimal
Content:
simple
Defined:
locally within FxPerformanceSwap complexType; see XML source
asian
Type:
FxAsianFeature
Content:
complex, 8 elements
Defined:
locally within FxOptionFeatures complexType; see XML source
averageRateWeightingFactor
An optional factor that can be used for weighting certain observation dates.
Type:
xsd:decimal
Content:
simple
Defined:
locally within FxAverageRateObservation complexType; see XML source
barrier (in features)
Type:
FxBarrierFeature
Content:
complex, 10 elements
Defined:
locally within FxOptionFeatures complexType; see XML source
barrier (in features)
Type:
FxBarrierFeature
Content:
complex, 10 elements
Defined:
locally within FxOptionFeatures complexType; see XML source
barrierType
This specifies whether the option becomes effective ("knock-in") or is annulled ("knock-out") when the respective barrier event occurs.
Type:
FxBarrierTypeEnum
Content:
simple
Defined:
locally within FxBarrierFeature complexType; see XML source
businessCenters (in executionPeriodDates)
Business centers for determination of execution period business days.
Type:
BusinessCenters
Content:
complex, 1 attribute, 1 element
Defined:
locally within FxFlexibleForwardExecutionPeriod complexType; see XML source
calculationPeriodFrequency (in observationSchedule)
The frequency at which calculation period end dates occur with the regular part of the calculation period schedule and their roll date convention.
Type:
CalculationPeriodFrequency
Content:
complex, 1 attribute, 3 elements
Defined:
locally within FxAverageRateObservationSchedule complexType; see XML source
callCurrency
The currency which: - the option buyer will receive (buy) - the option writer will pay (sell)
Type:
Currency
Content:
simple, 1 attribute
Defined:
locally within PutCallCurrency.model group; see XML source
callCurrencyAmount
The currency amount that the option gives the right to buy.
Type:
NonNegativeMoney
Content:
complex, 1 attribute, 2 elements
Defined:
locally within FxOption complexType; see XML source
cashSettlement (defined in FxPerformanceSwap complexType)
Specifies the Settlement currency and fixing details for cash settlement.
Type:
FxCashSettlementSimple
Content:
complex, 2 elements
Defined:
locally within FxPerformanceSwap complexType; see XML source
cashSettlement (in fxOption)
Specifies the currency and fixing details for cash settlement.
Type:
FxCashSettlement
Content:
complex, 6 elements
Defined:
locally within FxOption complexType; see XML source
cashSettlement (in straddle)
Specifies the settlement type for the FxStraddle.
Type:
FxCashSettlementSimple
Content:
complex, 2 elements
Defined:
locally within FxStraddle complexType; see XML source
commencementDate (defined in FxDigitalAmericanExercise complexType)
The earliest date on which the option can be exercised.
Type:
AdjustableOrRelativeDate
Content:
complex, 1 attribute, 2 elements
Defined:
locally within FxDigitalAmericanExercise complexType; see XML source
counterCurrency
The counter currency and amount for the FxStraddle.
Type:
Currency
Content:
simple, 1 attribute
Defined:
locally within FxStraddle complexType; see XML source
cutName (defined in FxDigitalAmericanExercise complexType)
A code by which the expiry time is known in the market.
Type:
CutName
Content:
simple, 1 attribute
Defined:
locally within FxDigitalAmericanExercise complexType; see XML source
cutName (defined in FxEuropeanExercise complexType)
A code by which the expiry time is known in the market.
Type:
CutName
Content:
simple, 1 attribute
Defined:
locally within FxEuropeanExercise complexType; see XML source
date (defined in FxBusinessCenterDateTime complexType)
Type:
xsd:date
Content:
simple
Defined:
locally within FxBusinessCenterDateTime complexType; see XML source
date (in rateObservation in asian)
A specific date for which an observation against a particular rate will be made and will be used for subsequent computations.
Type:
xsd:date
Content:
simple
Defined:
locally within FxAverageRateObservation complexType; see XML source
dayType (in fixingSchedule)
Specifies whether the schedule follows the business or calendar days.
Type:
DayTypeEnum
Content:
simple
Defined:
locally within FxFixingScheduleSimple complexType; see XML source
direction (defined in FxBarrierFeature complexType)
This specifies whether the barrier direction is "Up" or "Down"; that is, that a barrier event occurs if the spot rate is at or above the trigger rate, or at or below the trigger rate during the period of observation of an american barrier, or at the times of observation of a discrete or european barrier.
Type:
FxBarrierDirectionEnum
Content:
simple
Defined:
locally within FxBarrierFeature complexType; see XML source
direction (in touch)
This specifies whether the trigger direction is "AtOrAbove" or "AtOrBelow; that is, that a barrier event occurs if the spot rate is at or above the trigger rate, or at or below the trigger rate during the period of observation of an american trigger, or at the times of observation of a discrete trigger.
Type:
TriggerConditionEnum
Content:
simple
Defined:
locally within FxTouch complexType; see XML source
earliestExecutionTime
The earliest time of day at the specified business center, at which the client may execute a transaction.
Type:
BusinessCenterTime
Content:
complex, 2 elements
Defined:
locally within FxFlexibleForward complexType; see XML source
effectiveDate (in fxDigitalOption)
Effective date for a forward starting derivative.
Type:
AdjustableOrRelativeDate
Content:
complex, 1 attribute, 2 elements
Defined:
locally within FxDigitalOption complexType; see XML source
effectiveDate (in fxOption)
Effective date for a forward starting derivative.
Type:
AdjustableOrRelativeDate
Content:
complex, 1 attribute, 2 elements
Defined:
locally within FxOption complexType; see XML source
endDate (in fixingSchedule)
The end of the period over which observations are made to determine whether a trigger event has occurred.
Type:
xsd:date
Content:
simple
Defined:
locally within FxFixingScheduleSimple complexType; see XML source
endDate (in fixingSchedule)
The end of the period over which observations are made to determine whether a trigger event has occurred.
Type:
xsd:date
Content:
simple
Defined:
locally within FxFixingScheduleSimple complexType; see XML source
endDate (in observationSchedule)
The end of the period over which observations are made to determine whether a trigger event has occurred.
Type:
xsd:date
Content:
simple
Defined:
locally within FxAverageRateObservationSchedule complexType; see XML source
europeanExercise (in fxDigitalOption)
The parameters for defining the exercise period for an European style option.
Type:
FxEuropeanExercise
Content:
complex, 1 attribute, 4 elements
Defined:
locally within FxDigitalOption complexType; see XML source
europeanExercise (in fxOption)
The parameters for defining the exercise period for an European style option.
Type:
FxEuropeanExercise
Content:
complex, 1 attribute, 4 elements
Defined:
locally within FxOption complexType; see XML source
europeanExercise (in straddle)
The parameters for exercising the FxStraddle (underlying options), the underlying options are always European style options.
Type:
FxEuropeanExercise
Content:
complex, 1 attribute, 4 elements
Defined:
locally within FxStraddle complexType; see XML source
exchangedCurrency1
This is the first of the two currency flows that define a single leg of a standard foreign exchange transaction.
Type:
Payment
Content:
complex, 1 attribute, 7 elements
Defined:
locally within FxCoreDetails.model group; see XML source
exchangedCurrency2
This is the second of the two currency flows that define a single leg of a standard foreign exchange transaction.
Type:
Payment
Content:
complex, 1 attribute, 7 elements
Defined:
locally within FxCoreDetails.model group; see XML source
exchangeRate
The rate of exchange between the two currencies.
Type:
ExchangeRate
Content:
complex, 2 elements
Defined:
locally within FxCoreDetails.model group; see XML source
executionPeriodDates
The period during which the client has the right to execute a transaction, on any business day defined by reference to the specified business centers, subject to the constraints of the minimum execution amount and aggregate total notional amount. * Period dates are inclusive i.e. the expiry date is the final date on which execution may occur.
Type:
FxFlexibleForwardExecutionPeriod
Content:
complex, 1 attribute, 5 elements
Defined:
locally within FxFlexibleForward complexType; see XML source
exerciseProcedure (in fxDigitalOption)
A set of parameters defining procedures associated with the exercise.
Type:
ExerciseProcedure
Content:
complex, 5 elements
Defined:
locally within FxDigitalOption complexType; see XML source
exerciseProcedure (in fxOption)
A set of parameters defining procedures associated with the exercise.
Type:
ExerciseProcedure
Content:
complex, 5 elements
Defined:
locally within FxOption complexType; see XML source
exerciseProcedure (in straddle)
A set of parameters defining procedures associated with the exercise.
Type:
ExerciseProcedure
Content:
complex, 5 elements
Defined:
locally within FxStraddle complexType; see XML source
expiryDate (defined in FxDigitalAmericanExercise complexType)
The latest date on which the option can be exercised.
Type:
xsd:date
Content:
simple
Defined:
locally within FxDigitalAmericanExercise complexType; see XML source
expiryDate (defined in FxEuropeanExercise complexType)
Represents a standard expiry date as defined for an FX OTC option.
Type:
xsd:date
Content:
simple
Defined:
locally within FxEuropeanExercise complexType; see XML source
expiryDate (in executionPeriodDates)
Expiry (maturity) date of the execution period.
Type:
xsd:date
Content:
simple
Defined:
locally within FxFlexibleForwardExecutionPeriod complexType; see XML source
expiryTime (defined in FxDigitalAmericanExercise complexType)
Time at which the option expires on the expiry date, at the specified business center.
Type:
BusinessCenterTime
Content:
complex, 2 elements
Defined:
locally within FxDigitalAmericanExercise complexType; see XML source
expiryTime (defined in FxEuropeanExercise complexType)
Time at which the option expires on the expiry date, at the specified business center.
Type:
BusinessCenterTime
Content:
complex, 2 elements
Defined:
locally within FxEuropeanExercise complexType; see XML source
farLeg
The FX transaction with the latest value date.
Type:
FxSwapLeg
Content:
complex, 1 attribute, 6 elements
Defined:
locally within FxSwap complexType; see XML source
features
Describes additional features within the option.
Type:
FxOptionFeatures
Content:
complex, 3 elements
Defined:
locally within FxOption complexType; see XML source
finalSettlementDate
The final date for settlement.
Type:
xsd:date
Content:
simple
Defined:
locally within FxFlexibleForward complexType; see XML source
fixedLeg
Fixed FX Rate component describes the Fixed FX Rate and Fixed FX Rate Payer as such in the Confirmation for the Non-Deliverable Swap FX Transaction.
Type:
FxPerformanceFixedLeg
Content:
complex, 5 elements
Defined:
locally within FxPerformanceSwap complexType; see XML source
fixedRate (in fixedLeg)
Fixed Rate means a rate, expressed as a decimal, equal to the per annum rate specified as such in the Confirmation for the Non-Deliverable Swap FX Transaction or that party (i.e., a per annum rate of 15.10% as specified in a Confirmation shall be expressed as 0.1510 for calculation purposes).
Type:
PositiveDecimal
Content:
simple
Defined:
locally within FxPerformanceFixedLeg complexType; see XML source
fixingDate (in fixingSchedule)
An explicit list of dates in the schedule.
Type:
xsd:date
Content:
simple
Defined:
locally within FxFixingScheduleSimple complexType; see XML source
fixingDate (in fxForwardVolatilityAgreement)
The date when the underlying options are priced using the agreed forwardVolatilityStrikePrice and other market factors as agreed by the parties.
Type:
xsd:date
Content:
simple
Defined:
locally within FxForwardVolatilityAgreement complexType; see XML source
fixingDate (in fxForwardVolatilityAgreement)
The date when the underlying options are priced using the agreed forwardVolatilityStrikePrice and other market factors as agreed by the parties.
Type:
xsd:date
Content:
simple
Defined:
locally within FxForwardVolatilityAgreement complexType; see XML source
fixingInformationSource
Fixing Information source parameters to determine the rate observed for each good business day within the Fixing Schedule.
Type:
FxSpotRateSource
Content:
complex, 3 elements
Defined:
locally within FxPerformanceSwap complexType; see XML source
fixingSchedule
Parametric schedule of rate observation dates.
Type:
FxFixingScheduleSimple
Content:
complex, 9 elements
Defined:
locally within FxPerformanceSwap complexType; see XML source
fixingTime (in asian)
The time at which the spot currency exchange rate will be observed.
Type:
BusinessCenterTime
Content:
complex, 2 elements
Defined:
locally within FxAsianFeature complexType; see XML source
fixingTime (in fxForwardVolatilityAgreement)
The time of the fixing date when the underlying options are priced using the agreed forwardVolatilityStrikePrice and other market factors as agreed by the parties.
Type:
BusinessCenterTime
Content:
complex, 2 elements
Defined:
locally within FxForwardVolatilityAgreement complexType; see XML source
floatingLeg
Floating FX Rate component describes the Floating FX Rate Payer of the rate determined in accordance with the Floating FX Rate Option specified in the Definitions.
Type:
FxPerformanceFloatingLeg
Content:
complex, 4 elements
Defined:
locally within FxPerformanceSwap complexType; see XML source
forwardRate
Definition of the forward exchange rate for transactions executed during the execution period.
