XML Schema "fpml-ird-5-13.xsd"
Target Namespace:
http://www.fpml.org/FpML-5/transparency
Version:
$Revision: 14877 $
Defined Components:
elements (8 global + 77 local), complexTypes (24), element groups (3)
Default Namespace-Qualified Form:
Local Elements: qualified; Local Attributes: unqualified
Schema Location:
c:\init\trunk\xml\transparency\fpml-ird-5-13.xsd; see XML source
Includes Schemas (1):
fpml-asset-5-13.xsd [src]
Included in Schemas (1):
fpml-main-5-13.xsd [src]
All Element Summary
additionalPayment (defined in Swap complexType)
Additional payments between the principal parties.
Type:
Payment
Content:
complex, 2 attributes, 3 elements
Defined:
locally within Swap complexType; see XML source
additionalPayment (in capFloor)
Additional payments between the principal parties.
Type:
Payment
Content:
complex, 2 attributes, 3 elements
Defined:
locally within CapFloor complexType; see XML source
additionalPayment (in fra)
Additional payments between the principal parties (i.e. the parties referenced as the FRA buyer and seller).
Type:
Payment
Content:
complex, 2 attributes, 3 elements
Defined:
locally within Fra complexType; see XML source
adjustedEffectiveDate
The start date of the calculation period.
Type:
RequiredIdentifierDate
Content:
simple, 1 attribute
Defined:
locally within Fra complexType; see XML source
adjustedExerciseDate
The date on which option exercise takes place.
Type:
xsd:date
Content:
simple
Defined:
locally within ExtensionEvent complexType; see XML source
adjustedExtendedTerminationDate
The termination date if an extendible provision is exercised.
Type:
xsd:date
Content:
simple
Defined:
locally within ExtensionEvent complexType; see XML source
adjustedTerminationDate
The end date of the calculation period.
Type:
xsd:date
Content:
simple
Defined:
locally within Fra complexType; see XML source
calculation (in calculationPeriodAmount)
The parameters used in the calculation of fixed or floaring rate calculation period amounts.
Type:
Calculation
Content:
complex, 5 elements
Defined:
locally within CalculationPeriodAmount complexType; see XML source
calculationMethod (in inflationRate)
Indicates how to use the inflation index to calculate the payment (e.g.
Type:
InflationCalculationMethodEnum
Content:
simple
Defined:
locally within inflationRate element; see XML source
calculationMethod (in inflationRateCalculation)
Indicates how to use the inflation index to calculate the payment (e.g.
Type:
InflationCalculationMethodEnum
Content:
simple
Defined:
locally within InflationRateCalculation complexType; see XML source
calculationPeriodAmount
The calculation period amount parameters.
Type:
CalculationPeriodAmount
Content:
complex, 2 elements
Defined:
locally within InterestRateStream complexType; see XML source
calculationPeriodDates
The calculation periods dates schedule.
Type:
CalculationPeriodDates
Content:
complex, 1 attribute, 2 elements
Defined:
locally within InterestRateStream complexType; see XML source
calculationStyle (in inflationRate)
Indicates the style of how the inflation index calculates the payment (e.g.
Type:
InflationCalculationStyleEnum
Content:
simple
Defined:
locally within inflationRate element; see XML source
calculationStyle (in inflationRateCalculation)
Indicates the style of how the inflation index calculates the payment (e.g.
Type:
InflationCalculationStyleEnum
Content:
simple
Defined:
locally within InflationRateCalculation complexType; see XML source
cancelableProvision
A provision that allows the specification of an embedded option within a swap giving the buyer of the option the right to terminate the swap, in whole or in part, on the early termination date.
Type:
CancelableProvision
Content:
complex, 2 elements
Defined:
locally within Swap complexType; see XML source
capFloor
A cap, floor or cap floor structures product definition.
Type:
CapFloor
Content:
complex, 1 attribute, 9 elements
Subst.Gr:
substitutes for product
Defined:
globally; see XML source
Used:
never
capFloorStream
Reference to the leg, where date adjustments may apply.
Type:
InterestRateStream
Content:
complex, 1 attribute, 7 elements
Defined:
locally within CapFloor complexType; see XML source
dayCountFraction (in calculation in calculationPeriodAmount)
The day count fraction.
Type:
DayCountFraction
Content:
simple, 1 attribute
Defined:
locally within Calculation complexType; see XML source
dayCountFraction (in fra)
The day count fraction.
Type:
DayCountFraction
Content:
simple, 1 attribute
Defined:
locally within Fra complexType; see XML source
earliestExerciseDateTenor
The time interval to the first (and possibly only) exercise date in the exercise period.
Type:
Period
Content:
complex, 1 attribute, 2 elements
Defined:
locally within ExercisePeriod complexType; see XML source
earlyTerminationProvision (defined in Swap complexType)
Parameters specifying provisions relating to the optional and mandatory early terminarion of a swap transaction.
Type:
EarlyTerminationProvision
Content:
complex, 1 attribute, 6 elements
Defined:
locally within Swap complexType; see XML source
earlyTerminationProvision (in capFloor)
Parameters specifying provisions relating to the optional and mandatory early terminarion of a CapFloor transaction.
Type:
EarlyTerminationProvision
Content:
complex, 1 attribute, 6 elements
Defined:
locally within CapFloor complexType; see XML source
earlyTerminationProvision (in swaption)
Parameters specifying provisions relating to the optional and mandatory early terminarion of a swap transaction.
Type:
EarlyTerminationProvision
Content:
complex, 1 attribute, 6 elements
Defined:
locally within Swaption complexType; see XML source
effectiveDate (in calculationPeriodDates)
The first day of the term of the trade.
Type:
AdjustableDate
Content:
complex, 1 attribute, 1 element
Defined:
locally within CalculationPeriodDates complexType; see XML source
exerciseFrequency (in optionalEarlyTerminationParameters)
The frequency of subsequent exercise dates in the exercise period following the earliest exercise date.
Type:
Period
Content:
complex, 1 attribute, 2 elements
Defined:
locally within ExercisePeriod complexType; see XML source
exerciseNotice
Definition of the party to whom notice of exercise should be given.
Type:
ExerciseNotice
Content:
complex, 3 elements
Defined:
locally within ExtendibleProvision complexType; see XML source
extendibleProvision
A provision that allows the specification of an embedded option with a swap giving the buyer of the option the right to extend the swap, in whole or in part, to the extended termination date.
