Specifies additional payment(s) between the principal parties to the netted swap.

Specifies the amount of the fee along with, when applicable, the formula that supports its determination.

Specifies the value date of the fee payment/receipt.

Date from which early termination clause can be exercised.

A date that shall be subject to adjustment if it would otherwise fall on a day that is not a business day in the specified business centers, together with the convention for adjusting the date.

Specifies, in relation to each Payment Date, the amount to which the Payment Date relates.

Reference to an amount defined elsewhere in the document.

Bounded Correlation.

Conditions which bound variance.

Specifies the date on which a calculation or an observation will be performed for the purpose of calculating the amount.

Specifies the date on which a calculation or an observation will be performed for the purpose of defining the Equity Amount, and in accordance to the definition terms of this latter.

A pointer style reference to the associated calculation period dates component defined elsewhere in the document.

If true, then cash settlement is applicable.

DEPRECATED.

Defines compounding rates on the Interest Leg.

Defines the compounding dates.

If more that one calculation period contributes to a single payment amount this element specifies whether compounding is applicable, and if so, what compounding method is to be used.

Defines a compounding rate.

Defines the spread to be used for compounding.

Correlation Strike Price.

The currency in which an amount is denominated.

The currency in which an amount is denominated.

Reference to a currency defined elsewhere in the document

Date adjustments for all unadjusted dates in this dividend period.

Reference to a date defined elswhere in the document.

The day count fraction.

The contract specifies whether the notional should be scaled by the Number of Days in Range divided by the Expected N.

Declared Cash Dividend Percentage.

Declared Cash Equivalent Dividend Percentage.

Specifies the method according to which an amount or a date is determined.

Specifies the method according to which an amount or a date is determined.

Specifies the method according to which an amount or a date is determined.

Specifies, for one or for both the parties to the trade, the date from which it can early terminate it.

Specifies the effective date of the return swap.

References a Contract on the Exchange.

Specification of the exchange traded contract nearest.

Expected number of trading days.

DEPRECATED.

Specifies the fixing date relative to the reset date in terms of a business days offset, or by providing a series of adjustable dates.

Specifies a formula, with its description and components.

The official settlement price as announced by the related exchange is applicable, in accordance with the ISDA 2002 definitions.

Contract will strike off this initial level.

In this context, this is AgreedInitialPrice - a specified Initial Index Level.

Specifies whether the Initial Index Level determination method should be the Closing Price Level, the Expiring Contract Level, VWAPPrice, TWAPPrice, NAV or Open Price.

Specifies the initial reference price of the underlyer.

Specifies, in relation to each Interest Payment Date, the amount to which the Interest Payment Date relates.

Specifies the calculation method of the interest rate leg of the equity swap.

The fixed income amounts of the return type swap.

Component that holds the various dates used to specify the interest leg of the equity swap.

Specifies the payment dates of the interest leg of the swap.

Reference to the floating rate calculation of interest calculation node on the Interest Leg.

Specifies the reset dates of the interest leg of the swap.

Specifies the type of interpolation used.

Defines applicable periods for interpolation.

All observations below this price level will be excluded from the variance calculation.

Maximum Boundary as a percentage of the Strike Price.

Minimum Boundary as a percentage of the Strike Price.

Used for specifying whether the Mutual Early Termination Right that is detailed in the Master Confirmation will apply.

Specifies the notional of a return type swap.

Specifies the notional of a return type swap.

Specifies the conditions that govern the adjustment to the number of units of the return swap.

The notional amount.

Notional amount, which is a cash multiplier.

For return swaps, this element is equivalent to the term "Equity Notional Reset" as defined in the ISDA 2002 Equity Derivatives Definitions.

Number of data series, normal market practice is that correlation data sets are drawn from geographic market areas, such as America, Europe and Asia Pacific, each of these geographic areas will have its own data series to avoid contagion.

The start of the period over which observations are made which are used in the calculation Used when the observation start date differs from the trade date such as for forward starting swaps.

A Boolean element used for specifying whether the Optional Early Termination clause detailed in the agreement will apply.

Optional Early Termination Date

Optional Early Termination Electing Party Reference

Reference to a party defined elsewhere in this document which may be allowed to terminate the trade.

The currency amount of the payment.

The currency amount of the payment.

The payment date.

Specifies the final payment date of the swap.

Specifies the payment dates of the swap.

Specifies the interim payment dates of the swap.

Classification of the payment.

The amount of premium to be paid expressed as a percentage of the notional value of the transaction.

Forward start Premium type

The amount of premium to be paid expressed as a function of the number of options.

Principal exchange amount when explictly stated.

Specifies the principal echange amount, either by explicitly defining it, or by point to an amount defined somewhere else in the swap document.

Date on which each of the principal exchanges will take place.

Specifies each of the characteristics of the principal exchange cashflows, in terms of paying/receiving counterparties, amounts and dates.

This is used to document a Fully Funded Return Swap.

The true/false flags indicating whether initial, intermediate or final exchanges of principal should occur.

Specifies the terms of the initial price of the return type swap and of the subsequent valuations of the underlyer.