Type:
FxFlexibleForwardRate
Content:
complex, 5 elements
Defined:
locally within FxFlexibleForward complexType; see XML source
forwardVolatilityStrikePrice
the Volatility level as agreed on the Trade Date.
Type:
PositiveDecimal
Content:
simple
Defined:
locally within FxForwardVolatilityAgreement complexType; see XML source
fxDigitalOption
An FX digital option transaction definition.
Type:
FxDigitalOption
Content:
complex, 1 attribute, 17 elements
Subst.Gr:
substitutes for product
Defined:
globally; see XML source
Used:
never
fxFlexibleForward
A flexible term fx forward product definition.
Type:
FxFlexibleForward
Content:
complex, 1 attribute, 20 elements
Subst.Gr:
substitutes for product
Defined:
globally; see XML source
Used:
never
fxForwardVolatilityAgreement
An FX Forward Volatility Agreement transaction definition.
Type:
FxForwardVolatilityAgreement
Content:
complex, 1 attribute, 16 elements
Subst.Gr:
substitutes for product
Defined:
globally; see XML source
Used:
never
fxOption
An FX option transaction definition.
Type:
FxOption
Content:
complex, 1 attribute, 21 elements
Subst.Gr:
substitutes for product
Defined:
globally; see XML source
Used:
never
fxSingleLeg
A simple FX spot or forward transaction definition.
Type:
FxSingleLeg
Content:
complex, 1 attribute, 9 elements
Subst.Gr:
substitutes for product
Defined:
globally; see XML source
Used:
never
fxSwap
An FX Swap transaction definition.
Type:
FxSwap
Content:
complex, 1 attribute, 6 elements
Subst.Gr:
substitutes for product
Defined:
globally; see XML source
Used:
never
fxVarianceSwap
An FX variance swap transaction definition.
Type:
FxPerformanceSwap
Content:
complex, 1 attribute, 19 elements
Subst.Gr:
substitutes for product
Defined:
globally; see XML source
Used:
never
fxVolatilitySwap
An FX volatility swap transaction definition.
Type:
FxPerformanceSwap
Content:
complex, 1 attribute, 19 elements
Subst.Gr:
substitutes for product
Defined:
globally; see XML source
Used:
never
informationSource (defined in FxBarrierFeature complexType)
The information source where a published or displayed market rate will be obtained, e.g.
Type:
InformationSource
Content:
complex, 3 elements
Defined:
locally within FxBarrierFeature complexType; see XML source
informationSource (in touch)
The information source where a published or displayed market rate will be obtained, e.g.
Type:
InformationSource
Content:
complex, 3 elements
Defined:
locally within FxTouch complexType; see XML source
informationSource (in trigger)
The information source where a published or displayed market rate will be obtained, e.g.
Type:
InformationSource
Content:
complex, 3 elements
Defined:
locally within FxTrigger complexType; see XML source
latestExecutionTime
The latest time of day at the specified business center, at which the client may execute a transaction.
Type:
BusinessCenterTime
Content:
complex, 2 elements
Defined:
locally within FxFlexibleForward complexType; see XML source
latestValueDate
The latest date on which both currencies traded will settle.
Type:
xsd:date
Content:
simple
Defined:
locally within FxDigitalAmericanExercise complexType; see XML source
maximumNotionalAmount (in multipleExercise in americanExercise in fxOption)
The maximum amount of notiional that can be exercised.
Type:
NonNegativeMoney
Content:
complex, 1 attribute, 2 elements
Defined:
locally within FxMultipleExercise complexType; see XML source
meanAdjustment
Specifies whether "Mean Adjustment" is applicable or not in the calculation of the Realized Volatility.
Type:
xsd:boolean
Content:
simple
Defined:
locally within FxPerformanceSwap complexType; see XML source
minimumExecutionAmount
The minimum notional amount which must be executed in any single transaction.
Type:
PositiveMoney
Content:
complex, 1 attribute, 2 elements
Defined:
locally within FxFlexibleForward complexType; see XML source
minimumNotionalAmount (in multipleExercise in americanExercise in fxOption)
The minimum amount of notional that can be exercised.
Type:
NonNegativeMoney
Content:
complex, 1 attribute, 2 elements
Defined:
locally within FxMultipleExercise complexType; see XML source
multipleExercise (in americanExercise in fxOption)
Characteristics for multiple exercise.
Type:
FxMultipleExercise
Content:
complex, 2 elements
Defined:
locally within FxAmericanExercise complexType; see XML source
nearLeg
The FX transaction with the earliest value date.
Type:
FxSwapLeg
Content:
complex, 1 attribute, 6 elements
Defined:
locally within FxSwap complexType; see XML source
nonDeliverableSettlement (defined in FxCoreDetails.model group)
Used to describe a particular type of FX forward transaction that is settled in a single currency (for example, a non-deliverable forward).
Type:
FxCashSettlement
Content:
complex, 6 elements
Defined:
locally within FxCoreDetails.model group; see XML source
notional (defined in FxPerformanceSwap complexType)
Notional Amount means, in the case of Transaction Type Variance Swap, the currency and amount specified as such in the related Confirmation or an amount calculated in accordance with the following: Notional Amount = Vega Notional Amount / (0.02 x Fixed FX Rate).
Type:
NonNegativeMoney
Content:
complex, 1 attribute, 2 elements
Defined:
locally within FxPerformanceSwap complexType; see XML source
notional (in straddle)
The currency amount for the FxStraddle.
Type:
NonNegativeMoney
Content:
complex, 1 attribute, 2 elements
Defined:
locally within FxStraddle complexType; see XML source
notionalAmount (in fxFlexibleForward)
The aggregate notional amount which will be exchanged, possibly as multiple partial executions, during the course of the execution period.
Type:
NonNegativeMoney
Content:
complex, 1 attribute, 2 elements
Defined:
locally within FxFlexibleForward complexType; see XML source
numberOfReturns
Number of Returns is the number of Observation Dates in the Observation Period, excluding the Initial Observation Date (where the Observation Rate on the Initial Observation Date shall equal S0).
Type:
xsd:nonNegativeInteger
Content:
simple
Defined:
locally within FxPerformanceSwap complexType; see XML source
observationEndDate (defined in FxBarrierFeature complexType)
The date on which the observation period for an american barrier ends.
Type:
xsd:date
Content:
simple
Defined:
locally within FxBarrierFeature complexType; see XML source
observationEndDate (in touch)
The date on which the observation period for an american trigger ends.
Type:
xsd:date
Content:
simple
Defined:
locally within FxTouch complexType; see XML source
observationEndTime (defined in FxBarrierFeature complexType)
The time on the end date at which the observation period for an american barrier ends.
Type:
BusinessCenterTime
Content:
complex, 2 elements
Defined:
locally within FxBarrierFeature complexType; see XML source
observationEndTime (in touch)
The time on the end date at which the observation period for an american trigger ends.
Type:
BusinessCenterTime
Content:
complex, 2 elements
Defined:
locally within FxTouch complexType; see XML source
observationPoint (defined in FxBarrierFeature complexType)
The dates and times at which rate observations are made to determine whether a barrier event has occurred for a discrete or european barrier.
Type:
FxBusinessCenterDateTime
Content:
complex, 2 elements
Defined:
locally within FxBarrierFeature complexType; see XML source
observationPoint (in touch)
The dates and times at which rate observations are made to determine whether a barrier event has occurred for a discrete trigger.
Type:
FxBusinessCenterDateTime
Content:
complex, 2 elements
Defined:
locally within FxTouch complexType; see XML source
observationSchedule
Parametric schedule of rate observations.
Type:
FxAverageRateObservationSchedule
Content:
complex, 3 elements
Defined:
locally within FxAsianFeature complexType; see XML source
observationStartDate (defined in FxBarrierFeature complexType)
The date on which the observation period for an american barrier starts.
Type:
xsd:date
Content:
simple
Defined:
locally within FxBarrierFeature complexType; see XML source
observationStartDate (in touch)
The date on which the observation period for an american trigger starts.
Type:
xsd:date
Content:
simple
Defined:
locally within FxTouch complexType; see XML source
observationStartTime (defined in FxBarrierFeature complexType)
The time on the start date at which the observation period for an american barrier starts.
Type:
BusinessCenterTime
Content:
complex, 2 elements
Defined:
locally within FxBarrierFeature complexType; see XML source
observationStartTime (in touch)
The time on the start date at which the observation period for an american trigger starts.
Type:
BusinessCenterTime
Content:
complex, 2 elements
Defined:
locally within FxTouch complexType; see XML source
paymentCurrency
The Premium Payment Currency.
Type:
IdentifiedCurrency
Content:
simple, 2 attributes
Defined:
locally within FxStraddlePremium complexType; see XML source
payout
The amount of currency which becomes payable if and when a trigger event occurs.
Type:
FxOptionPayout
Content:
complex, 1 attribute, 4 elements
Defined:
locally within FxDigitalOption complexType; see XML source
payoutFormula
The description of the mathematical computation for how the payout is computed.
Type:
NonEmptyNormalizedString
Content:
simple
Defined:
locally within FxAsianFeature complexType; see XML source
payoutStyle
The trigger event and payout may be asynchonous.
Type:
PayoutEnum
Content:
simple
Defined:
locally within FxOptionPayout complexType; see XML source
precision (in asian)
Specifies the rounding precision in terms of a number of decimal places.
Type:
xsd:nonNegativeInteger
Content:
simple
Defined:
locally within FxAsianFeature complexType; see XML source
premium (in fxDigitalOption)
Premium amount or premium installment amount for an option.
Type:
FxOptionPremium
Content:
complex, 1 attribute, 8 elements
Defined:
locally within FxDigitalOption complexType; see XML source
premium (in fxOption)
Premium amount or premium installment amount for an option.
Type:
FxOptionPremium
Content:
complex, 1 attribute, 8 elements
Defined:
locally within FxOption complexType; see XML source
premium (in straddle)
Defines the FX Straddle premium amount, payer and dates.
Type:
FxStraddlePremium
Content:
complex, 1 attribute, 7 elements
Defined:
locally within FxStraddle complexType; see XML source
primaryRateSource (in asian)
The primary source for where the rate observation will occur.
Type:
InformationSource
Content:
complex, 3 elements
Defined:
locally within FxAsianFeature complexType; see XML source
putCurrency
The currency which: - the option buyer will pay (sell) - the option writer will receive (buy)
Type:
Currency
Content:
simple, 1 attribute
Defined:
locally within PutCallCurrency.model group; see XML source
putCurrencyAmount
The currency amount that the option gives the right to sell.
Type:
NonNegativeMoney
Content:
complex, 1 attribute, 2 elements
Defined:
locally within FxOption complexType; see XML source
quote (defined in FxOptionPremium complexType)
This is the option premium as quoted.
Type:
PremiumQuote
Content:
complex, 2 elements
Defined:
locally within FxOptionPremium complexType; see XML source
quoteBasis (in quote defined in FxOptionPremium complexType)
The method by which the option premium was quoted.
Type:
PremiumQuoteBasisEnum
Content:
simple
Defined:
locally within PremiumQuote complexType; see XML source
quotedCurrencyPair (defined in FxBarrierFeature complexType)
Defines the two currencies for an FX trade and the quotation relationship between the two currencies.
Type:
QuotedCurrencyPair
Content:
complex, 3 elements
Defined:
locally within FxBarrierFeature complexType; see XML source
quotedCurrencyPair (defined in FxPerformanceSwap complexType)
A Currency Pair with regards to this transaction and the quoting convention.
Type:
QuotedCurrencyPair
Content:
complex, 3 elements
Defined:
locally within FxPerformanceSwap complexType; see XML source
quotedCurrencyPair (in exchangeRate)
Defines the two currencies for an FX trade and the quotation relationship between the two currencies.
Type:
QuotedCurrencyPair
Content:
complex, 3 elements
Defined:
locally within ExchangeRate complexType; see XML source
quotedCurrencyPair (in fxForwardVolatilityAgreement)
A currency Pair the straddle is based on.
Type:
QuotedCurrencyPair
Content:
complex, 3 elements
Defined:
locally within FxForwardVolatilityAgreement complexType; see XML source
quotedCurrencyPair (in touch)
Defines the two currencies for an FX trade and the quotation relationship between the two currencies.
Type:
QuotedCurrencyPair
Content:
complex, 3 elements
Defined:
locally within FxTouch complexType; see XML source
quotedCurrencyPair (in trigger)
Defines the two currencies for an FX trade and the quotation relationship between the two currencies.
Type:
QuotedCurrencyPair
Content:
complex, 3 elements
Defined:
locally within FxTriggerBase complexType; see XML source
rate (in exchangeRate)
The rate of exchange between the two currencies of the leg of a deal.
Type:
PositiveDecimal
Content:
simple
Defined:
locally within ExchangeRate complexType; see XML source
rate (in forwardRate)
Constant rate value, applicable for the duration of the execution period.
Type:
PositiveDecimal
Content:
simple
Defined:
locally within FxFlexibleForwardRate complexType; see XML source
rate (in rateObservation in asian)
The observed rate of exchange between the two option currencies.