Type:
ExtendibleProvision
Content:
complex, 4 elements
Defined:
locally within Swap complexType; see XML source
extendibleProvisionAdjustedDates
The adjusted dates associated with an extendible provision.
Type:
ExtendibleProvisionAdjustedDates
Content:
complex, 1 element
Defined:
locally within ExtendibleProvision complexType; see XML source
extensionEvent
The adjusted dates associated with a single extendible exercise date.
Type:
ExtensionEvent
Content:
complex, 1 attribute, 2 elements
Defined:
locally within ExtendibleProvisionAdjustedDates complexType; see XML source
fallbackBondApplicable
The applicability of a fallback bond as defined in the 2006 ISDA Inflation Derivatives Definitions, sections 1.3 and 1.8.
Type:
xsd:boolean
Content:
simple
Defined:
locally within inflationRate element; see XML source
finalPrincipalExchangeCalculation (in inflationRate)
To be specified only for inflation products that embed a redemption payment, e.g. inflation linked asset swap.
Type:
FinalPrincipalExchangeCalculation
Content:
complex, 1 element
Defined:
locally within inflationRate element; see XML source
finalPrincipalExchangeCalculation (in inflationRateCalculation)
To be specified only for inflation products that embed a redemption payment, e.g. inflation linked asset swap.
Type:
FinalPrincipalExchangeCalculation
Content:
complex, 1 element
Defined:
locally within InflationRateCalculation complexType; see XML source
fixedRate (in fra)
The calculation period fixed rate.
Type:
IdentifiedRate
Content:
simple, 1 attribute
Defined:
locally within Fra complexType; see XML source
fixedRateSchedule
The fixed rate or fixed rate schedule expressed as explicit fixed rates and dates.
Type:
Schedule
Content:
complex, 1 attribute, 1 element
Defined:
locally within Calculation complexType; see XML source
floatingRateCalculation
A floating rate calculation definition.
Type:
FloatingRateCalculation
Content:
complex, 1 attribute, 8 elements
Subst.Gr:
substitutes for rateCalculation
Defined:
globally; see XML source
Used:
never
floatingRateIndex (in fra)
Type:
FloatingRateIndex
Content:
simple, 1 attribute
Defined:
locally within Fra complexType; see XML source
floored
If TRUE, Principal Exchange takes the form: Inflation Notional Amount * Max(1, Index Final/ Index Base).
Type:
xsd:boolean
Content:
simple
Defined:
locally within FinalPrincipalExchangeCalculation complexType; see XML source
followUpConfirmation
A flag to indicate whether follow-up confirmation of exercise (written or electronic) is required following telephonic notice by the buyer to the seller or seller's agent.
Type:
xsd:boolean
Content:
simple
Defined:
locally within ExtendibleProvision complexType; see XML source
fra
A forward rate agreement product definition.
Type:
Fra
Content:
complex, 1 attribute, 14 elements
Subst.Gr:
substitutes for product
Defined:
globally; see XML source
Used:
never
fraDiscounting
Specifies whether discounting applies and, if so, what type.
Type:
FraDiscountingEnum
Content:
simple
Defined:
locally within Fra complexType; see XML source
fxLinkedNotionalSchedule
A notional amount schedule where each notional that applied to a calculation period is calculated with reference to a notional amount or notional amount schedule in a different currency by means of a spot currency exchange rate which is normally observed at the beginning of each period.
Type:
FxLinkedNotionalSchedule
Content:
complex, 2 elements
Defined:
locally within Calculation complexType; see XML source
indexSource (in inflationRate)
The reference source such as Reuters or Bloomberg.
Type:
RateSourcePage
Content:
simple, 1 attribute
Defined:
locally within inflationRate element; see XML source
indexSource (in inflationRateCalculation)
The reference source such as Reuters or Bloomberg.
Type:
RateSourcePage
Content:
simple, 1 attribute
Defined:
locally within InflationRateCalculation complexType; see XML source
indexTenor (in fra)
The ISDA Designated Maturity, i.e. the tenor of the floating rate.
Type:
Period
Content:
complex, 1 attribute, 2 elements
Defined:
locally within Fra complexType; see XML source
inflationLag (in inflationRate)
an offsetting period from the payment date which determines the reference period for which the inflation index is onserved.
Type:
Offset
Content:
complex, 1 attribute, 2 elements
Defined:
locally within inflationRate element; see XML source
inflationLag (in inflationRateCalculation)
an offsetting period from the payment date which determines the reference period for which the inflation index is onserved.
Type:
Offset
Content:
complex, 1 attribute, 2 elements
Defined:
locally within InflationRateCalculation complexType; see XML source
inflationRate
Type:
anonymous complexType
Content:
complex, 9 elements
Defined:
locally within ReturnInflation.model group; see XML source
Includes:
definitions of 9 elements
inflationRateCalculation
An inflation rate calculation definition.
Type:
InflationRateCalculation
Content:
complex, 1 attribute, 11 elements
Subst.Gr:
substitutes for rateCalculation
Defined:
globally; see XML source
Used:
never
inflationRateIndex
Type:
FloatingRateIndex
Content:
simple, 1 attribute
Defined:
locally within inflationRate element; see XML source
initialFee
An initial fee for the cancelable option.
Type:
SimplePayment
Content:
complex, 1 attribute, 2 elements
Defined:
locally within CancelableProvision complexType; see XML source
initialIndexLevel
initial known index level for the first calculation period.
Type:
xsd:decimal
Content:
simple
Defined:
locally within inflationRate element; see XML source
initialPrice (in returnCalculation)
Type:
ActualPrice
Content:
complex, 1 attribute, 3 elements
Defined:
locally within ReturnInflation.model group; see XML source
initialValue (in fxLinkedNotionalSchedule)
The initial currency amount for the varying notional.
Type:
xsd:decimal
Content:
simple
Defined:
locally within FxLinkedNotionalSchedule complexType; see XML source
interpolationMethod (in inflationRate)
The method used when calculating the Inflation Index Level from multiple points - the most common is Linear.
Type:
InterpolationMethod
Content:
simple, 1 attribute
Defined:
locally within inflationRate element; see XML source
knownAmountSchedule
The known calculation period amount or a known amount schedule expressed as explicit known amounts and dates.
Type:
AmountSchedule
Content:
complex, 1 attribute, 2 elements
Defined:
locally within CalculationPeriodAmount complexType; see XML source
mandatoryEarlyTermination (defined in MandatoryEarlyTermination.model group)
A mandatory early termination provision to terminate the swap at fair value.
