XML Schema "fpml-fx-5-13.xsd"
Target Namespace:
http://www.fpml.org/FpML-5/transparency
Version:
$Revision: 14153 $
Defined Components:
elements (8 global + 89 local), complexTypes (25), simpleTypes (1), element groups (3)
Default Namespace-Qualified Form:
Local Elements: qualified; Local Attributes: unqualified
Schema Location:
c:\init\trunk\xml\transparency\fpml-fx-5-13.xsd; see XML source
Includes Schemas (1):
fpml-option-shared-5-13.xsd [src]
Included in Schemas (3):
fpml-fx-targets-5-13.xsd [src], fpml-generic-5-13.xsd [src], 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, 2 attributes, 3 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, 2 attributes, 3 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, 2 attributes, 3 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, 3 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, 3 elements
Defined:
locally within FxOption 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
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 (in fxOption)
Specifies the currency and fixing details for cash settlement.
Type:
FxCashSettlement
Content:
complex, 4 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
crossRate (defined in ExchangeRate complexType)
An optional element that allow for definition of the currency exchange rates used to cross between the traded currencies for non-base currency FX contracts.
Type:
CrossRate
Content:
complex, 6 elements
Defined:
locally within ExchangeRate complexType; see XML source
currency1ValueDate
The date on which the currency1 amount will be settled.
Type:
xsd:date
Content:
simple
Defined:
locally within FxCoreDetails.model group; see XML source
currency2ValueDate
The date on which the currency2 amount will be settled.
Type:
xsd:date
Content:
simple
Defined:
locally within FxCoreDetails.model group; see XML source
dealtCurrency
Indicates which currency was dealt.
Type:
DealtCurrencyEnum
Content:
simple
Defined:
locally within FxCoreDetails.model group; 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
europeanExercise (in fxDigitalOption)
The parameters for defining the exercise period for an European style option.
Type:
FxEuropeanExercise
Content:
complex, 1 attribute, 3 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, 3 elements
Defined:
locally within FxOption complexType; see XML source
exchangedCurrency1 (defined in FxCoreDetails.model group)
This is the first of the two currency flows that define a single leg of a standard foreign exchange transaction.
Type:
Payment
Content:
complex, 2 attributes, 3 elements
Defined:
locally within FxCoreDetails.model group; see XML source
exchangedCurrency2 (defined in FxCoreDetails.model group)
This is the second of the two currency flows that define a single leg of a standard foreign exchange transaction.
Type:
Payment
Content:
complex, 2 attributes, 3 elements
Defined:
locally within FxCoreDetails.model group; see XML source
exchangeRate (defined in FxCoreDetails.model group)
The rate of exchange between the two currencies.
Type:
ExchangeRate
Content:
complex, 6 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, 3 elements
Defined:
locally within FxFlexibleForward 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 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, 11 elements
Defined:
locally within FxSwap complexType; see XML source
finalSettlementDate (in fxFlexibleForward)
The final date for settlement.
Type:
xsd:date
Content:
simple
Defined:
locally within FxFlexibleForward complexType; see XML source
fixedLeg (defined in FxPerformanceSwap complexType)
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, 2 elements
Defined:
locally within FxPerformanceSwap complexType; see XML source
fixedRate (in fixedLeg defined in FxPerformanceSwap complexType)
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
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
forwardPoints (defined in CrossRate complexType)
An optional element used for deals consumated in the FX Forwards market.
Type:
xsd:decimal
Content:
simple
Defined:
locally within CrossRate complexType; see XML source
forwardPoints (defined in ExchangeRate complexType)
An optional element used for deals consumated in the FX Forwards market.
Type:
xsd:decimal
Content:
simple
Defined:
locally within ExchangeRate 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, 15 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, 19 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, 10 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, 18 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, 15 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, 7 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, 11 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, 11 elements
Subst.Gr:
substitutes for product
Defined:
globally; see XML source
Used:
never
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
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
nearLeg
The FX transaction with the earliest value date.
Type:
FxSwapLeg
Content:
complex, 1 attribute, 11 elements
Defined:
locally within FxSwap complexType; see XML source
nonDeliverableSettlement
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, 4 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
payout
The amount of currency which becomes payable if and when a trigger event occurs.