Type:
NonNegativeDecimal
Content:
simple
Defined:
locally within FxAverageRateObservation complexType; see XML source
rate (in strike in fxOption)
The rate of exchange between the two currencies of the leg of a deal.
Type:
PositiveDecimal
Content:
simple
Defined:
locally within FxStrikePrice complexType; see XML source
rateObservation (in asian)
One or more specific rate observation dates.
Type:
FxAverageRateObservation
Content:
complex, 3 elements
Defined:
locally within FxRateObservation.model group; see XML source
rateObservationQuoteBasis
The method by which observed rate values are quoted, in terms of the option put/call currencies.
Type:
StrikeQuoteBasisEnum
Content:
simple
Defined:
locally within FxRateObservation.model group; see XML source
secondaryRateSource (in asian)
An alternative, or secondary, source for where the rate observation will occur.
Type:
InformationSource
Content:
complex, 3 elements
Defined:
locally within FxAsianFeature complexType; see XML source
settlementAmount
The total amount of settlement currency that will be paid over the life of the trade if calculable.
Type:
NonNegativeMoney
Content:
complex, 1 attribute, 2 elements
Defined:
locally within FxFlexibleForward complexType; see XML source
settlementDate (defined in FxPerformanceSwap complexType)
The date on which the Settlement Amount will be settled.
Type:
AdjustableOrAdjustedDate
Content:
complex, 1 attribute, 2 elements
Defined:
locally within FxPerformanceSwap complexType; see XML source
settlementDate (in straddle)
DEPRECATED.
Type:
AdjustableOrAdjustedDate
Content:
complex, 1 attribute, 2 elements
Defined:
locally within FxStraddle complexType; see XML source
settlementDateOffset
The date on which delivery of the transacted currency amounts will occur, expressed as an offset from the execution date. * This property is optional in the schema, allowing it to be omitted by systems which do not support it; however this information would be expected in contractual documentation (e.g. termsheet, confirmation).
Type:
RelativeDateOffset
Content:
complex, 1 attribute, 7 elements
Defined:
locally within FxFlexibleForward complexType; see XML source
settlementInformation (defined in FxOptionPremium complexType)
The information required to settle a currency payment that results from a trade.
Type:
SettlementInformation
Content:
complex, 2 elements
Defined:
locally within FxOptionPremium complexType; see XML source
settlementInformation (in payout)
The information required to settle a currency payment that results from a trade.
Type:
SettlementInformation
Content:
complex, 2 elements
Defined:
locally within FxOptionPayout complexType; see XML source
settlementInformation (in premium in straddle)
The Seller details for settling the FxStraddlePremium.
Type:
SettlementInformation
Content:
complex, 2 elements
Defined:
locally within FxStraddlePremium complexType; see XML source
soldAs
Indicates how the product was original sold as a Put or a Call.
Type:
PutCallEnum
Content:
simple
Defined:
locally within FxOption complexType; see XML source
spotRate (in forwardRate)
The spot exchange rate for the specified currency pair as per the specified quote basis, as at the trade date.
Type:
PositiveDecimal
Content:
simple
Defined:
locally within FxFlexibleForwardRate complexType; see XML source
spotRate (in fxOption)
An optional element used for FX forwards and certain types of FX OTC options.
Type:
PositiveDecimal
Content:
simple
Defined:
locally within FxOption complexType; see XML source
spotRate (in touch)
An optional element used for FX forwards and certain types of FX OTC options.
Type:
PositiveDecimal
Content:
simple
Defined:
locally within FxTouch complexType; see XML source
spotRate (in trigger)
An optional element used for FX forwards and certain types of FX OTC options.
Type:
PositiveDecimal
Content:
simple
Defined:
locally within FxTriggerBase complexType; see XML source
startDate (in executionPeriodDates)
Start date of the execution period/window.
Type:
xsd:date
Content:
simple
Defined:
locally within FxFlexibleForwardExecutionPeriod complexType; see XML source
startDate (in fixingSchedule)
The start of the period over which observations are made to determine whether a trigger has occurred.
Type:
xsd:date
Content:
simple
Defined:
locally within FxFixingScheduleSimple complexType; see XML source
startDate (in observationSchedule)
The start of the period over which observations are made to determine whether a trigger has occurred.
Type:
xsd:date
Content:
simple
Defined:
locally within FxAverageRateObservationSchedule complexType; see XML source
straddle
details of the straddle (underlying options).
Type:
FxStraddle
Content:
complex, 9 elements
Defined:
locally within FxForwardVolatilityAgreement complexType; see XML source
straddleType
The type Straddle as agreed on the Trade Date, e.g. at the money forward straddle, or delta neutral straddle.
Type:
FxStraddleTypeEnum
Content:
simple
Defined:
locally within FxStraddle complexType; see XML source
strike (in fxOption)
Defines the option strike price.
Type:
FxStrikePrice
Content:
complex, 2 elements
Defined:
locally within FxOption complexType; see XML source
strikeQuoteBasis
The method by which the strike rate is quoted.
Type:
StrikeQuoteBasisEnum
Content:
simple
Defined:
locally within FxStrikePrice complexType; see XML source
tenorPeriod (in executionPeriodDates)
The execution period represented as a tenor (time to expiration) starting from the spot date (e.g. 1M, 3M, 1Y,...)
Type:
Period
Content:
complex, 1 attribute, 2 elements
Defined:
locally within FxFlexibleForwardExecutionPeriod complexType; see XML source
tenorPeriod (in executionPeriodDates)
The execution period represented as a tenor (time to expiration) starting from the spot date (e.g. 1M, 3M, 1Y,...)
Type:
Period
Content:
complex, 1 attribute, 2 elements
Defined:
locally within FxFlexibleForwardExecutionPeriod complexType; see XML source
tenorPeriod (in fixingSchedule)
Type:
Period
Content:
complex, 1 attribute, 2 elements
Defined:
locally within FxFixingScheduleSimple complexType; see XML source
tenorPeriod (in fixingSchedule)
Type:
Period
Content:
complex, 1 attribute, 2 elements
Defined:
locally within FxFixingScheduleSimple complexType; see XML source
tenorPeriod (in fxDigitalOption)
A tenor expressed as a period type and multiplier (e.g. 1D, 1Y, etc.)
Type:
Period
Content:
complex, 1 attribute, 2 elements
Defined:
locally within FxDigitalOption complexType; see XML source
tenorPeriod (in fxForwardVolatilityAgreement)
The date when the underlying options are priced using the agreed forwardVolatilityStrikePrice and other market factors as agreed by the parties.
Type:
Period
Content:
complex, 1 attribute, 2 elements
Defined:
locally within FxForwardVolatilityAgreement complexType; see XML source
tenorPeriod (in fxOption)
A tenor expressed as a period type and multiplier (e.g. 1D, 1Y, etc.)
Type:
Period
Content:
complex, 1 attribute, 2 elements
Defined:
locally within FxOption complexType; see XML source
tenorPeriod (in straddle)
A Tenor (time to maturity) of the straddle starting from the Fixing Date (e.g. 1y, 3m)
Type:
Period
Content:
complex, 1 attribute, 2 elements
Defined:
locally within FxStraddle complexType; see XML source
time (defined in FxBusinessCenterDateTime complexType)
Type:
BusinessCenterTime
Content:
complex, 2 elements
Defined:
locally within FxBusinessCenterDateTime complexType; see XML source
touch
Defines one or more conditions underwhich the option will payout if exercisable.
Type:
FxTouch
Content:
complex, 11 elements
Defined:
locally within FxDigitalOption complexType; see XML source
touchCondition
This specifies whether the applied trigger is a touch or no touch type.
Type:
TouchConditionEnum
Content:
simple
Defined:
locally within FxTouch complexType; see XML source
tradeIdentifierReference (defined in FxSwapLeg complexType)
A reference to a party trade ID.
Type:
PartyTradeIdentifierReference
Content:
empty, 1 attribute
Defined:
locally within FxSwapLeg complexType; see XML source
trigger
Defines one or more conditions underwhich the option will payout if exercisable.
Type:
FxTrigger
Content:
complex, 5 elements
Defined:
locally within FxDigitalOption complexType; see XML source
triggerCondition
The condition that applies to a european trigger applied to an FX digital option.
Type:
TriggerConditionEnum
Content:
simple
Defined:
locally within FxTriggerBase complexType; see XML source
triggerRate (defined in FxBarrierFeature complexType)
The market rate is observed relative to the trigger rate, and if it is found to be on the predefined side of (above or below) the trigger rate, a trigger event is deemed to have occurred.
Type:
PositiveDecimal
Content:
simple
Defined:
locally within FxBarrierFeature complexType; see XML source
triggerRate (in touch)
The market rate is observed relative to the trigger rate, and if it is found to be on the predefined side of (above or below) the trigger rate, a barrier event is deemed to have occurred.
Type:
PositiveDecimal
Content:
simple
Defined:
locally within FxTouch complexType; see XML source
triggerRate (in trigger)
The market rate is observed relative to the trigger rate, and if it is found to be on the predefined side of (above or below) the trigger rate, a barrier event is deemed to have occurred.
Type:
PositiveDecimal
Content:
simple
Defined:
locally within FxTriggerBase complexType; see XML source
valuationDate (defined in FxPerformanceSwap complexType)
Final Observation Date when Settlement Amount and Settlement Amount Payer determination date.
Type:
xsd:date
Content:
simple
Defined:
locally within FxPerformanceSwap complexType; see XML source
valuationDateOffset
Valuation date offset relative to the Final Observation Date and can be: [Final Observation Date][The first Business Day following the Final Observation Date].
Type:
FxValuationDateOffset
Content:
complex, 1 attribute, 5 elements
Defined:
locally within FxPerformanceSwap complexType; see XML source
value (in quote defined in FxOptionPremium complexType)
The value of the premium quote.
Type:
xsd:decimal
Content:
simple
Defined:
locally within PremiumQuote complexType; see XML source
valueDate (defined in FxCoreDetails.model group)
The date on which both currencies traded will settle.
Type:
xsd:date
Content:
simple
Defined:
locally within FxCoreDetails.model group; see XML source
valueDate (defined in FxEuropeanExercise complexType)
The date on which both currencies traded will settle.
Type:
xsd:date
Content:
simple
Defined:
locally within FxEuropeanExercise complexType; see XML source
vegaNotional
Vega Notional means the currency and amount specified as such in the related Confirmation.
Type:
NonNegativeMoney
Content:
complex, 1 attribute, 2 elements
Defined:
locally within FxPerformanceSwap complexType; see XML source
Complex Type Summary
CutName
Allows for an option expiry cut time to be described by name, as per established market convention.
Content:
simple, 1 attribute
Defined:
globally; see XML source
Includes:
definition of 1 attribute
Used:
at 2 locations
ExchangeRate
A type that is used for describing the exchange rate for a particular transaction.
Content:
complex, 2 elements
Defined:
globally; see XML source
Includes:
definitions of 2 elements
Used:
at 1 location
FxAmericanExercise
Describes the characteristics for american exercise of FX products.
Content:
complex, 1 attribute, 6 elements
Defined:
globally; see XML source
Includes:
definition of 1 element
Used:
at 1 location
FxAsianFeature
Descibes the averaging period properties for an asian option.
Content:
complex, 8 elements
Defined:
globally; see XML source
Includes:
definitions of 6 elements
Used:
at 1 location
FxAverageRateObservation
A type that, for average rate options, is used to describe each specific observation date, as opposed to a parametric frequency of rate observations.
Content:
complex, 3 elements
Defined:
globally; see XML source
Includes:
definitions of 3 elements
Used:
at 1 location
FxAverageRateObservationSchedule
A type that describes average rate options rate observations.
Content:
complex, 3 elements
Defined:
globally; see XML source
Includes:
definitions of 3 elements
Used:
at 1 location
FxBarrierFeature
Describes the properties of an FX barrier.
Content:
complex, 10 elements
Defined:
globally; see XML source
Includes:
definitions of 10 elements
Used:
at 2 locations
FxBusinessCenterDateTime
Content:
complex, 2 elements
Defined:
globally; see XML source
Includes:
definitions of 2 elements
Used:
at 2 locations
FxDigitalAmericanExercise
Descrines the characteristics for American exercise in FX digital options.
Content:
complex, 1 attribute, 5 elements
Defined:
globally; see XML source
Includes:
definitions of 5 elements
Used:
at 2 locations
FxDigitalOption
Describes an option having a triggerable fixed payout.
Content:
complex, 1 attribute, 17 elements
Defined:
globally; see XML source
Includes:
definitions of 9 elements
Used:
at 1 location
FxEuropeanExercise
Describes the characteristics for European exercise of FX products.
Content:
complex, 1 attribute, 4 elements
Defined:
globally; see XML source
Includes:
definitions of 4 elements
Used:
at 3 locations
FxFixingScheduleSimple
Describes the FX fixing schedule, a single continuous observation period which follows the applicable business day schedule for the quoted rate source.
Content:
complex, 9 elements
Defined:
globally; see XML source
Includes:
definitions of 7 elements
Used:
at 1 location
FxFlexibleForward
Product model for a flexible-term fx forward (also known as callable forward, window forward).