Type:
MandatoryEarlyTermination
Content:
empty, 1 attribute
Defined:
locally within MandatoryEarlyTermination.model group; see XML source
mandatoryEarlyTermination (defined in MandatoryEarlyTermination.model group)
A mandatory early termination provision to terminate the swap at fair value.
Type:
MandatoryEarlyTermination
Content:
empty, 1 attribute
Defined:
locally within MandatoryEarlyTermination.model group; see XML source
mandatoryEarlyTerminationDateTenor
Period after trade date of the mandatory early termination date.
Type:
Period
Content:
complex, 1 attribute, 2 elements
Defined:
locally within MandatoryEarlyTermination.model group; see XML source
notional (in fra)
The notional amount.
Type:
Money
Content:
complex, 1 attribute, 2 elements
Defined:
locally within Fra complexType; see XML source
notionalSchedule
The notional amount or notional amount schedule.
Type:
Notional
Content:
complex, 1 attribute, 1 element
Defined:
locally within Calculation complexType; see XML source
notionalStepSchedule
The notional amount or notional amount schedule expressed as explicit outstanding notional amounts and dates.
Type:
NonNegativeAmountSchedule
Content:
complex, 1 attribute, 3 elements
Defined:
locally within Notional complexType; see XML source
optionalEarlyTermination (defined in OptionalEarlyTermination.model group)
An option for either or both parties to terminate the swap at fair value.
Type:
OptionalEarlyTermination
Content:
empty
Defined:
locally within OptionalEarlyTermination.model group; see XML source
optionalEarlyTermination (defined in OptionalEarlyTermination.model group)
An option for either or both parties to terminate the swap at fair value.
Type:
OptionalEarlyTermination
Content:
empty
Defined:
locally within OptionalEarlyTermination.model group; see XML source
optionalEarlyTerminationParameters
Definition of the first early termination date and the frequency of the termination dates subsequent to that.
Type:
ExercisePeriod
Content:
complex, 1 attribute, 2 elements
Defined:
locally within OptionalEarlyTermination.model group; see XML source
optionType (in swaption)
The type of option transaction.
Type:
SwaptionTypeEnum
Content:
simple
Defined:
locally within Swaption complexType; see XML source
paymentDates (defined in InterestRateStream complexType)
The payment dates schedule.
Type:
PaymentDates
Content:
complex, 1 attribute, 1 element
Defined:
locally within InterestRateStream complexType; see XML source
paymentFrequency (in paymentDates defined in InterestRateStream complexType)
The frequency at which regular payment dates occur.
Type:
Frequency
Content:
complex, 1 attribute, 2 elements
Defined:
locally within PaymentDates complexType; see XML source
premium (in capFloor)
The option premium amount payable by buyer to seller on the specified payment date.
Type:
Payment
Content:
complex, 2 attributes, 3 elements
Defined:
locally within CapFloor complexType; see XML source
premium (in swaption)
The option premium amount payable by buyer to seller on the specified payment date.
Type:
Payment
Content:
complex, 2 attributes, 3 elements
Defined:
locally within Swaption complexType; see XML source
principalExchanges (defined in InterestRateStream complexType)
The true/false flags indicating whether initial, intermediate or final exchanges of principal should occur.
Type:
PrincipalExchanges
Content:
complex, 1 attribute, 3 elements
Defined:
locally within InterestRateStream complexType; see XML source
rateCalculation
The base element for the floating rate calculation definitions.
Type:
Rate
Content:
empty, 1 attribute
Abstract:
(may not be used directly in instance XML documents)
Subst.Gr:
substituted with floatingRateCalculation, inflationRateCalculation, returnCalculation
Defined:
globally; see XML source
Used:
at 4 locations
resetDates
The reset dates schedule.
Type:
ResetDates
Content:
complex, 1 attribute, 1 element
Defined:
locally within InterestRateStream complexType; see XML source
resetFrequency (in resetDates)
The frequency at which reset dates occur.
Type:
ResetFrequency
Content:
complex, 1 attribute, 2 elements
Defined:
locally within ResetDates complexType; see XML source
returnCalculation
An inflation rate calculation definition.
Type:
ReturnCalculation
Content:
complex, 1 attribute, 3 elements
Subst.Gr:
substitutes for rateCalculation
Defined:
globally; see XML source
Used:
never
settlementCurrency (in settlementProvision)
The currency that stream settles in (to support swaps that settle in a currency different from the notional currency).
Type:
Currency
Content:
simple, 1 attribute
Defined:
locally within SettlementProvision complexType; see XML source
settlementProvision
A provision that allows the specification of settlement terms, occuring when the settlement currency is different to the notional currency of the trade.
Type:
SettlementProvision
Content:
complex, 1 element
Defined:
locally within InterestRateStream complexType; see XML source
swap
A swap product definition.
Type:
Swap
Content:
complex, 1 attribute, 10 elements
Subst.Gr:
substitutes for product
Defined:
globally; see XML source
Used:
never
swap (in swaption)
Type:
Swap
Content:
complex, 1 attribute, 10 elements
Defined:
locally within Swaption complexType; see XML source
swapStream
The swap streams.
Type:
InterestRateStream
Content:
complex, 1 attribute, 7 elements
Defined:
locally within Swap complexType; see XML source
swaption
A swaption product definition.
Type:
Swaption
Content:
complex, 1 attribute, 11 elements
Subst.Gr:
substitutes for product
Defined:
globally; see XML source
Used:
never
swaptionStraddle
Whether the option is a swaption or a swaption straddle.
Type:
xsd:boolean
Content:
simple
Defined:
locally within Swaption complexType; see XML source
terminationDate (in calculationPeriodDates)
The last day of the term of the trade.
Type:
AdjustableDate
Content:
complex, 1 attribute, 1 element
Defined:
locally within CalculationPeriodDates complexType; see XML source
underlyer (defined in InterestRateStream complexType)
Underlyer to support Rates TRS.
Type:
Underlyer
Content:
complex, 2 elements
Defined:
locally within InterestRateStream complexType; see XML source
underlyingBond
Type:
Bond
Content:
complex, 1 attribute, 18 elements
Defined:
locally within ReturnCalculation complexType; see XML source
varyingNotionalCurrency
The currency of the varying notional amount, i.e. the notional amount being determined periodically based on observation of a spot currency exchange rate.
Type:
Currency
Content:
simple, 1 attribute
Defined:
locally within FxLinkedNotionalSchedule complexType; see XML source
Complex Type Summary
Calculation
A type definining the parameters used in the calculation of fixed or floating calculation period amounts.