Type:
FxOptionPayout
Content:
complex, 1 attribute, 3 elements
Defined:
locally within FxDigitalOption 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
pointValue (defined in ExchangeRate complexType)
An optional element that documents the size of point (pip) in which a rate was quoted (or in this case, forwardPoints are calculated).
Type:
PointValue
Content:
simple
Defined:
locally within ExchangeRate complexType; see XML source
premium (in fxDigitalOption)
Premium amount or premium installment amount for an option.
Type:
FxOptionPremium
Content:
complex, 1 attribute, 2 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, 2 elements
Defined:
locally within FxOption 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 ExchangeRate 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 ExchangeRate 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 (defined in FxTriggerBase 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 FxTriggerBase 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
rate (defined in CrossRate complexType)
The exchange rate used to cross between the traded currencies.
Type:
PositiveDecimal
Content:
simple
Defined:
locally within CrossRate complexType; see XML source
rate (defined in ExchangeRate complexType)
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 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
settlementAmount (in fxFlexibleForward)
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
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, 3 elements
Defined:
locally within FxFlexibleForward 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 (defined in CrossRate complexType)
An optional element used for FX forwards and certain types of FX OTC options.
Type:
PositiveDecimal
Content:
simple
Defined:
locally within CrossRate complexType; see XML source
spotRate (defined in ExchangeRate complexType)
An element used for FX forwards and certain types of FX OTC options.
Type:
PositiveDecimal
Content:
simple
Defined:
locally within ExchangeRate 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
startDate (in executionPeriodDates)
Start date of the execution period/window.
Type:
xsd:date
Content:
simple
Defined:
locally within FxFlexibleForwardExecutionPeriod complexType; see XML source
straddle
details of the straddle (underlying options).
Type:
FxStraddle
Content:
complex, 3 elements
Defined:
locally within FxForwardVolatilityAgreement 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 (in strike in fxOption)
The method by which the strike rate is quoted.
Type:
StrikeQuoteBasisEnum
Content:
simple
Defined:
locally within FxStrikePrice complexType; see XML source
tenorName
A tenor expressed with a standard business term (i.e.
Type:
FxTenorPeriodEnum
Content:
simple
Defined:
locally within FxTenor.model group; see XML source
tenorPeriod (defined in FxTenor.model group)
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 FxTenor.model group; 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 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
touch
Defines one or more conditions underwhich the option will payout if exercisable.
Type:
FxTouch
Content:
complex, 2 elements
Defined:
locally within FxDigitalOption complexType; see XML source
tradeIdentifierReference
A reference to a party trade ID.
Type:
PartyTradeIdentifierReference
Content:
empty, 1 attribute
Defined:
locally within FxSwapLeg complexType; see XML source
trigger (in fxDigitalOption)
Defines one or more conditions underwhich the option will payout if exercisable.
Type:
FxTrigger
Content:
complex, 2 elements
Defined:
locally within FxDigitalOption complexType; see XML source
triggerRate (defined in FxTriggerBase 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 barrier event is deemed to have occurred.
Type:
PositiveDecimal
Content:
simple
Defined:
locally within FxTriggerBase 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
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
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
CrossRate
A type that is used for including the currency exchange rates used to cross between the traded currencies for non-base currency FX contracts.
Content:
complex, 6 elements
Defined:
globally; see XML source
Includes:
definitions of 3 elements
Used:
at 2 locations
ExchangeRate
A type that is used for describing the exchange rate for a particular transaction.
Content:
complex, 6 elements
Defined:
globally; see XML source
Includes:
definitions of 6 elements
Used:
at 2 locations
FxAmericanExercise
Describes the characteristics for american exercise of FX products.
Content:
complex, 1 attribute, 3 elements
Defined:
globally; see XML source
Used:
at 1 location
FxDigitalAmericanExercise
Descrines the characteristics for American exercise in FX digital options.
Content:
complex, 1 attribute, 3 elements
Defined:
globally; see XML source
Includes:
definitions of 3 elements
Used:
at 2 locations
FxDigitalOption
Describes an option having a triggerable fixed payout.
Content:
complex, 1 attribute, 15 elements
Defined:
globally; see XML source
Includes:
definitions of 8 elements
Used:
at 1 location
FxEuropeanExercise
Describes the characteristics for European exercise of FX products.