Content:
complex, 1 attribute, 20 elements
Defined:
globally; see XML source
Includes:
definitions of 10 elements
Used:
at 1 location
FxFlexibleForwardExecutionPeriod
Content:
complex, 1 attribute, 5 elements
Defined:
globally; see XML source
Includes:
definitions of 1 attribute, 5 elements
Used:
at 1 location
FxFlexibleForwardRate
Content:
complex, 5 elements
Defined:
globally; see XML source
Includes:
definitions of 2 elements
Used:
at 1 location
FxForwardVolatilityAgreement
Describes a contract on future levels of implied volatility.
Content:
complex, 1 attribute, 16 elements
Defined:
globally; see XML source
Includes:
definitions of 8 elements
Used:
at 1 location
FxMultipleExercise
Describes the limits on the size of notional when multiple exercise is allowed.
Content:
complex, 2 elements
Defined:
globally; see XML source
Includes:
definitions of 2 elements
Used:
at 1 location
FxOption
Describes an FX option with optional asian and barrier features.
Content:
complex, 1 attribute, 21 elements
Defined:
globally; see XML source
Includes:
definitions of 13 elements
Used:
at 1 location
FxOptionFeatures
A type describing the features that may be present in an FX option.
Content:
complex, 3 elements
Defined:
globally; see XML source
Includes:
definitions of 3 elements
Used:
at 1 location
FxOptionPayout
A type that contains full details of a predefined fixed payout which may occur (or not) in a Barrier Option or Digital Option when a trigger event occurs (or not).
Content:
complex, 1 attribute, 4 elements
Defined:
globally; see XML source
Includes:
definitions of 2 elements
Used:
at 1 location
FxOptionPremium
A type that specifies the premium exchanged for a single option trade or option strategy.
Content:
complex, 1 attribute, 8 elements
Defined:
globally; see XML source
Includes:
definitions of 2 elements
Used:
at 2 locations
FxPerformanceFixedLeg
FX Performance Fixed Leg describes Fixed FX Rate Payer and Fixed Rate.
Content:
complex, 5 elements
Defined:
globally; see XML source
Includes:
definition of 1 element
Used:
at 1 location
FxPerformanceFloatingLeg
Fx Performance Floating Leg describes Floating FX Rate Payer.
Content:
complex, 4 elements
Defined:
globally; see XML source
Used:
at 1 location
FxPerformanceLeg
Floating FX Rate describes Fixed FX Rate Payer and Fixed Rate
Content:
complex, 4 elements
Abstract:
(cannot be assigned directly to elements used in instance XML documents)
Defined:
globally; see XML source
Used:
at 2 locations
FxPerformanceSwap
Describes an FX volatility and variance swap.
Content:
complex, 1 attribute, 19 elements
Defined:
globally; see XML source
Includes:
definitions of 15 elements
Used:
at 2 locations
FxSingleLeg
A type defining either a spot or forward FX transactions.
Content:
complex, 1 attribute, 9 elements
Defined:
globally; see XML source
Used:
at 1 location
FxStraddle
Straddle details.
Content:
complex, 9 elements
Defined:
globally; see XML source
Includes:
definitions of 9 elements
Used:
at 1 location
FxStraddlePremium
The Currency and Amount to be paid by the Buyer to the Seller.
Content:
complex, 1 attribute, 7 elements
Defined:
globally; see XML source
Includes:
definitions of 2 elements
Used:
at 1 location
FxStrikePrice
A type that describes the rate of exchange at which the option has been struck.
Content:
complex, 2 elements
Defined:
globally; see XML source
Includes:
definitions of 2 elements
Used:
at 1 location
FxSwap
A type defining either a spot/forward or forward/forward FX swap transaction.
Content:
complex, 1 attribute, 6 elements
Defined:
globally; see XML source
Includes:
definitions of 2 elements
Used:
at 1 location
FxSwapLeg
Content:
complex, 1 attribute, 6 elements
Defined:
globally; see XML source
Includes:
definition of 1 element
Used:
at 2 locations
FxTouch
Describes an american or discrete touch or no-touch trigger applied to an FX binary or digital option.
Content:
complex, 11 elements
Defined:
globally; see XML source
Includes:
definitions of 11 elements
Used:
at 1 location
FxTrigger
Describes a european trigger applied to an FX digtal option.
Content:
complex, 5 elements
Defined:
globally; see XML source
Includes:
definition of 1 element
Used:
at 1 location
FxTriggerBase
Describes a european trigger applied to an FX digtal option.
Content:
complex, 4 elements
Defined:
globally; see XML source
Includes:
definitions of 4 elements
Used:
at 1 location
FxValuationDateOffset
Valuation date offset is used in FX Variance Swap and Volatility Swap to always relate the Final Observation Date and can be: [Final Observation Date][The first Business Day following the Final Observation Date]
Content:
complex, 1 attribute, 5 elements
Defined:
globally; see XML source
Used:
at 1 location
PremiumQuote
A type that describes the option premium as quoted.
Content:
complex, 2 elements
Defined:
globally; see XML source
Includes:
definitions of 2 elements
Used:
at 1 location
Element Group Summary
FxCoreDetails.model
The elements common to FX spot, forward and swap legs.
Content:
5 elements
Defined:
globally; see XML source
Includes:
definitions of 5 elements
Used:
at 2 locations
FxRateObservation.model
The elements common to FX rate observation.
Content:
2 elements
Defined:
globally; see XML source
Includes:
definitions of 2 elements
Used:
at 1 location
PutCallCurrency.model
Content:
2 elements
Defined:
globally; see XML source
Includes:
definitions of 2 elements
Used:
at 1 location
XML Source
<?xml version="1.0" encoding="utf-8"?>
<!--
== Copyright (c) 2022-2024 All rights reserved.
== Financial Products Markup Language is subject to the FpML public license.
== A copy of this license is available at http://www.fpml.org/license/license.html
-->
<xsd:schema attributeFormDefault="unqualified" ecore:documentRoot="FpML" ecore:nsPrefix="pre" ecore:package="org.fpml.pretrade" elementFormDefault="qualified" targetNamespace="http://www.fpml.org/FpML-5/pretrade" version="$Revision: 14153 $" xmlns="http://www.fpml.org/FpML-5/pretrade" xmlns:ecore="http://www.eclipse.org/emf/2002/Ecore" xmlns:fpml-annotation="http://www.fpml.org/annotation" xmlns:xsd="http://www.w3.org/2001/XMLSchema">
<xsd:include schemaLocation="fpml-option-shared-5-13.xsd"/>
<xsd:complexType name="CutName">
<xsd:annotation>
<xsd:documentation xml:lang="en">
Allows for an option expiry cut time to be described by name, as per established market convention. Note: the FX Working Group has resolved not to extend the cutNameScheme coding scheme. The expiryTime element should be used in preference to cutName as the formal definition of FX option expiry time.
</xsd:documentation>
</xsd:annotation>
<xsd:simpleContent>
<xsd:extension base="Scheme">
<xsd:attribute default="http://www.fpml.org/coding-scheme/cut-name" name="cutNameScheme" type="NonEmptyURI"/>
</xsd:extension>
</xsd:simpleContent>
</xsd:complexType>
<xsd:complexType name="ExchangeRate">
<xsd:annotation>
<xsd:documentation xml:lang="en">
A type that is used for describing the exchange rate for a particular transaction.
</xsd:documentation>
</xsd:annotation>
<xsd:sequence>
<xsd:element name="quotedCurrencyPair" type="QuotedCurrencyPair">
<xsd:annotation>
<xsd:documentation xml:lang="en">
Defines the two currencies for an FX trade and the quotation relationship between the two currencies.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element minOccurs="0" name="rate" type="PositiveDecimal">
<xsd:annotation>
<xsd:documentation xml:lang="en">
The rate of exchange between the two currencies of the leg of a deal. Must be specified with a quote basis.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
</xsd:sequence>
</xsd:complexType>
<xsd:complexType name="FxAmericanExercise">
<xsd:annotation>
<xsd:documentation xml:lang="en">
Describes the characteristics for american exercise of FX products.
</xsd:documentation>
</xsd:annotation>
<xsd:complexContent>
<xsd:extension base="FxDigitalAmericanExercise">
<xsd:sequence>
<xsd:element minOccurs="0" name="multipleExercise" type="FxMultipleExercise">
<xsd:annotation>
<xsd:documentation xml:lang="en">Characteristics for multiple exercise.</xsd:documentation>
</xsd:annotation>
</xsd:element>
</xsd:sequence>
</xsd:extension>
</xsd:complexContent>
</xsd:complexType>
<xsd:complexType name="FxAsianFeature">
<xsd:annotation>
<xsd:documentation xml:lang="en">
Descibes the averaging period properties for an asian option.
</xsd:documentation>
</xsd:annotation>
<xsd:sequence>
<xsd:element name="primaryRateSource" type="InformationSource">
<xsd:annotation>
<xsd:documentation xml:lang="en">
The primary source for where the rate observation will occur. Will typically be either a page or a reference bank published rate.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element minOccurs="0" name="secondaryRateSource" type="InformationSource">
<xsd:annotation>
<xsd:documentation xml:lang="en">
An alternative, or secondary, source for where the rate observation will occur. Will typically be either a page or a reference bank published rate.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element minOccurs="0" name="fixingTime" type="BusinessCenterTime">
<xsd:annotation>
<xsd:documentation xml:lang="en">
The time at which the spot currency exchange rate will be observed. It is specified as a time in a business day calendar location, e.g. 11:00am London time.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:choice>
<xsd:sequence>
<xsd:element name="observationSchedule" type="FxAverageRateObservationSchedule">
<xsd:annotation>
<xsd:documentation xml:lang="en">Parametric schedule of rate observations.</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:group minOccurs="0" ref="FxRateObservation.model"/>
</xsd:sequence>
<xsd:group ref="FxRateObservation.model"/>
</xsd:choice>
<xsd:element minOccurs="0" name="payoutFormula" type="NonEmptyNormalizedString">
<xsd:annotation>
<xsd:documentation xml:lang="en">
The description of the mathematical computation for how the payout is computed.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element minOccurs="0" name="precision" type="xsd:nonNegativeInteger">
<xsd:annotation>
<xsd:documentation xml:lang="en">
Specifies the rounding precision in terms of a number of decimal places. Note how a percentage rate rounding of 5 decimal places is expressed as a rounding precision of 7 in the FpML document since the percentage is expressed as a decimal, e.g. 9.876543% (or 0.09876543) being rounded to the nearest 5 decimal places is 9.87654% (or 0.0987654).
</xsd:documentation>
</xsd:annotation>
</xsd:element>
</xsd:sequence>
</xsd:complexType>
<xsd:complexType name="FxAverageRateObservation">
<xsd:annotation>
<xsd:documentation xml:lang="en">
A type that, for average rate options, is used to describe each specific observation date, as opposed to a parametric frequency of rate observations.
</xsd:documentation>
</xsd:annotation>
<xsd:sequence>
<xsd:element name="date" type="xsd:date">
<xsd:annotation>
<xsd:documentation xml:lang="en">
A specific date for which an observation against a particular rate will be made and will be used for subsequent computations.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="averageRateWeightingFactor" type="xsd:decimal">
<xsd:annotation>
<xsd:documentation xml:lang="en">
An optional factor that can be used for weighting certain observation dates. Typically, firms will weight each date with a factor of 1 if there are standard, unweighted adjustments.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element minOccurs="0" name="rate" type="NonNegativeDecimal">
<xsd:annotation>
<xsd:documentation xml:lang="en">
The observed rate of exchange between the two option currencies. In the absence of rateObservationQuoteBasis, the rate is assumed to be quoted as per option strike/strikeQuoteBasis.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
</xsd:sequence>
</xsd:complexType>
<xsd:complexType name="FxAverageRateObservationSchedule">
<xsd:annotation>
<xsd:documentation xml:lang="en">
A type that describes average rate options rate observations. This is used to describe a parametric frequency of rate observations against a particular rate. Typical frequencies might include daily, every Friday, etc.