Content:
complex, 5 elements
Defined:
globally; see XML source
Includes:
definitions of 5 elements
Used:
at 1 location
CalculationPeriodAmount
A type defining the parameters used in the calculation of fixed or floating rate calculation period amounts or for specifying a known calculation period amount or known amount schedule.
Content:
complex, 2 elements
Defined:
globally; see XML source
Includes:
definitions of 2 elements
Used:
at 1 location
CalculationPeriodDates
A type defining the parameters used to generate the calculation period dates schedule, including the specification of any initial or final stub calculation periods.
Content:
complex, 1 attribute, 2 elements
Defined:
globally; see XML source
Includes:
definitions of 1 attribute, 2 elements
Used:
at 1 location
CancelableProvision
A type defining the right of a party to cancel a swap transaction on the specified exercise dates.
Content:
complex, 2 elements
Defined:
globally; see XML source
Includes:
definitions of 2 elements
Used:
at 1 location
CapFloor
A type defining an interest rate cap, floor, or cap/floor strategy (e.g. collar) product.
Content:
complex, 1 attribute, 9 elements
Defined:
globally; see XML source
Includes:
definitions of 4 elements
Used:
at 1 location
EarlyTerminationProvision
A type defining an early termination provision for a swap.
Content:
complex, 1 attribute, 6 elements
Defined:
globally; see XML source
Includes:
definition of 1 attribute
Used:
at 3 locations
ExercisePeriod
This defines the time interval to the start of the exercise period, i.e. the earliest exercise date, and the frequency of subsequent exercise dates (if any).
Content:
complex, 1 attribute, 2 elements
Defined:
globally; see XML source
Includes:
definitions of 1 attribute, 2 elements
Used:
at 1 location
ExtendibleProvision
A type defining an option to extend an existing swap transaction on the specified exercise dates for a term ending on the specified new termination date.
Content:
complex, 4 elements
Defined:
globally; see XML source
Includes:
definitions of 4 elements
Used:
at 1 location
ExtendibleProvisionAdjustedDates
A type defining the adjusted dates associated with a provision to extend a swap.
Content:
complex, 1 element
Defined:
globally; see XML source
Includes:
definition of 1 element
Used:
at 1 location
ExtensionEvent
A type to define the adjusted dates associated with an individual extension event.
Content:
complex, 1 attribute, 2 elements
Defined:
globally; see XML source
Includes:
definitions of 1 attribute, 2 elements
Used:
at 1 location
FinalPrincipalExchangeCalculation
Indicates whether the Principal Exchange on the inflation leg is floored or not.
Content:
complex, 1 element
Defined:
globally; see XML source
Includes:
definition of 1 element
Used:
at 2 locations
Fra
A type defining a Forward Rate Agreement (FRA) product.
Content:
complex, 1 attribute, 14 elements
Defined:
globally; see XML source
Includes:
definitions of 9 elements
Used:
at 1 location
FxLinkedNotionalSchedule
A type to describe a notional schedule where each notional that applies to a calculation period is calculated with reference to a notional amount or notional amount schedule in a different currency by means of a spot currency exchange rate which is normally observed at the beginning of each period.
Content:
complex, 2 elements
Defined:
globally; see XML source
Includes:
definitions of 2 elements
Used:
at 1 location
InflationRateCalculation
A type defining the components specifiying an Inflation Rate Calculation
Content:
complex, 1 attribute, 11 elements
Defined:
globally; see XML source
Includes:
definitions of 5 elements
Used:
at 1 location
InterestRateStream
A type defining the components specifiying an interest rate stream, including both a parametric and cashflow representation for the stream of payments.
Content:
complex, 1 attribute, 7 elements
Defined:
globally; see XML source
Includes:
definitions of 7 elements
Used:
at 2 locations
MandatoryEarlyTermination
A type to define an early termination provision for which exercise is mandatory.
Content:
empty, 1 attribute
Defined:
globally; see XML source
Includes:
definition of 1 attribute
Used:
at 2 locations
Notional
An type defining the notional amount or notional amount schedule associated with a swap stream.
Content:
complex, 1 attribute, 1 element
Defined:
globally; see XML source
Includes:
definitions of 1 attribute, 1 element
Used:
at 1 location
OptionalEarlyTermination
A type defining an early termination provision where either or both parties have the right to exercise.
Content:
empty
Defined:
globally; see XML source
Used:
at 2 locations
PaymentDates
A type defining parameters used to generate the payment dates schedule, including the specification of early or delayed payments.
Content:
complex, 1 attribute, 1 element
Defined:
globally; see XML source
Includes:
definitions of 1 attribute, 1 element
Used:
at 1 location
ResetDates
A type defining the parameters used to generate the reset dates schedule and associated fixing dates.
Content:
complex, 1 attribute, 1 element
Defined:
globally; see XML source
Includes:
definitions of 1 attribute, 1 element
Used:
at 1 location
ReturnCalculation
A type defining the floating rate and definitions relating to the Return Calculation
Content:
complex, 1 attribute, 3 elements
Defined:
globally; see XML source
Includes:
definition of 1 element
Used:
at 1 location
SettlementProvision
A type defining the specification of settlement terms, occuring when the settlement currency is different to the notional currency of the trade.
Content:
complex, 1 element
Defined:
globally; see XML source
Includes:
definition of 1 element
Used:
at 1 location
Swap
A type defining swap streams and additional payments between the principal parties involved in the swap.
Content:
complex, 1 attribute, 10 elements
Defined:
globally; see XML source
Includes:
definitions of 5 elements
Used:
at 2 locations
Swaption
A type to define an option on a swap.
Content:
complex, 1 attribute, 11 elements
Defined:
globally; see XML source
Includes:
definitions of 6 elements
Used:
at 1 location
Element Group Summary
MandatoryEarlyTermination.model
Content:
3 elements
Defined:
globally; see XML source
Includes:
definitions of 3 elements
Used:
at 1 location
OptionalEarlyTermination.model
Content:
3 elements
Defined:
globally; see XML source
Includes:
definitions of 3 elements
Used:
at 1 location
ReturnInflation.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="trnsp" ecore:package="org.fpml.transparency" elementFormDefault="qualified" targetNamespace="http://www.fpml.org/FpML-5/transparency" version="$Revision: 14877 $" 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-asset-5-13.xsd"/>
<xsd:complexType name="Calculation">
<xsd:annotation>
<xsd:documentation xml:lang="en">
A type definining the parameters used in the calculation of fixed or floating calculation period amounts.