Content:
complex, 1 attribute, 3 elements
Defined:
globally; see XML source
Includes:
definitions of 3 elements
Used:
at 2 locations
FxFlexibleForward
Product model for a flexible-term fx forward (also known as callable forward, window forward).
Content:
complex, 1 attribute, 19 elements
Defined:
globally; see XML source
Includes:
definitions of 10 elements
Used:
at 1 location
FxFlexibleForwardExecutionPeriod
Content:
complex, 1 attribute, 3 elements
Defined:
globally; see XML source
Includes:
definitions of 1 attribute, 3 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, 10 elements
Defined:
globally; see XML source
Includes:
definitions of 5 elements
Used:
at 1 location
FxOption
Describes an FX option with optional asian and barrier features.
Content:
complex, 1 attribute, 18 elements
Defined:
globally; see XML source
Includes:
definitions of 11 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, 3 elements
Defined:
globally; see XML source
Includes:
definition of 1 element
Used:
at 1 location
FxOptionPremium
A type that specifies the premium exchanged for a single option trade or option strategy.
Content:
complex, 1 attribute, 2 elements
Defined:
globally; see XML source
Includes:
definition of 1 element
Used:
at 5 locations
FxPerformanceFixedLeg
FX Performance Fixed Leg describes Fixed FX Rate Payer and Fixed Rate.
Content:
complex, 2 elements
Defined:
globally; see XML source
Includes:
definition of 1 element
Used:
at 1 location
FxPerformanceLeg
Floating FX Rate describes Fixed FX Rate Payer and Fixed Rate
Content:
complex, 1 element
Abstract:
(cannot be assigned directly to elements used in instance XML documents)
Defined:
globally; see XML source
Used:
at 1 location
FxPerformanceSwap
Describes an FX volatility and variance swap.
Content:
complex, 1 attribute, 11 elements
Defined:
globally; see XML source
Includes:
definitions of 6 elements
Used:
at 2 locations
FxSingleLeg
A type defining either a spot or forward FX transactions.
Content:
complex, 1 attribute, 15 elements
Defined:
globally; see XML source
Used:
at 1 location
FxStraddle
Straddle details.
Content:
complex, 3 elements
Defined:
globally; see XML source
Includes:
definitions of 3 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, 7 elements
Defined:
globally; see XML source
Includes:
definitions of 2 elements
Used:
at 1 location
FxSwapLeg
Content:
complex, 1 attribute, 11 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, 2 elements
Defined:
globally; see XML source
Includes:
definitions of 2 elements
Used:
at 1 location
FxTrigger
Describes a european trigger applied to an FX digtal option.
Content:
complex, 2 elements
Defined:
globally; see XML source
Used:
at 1 location
FxTriggerBase
Describes a european trigger applied to an FX digtal option.
Content:
complex, 2 elements
Defined:
globally; see XML source
Includes:
definitions of 2 elements
Used:
at 2 locations
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
Simple Type Summary
PointValue
Constrains the forward point tick/pip factor to 1, 0.1, 0.01, 0.001, etc.
Defined:
globally; see XML source
Used:
at 2 locations
Element Group Summary
FxCoreDetails.model
The elements common to FX spot, forward and swap legs.
Content:
10 elements
Defined:
globally; see XML source
Includes:
definitions of 8 elements
Used:
at 2 locations
FxTenor.model
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 2 locations
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="trnsp" ecore:package="org.fpml.transparency" elementFormDefault="qualified" targetNamespace="http://www.fpml.org/FpML-5/transparency" version="$Revision: 14153 $" xmlns="http://www.fpml.org/FpML-5/transparency" 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:simpleType name="PointValue">
<xsd:annotation>
<xsd:documentation xml:lang="en">
Constrains the forward point tick/pip factor to 1, 0.1, 0.01, 0.001, etc.
</xsd:documentation>
</xsd:annotation>
<xsd:restriction base="xsd:decimal">
<xsd:pattern value="1"/>
<xsd:pattern value="0.0*1"/>
</xsd:restriction>
</xsd:simpleType>
<xsd:complexType name="CrossRate">
<xsd:annotation>
<xsd:documentation xml:lang="en">
A type that is used for including the currency exchange rates used to cross between the traded currencies for non-base currency FX contracts.