</xsd:documentation>
</xsd:annotation>
<xsd:sequence>
<xsd:element name="startDate" type="xsd:date">
<xsd:annotation>
<xsd:documentation xml:lang="en">
The start of the period over which observations are made to determine whether a trigger has occurred.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="endDate" type="xsd:date">
<xsd:annotation>
<xsd:documentation xml:lang="en">
The end of the period over which observations are made to determine whether a trigger event has occurred.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:annotation>
<xsd:documentation xml:lang="en">
The frequency at which calculation period end dates occur with the regular part of the calculation period schedule and their roll date convention.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
</xsd:sequence>
</xsd:complexType>
<xsd:complexType name="FxBarrierFeature">
<xsd:annotation>
<xsd:documentation xml:lang="en">Describes the properties of an FX barrier.</xsd:documentation>
</xsd:annotation>
<xsd:sequence>
<xsd:element name="barrierType" type="FxBarrierTypeEnum">
<xsd:annotation>
<xsd:documentation xml:lang="en">
This specifies whether the option becomes effective ("knock-in") or is annulled ("knock-out") when the respective barrier event occurs.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element minOccurs="0" name="direction" type="FxBarrierDirectionEnum">
<xsd:annotation>
<xsd:documentation xml:lang="en">
This specifies whether the barrier direction is "Up" or "Down"; that is, that a barrier event occurs if the spot rate is at or above the trigger rate, or at or below the trigger rate during the period of observation of an american barrier, or at the times of observation of a discrete or european barrier.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="quotedCurrencyPair" type="QuotedCurrencyPair">
<xsd:annotation>
<xsd:documentation xml:lang="en">
Defines the two currencies for an FX trade and the quotation relationship between the two currencies.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="triggerRate" type="PositiveDecimal">
<xsd:annotation>
<xsd:documentation xml:lang="en">
The market rate is observed relative to the trigger rate, and if it is found to be on the predefined side of (above or below) the trigger rate, a trigger event is deemed to have occurred.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element maxOccurs="unbounded" minOccurs="0" name="informationSource" type="InformationSource">
<xsd:annotation>
<xsd:documentation xml:lang="en">
The information source where a published or displayed market rate will be obtained, e.g. Telerate Page 3750.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:choice minOccurs="0">
<xsd:sequence>
<xsd:sequence>
<xsd:element name="observationStartDate" type="xsd:date">
<xsd:annotation>
<xsd:documentation xml:lang="en">
The date on which the observation period for an american barrier starts. If the start date is not present, then the date and time of the start of the period is deemed to be the date and time the transaction was entered into.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element minOccurs="0" name="observationStartTime" type="BusinessCenterTime">
<xsd:annotation>
<xsd:documentation xml:lang="en">
The time on the start date at which the observation period for an american barrier starts. If the time is not present and the start date is equivalent to the transaction date, the time is deemed to be the time the transaction was entered into. If the time is not present and the start date is other than the transaction date, then the time is deemed to be the same as the expiration time.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
</xsd:sequence>
<xsd:sequence minOccurs="0">
<xsd:element name="observationEndDate" type="xsd:date">
<xsd:annotation>
<xsd:documentation xml:lang="en">
The date on which the observation period for an american barrier ends. If the end date is not present, then the date and time of the end of the period is deemed to be the date and time of expiration.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element minOccurs="0" name="observationEndTime" type="BusinessCenterTime">
<xsd:annotation>
<xsd:documentation xml:lang="en">
The time on the end date at which the observation period for an american barrier ends. If the time is not present, then the time is deemed to be the same as the expiration time.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
</xsd:sequence>
</xsd:sequence>
<xsd:element maxOccurs="unbounded" minOccurs="0" name="observationPoint" type="FxBusinessCenterDateTime">
<xsd:annotation>
<xsd:documentation xml:lang="en">
The dates and times at which rate observations are made to determine whether a barrier event has occurred for a discrete or european barrier. If the time is not present then the time is deemed to be the same as the expiration time.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
</xsd:choice>
</xsd:sequence>
</xsd:complexType>
<xsd:complexType name="FxBusinessCenterDateTime">
<xsd:sequence>
<xsd:element name="date" type="xsd:date"/>
<xsd:element minOccurs="0" name="time" type="BusinessCenterTime"/>
</xsd:sequence>
</xsd:complexType>
<xsd:complexType name="FxDigitalAmericanExercise">
<xsd:annotation>
<xsd:documentation xml:lang="en">
Descrines the characteristics for American exercise in FX digital options.
</xsd:documentation>
</xsd:annotation>
<xsd:complexContent>
<xsd:extension base="Exercise">
<xsd:sequence>
<xsd:element minOccurs="0" name="commencementDate" type="AdjustableOrRelativeDate">
<xsd:annotation>
<xsd:documentation xml:lang="en">
The earliest date on which the option can be exercised.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="expiryDate" type="xsd:date">
<xsd:annotation>
<xsd:documentation xml:lang="en">
The latest date on which the option can be exercised.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element minOccurs="0" name="expiryTime" type="BusinessCenterTime">
<xsd:annotation>
<xsd:documentation xml:lang="en">
Time at which the option expires on the expiry date, at the specified business center. This component represents the formal definition of option expiry time.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element minOccurs="0" name="cutName" type="CutName">
<xsd:annotation>
<xsd:documentation xml:lang="en">
A code by which the expiry time is known in the market. This element is available to supplement the formal definition of expiry time, and must not be used in absence of the expiryTime element.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element minOccurs="0" name="latestValueDate" type="xsd:date">
<xsd:annotation>
<xsd:documentation xml:lang="en">
The latest date on which both currencies traded will settle.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
</xsd:sequence>
</xsd:extension>
</xsd:complexContent>
</xsd:complexType>
<xsd:complexType name="FxDigitalOption">
<xsd:annotation>
<xsd:documentation xml:lang="en">
Describes an option having a triggerable fixed payout.
</xsd:documentation>
</xsd:annotation>
<xsd:complexContent>
<xsd:extension base="Option">
<xsd:sequence>
<xsd:element minOccurs="0" name="effectiveDate" type="AdjustableOrRelativeDate">
<xsd:annotation>
<xsd:documentation xml:lang="en">
Effective date for a forward starting derivative. If this element is not present, the effective date is the trade date.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element minOccurs="0" name="tenorPeriod" type="Period">
<xsd:annotation>
<xsd:documentation xml:lang="en">
A tenor expressed as a period type and multiplier (e.g. 1D, 1Y, etc.)
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:sequence>
<xsd:annotation>
<xsd:documentation xml:lang="en">Defines the parameters for option exercise.</xsd:documentation>
</xsd:annotation>
<xsd:choice>
<xsd:sequence>
<xsd:element name="americanExercise" type="FxDigitalAmericanExercise">
<xsd:annotation>
<xsd:documentation xml:lang="en">
The parameters for defining the exercise period for an American style option.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element maxOccurs="unbounded" name="touch" type="FxTouch">
<xsd:annotation>
<xsd:documentation xml:lang="en">
Defines one or more conditions underwhich the option will payout if exercisable.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
</xsd:sequence>
<xsd:sequence>
<xsd:element name="europeanExercise" type="FxEuropeanExercise">
<xsd:annotation>
<xsd:documentation xml:lang="en">
The parameters for defining the exercise period for an European style option.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element maxOccurs="unbounded" name="trigger" type="FxTrigger">
<xsd:annotation>
<xsd:documentation xml:lang="en">
Defines one or more conditions underwhich the option will payout if exercisable.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
</xsd:sequence>
</xsd:choice>
<xsd:element minOccurs="0" name="exerciseProcedure" type="ExerciseProcedure">
<xsd:annotation>
<xsd:documentation xml:lang="en">
A set of parameters defining procedures associated with the exercise.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
</xsd:sequence>
<xsd:element name="payout" type="FxOptionPayout">
<xsd:annotation>
<xsd:documentation xml:lang="en">
The amount of currency which becomes payable if and when a trigger event occurs.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element maxOccurs="unbounded" minOccurs="0" name="premium" type="FxOptionPremium">
<xsd:annotation>
<xsd:documentation xml:lang="en">
Premium amount or premium installment amount for an option.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
</xsd:sequence>
</xsd:extension>
</xsd:complexContent>
</xsd:complexType>
<xsd:complexType name="FxEuropeanExercise">
<xsd:annotation>
<xsd:documentation xml:lang="en">
Describes the characteristics for European exercise of FX products.
</xsd:documentation>
</xsd:annotation>
<xsd:complexContent>
<xsd:extension base="Exercise">
<xsd:sequence>
<xsd:element name="expiryDate" type="xsd:date">
<xsd:annotation>
<xsd:documentation xml:lang="en">
Represents a standard expiry date as defined for an FX OTC option.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element minOccurs="0" name="expiryTime" type="BusinessCenterTime">
<xsd:annotation>
<xsd:documentation xml:lang="en">
Time at which the option expires on the expiry date, at the specified business center. This component represents the formal definition of option expiry time.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element minOccurs="0" name="cutName" type="CutName">
<xsd:annotation>
<xsd:documentation xml:lang="en">
A code by which the expiry time is known in the market. This element is available to supplement the formal definition of expiry time, and must not be used in absence of the expiryTime element.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element minOccurs="0" name="valueDate" type="xsd:date">
<xsd:annotation>
<xsd:documentation xml:lang="en">
The date on which both currencies traded will settle.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
</xsd:sequence>
</xsd:extension>
</xsd:complexContent>
</xsd:complexType>
<xsd:complexType name="FxFixingScheduleSimple">
<xsd:annotation>
<xsd:documentation xml:lang="en">
Describes the FX fixing schedule, a single continuous observation period which follows the applicable business day schedule for the quoted rate source.
</xsd:documentation>
</xsd:annotation>
<xsd:sequence>
<xsd:choice>
<xsd:sequence>
<xsd:choice>
<xsd:annotation>
<xsd:documentation xml:lang="en">
A choice of both startDate and endDate or endDate. A parametric schedule of rate observations that describes a single continuous observation period.
</xsd:documentation>
</xsd:annotation>
<xsd:sequence>
<xsd:element name="startDate" type="xsd:date">
<xsd:annotation>
<xsd:documentation xml:lang="en">
The start of the period over which observations are made to determine whether a trigger has occurred.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="endDate" type="xsd:date">
<xsd:annotation>
<xsd:documentation xml:lang="en">
The end of the period over which observations are made to determine whether a trigger event has occurred.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
</xsd:sequence>
<xsd:element name="endDate" type="xsd:date">
<xsd:annotation>
<xsd:documentation xml:lang="en">
The end of the period over which observations are made to determine whether a trigger event has occurred.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
</xsd:choice>
<xsd:element minOccurs="0" name="tenorPeriod" type="Period"/>
</xsd:sequence>
<xsd:element name="tenorPeriod" type="Period"/>
</xsd:choice>
<xsd:element minOccurs="0" name="dayType" type="DayTypeEnum">
<xsd:annotation>
<xsd:documentation xml:lang="en">
Specifies whether the schedule follows the business or calendar days.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:group minOccurs="0" ref="BusinessCentersOrReference.model">
<xsd:annotation>
<xsd:documentation xml:lang="en">
Rate Source business days modeled as Business Centers or Reference.
</xsd:documentation>
</xsd:annotation>
</xsd:group>
<xsd:element maxOccurs="unbounded" minOccurs="0" name="fixingDate" type="xsd:date">
<xsd:annotation>
<xsd:documentation xml:lang="en">
An explicit list of dates in the schedule. For documentation purpose only.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
</xsd:sequence>
</xsd:complexType>
<xsd:complexType name="FxFlexibleForward">
<xsd:annotation>
<xsd:documentation xml:lang="en">
Product model for a flexible-term fx forward (also known as callable forward, window forward). This is a term forward transaction over a specific period, allowing the client full flexibility on the timing of the transactional flow(s). The product allows for (full or partial) execution at a predetermined forward rate, at any time between the start date and the expiry date. Although, the product is an outright, it has some option-like characteristics, leading to the use of option components in the model: (i) the BuyerSeller model expresses the roles of the parties in the overall transaction - the client "buys" the product (ii) the PutCallCurrency model expresses the buyer's perspective on the exchanged currencies i.e. the client may buy (call) or sell (put) the notional currency for the alternative currency.
</xsd:documentation>
</xsd:annotation>
<xsd:complexContent>
<xsd:extension base="Product">
<xsd:sequence>
<xsd:group ref="BuyerSeller.model"/>
<xsd:group ref="PutCallCurrency.model">
<xsd:annotation>
<xsd:documentation xml:lang="en">
A model defining the currencies exchanged by the parties to an option.
</xsd:documentation>
</xsd:annotation>
</xsd:group>
<xsd:sequence>
<xsd:element name="notionalAmount" type="NonNegativeMoney">
<xsd:annotation>
<xsd:documentation xml:lang="en">
The aggregate notional amount which will be exchanged, possibly as multiple partial executions, during the course of the execution period. Any residual notional which remains unexchanged at the expiry date will automatically be executed at the applicable exchange rate (strike).
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element minOccurs="0" name="minimumExecutionAmount" type="PositiveMoney">
<xsd:annotation>
<xsd:documentation xml:lang="en">
The minimum notional amount which must be executed in any single transaction.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element minOccurs="0" name="settlementAmount" type="NonNegativeMoney">
<xsd:annotation>
<xsd:documentation xml:lang="en">
The total amount of settlement currency that will be paid over the life of the trade if calculable. The Settlement Amount element is a synonym for Contra Amount.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
</xsd:sequence>
<xsd:annotation>
<xsd:documentation xml:lang="en">
The period during which the client has the right to execute a transaction, on any business day defined by reference to the specified business centers, subject to the constraints of the minimum execution amount and aggregate total notional amount. * Period dates are inclusive i.e. the expiry date is the final date on which execution may occur.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:sequence minOccurs="0">
<xsd:element name="earliestExecutionTime" type="BusinessCenterTime">
<xsd:annotation>
<xsd:documentation xml:lang="en">
The earliest time of day at the specified business center, at which the client may execute a transaction.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="latestExecutionTime" type="BusinessCenterTime">
<xsd:annotation>
<xsd:documentation xml:lang="en">
The latest time of day at the specified business center, at which the client may execute a transaction.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
</xsd:sequence>
<xsd:element minOccurs="0" name="settlementDateOffset" type="RelativeDateOffset">
<xsd:annotation>
<xsd:documentation xml:lang="en">
The date on which delivery of the transacted currency amounts will occur, expressed as an offset from the execution date. * This property is optional in the schema, allowing it to be omitted by systems which do not support it; however this information would be expected in contractual documentation (e.g. termsheet, confirmation).