</xsd:documentation>
</xsd:annotation>
<xsd:sequence>
<xsd:choice>
<xsd:element name="notionalSchedule" type="Notional">
<xsd:annotation>
<xsd:documentation xml:lang="en">The notional amount or notional amount schedule.</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:annotation>
<xsd:documentation xml:lang="en">
A notional amount schedule where each notional that applied to a calculation period is calculated with reference to a notional amount or notional amount schedule in a different currency by means of a spot currency exchange rate which is normally observed at the beginning of each period.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
</xsd:choice>
<xsd:choice>
<xsd:sequence>
<xsd:element name="fixedRateSchedule" type="Schedule">
<xsd:annotation>
<xsd:documentation xml:lang="en">
The fixed rate or fixed rate schedule expressed as explicit fixed rates and dates. In the case of a schedule, the step dates may be subject to adjustment in accordance with any adjustments specified in calculationPeriodDatesAdjustments.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
</xsd:sequence>
<xsd:element ref="rateCalculation">
<xsd:annotation>
<xsd:documentation xml:lang="en">
This element is the head of a substitution group. It is substituted by the floatingRateCalculation element for standard Floating Rate legs, or the inflationRateCalculation element for inflation swaps.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
</xsd:choice>
<xsd:element name="dayCountFraction" type="DayCountFraction">
<xsd:annotation>
<xsd:documentation xml:lang="en">The day count fraction.</xsd:documentation>
</xsd:annotation>
</xsd:element>
</xsd:sequence>
</xsd:complexType>
<xsd:complexType name="CalculationPeriodAmount">
<xsd:annotation>
<xsd:documentation xml:lang="en">
A type defining the parameters used in the calculation of fixed or floating rate calculation period amounts or for specifying a known calculation period amount or known amount schedule.
</xsd:documentation>
</xsd:annotation>
<xsd:choice>
<xsd:element name="calculation" type="Calculation">
<xsd:annotation>
<xsd:documentation xml:lang="en">
The parameters used in the calculation of fixed or floaring rate calculation period amounts.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="knownAmountSchedule" type="AmountSchedule">
<xsd:annotation>
<xsd:documentation xml:lang="en">
The known calculation period amount or a known amount schedule expressed as explicit known amounts and dates. In the case of a schedule, the step dates may be subject to adjustment in accordance with any adjustments specified in calculationPeriodDatesAdjustments.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
</xsd:choice>
</xsd:complexType>
<xsd:complexType name="CalculationPeriodDates">
<xsd:annotation>
<xsd:documentation xml:lang="en">
A type defining the parameters used to generate the calculation period dates schedule, including the specification of any initial or final stub calculation periods. A calculation perod schedule consists of an optional initial stub calculation period, one or more regular calculation periods and an optional final stub calculation period. In the absence of any initial or final stub calculation periods, the regular part of the calculation period schedule is assumed to be between the effective date and the termination date. No implicit stubs are allowed, i.e. stubs must be explicitly specified using an appropriate combination of firstPeriodStateDate, firstRegularPeriodStartDate and lastRegularPeriodEndDate.
</xsd:documentation>
</xsd:annotation>
<xsd:sequence>
<xsd:element name="effectiveDate" type="AdjustableDate">
<xsd:annotation>
<xsd:documentation xml:lang="en">
The first day of the term of the trade. This day may be subject to adjustment in accordance with a business day convention.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="terminationDate" type="AdjustableDate">
<xsd:annotation>
<xsd:documentation xml:lang="en">
The last day of the term of the trade. This day may be subject to adjustment in accordance with a business day convention.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
</xsd:sequence>
<xsd:attribute name="id" type="xsd:ID" use="optional"/>
</xsd:complexType>
<xsd:complexType name="CancelableProvision">
<xsd:annotation>
<xsd:documentation xml:lang="en">
A type defining the right of a party to cancel a swap transaction on the specified exercise dates. The provision is for 'walkaway' cancellation (i.e. the fair value of the swap is not paid). A fee payable on exercise can be specified.
</xsd:documentation>
</xsd:annotation>
<xsd:sequence>
<xsd:element minOccurs="0" ref="exercise"/>
<xsd:element minOccurs="0" name="initialFee" type="SimplePayment">
<xsd:annotation>
<xsd:documentation xml:lang="en">An initial fee for the cancelable option.</xsd:documentation>
</xsd:annotation>
</xsd:element>
</xsd:sequence>
</xsd:complexType>
<xsd:complexType name="CapFloor">
<xsd:annotation>
<xsd:documentation xml:lang="en">
A type defining an interest rate cap, floor, or cap/floor strategy (e.g. collar) product.
</xsd:documentation>
</xsd:annotation>
<xsd:complexContent>
<xsd:extension base="Product">
<xsd:sequence>
<xsd:element name="capFloorStream" type="InterestRateStream">
<xsd:annotation>
<xsd:documentation xml:lang="en">
Reference to the leg, where date adjustments may apply.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element maxOccurs="unbounded" minOccurs="0" name="premium" type="Payment">
<xsd:annotation>
<xsd:documentation xml:lang="en">
The option premium amount payable by buyer to seller on the specified payment 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 payments between the principal parties.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element minOccurs="0" name="earlyTerminationProvision" type="EarlyTerminationProvision">
<xsd:annotation>
<xsd:documentation xml:lang="en">
Parameters specifying provisions relating to the optional and mandatory early terminarion of a CapFloor transaction.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
</xsd:sequence>
</xsd:extension>
</xsd:complexContent>
</xsd:complexType>
<xsd:complexType name="EarlyTerminationProvision">
<xsd:annotation>
<xsd:documentation xml:lang="en">
A type defining an early termination provision for a swap. This early termination is at fair value, i.e. on termination the fair value of the product must be settled between the parties.
</xsd:documentation>
</xsd:annotation>
<xsd:choice>
<xsd:sequence>
<xsd:group ref="MandatoryEarlyTermination.model"/>
<xsd:group minOccurs="0" ref="OptionalEarlyTermination.model"/>
</xsd:sequence>
</xsd:choice>
<xsd:attribute name="id" type="xsd:ID"/>
</xsd:complexType>
<xsd:complexType name="ExercisePeriod">
<xsd:annotation>
<xsd:documentation xml:lang="en">
This defines the time interval to the start of the exercise period, i.e. the earliest exercise date, and the frequency of subsequent exercise dates (if any).