The contract specifies whether which price must satisfy the boundary condition.

Specifies the reference Amount when this term either corresponds to the standard ISDA Definition (either the 2002 Equity Definition for the Equity Amount, or the 2000 Definition for the Interest Amount), or points to a term defined elsewhere in the swap document.

A date specified in relation to some other date defined in the document (the anchor date), where there is the opportunity to specify a combination of offset rules.

A reference to the return swap notional determination method defined elsewhere in this document.

A reference to the return swap notional amount defined elsewhere in this document.

The frequency at which reset dates occur.

Specifies whether the reset dates are determined with respect to each adjusted calculation period start date or adjusted calculation period end date.

Specifies the conditions under which dividend affecting the underlyer will be paid to the receiver of the amounts.

Return amounts of the return type swap.

Specifies the structure of a return type swap.

An placeholder for the actual Return Swap Leg definition.

Defines the type of return associated with the return swap.

Defines a specific rate.

Specifies the date from which the early termination clause can be exercised.

Specifies the strike date of this leg of the swap, used for forward starting swaps.

The price or level at which the option has been struck.

Specifies whether or not the premium is to be paid in the style of payments under an interest rate swap contract.

Specifies the termination date of the return swap.

Unadjusted inclusive dividend period end date.

Unadjusted inclusive dividend period start date.

For use when varianceCap is applicable.

Specifies the underlyer of the leg.

Specifies the underlying component of the leg, which can be either one or many and consists in either equity, index or convertible bond component, or a combination of these.

Reference to the underlyer which is paying dividends.

All observations above this price level will be excluded from the variance calculation.

Valuation of the underlyer.

The term "Valuation Date" is assumed to have the meaning as defined in the ISDA 2002 Equity Derivatives Definitions.

Specifies the interim equity valuation dates of a swap.

Specifies the final valuation price of the underlyer.

Specifies the final valuation price of the underlyer.

Specifies valuation.

The specific time of day at which the calculation agent values the underlying.

The time of day at which the calculation agent values the underlying, for example the official closing time of the exchange.

Variance amount, which is a cash multiplier.

If present and true, then variance cap is applicable.

Vega Notional represents the approximate gain/loss at maturity for a 1% difference between RVol (realised vol) and KVol (strike vol).

Specifies the amount of the fee along with, when applicable, the formula that supports its determination.

A type describing a date defined as subject to adjustment or defined in reference to another date through one or several date offsets.

A type describing correlation bounds, which form a cap and a floor on the realized correlation.

A type describing variance bounds, which are used to exclude money price values outside of the specified range In a Up Conditional Swap Underlyer price must be equal to or higher than Lower Barrier In a Down Conditional Swap Underlyer price must be equal to or lower than Upper Barrier In a Corridor Conditional Swap Underlyer price must be equal to or higher than Lower Barrier and must be equal to or lower than Upper Barrier.

An abstract base class for all calculated money amounts, which are in the currency of the cash multiplier of the calculation.

Abstract base class for all calculation from observed values.

Specifies the compounding method and the compounding rate.

A type defining a compounding rate.

A type describing the correlation amount of a correlation swap.

An abstract base class for all directional leg types with effective date, termination date, and underlyer where a payer makes a stream of payments of greater than zero value to a receiver.

An abstract base class for all directional leg types with effective date, termination date, and underlyer, where a payer makes a stream of payments of greater than zero value to a receiver.

Abstract base class of all time bounded dividend period types.

A type used to describe the amount paid for an equity option.

A type for defining the strike price for an equity option.

A type for defining how and when an equity option is to be valued.

Reference to a floating rate calculation of interest calculation component.

Specifies the calculation method of the interest rate leg of the return swap.

A type describing the fixed income leg of the equity swap.

Component that holds the various dates used to specify the interest leg of the return swap.

Reference to the calculation period dates of the interest leg.

A type describing the amount that will paid or received on each of the payment dates.

An abstract base class for all swap types which have a single netted leg, such as Variance Swaps, and Correlation Swaps.

Specifies the principal exchange amount, either by explicitly defining it, or by point to an amount defined somewhere else in the swap document.

Specifies each of the characteristics of the principal exchange cashflows, in terms of paying/receiving counterparties, amounts and dates.

A type describing the principal exchange features of the return swap.

A type describing the dividend return conditions applicable to the swap.

A type describing the return leg of a return type swap.

A type describing the initial and final valuation of the underlyer.

A type describing return swaps including return swaps (long form), total return swaps, and variance swaps.

A type describing the additional payment(s) between the principal parties to the trade.

Specifies, in relation to each Payment Date, the amount to which the Payment Date relates.

A type describing the components that are common for return type swaps, including short and long form return swaps representations.

A type describing the date from which each of the party may be allowed to terminate the trade.

A base class for all return leg types with an underlyer.

Specifies the notional of return type swap.

A type describing the return payment dates of the swap.

A type specifying the date from which the early termination clause can be exercised.

A type describing the variance amount of a variance swap.

A group containing return swap amount currency definition methods