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element minOccurs="0" name="finalSettlementDate" type="xsd:date">
<xsd:annotation>
<xsd:documentation xml:lang="en">
The final date for settlement. This is the date on which any residual exchange amount will be delivered. * This is an adjusted date i.e. a good business day for delivery in the location(s) specified in executionPeriodDates /businessCenters
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="forwardRate" type="FxFlexibleForwardRate">
<xsd:annotation>
<xsd:documentation xml:lang="en">
Definition of the forward exchange rate for transactions executed during the execution period.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element minOccurs="0" name="additionalPayment" type="Payment">
<xsd:annotation>
<xsd:documentation xml:lang="en">
Fee paid by the client at inception (analagous to an option premium).
</xsd:documentation>
</xsd:annotation>
</xsd:element>
</xsd:sequence>
</xsd:extension>
</xsd:complexContent>
</xsd:complexType>
<xsd:complexType name="FxFlexibleForwardExecutionPeriod">
<xsd:sequence>
<xsd:choice>
<xsd:element name="tenorPeriod" type="Period">
<xsd:annotation>
<xsd:documentation xml:lang="en">
The execution period represented as a tenor (time to expiration) starting from the spot date (e.g. 1M, 3M, 1Y,...)
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:sequence>
<xsd:element minOccurs="0" name="startDate" type="xsd:date">
<xsd:annotation>
<xsd:documentation xml:lang="en">Start date of the execution period/window.</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="expiryDate" type="xsd:date">
<xsd:annotation>
<xsd:documentation xml:lang="en">Expiry (maturity) date of the execution period.</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element minOccurs="0" name="tenorPeriod" type="Period">
<xsd:annotation>
<xsd:documentation xml:lang="en">
The execution period represented as a tenor (time to expiration) starting from the spot date (e.g. 1M, 3M, 1Y,...)
</xsd:documentation>
</xsd:annotation>
</xsd:element>
</xsd:sequence>
</xsd:choice>
<xsd:element minOccurs="0" name="businessCenters" type="BusinessCenters">
<xsd:annotation>
<xsd:documentation xml:lang="en">
Business centers for determination of execution period business days.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
</xsd:sequence>
<xsd:attribute name="id" type="xsd:ID" use="required"/>
</xsd:complexType>
<xsd:complexType name="FxFlexibleForwardRate">
<xsd:complexContent>
<xsd:extension base="QuotedCurrencyPair">
<xsd:sequence>
<xsd:element minOccurs="0" name="rate" type="PositiveDecimal">
<xsd:annotation>
<xsd:documentation xml:lang="en">
Constant rate value, applicable for the duration of the execution period.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element minOccurs="0" name="spotRate" type="PositiveDecimal">
<xsd:annotation>
<xsd:documentation xml:lang="en">
The spot exchange rate for the specified currency pair as per the specified quote basis, as at the trade date.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
</xsd:sequence>
</xsd:extension>
</xsd:complexContent>
</xsd:complexType>
<xsd:complexType name="FxForwardVolatilityAgreement">
<xsd:annotation>
<xsd:documentation xml:lang="en">
Describes a contract on future levels of implied volatility. The main characteristic of this product is that the underlying is a straddle (underlying options) with a specific tenor starting from the fixing (effective or pricing) date, and are priced on that fixing date using a level of volatility that is agreed at the time of execution of the volatility agreement.
</xsd:documentation>
</xsd:annotation>
<xsd:complexContent>
<xsd:extension base="Product">
<xsd:sequence>
<xsd:group ref="BuyerSeller.model">
<xsd:annotation>
<xsd:documentation xml:lang="en">
A buyer buys the straddle: (i) pays the Premium for the straddle and (ii) has the right to exercise the underlying options.
</xsd:documentation>
</xsd:annotation>
</xsd:group>
<xsd:element name="quotedCurrencyPair" type="QuotedCurrencyPair">
<xsd:annotation>
<xsd:documentation xml:lang="en">A currency Pair the straddle is based on.</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:choice>
<xsd:element name="fixingDate" type="xsd:date">
<xsd:annotation>
<xsd:documentation xml:lang="en">
The date when the underlying options are priced using the agreed forwardVolatilityStrikePrice and other market factors as agreed by the parties. Also known as "Effective Date" or "Reference Date".
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:sequence>
<xsd:element name="tenorPeriod" type="Period">
<xsd:annotation>
<xsd:documentation xml:lang="en">
The date when the underlying options are priced using the agreed forwardVolatilityStrikePrice and other market factors as agreed by the parties. Also known as "Effective Date" or "Reference Date". This is expressed as a tenor from the trade date (1D, 1M, 1Y, etc.).
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element minOccurs="0" name="fixingDate" type="xsd:date">
<xsd:annotation>
<xsd:documentation xml:lang="en">
The date when the underlying options are priced using the agreed forwardVolatilityStrikePrice and other market factors as agreed by the parties. Also known as "Effective Date" or "Reference Date".
</xsd:documentation>
</xsd:annotation>
</xsd:element>
</xsd:sequence>
</xsd:choice>
<xsd:element minOccurs="0" name="fixingTime" type="BusinessCenterTime">
<xsd:annotation>
<xsd:documentation xml:lang="en">
The time of the fixing date when the underlying options are priced using the agreed forwardVolatilityStrikePrice and other market factors as agreed by the parties.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element minOccurs="0" name="forwardVolatilityStrikePrice" type="PositiveDecimal">
<xsd:annotation>
<xsd:documentation xml:lang="en">the Volatility level as agreed on the Trade Date.</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="straddle" type="FxStraddle">
<xsd:annotation>
<xsd:documentation xml:lang="en">details of the straddle (underlying options).</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element maxOccurs="unbounded" minOccurs="0" name="additionalPayment" type="Payment">
<xsd:annotation>
<xsd:documentation xml:lang="en">
The currency, amount and payment details for the Forward Volatility Agreement, as agreed at the time of execution.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
</xsd:sequence>
</xsd:extension>
</xsd:complexContent>
</xsd:complexType>
<xsd:complexType name="FxMultipleExercise">
<xsd:annotation>
<xsd:documentation xml:lang="en">
Describes the limits on the size of notional when multiple exercise is allowed.
</xsd:documentation>
</xsd:annotation>
<xsd:sequence>
<xsd:element minOccurs="0" name="minimumNotionalAmount" type="NonNegativeMoney">
<xsd:annotation>
<xsd:documentation xml:lang="en">
The minimum amount of notional that can be exercised.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element minOccurs="0" name="maximumNotionalAmount" type="NonNegativeMoney">
<xsd:annotation>
<xsd:documentation xml:lang="en">
The maximum amount of notiional that can be exercised.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
</xsd:sequence>
</xsd:complexType>
<xsd:complexType name="FxOption">
<xsd:annotation>
<xsd:documentation xml:lang="en">
Describes an FX option with optional asian and barrier features.
</xsd:documentation>
</xsd:annotation>
<xsd:complexContent>
<xsd:extension base="Option">
<xsd:sequence>
<xsd:element minOccurs="0" name="effectiveDate" type="AdjustableOrRelativeDate">
<xsd:annotation>
<xsd:documentation xml:lang="en">
Effective date for a forward starting derivative. If this element is not present, the effective date is the trade date.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element minOccurs="0" name="tenorPeriod" type="Period">
<xsd:annotation>
<xsd:documentation xml:lang="en">
A tenor expressed as a period type and multiplier (e.g. 1D, 1Y, etc.)
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:sequence>
<xsd:annotation>
<xsd:documentation xml:lang="en">Defines the parameters for option exercise.</xsd:documentation>
</xsd:annotation>
<xsd:choice>
<xsd:element name="americanExercise" type="FxAmericanExercise">
<xsd:annotation>
<xsd:documentation xml:lang="en">
The parameters for defining the exercise period for an American style option.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="europeanExercise" type="FxEuropeanExercise">
<xsd:annotation>
<xsd:documentation xml:lang="en">
The parameters for defining the exercise period for an European style option.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
</xsd:choice>
<xsd:element minOccurs="0" name="exerciseProcedure" type="ExerciseProcedure">
<xsd:annotation>
<xsd:documentation xml:lang="en">
A set of parameters defining procedures associated with the exercise.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
</xsd:sequence>
<xsd:sequence>
<xsd:annotation>
<xsd:documentation xml:lang="en">Defines the underlying FX transaction.</xsd:documentation>
</xsd:annotation>
<xsd:element name="putCurrencyAmount" type="NonNegativeMoney">
<xsd:annotation>
<xsd:documentation xml:lang="en">
The currency amount that the option gives the right to sell.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="callCurrencyAmount" type="NonNegativeMoney">
<xsd:annotation>
<xsd:documentation xml:lang="en">
The currency amount that the option gives the right to buy.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
</xsd:sequence>
<xsd:element minOccurs="0" name="soldAs" type="PutCallEnum">
<xsd:annotation>
<xsd:documentation xml:lang="en">
Indicates how the product was original sold as a Put or a Call.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:sequence>
<xsd:element name="strike" type="FxStrikePrice">
<xsd:annotation>
<xsd:documentation xml:lang="en">Defines the option strike price.</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element minOccurs="0" name="spotRate" type="PositiveDecimal">
<xsd:annotation>
<xsd:documentation xml:lang="en">
An optional element used for FX forwards and certain types of FX OTC options. For deals consumated in the FX Forwards Market, this represents the current market rate for a particular currency pair. For barrier and digital/binary options, it can be useful to include the spot rate at the time the option was executed to make it easier to know whether the option needs to move "up" or "down" to be triggered.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
</xsd:sequence>
<xsd:element minOccurs="0" name="features" type="FxOptionFeatures">
<xsd:annotation>
<xsd:documentation xml:lang="en">Describes additional features within the option.</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element maxOccurs="unbounded" name="premium" type="FxOptionPremium">
<xsd:annotation>
<xsd:documentation xml:lang="en">
Premium amount or premium installment amount for an option.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element minOccurs="0" name="cashSettlement" type="FxCashSettlement">
<xsd:annotation>
<xsd:documentation xml:lang="en">
Specifies the currency and fixing details for cash settlement. This optional element is produced only where it has been specified at execution time that the option wlll be settled into a single cash payment - for example, in the case of a non-deliverable option (although note that an Fx option may be contractually cash settled, without necessarily being non-deliverable).
</xsd:documentation>
</xsd:annotation>
</xsd:element>
</xsd:sequence>
</xsd:extension>
</xsd:complexContent>
</xsd:complexType>
<xsd:complexType name="FxOptionFeatures">
<xsd:annotation>
<xsd:documentation xml:lang="en">
A type describing the features that may be present in an FX option.
</xsd:documentation>
</xsd:annotation>
<xsd:choice>
<xsd:sequence>
<xsd:element name="asian" type="FxAsianFeature"/>
<xsd:element maxOccurs="unbounded" minOccurs="0" name="barrier" type="FxBarrierFeature"/>
</xsd:sequence>
<xsd:element maxOccurs="unbounded" name="barrier" type="FxBarrierFeature"/>
</xsd:choice>
</xsd:complexType>
<xsd:complexType name="FxOptionPayout">
<xsd:annotation>
<xsd:documentation xml:lang="en">
A type that contains full details of a predefined fixed payout which may occur (or not) in a Barrier Option or Digital Option when a trigger event occurs (or not).
</xsd:documentation>
</xsd:annotation>
<xsd:complexContent>
<xsd:extension base="NonNegativeMoney">
<xsd:sequence>
<xsd:element name="payoutStyle" type="PayoutEnum">
<xsd:annotation>
<xsd:documentation xml:lang="en">
The trigger event and payout may be asynchonous. A payout may become due on the trigger event, or the payout may (by agreeement at initiation) be deferred (for example) to the maturity date.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element minOccurs="0" name="settlementInformation" type="SettlementInformation">
<xsd:annotation>
<xsd:documentation xml:lang="en">
The information required to settle a currency payment that results from a trade.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
</xsd:sequence>
</xsd:extension>
</xsd:complexContent>
</xsd:complexType>
<xsd:complexType name="FxOptionPremium">
<xsd:annotation>
<xsd:documentation xml:lang="en">
A type that specifies the premium exchanged for a single option trade or option strategy.
</xsd:documentation>
</xsd:annotation>
<xsd:complexContent>
<xsd:extension base="NonNegativePayment">
<xsd:sequence>
<xsd:element minOccurs="0" name="settlementInformation" type="SettlementInformation">
<xsd:annotation>
<xsd:documentation xml:lang="en">
The information required to settle a currency payment that results from a trade.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element minOccurs="0" name="quote" type="PremiumQuote">
<xsd:annotation>
<xsd:documentation xml:lang="en">
This is the option premium as quoted. It is expected to be consistent with the premiumAmount and is for information only.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
</xsd:sequence>
</xsd:extension>
</xsd:complexContent>
</xsd:complexType>
<xsd:complexType name="FxPerformanceFixedLeg">
<xsd:annotation>
<xsd:documentation xml:lang="en">
FX Performance Fixed Leg describes Fixed FX Rate Payer and Fixed Rate.