</xsd:documentation>
</xsd:annotation>
<xsd:sequence>
<xsd:element minOccurs="0" name="earliestExerciseDateTenor" type="Period">
<xsd:annotation>
<xsd:documentation xml:lang="en">
The time interval to the first (and possibly only) exercise date in the exercise period.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element minOccurs="0" name="exerciseFrequency" type="Period">
<xsd:annotation>
<xsd:documentation xml:lang="en">
The frequency of subsequent exercise dates in the exercise period following the earliest exercise date. An interval of 1 day should be used to indicate an American style exercise period.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
</xsd:sequence>
<xsd:attribute name="id" type="xsd:ID"/>
</xsd:complexType>
<xsd:complexType name="ExtendibleProvision">
<xsd:annotation>
<xsd:documentation xml:lang="en">
A type defining an option to extend an existing swap transaction on the specified exercise dates for a term ending on the specified new termination date.
</xsd:documentation>
</xsd:annotation>
<xsd:sequence>
<xsd:element minOccurs="0" ref="exercise"/>
<xsd:element minOccurs="0" name="exerciseNotice" type="ExerciseNotice">
<xsd:annotation>
<xsd:documentation xml:lang="en">
Definition of the party to whom notice of exercise should be given.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element minOccurs="0" name="followUpConfirmation" type="xsd:boolean">
<xsd:annotation>
<xsd:documentation xml:lang="en">
A flag to indicate whether follow-up confirmation of exercise (written or electronic) is required following telephonic notice by the buyer to the seller or seller's agent.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element minOccurs="0" name="extendibleProvisionAdjustedDates" type="ExtendibleProvisionAdjustedDates">
<xsd:annotation>
<xsd:documentation xml:lang="en">
The adjusted dates associated with an extendible provision. These dates have been adjusted for any applicable business day convention.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
</xsd:sequence>
</xsd:complexType>
<xsd:complexType name="ExtendibleProvisionAdjustedDates">
<xsd:annotation>
<xsd:documentation xml:lang="en">
A type defining the adjusted dates associated with a provision to extend a swap.
</xsd:documentation>
</xsd:annotation>
<xsd:sequence>
<xsd:element maxOccurs="unbounded" minOccurs="0" name="extensionEvent" type="ExtensionEvent">
<xsd:annotation>
<xsd:documentation xml:lang="en">
The adjusted dates associated with a single extendible exercise date.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
</xsd:sequence>
</xsd:complexType>
<xsd:complexType name="ExtensionEvent">
<xsd:annotation>
<xsd:documentation xml:lang="en">
A type to define the adjusted dates associated with an individual extension event.
</xsd:documentation>
</xsd:annotation>
<xsd:sequence>
<xsd:element minOccurs="0" name="adjustedExerciseDate" type="xsd:date">
<xsd:annotation>
<xsd:documentation xml:lang="en">
The date on which option exercise takes place. This date should already be adjusted for any applicable business day convention.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element minOccurs="0" name="adjustedExtendedTerminationDate" type="xsd:date">
<xsd:annotation>
<xsd:documentation xml:lang="en">
The termination date if an extendible provision is exercised. This date should already be adjusted for any applicable business day convention.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
</xsd:sequence>
<xsd:attribute name="id" type="xsd:ID"/>
</xsd:complexType>
<xsd:complexType name="FinalPrincipalExchangeCalculation">
<xsd:annotation>
<xsd:documentation xml:lang="en">
Indicates whether the Principal Exchange on the inflation leg is floored or not. If TRUE, Principal Exchange takes the form: Inflation Notional Amount * Max(1, Index Final/ Index Base). If FALSE, the Principal Exchange takes the form: Inflation Notional Amount * Index Final / Index Base. Added for Inflation Asset Swap.
</xsd:documentation>
</xsd:annotation>
<xsd:sequence>
<xsd:element minOccurs="0" name="floored" type="xsd:boolean">
<xsd:annotation>
<xsd:documentation xml:lang="en">
If TRUE, Principal Exchange takes the form: Inflation Notional Amount * Max(1, Index Final/ Index Base). If FALSE, the Principal Exchange takes the form: Inflation Notional Amount * Index Final / Index Base.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
</xsd:sequence>
</xsd:complexType>
<xsd:complexType name="Fra">
<xsd:annotation>
<xsd:documentation xml:lang="en">
A type defining a Forward Rate Agreement (FRA) product.
</xsd:documentation>
</xsd:annotation>
<xsd:complexContent>
<xsd:extension base="Product">
<xsd:sequence>
<xsd:sequence>
<xsd:element name="adjustedEffectiveDate" type="RequiredIdentifierDate">
<xsd:annotation>
<xsd:documentation xml:lang="en">
The start date of the calculation period. This date should already be adjusted for any applicable business day convention. This is also the date when the observed rate is applied, the reset date.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="adjustedTerminationDate" type="xsd:date">
<xsd:annotation>
<xsd:documentation xml:lang="en">
The end date of the calculation period. This date should already be adjusted for any applicable business day convention.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
</xsd:sequence>
<xsd:element name="dayCountFraction" type="DayCountFraction">
<xsd:annotation>
<xsd:documentation xml:lang="en">The day count fraction.</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="notional" type="Money">
<xsd:annotation>
<xsd:documentation xml:lang="en">The notional amount.</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="fixedRate" type="IdentifiedRate">
<xsd:annotation>
<xsd:documentation xml:lang="en">
The calculation period fixed rate. A per annum rate, expressed as a decimal. A fixed rate of 5% would be represented as 0.05.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="floatingRateIndex" type="FloatingRateIndex"/>
<xsd:element maxOccurs="2" name="indexTenor" type="Period">
<xsd:annotation>
<xsd:documentation xml:lang="en">
The ISDA Designated Maturity, i.e. the tenor of the floating rate. A FRA can contain either one or two indexTenor instances.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element minOccurs="0" name="fraDiscounting" type="FraDiscountingEnum">
<xsd:annotation>
<xsd:documentation xml:lang="en">
Specifies whether discounting applies and, if so, what type.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element maxOccurs="unbounded" minOccurs="0" name="additionalPayment" type="Payment">
<xsd:annotation>
<xsd:documentation xml:lang="en">
Additional payments between the principal parties (i.e. the parties referenced as the FRA buyer and seller).
</xsd:documentation>
</xsd:annotation>
</xsd:element>
</xsd:sequence>
</xsd:extension>
</xsd:complexContent>
</xsd:complexType>
<xsd:complexType name="FxLinkedNotionalSchedule">
<xsd:annotation>
<xsd:documentation xml:lang="en">
A type to describe a notional schedule where each notional that applies to a calculation period is calculated with reference to a notional amount or notional amount schedule in a different currency by means of a spot currency exchange rate which is normally observed at the beginning of each period.