</xsd:documentation>
</xsd:annotation>
<xsd:complexContent>
<xsd:extension base="QuotedCurrencyPair">
<xsd:sequence>
<xsd:element minOccurs="0" name="rate" type="PositiveDecimal">
<xsd:annotation>
<xsd:documentation xml:lang="en">
The exchange rate used to cross between the traded currencies.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:sequence minOccurs="0">
<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.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element minOccurs="0" name="forwardPoints" type="xsd:decimal">
<xsd:annotation>
<xsd:documentation xml:lang="en">
An optional element used for deals consumated in the FX Forwards market. Forward points represent the interest rate differential between the two currencies traded and are quoted as a preminum or a discount. Forward points are added to, or subtracted from, the spot rate to create the rate of the forward trade.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
</xsd:sequence>
</xsd:sequence>
</xsd:extension>
</xsd:complexContent>
</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 minOccurs="0" 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="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 minOccurs="0">
<xsd:element minOccurs="0" name="spotRate" type="PositiveDecimal">
<xsd:annotation>
<xsd:documentation xml:lang="en">
An 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 minOccurs="0">
<xsd:element minOccurs="0" name="forwardPoints" type="xsd:decimal">
<xsd:annotation>
<xsd:documentation xml:lang="en">
An optional element used for deals consumated in the FX Forwards market. Forward points represent the interest rate differential between the two currencies traded and are quoted as a preminum or a discount. Forward points are added to, or subtracted from, the spot rate to create the rate of the forward trade.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element minOccurs="0" name="pointValue" type="PointValue">
<xsd:annotation>
<xsd:documentation xml:lang="en">
An optional element that documents the size of point (pip) in which a rate was quoted (or in this case, forwardPoints are calculated). Point (pip) size varies by currency pair: major currencies are all traded in points of 0.0001, with the exception of JPY which has a point size of 0.01.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
</xsd:sequence>
</xsd:sequence>
<xsd:element maxOccurs="unbounded" minOccurs="0" name="crossRate" type="CrossRate">
<xsd:annotation>
<xsd:documentation xml:lang="en">
An optional element that allow for definition of the currency exchange rates used to cross between the traded currencies for non-base currency FX contracts.
</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:complexContent>
</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 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="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: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" 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="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="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 minOccurs="0" 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:element minOccurs="0" name="executionPeriodDates" type="FxFlexibleForwardExecutionPeriod">
<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 minOccurs="0" 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 minOccurs="0" 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 minOccurs="0" 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:sequence minOccurs="0">
<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 minOccurs="0" 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:sequence>
<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:element minOccurs="0" 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: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: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="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 minOccurs="0">
<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: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 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="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 minOccurs="0" 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: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="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 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 minOccurs="0" 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 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="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 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: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: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 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="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 minOccurs="0" 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 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 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 minOccurs="0" 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="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: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: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 minOccurs="0" 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="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:sequence>
</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 minOccurs="0" 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 minOccurs="0" 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 minOccurs="0" name="dealtCurrency" type="DealtCurrencyEnum">
<xsd:annotation>
<xsd:documentation xml:lang="en">Indicates which currency was dealt.</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:group minOccurs="0" ref="FxTenor.model"/>
<xsd:choice>
<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:sequence>
<xsd:element name="currency1ValueDate" type="xsd:date">
<xsd:annotation>
<xsd:documentation xml:lang="en">
The date on which the currency1 amount will be settled. To be used in a split value date scenario.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="currency2ValueDate" type="xsd:date">
<xsd:annotation>
<xsd:documentation xml:lang="en">
The date on which the currency2 amount will be settled. To be used in a split value date scenario.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
</xsd:sequence>
</xsd:choice>
<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="FxTenor.model">
<xsd:choice>
<xsd:element name="tenorName" type="FxTenorPeriodEnum">
<xsd:annotation>
<xsd:documentation xml:lang="en">
A tenor expressed with a standard business term (i.e. Spot, TomorrowNext, etc.)
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element 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:choice>
</xsd:group>
<xsd:group name="PutCallCurrency.model">
<xsd:sequence>
<xsd:element minOccurs="0" 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 minOccurs="0" 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.