complexType "FxAccrualForward"
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Content: |
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XML Representation Summary |
<... |
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> |
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Content: |
( primaryAssetClass?, secondaryAssetClass*, productType*, productId*, embeddedOptionType[0..2])?, notionalAmount, accrual, ( expiryDate | expirySchedule), linearPayoffRegion+, additionalPayment*, cashSettlement? |
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</...> |
Content Model Elements (12):
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All Direct / Indirect Based Elements (1):
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Annotation
The product defines a schedule of expiry and delivery dates which specify settlement periods. The product further defines a schedule of fixing (or observation) dates and defines regions of spot where the product settlement amounts will accrue. There are n total fixings. One accumulates a fixed proportion of Notional (1/n) for every observation date that spot fixes within the pre-defined limits of the accrual regions. If spot breaks the limits, the Notional stops accumulating during the fixings outside the limits, but continues accruing once spot comes back to the accruing region. At expiry, one buys the accrued Notional at the pre-agreed hedge rate. Payout can be cash or physical. The variation of this product include: Accrual Forward (European and American), Double Accrual Forward (DAF), Boosted Accrual Forward, Fading Forward, Leveraged Accrual Forward, Accrual Forward with Collars, etc.
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Type Derivation Tree
 FxAccrualForward
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XML Source (w/o annotations (7); see within schema source)
<xsd:complexContent>
<xsd:extension base="Product">
<xsd:sequence>
</xsd:sequence>
</xsd:extension>
</xsd:complexContent>
</xsd:complexType>
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Content Element Detail (all declarations; defined within this component only; 5/12)
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Describes accrual features within the product.
XML Source (w/o annotations (1); see within schema source)
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It supports the representation of premiums, fees, etc.
XML Source (w/o annotations (1); see within schema source)
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Cash settlement currency.
XML Source (w/o annotations (1); see within schema source)
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A region in which linear payoff applies i.e. the payoff bears a linear relationship to the fixing value (increases/decreases linearly with the fixing).
XML Source (w/o annotations (1); see within schema source)
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Notional amount Schedule. The notional value of the product per settlement period. The notional amount may differ for each settlement period. This number divided by the total number of fixings in the settlement period is the amount that is accrued at each fixing if the accrual factor is one.
XML Source (w/o annotations (1); see within schema source)