</xsd:documentation>
</xsd:annotation>
<xsd:sequence>
<xsd:element minOccurs="0" name="initialValue" type="xsd:decimal">
<xsd:annotation>
<xsd:documentation xml:lang="en">
The initial currency amount for the varying notional. This may be omitted for a forward starting swap if the FX-linked notional value is not known at deal inception.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="varyingNotionalCurrency" type="Currency">
<xsd:annotation>
<xsd:documentation xml:lang="en">
The currency of the varying notional amount, i.e. the notional amount being determined periodically based on observation of a spot currency exchange rate.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
</xsd:sequence>
</xsd:complexType>
<xsd:complexType name="InflationRateCalculation">
<xsd:annotation>
<xsd:documentation xml:lang="en">
A type defining the components specifiying an Inflation Rate Calculation
</xsd:documentation>
</xsd:annotation>
<xsd:complexContent>
<xsd:extension base="InflationRateCalculationBase">
<xsd:sequence>
<xsd:element minOccurs="0" name="inflationLag" type="Offset">
<xsd:annotation>
<xsd:documentation xml:lang="en">
an offsetting period from the payment date which determines the reference period for which the inflation index is onserved.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element minOccurs="0" name="indexSource" type="RateSourcePage">
<xsd:annotation>
<xsd:documentation xml:lang="en">
The reference source such as Reuters or Bloomberg.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element minOccurs="0" name="calculationMethod" type="InflationCalculationMethodEnum">
<xsd:annotation>
<xsd:documentation xml:lang="en">
Indicates how to use the inflation index to calculate the payment (e.g. Ratio, Return, Spread). Added for Inflation Asset Swap
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element minOccurs="0" name="calculationStyle" type="InflationCalculationStyleEnum">
<xsd:annotation>
<xsd:documentation xml:lang="en">
Indicates the style of how the inflation index calculates the payment (e.g. YearOnYear, ZeroCoupon).
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:annotation>
<xsd:documentation xml:lang="en">
To be specified only for inflation products that embed a redemption payment, e.g. inflation linked asset swap.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
</xsd:sequence>
</xsd:extension>
</xsd:complexContent>
</xsd:complexType>
<xsd:complexType name="InterestRateStream">
<xsd:annotation>
<xsd:documentation xml:lang="en">
A type defining the components specifiying an interest rate stream, including both a parametric and cashflow representation for the stream of payments.
</xsd:documentation>
</xsd:annotation>
<xsd:complexContent>
<xsd:extension base="Leg">
<xsd:sequence>
<xsd:element name="calculationPeriodDates" type="CalculationPeriodDates">
<xsd:annotation>
<xsd:documentation xml:lang="en">The calculation periods dates schedule.</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="paymentDates" type="PaymentDates">
<xsd:annotation>
<xsd:documentation xml:lang="en">The payment dates schedule.</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element minOccurs="0" name="resetDates" type="ResetDates">
<xsd:annotation>
<xsd:documentation xml:lang="en">
The reset dates schedule. The reset dates schedule only applies for a floating rate stream.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:annotation>
<xsd:documentation xml:lang="en">The calculation period amount parameters.</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element minOccurs="0" name="principalExchanges" type="PrincipalExchanges">
<xsd:annotation>
<xsd:documentation xml:lang="en">
The true/false flags indicating whether initial, intermediate or final exchanges of principal should occur.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element minOccurs="0" name="settlementProvision" type="SettlementProvision">
<xsd:annotation>
<xsd:documentation xml:lang="en">
A provision that allows the specification of settlement terms, occuring when the settlement currency is different to the notional currency of the trade.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element minOccurs="0" name="underlyer" type="Underlyer">
<xsd:annotation>
<xsd:documentation xml:lang="en">Underlyer to support Rates TRS.</xsd:documentation>
</xsd:annotation>
</xsd:element>
</xsd:sequence>
</xsd:extension>
</xsd:complexContent>
</xsd:complexType>
<xsd:complexType name="MandatoryEarlyTermination">
<xsd:annotation>
<xsd:documentation xml:lang="en">
A type to define an early termination provision for which exercise is mandatory.
</xsd:documentation>
</xsd:annotation>
<xsd:sequence/>
<xsd:attribute name="id" type="xsd:ID"/>
</xsd:complexType>
<xsd:complexType name="Notional">
<xsd:annotation>
<xsd:documentation xml:lang="en">
An type defining the notional amount or notional amount schedule associated with a swap stream. The notional schedule will be captured explicitly, specifying the dates that the notional changes and the outstanding notional amount that applies from that date. A parametric representation of the rules defining the notional step schedule can optionally be included.
</xsd:documentation>
</xsd:annotation>
<xsd:sequence>
<xsd:element name="notionalStepSchedule" type="NonNegativeAmountSchedule">
<xsd:annotation>
<xsd:documentation xml:lang="en">
The notional amount or notional amount schedule expressed as explicit outstanding notional amounts and dates. In the case of a schedule, the step dates may be subject to adjustment in accordance with any adjustments specified in calculationPeriodDatesAdjustments.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
</xsd:sequence>
<xsd:attribute name="id" type="xsd:ID"/>
</xsd:complexType>
<xsd:complexType name="OptionalEarlyTermination">
<xsd:annotation>
<xsd:documentation xml:lang="en">
A type defining an early termination provision where either or both parties have the right to exercise.
</xsd:documentation>
</xsd:annotation>
<xsd:sequence/>
</xsd:complexType>
<xsd:complexType name="PaymentDates">
<xsd:annotation>
<xsd:documentation xml:lang="en">
A type defining parameters used to generate the payment dates schedule, including the specification of early or delayed payments. Payment dates are determined relative to the calculation period dates or the reset dates.
</xsd:documentation>
</xsd:annotation>
<xsd:sequence>
<xsd:element name="paymentFrequency" type="Frequency">
<xsd:annotation>
<xsd:documentation xml:lang="en">
The frequency at which regular payment dates occur. If the payment frequency is equal to the frequency defined in the calculation period dates component then one calculation period contributes to each payment amount. If the payment frequency is less frequent than the frequency defined in the calculation period dates component then more than one calculation period will contribute to the payment amount. A payment frequency more frequent than the calculation period frequency or one that is not a multiple of the calculation period frequency is invalid. If the payment frequency is of value T (term), the period is defined by the swap\swapStream\calculationPerioDates\effectiveDate and the swap\swapStream\calculationPerioDates\terminationDate.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
</xsd:sequence>
<xsd:attribute name="id" type="xsd:ID"/>
</xsd:complexType>
<xsd:complexType name="ResetDates">
<xsd:annotation>
<xsd:documentation xml:lang="en">
A type defining the parameters used to generate the reset dates schedule and associated fixing dates. The reset dates are determined relative to the calculation periods schedules dates.