</xsd:documentation>
</xsd:annotation>
<xsd:complexContent>
<xsd:extension base="FxPerformanceLeg">
<xsd:sequence>
<xsd:element minOccurs="0" name="fixedRate" type="PositiveDecimal">
<xsd:annotation>
<xsd:documentation xml:lang="en">
Fixed Rate means a rate, expressed as a decimal, equal to the per annum rate specified as such in the Confirmation for the Non-Deliverable Swap FX Transaction or that party (i.e., a per annum rate of 15.10% as specified in a Confirmation shall be expressed as 0.1510 for calculation purposes).
</xsd:documentation>
</xsd:annotation>
</xsd:element>
</xsd:sequence>
</xsd:extension>
</xsd:complexContent>
</xsd:complexType>
<xsd:complexType name="FxPerformanceFloatingLeg">
<xsd:annotation>
<xsd:documentation xml:lang="en">
Fx Performance Floating Leg describes Floating FX Rate Payer.
</xsd:documentation>
</xsd:annotation>
<xsd:complexContent>
<xsd:extension base="FxPerformanceLeg"/>
</xsd:complexContent>
</xsd:complexType>
<xsd:complexType abstract="true" name="FxPerformanceLeg">
<xsd:annotation>
<xsd:documentation xml:lang="en">
Floating FX Rate describes Fixed FX Rate Payer and Fixed Rate
</xsd:documentation>
</xsd:annotation>
<xsd:sequence>
<xsd:group ref="Payer.model">
<xsd:annotation>
<xsd:documentation xml:lang="en">
A pointer style reference to a servicingParty or accountBeneficiary identifier defined elsewhere in the document. Floating FX Rate Payer means in respect of an Non-Deliverable Swap FX Transaction, the party specified as such in the related Confirmation.
</xsd:documentation>
</xsd:annotation>
</xsd:group>
<xsd:group minOccurs="0" ref="Receiver.model">
<xsd:annotation>
<xsd:documentation xml:lang="en">
A pointer style reference to a servicingParty or accountBeneficiary identifier defined elsewhere in the document. Floating FX Rate Receiver means in respect of an Non-Deliverable Swap FX Transaction, the party specified as such in the related Confirmation.
</xsd:documentation>
</xsd:annotation>
</xsd:group>
</xsd:sequence>
</xsd:complexType>
<xsd:complexType name="FxPerformanceSwap">
<xsd:annotation>
<xsd:documentation xml:lang="en">Describes an FX volatility and variance swap.</xsd:documentation>
</xsd:annotation>
<xsd:complexContent>
<xsd:extension base="Product">
<xsd:sequence>
<xsd:element name="quotedCurrencyPair" type="QuotedCurrencyPair">
<xsd:annotation>
<xsd:documentation xml:lang="en">
A Currency Pair with regards to this transaction and the quoting convention.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element minOccurs="0" name="vegaNotional" type="NonNegativeMoney">
<xsd:annotation>
<xsd:documentation xml:lang="en">
Vega Notional means the currency and amount specified as such in the related Confirmation.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element minOccurs="0" name="notional" type="NonNegativeMoney">
<xsd:annotation>
<xsd:documentation xml:lang="en">
Notional Amount means, in the case of Transaction Type Variance Swap, the currency and amount specified as such in the related Confirmation or an amount calculated in accordance with the following: Notional Amount = Vega Notional Amount / (0.02 x Fixed FX Rate). This element must be produced in case of Variance Swap transaction.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="fixedLeg" type="FxPerformanceFixedLeg">
<xsd:annotation>
<xsd:documentation xml:lang="en">
Fixed FX Rate component describes the Fixed FX Rate and Fixed FX Rate Payer as such in the Confirmation for the Non-Deliverable Swap FX Transaction.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="floatingLeg" type="FxPerformanceFloatingLeg">
<xsd:annotation>
<xsd:documentation xml:lang="en">
Floating FX Rate component describes the Floating FX Rate Payer of the rate determined in accordance with the Floating FX Rate Option specified in the Definitions.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element minOccurs="0" name="fixingInformationSource" type="FxSpotRateSource">
<xsd:annotation>
<xsd:documentation xml:lang="en">
Fixing Information source parameters to determine the rate observed for each good business day within the Fixing Schedule.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="fixingSchedule" type="FxFixingScheduleSimple">
<xsd:annotation>
<xsd:documentation xml:lang="en">Parametric schedule of rate observation dates.</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:choice minOccurs="0">
<xsd:annotation>
<xsd:documentation xml:lang="en">
Valuation Date is the rate calculation date. Unless otherwise specified in the related Confirmation, the Valuation Date will be, in respect of a Non-Deliverable Swap FX Transaction, the Final Observation Date. The valuation date can be: [date] [Final Observation Date][The first Business Day following the Final Observation Date].
</xsd:documentation>
</xsd:annotation>
<xsd:element name="valuationDate" type="xsd:date">
<xsd:annotation>
<xsd:documentation xml:lang="en">
Final Observation Date when Settlement Amount and Settlement Amount Payer determination date.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="valuationDateOffset" type="FxValuationDateOffset">
<xsd:annotation>
<xsd:documentation xml:lang="en">
Valuation date offset relative to the Final Observation Date and can be: [Final Observation Date][The first Business Day following the Final Observation Date].
</xsd:documentation>
</xsd:annotation>
</xsd:element>
</xsd:choice>
<xsd:element minOccurs="0" name="settlementDate" type="AdjustableOrAdjustedDate">
<xsd:annotation>
<xsd:documentation xml:lang="en">
The date on which the Settlement Amount will be settled.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element minOccurs="0" name="annualizationFactor" type="xsd:decimal">
<xsd:annotation>
<xsd:documentation xml:lang="en">
This specifies the numerator of an annualization factor. Frequently this number is equal to the number of rate observations in a year e.g. Daily Observations: 252.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element minOccurs="0" name="meanAdjustment" type="xsd:boolean">
<xsd:annotation>
<xsd:documentation xml:lang="en">
Specifies whether "Mean Adjustment" is applicable or not in the calculation of the Realized Volatility.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element minOccurs="0" name="numberOfReturns" type="xsd:nonNegativeInteger">
<xsd:annotation>
<xsd:documentation xml:lang="en">
Number of Returns is the number of Observation Dates in the Observation Period, excluding the Initial Observation Date (where the Observation Rate on the Initial Observation Date shall equal S0).
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element maxOccurs="unbounded" minOccurs="0" name="additionalPayment" type="Payment">
<xsd:annotation>
<xsd:documentation xml:lang="en">
Additional Payment means, in respect of an FX Transaction, where such fee is required, and a Transaction Fee Payment Date, the amount, if any, that is specified or otherwise determined as provided in the related Confirmation and, subject to any applicable condition precedent, is payable by one party to the other as further specified or otherwise determined as provided in the related Confirmation on the Transaction Fee Payment Date or on each Transaction Fee Payment Date if more than one is specified, for value on such date.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element minOccurs="0" name="cashSettlement" type="FxCashSettlementSimple">
<xsd:annotation>
<xsd:documentation xml:lang="en">
Specifies the Settlement currency and fixing details for cash settlement. The FX Volatility and FX Variance Swaps are inherently cash settled, but into the notional currency. The optional cashSettlement block is provided for the case where the Settlement Currency differs from that of the Notional.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
</xsd:sequence>
</xsd:extension>
</xsd:complexContent>
</xsd:complexType>
<xsd:complexType name="FxSingleLeg">
<xsd:annotation>
<xsd:documentation xml:lang="en">
A type defining either a spot or forward FX transactions.
</xsd:documentation>
</xsd:annotation>
<xsd:complexContent>
<xsd:extension base="Product">
<xsd:sequence>
<xsd:group ref="FxCoreDetails.model"/>
</xsd:sequence>
</xsd:extension>
</xsd:complexContent>
</xsd:complexType>
<xsd:complexType name="FxStraddle">
<xsd:annotation>
<xsd:documentation xml:lang="en">
Straddle details. Straddle is composed of two options: a call and a put involving the quotedCurrencyPair.
</xsd:documentation>
</xsd:annotation>
<xsd:sequence>
<xsd:element name="straddleType" type="FxStraddleTypeEnum">
<xsd:annotation>
<xsd:documentation xml:lang="en">
The type Straddle as agreed on the Trade Date, e.g. at the money forward straddle, or delta neutral straddle.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element minOccurs="0" name="tenorPeriod" type="Period">
<xsd:annotation>
<xsd:documentation xml:lang="en">
A Tenor (time to maturity) of the straddle starting from the Fixing Date (e.g. 1y, 3m)
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:sequence>
<xsd:annotation>
<xsd:documentation xml:lang="en">Defines the parameters for straddle exercise.</xsd:documentation>
</xsd:annotation>
<xsd:element name="europeanExercise" type="FxEuropeanExercise">
<xsd:annotation>
<xsd:documentation xml:lang="en">
The parameters for exercising the FxStraddle (underlying options), the underlying options are always European style options.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element minOccurs="0" name="exerciseProcedure" type="ExerciseProcedure">
<xsd:annotation>
<xsd:documentation xml:lang="en">
A set of parameters defining procedures associated with the exercise.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
</xsd:sequence>
<xsd:sequence>
<xsd:annotation>
<xsd:documentation xml:lang="en">Defines the underlying FX transaction.</xsd:documentation>
</xsd:annotation>
<xsd:element name="notional" type="NonNegativeMoney">
<xsd:annotation>
<xsd:documentation xml:lang="en">
The currency amount for the FxStraddle. This will be the notional for the underlying options, which may be exercised by the Buyer.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="counterCurrency" type="Currency">
<xsd:annotation>
<xsd:documentation xml:lang="en">
The counter currency and amount for the FxStraddle. The Counter Currency Amount is determined using the notional and the Strike Price (which is determined at the fixingTime on the fixingDate).
</xsd:documentation>
</xsd:annotation>
</xsd:element>
</xsd:sequence>
<xsd:element maxOccurs="unbounded" minOccurs="0" name="premium" type="FxStraddlePremium">
<xsd:annotation>
<xsd:documentation xml:lang="en">
Defines the FX Straddle premium amount, payer and dates. This amount is also determined at the fixingTime on the fixingDate.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element fpml-annotation:deprecated="true" fpml-annotation:deprecatedReason="The settlement date is already expressed by europeanExercise/valueDate" minOccurs="0" name="settlementDate" type="AdjustableOrAdjustedDate">
<xsd:annotation>
<xsd:documentation xml:lang="en">
DEPRECATED. The settlement date is already expressed by europeanExercise/valueDate. The Settlement Date for the FxStraddle (if exercised at the expiryTime on the expiry Date).
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element minOccurs="0" name="cashSettlement" type="FxCashSettlementSimple">
<xsd:annotation>
<xsd:documentation xml:lang="en">
Specifies the settlement type for the FxStraddle. If deliverable then this element is removed. If non-deliverable, then the In-The-Money amount of the relevant option within the FxStraddle is paid by the Seller to the Buyer. The In-The-Money amount is calculated using the parameters within this element.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
</xsd:sequence>
</xsd:complexType>
<xsd:complexType name="FxStraddlePremium">
<xsd:annotation>
<xsd:documentation xml:lang="en">
The Currency and Amount to be paid by the Buyer to the Seller. The straddle premium is calculated on the Fixing Date using the Forward Volatility Agreement parameters.
</xsd:documentation>
</xsd:annotation>
<xsd:complexContent>
<xsd:extension base="PaymentBaseExtended">
<xsd:sequence>
<xsd:element name="paymentCurrency" type="IdentifiedCurrency">
<xsd:annotation>
<xsd:documentation xml:lang="en">The Premium Payment Currency.</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element minOccurs="0" name="settlementInformation" type="SettlementInformation">
<xsd:annotation>
<xsd:documentation xml:lang="en">
The Seller details for settling the FxStraddlePremium.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
</xsd:sequence>
</xsd:extension>
</xsd:complexContent>
</xsd:complexType>
<xsd:complexType name="FxStrikePrice">
<xsd:annotation>
<xsd:documentation xml:lang="en">
A type that describes the rate of exchange at which the option has been struck.
</xsd:documentation>
</xsd:annotation>
<xsd:sequence>
<xsd:element name="rate" type="PositiveDecimal">
<xsd:annotation>
<xsd:documentation xml:lang="en">
The rate of exchange between the two currencies of the leg of a deal.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="strikeQuoteBasis" type="StrikeQuoteBasisEnum">
<xsd:annotation>
<xsd:documentation xml:lang="en">The method by which the strike rate is quoted.</xsd:documentation>
</xsd:annotation>
</xsd:element>
</xsd:sequence>
</xsd:complexType>
<xsd:complexType name="FxSwap">
<xsd:annotation>
<xsd:documentation xml:lang="en">
A type defining either a spot/forward or forward/forward FX swap transaction.
</xsd:documentation>
</xsd:annotation>
<xsd:complexContent>
<xsd:extension base="Product">
<xsd:sequence>
<xsd:element minOccurs="0" name="nearLeg" type="FxSwapLeg">
<xsd:annotation>
<xsd:documentation xml:lang="en">The FX transaction with the earliest value date.</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element minOccurs="0" name="farLeg" type="FxSwapLeg">
<xsd:annotation>
<xsd:documentation xml:lang="en">The FX transaction with the latest value date.</xsd:documentation>
</xsd:annotation>
</xsd:element>
</xsd:sequence>
</xsd:extension>
</xsd:complexContent>
</xsd:complexType>
<xsd:complexType name="FxSwapLeg">
<xsd:complexContent>
<xsd:extension base="Leg">
<xsd:annotation>
<xsd:documentation xml:lang="en">
A type defining the details for one of the transactions in an FX swap.
</xsd:documentation>
</xsd:annotation>
<xsd:sequence>
<xsd:element maxOccurs="unbounded" minOccurs="0" name="tradeIdentifierReference" type="PartyTradeIdentifierReference">
<xsd:annotation>
<xsd:documentation xml:lang="en">
A reference to a party trade ID. This is provided in case the message creator wishes to record that the swap leg is assocatiated with a particular trade identifier; typically this is used for identifying a USI assocatied wih the leg.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:group ref="FxCoreDetails.model"/>
</xsd:sequence>
</xsd:extension>
</xsd:complexContent>
</xsd:complexType>
<xsd:complexType name="FxTouch">
<xsd:annotation>
<xsd:documentation xml:lang="en">
Describes an american or discrete touch or no-touch trigger applied to an FX binary or digital option.
</xsd:documentation>
</xsd:annotation>
<xsd:sequence>
<xsd:element name="touchCondition" type="TouchConditionEnum">
<xsd:annotation>
<xsd:documentation xml:lang="en">
This specifies whether the applied trigger is a touch or no touch type.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element minOccurs="0" name="direction" type="TriggerConditionEnum">
<xsd:annotation>
<xsd:documentation xml:lang="en">
This specifies whether the trigger direction is "AtOrAbove" or "AtOrBelow; that is, that a barrier event occurs if the spot rate is at or above the trigger rate, or at or below the trigger rate during the period of observation of an american trigger, or at the times of observation of a discrete trigger. DEPRECATE: Values "Above" and "Below" are deprecated.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="quotedCurrencyPair" type="QuotedCurrencyPair">
<xsd:annotation>
<xsd:documentation xml:lang="en">
Defines the two currencies for an FX trade and the quotation relationship between the two currencies.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="triggerRate" type="PositiveDecimal">
<xsd:annotation>
<xsd:documentation xml:lang="en">
The market rate is observed relative to the trigger rate, and if it is found to be on the predefined side of (above or below) the trigger rate, a barrier event is deemed to have occurred.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element minOccurs="0" name="spotRate" type="PositiveDecimal">
<xsd:annotation>
<xsd:documentation xml:lang="en">
An optional element used for FX forwards and certain types of FX OTC options. For deals consumated in the FX Forwards Market, this represents the current market rate for a particular currency pair. For barrier and digital/binary options, it can be useful to include the spot rate at the time the option was executed to make it easier to know whether the market rate needs to move "up" or "down" to trigger a barrier event.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element maxOccurs="unbounded" minOccurs="0" name="informationSource" type="InformationSource">
<xsd:annotation>
<xsd:documentation xml:lang="en">
The information source where a published or displayed market rate will be obtained, e.g. Telerate Page 3750.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:choice minOccurs="0">
<xsd:sequence>
<xsd:sequence>
<xsd:element name="observationStartDate" type="xsd:date">
<xsd:annotation>
<xsd:documentation xml:lang="en">
The date on which the observation period for an american trigger starts. If the start date is not present, then the date and time of the start of the period is deemed to be the date and time the transaction was entered into.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element minOccurs="0" name="observationStartTime" type="BusinessCenterTime">
<xsd:annotation>
<xsd:documentation xml:lang="en">
The time on the start date at which the observation period for an american trigger starts. If the time is not present and the start date is equivalent to the transaction date, the time is deemed to be the time the transaction was entered into. If the time is not present and the start date is other than the transaction date, then the time is deemed to be the same as the expiration time.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
</xsd:sequence>
<xsd:sequence minOccurs="0">
<xsd:element name="observationEndDate" type="xsd:date">
<xsd:annotation>
<xsd:documentation xml:lang="en">
The date on which the observation period for an american trigger ends. If the end date is not present, then the date and time of the end of the period is deemed to be the date and time of expiration.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element minOccurs="0" name="observationEndTime" type="BusinessCenterTime">
<xsd:annotation>
<xsd:documentation xml:lang="en">
The time on the end date at which the observation period for an american trigger ends. If the time is not present, then the time is deemed to be the same as the expiration time.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
</xsd:sequence>
</xsd:sequence>
<xsd:element maxOccurs="unbounded" minOccurs="0" name="observationPoint" type="FxBusinessCenterDateTime">
<xsd:annotation>
<xsd:documentation xml:lang="en">
The dates and times at which rate observations are made to determine whether a barrier event has occurred for a discrete trigger. If the time is not present then the time is deemed to be the same as the expiration time.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
</xsd:choice>
</xsd:sequence>
</xsd:complexType>
<xsd:complexType name="FxTrigger">
<xsd:annotation>
<xsd:documentation xml:lang="en">
Describes a european trigger applied to an FX digtal option.
</xsd:documentation>
</xsd:annotation>
<xsd:complexContent>
<xsd:extension base="FxTriggerBase">
<xsd:sequence>
<xsd:element maxOccurs="unbounded" minOccurs="0" name="informationSource" type="InformationSource">
<xsd:annotation>
<xsd:documentation xml:lang="en">
The information source where a published or displayed market rate will be obtained, e.g. Telerate Page 3750.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
</xsd:sequence>
</xsd:extension>
</xsd:complexContent>
</xsd:complexType>
<xsd:complexType name="FxTriggerBase">
<xsd:annotation>
<xsd:documentation xml:lang="en">
Describes a european trigger applied to an FX digtal option.
</xsd:documentation>
</xsd:annotation>
<xsd:sequence>
<xsd:element name="triggerCondition" type="TriggerConditionEnum">
<xsd:annotation>
<xsd:documentation xml:lang="en">
The condition that applies to a european trigger applied to an FX digital option. It determines where the rate at expiry date and time at must be relative to the triggerRate for the option to be exercisable. The allowed values are "AtOrAbove" and "AtOrBelow". DEPRECATE: Values "Above" and "Below" are deprecated.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="quotedCurrencyPair" type="QuotedCurrencyPair">
<xsd:annotation>
<xsd:documentation xml:lang="en">
Defines the two currencies for an FX trade and the quotation relationship between the two currencies.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="triggerRate" type="PositiveDecimal">
<xsd:annotation>
<xsd:documentation xml:lang="en">
The market rate is observed relative to the trigger rate, and if it is found to be on the predefined side of (above or below) the trigger rate, a barrier event is deemed to have occurred.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element minOccurs="0" name="spotRate" type="PositiveDecimal">
<xsd:annotation>
<xsd:documentation xml:lang="en">
An optional element used for FX forwards and certain types of FX OTC options. For deals consumated in the FX Forwards Market, this represents the current market rate for a particular currency pair. For barrier and digital/binary options, it can be useful to include the spot rate at the time the option was executed to make it easier to know whether the market rate needs to move "up" or "down" to trigger a barrier event.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
</xsd:sequence>
</xsd:complexType>
<xsd:complexType name="FxValuationDateOffset">
<xsd:annotation>
<xsd:documentation xml:lang="en">
Valuation date offset is used in FX Variance Swap and Volatility Swap to always relate the Final Observation Date and can be: [Final Observation Date][The first Business Day following the Final Observation Date]
</xsd:documentation>
</xsd:annotation>
<xsd:complexContent>
<xsd:extension base="Offset">
<xsd:sequence>
<xsd:group minOccurs="0" ref="BusinessCentersOrReference.model"/>
</xsd:sequence>
</xsd:extension>
</xsd:complexContent>
</xsd:complexType>
<xsd:complexType name="PremiumQuote">
<xsd:annotation>
<xsd:documentation xml:lang="en">
A type that describes the option premium as quoted.
</xsd:documentation>
</xsd:annotation>
<xsd:sequence>
<xsd:element name="value" type="xsd:decimal">
<xsd:annotation>
<xsd:documentation xml:lang="en">
The value of the premium quote. In general this will be either a percentage or an explicit amount.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="quoteBasis" type="PremiumQuoteBasisEnum">
<xsd:annotation>
<xsd:documentation xml:lang="en">
The method by which the option premium was quoted.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
</xsd:sequence>
</xsd:complexType>
<xsd:element name="fxDigitalOption" substitutionGroup="product" type="FxDigitalOption">
<xsd:annotation>
<xsd:documentation xml:lang="en">An FX digital option transaction definition.</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="fxFlexibleForward" substitutionGroup="product" type="FxFlexibleForward">
<xsd:annotation>
<xsd:documentation xml:lang="en">A flexible term fx forward product definition.</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="fxForwardVolatilityAgreement" substitutionGroup="product" type="FxForwardVolatilityAgreement">
<xsd:annotation>
<xsd:documentation xml:lang="en">
An FX Forward Volatility Agreement transaction definition.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="fxOption" substitutionGroup="product" type="FxOption">
<xsd:annotation>
<xsd:documentation xml:lang="en">An FX option transaction definition.</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="fxSingleLeg" substitutionGroup="product" type="FxSingleLeg">
<xsd:annotation>
<xsd:documentation xml:lang="en">
A simple FX spot or forward transaction definition.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="fxSwap" substitutionGroup="product" type="FxSwap">
<xsd:annotation>
<xsd:documentation xml:lang="en">An FX Swap transaction definition.</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="fxVarianceSwap" substitutionGroup="product" type="FxPerformanceSwap">
<xsd:annotation>
<xsd:documentation xml:lang="en">An FX variance swap transaction definition.</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="fxVolatilitySwap" substitutionGroup="product" type="FxPerformanceSwap">
<xsd:annotation>
<xsd:documentation xml:lang="en">An FX volatility swap transaction definition.</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:group name="FxCoreDetails.model">
<xsd:annotation>
<xsd:documentation xml:lang="en">
The elements common to FX spot, forward and swap legs.
</xsd:documentation>
</xsd:annotation>
<xsd:sequence>
<xsd:element name="exchangedCurrency1" type="Payment">
<xsd:annotation>
<xsd:documentation xml:lang="en">
This is the first of the two currency flows that define a single leg of a standard foreign exchange transaction.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="exchangedCurrency2" type="Payment">
<xsd:annotation>
<xsd:documentation xml:lang="en">
This is the second of the two currency flows that define a single leg of a standard foreign exchange transaction.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="valueDate" type="xsd:date">
<xsd:annotation>
<xsd:documentation xml:lang="en">
The date on which both currencies traded will settle.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element minOccurs="0" name="exchangeRate" type="ExchangeRate">
<xsd:annotation>
<xsd:documentation xml:lang="en">The rate of exchange between the two currencies.</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element minOccurs="0" name="nonDeliverableSettlement" type="FxCashSettlement">
<xsd:annotation>
<xsd:documentation xml:lang="en">
Used to describe a particular type of FX forward transaction that is settled in a single currency (for example, a non-deliverable forward).
</xsd:documentation>
</xsd:annotation>
</xsd:element>
</xsd:sequence>
</xsd:group>
<xsd:group name="FxRateObservation.model">
<xsd:annotation>
<xsd:documentation xml:lang="en">The elements common to FX rate observation.</xsd:documentation>
</xsd:annotation>
<xsd:sequence>
<xsd:element maxOccurs="unbounded" name="rateObservation" type="FxAverageRateObservation">
<xsd:annotation>
<xsd:documentation xml:lang="en">One or more specific rate observation dates.</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element minOccurs="0" name="rateObservationQuoteBasis" type="StrikeQuoteBasisEnum">
<xsd:annotation>
<xsd:documentation xml:lang="en">
The method by which observed rate values are quoted, in terms of the option put/call currencies. In the absence of this element, rate observations are assumed to be quoted as per the option strikeQuoteBasis.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
</xsd:sequence>
</xsd:group>
<xsd:group name="PutCallCurrency.model">
<xsd:sequence>
<xsd:element name="putCurrency" type="Currency">
<xsd:annotation>
<xsd:documentation xml:lang="en">
The currency which: - the option buyer will pay (sell) - the option writer will receive (buy)
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="callCurrency" type="Currency">
<xsd:annotation>
<xsd:documentation xml:lang="en">
The currency which: - the option buyer will receive (buy) - the option writer will pay (sell)
</xsd:documentation>
</xsd:annotation>
</xsd:element>
</xsd:sequence>
</xsd:group>
</xsd:schema>
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.