</xsd:documentation>
</xsd:annotation>
<xsd:sequence>
<xsd:element name="resetFrequency" type="ResetFrequency">
<xsd:annotation>
<xsd:documentation xml:lang="en">
The frequency at which reset dates occur. In the case of a weekly reset frequency, also specifies the day of the week that the reset occurs. If the reset frequency is greater than the calculation period frequency then this implies that more than one reset date is established for each calculation period and some form of rate averaging is applicable.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
</xsd:sequence>
<xsd:attribute name="id" type="xsd:ID" use="optional"/>
</xsd:complexType>
<xsd:complexType name="ReturnCalculation">
<xsd:annotation>
<xsd:documentation xml:lang="en">
A type defining the floating rate and definitions relating to the Return Calculation
</xsd:documentation>
</xsd:annotation>
<xsd:complexContent>
<xsd:extension base="Rate">
<xsd:sequence>
<xsd:element minOccurs="0" name="underlyingBond" type="Bond"/>
<xsd:group ref="ReturnInflation.model"/>
</xsd:sequence>
</xsd:extension>
</xsd:complexContent>
</xsd:complexType>
<xsd:complexType name="SettlementProvision">
<xsd:annotation>
<xsd:documentation xml:lang="en">
A type defining the specification of settlement terms, occuring when the settlement currency is different to the notional currency of the trade.
</xsd:documentation>
</xsd:annotation>
<xsd:sequence>
<xsd:element name="settlementCurrency" type="Currency">
<xsd:annotation>
<xsd:documentation xml:lang="en">
The currency that stream settles in (to support swaps that settle in a currency different from the notional currency).
</xsd:documentation>
</xsd:annotation>
</xsd:element>
</xsd:sequence>
</xsd:complexType>
<xsd:complexType name="Swap">
<xsd:annotation>
<xsd:documentation xml:lang="en">
A type defining swap streams and additional payments between the principal parties involved in the swap.
</xsd:documentation>
</xsd:annotation>
<xsd:complexContent>
<xsd:extension base="Product">
<xsd:sequence>
<xsd:element maxOccurs="2" minOccurs="2" name="swapStream" type="InterestRateStream">
<xsd:annotation>
<xsd:documentation xml:lang="en">The swap streams.</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element minOccurs="0" name="earlyTerminationProvision" type="EarlyTerminationProvision">
<xsd:annotation>
<xsd:documentation xml:lang="en">
Parameters specifying provisions relating to the optional and mandatory early terminarion of a swap transaction.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element minOccurs="0" name="cancelableProvision" type="CancelableProvision">
<xsd:annotation>
<xsd:documentation xml:lang="en">
A provision that allows the specification of an embedded option within a swap giving the buyer of the option the right to terminate the swap, in whole or in part, on the early termination date.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element minOccurs="0" name="extendibleProvision" type="ExtendibleProvision">
<xsd:annotation>
<xsd:documentation xml:lang="en">
A provision that allows the specification of an embedded option with a swap giving the buyer of the option the right to extend the swap, in whole or in part, to the extended termination 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 payments between the principal parties.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
</xsd:sequence>
</xsd:extension>
</xsd:complexContent>
</xsd:complexType>
<xsd:complexType name="Swaption">
<xsd:annotation>
<xsd:documentation xml:lang="en">A type to define an option on a swap.</xsd:documentation>
</xsd:annotation>
<xsd:complexContent>
<xsd:extension base="Product">
<xsd:sequence>
<xsd:element maxOccurs="unbounded" minOccurs="0" name="premium" type="Payment">
<xsd:annotation>
<xsd:documentation xml:lang="en">
The option premium amount payable by buyer to seller on the specified payment date.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element minOccurs="0" name="optionType" type="SwaptionTypeEnum">
<xsd:annotation>
<xsd:documentation xml:lang="en">
The type of option transaction. From a usage standpoint, put/call is the default option type, while payer/receiver indicator is used for options index credit default swaps, consistently with the industry practice. Straddle is used for the case of straddle strategy, that combine a call and a put with the same strike. This element is needed for transparency reporting because the counterparties are not available, and is made available in other views for convenience; it is not intended to be used for confirmation processing. If the swaption straddle indicator is provided, this must not be in conflict with that indicator.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element ref="exercise"/>
<xsd:element name="swaptionStraddle" type="xsd:boolean">
<xsd:annotation>
<xsd:documentation xml:lang="en">
Whether the option is a swaption or a swaption straddle.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element minOccurs="0" name="earlyTerminationProvision" type="EarlyTerminationProvision">
<xsd:annotation>
<xsd:documentation xml:lang="en">
Parameters specifying provisions relating to the optional and mandatory early terminarion of a swap transaction.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="swap" type="Swap"/>
</xsd:sequence>
</xsd:extension>
</xsd:complexContent>
</xsd:complexType>
<xsd:element name="capFloor" substitutionGroup="product" type="CapFloor">
<xsd:annotation>
<xsd:documentation xml:lang="en">
A cap, floor or cap floor structures product definition.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="floatingRateCalculation" substitutionGroup="rateCalculation" type="FloatingRateCalculation">
<xsd:annotation>
<xsd:documentation xml:lang="en">A floating rate calculation definition.</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="fra" substitutionGroup="product" type="Fra">
<xsd:annotation>
<xsd:documentation xml:lang="en">A forward rate agreement product definition.</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="inflationRateCalculation" substitutionGroup="rateCalculation" type="InflationRateCalculation">
<xsd:annotation>
<xsd:documentation xml:lang="en">An inflation rate calculation definition.</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element abstract="true" name="rateCalculation" type="Rate">
<xsd:annotation>
<xsd:documentation xml:lang="en">
The base element for the floating rate calculation definitions.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="returnCalculation" substitutionGroup="rateCalculation" type="ReturnCalculation">
<xsd:annotation>
<xsd:documentation xml:lang="en">An inflation rate calculation definition.</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="swap" substitutionGroup="product" type="Swap">
<xsd:annotation>
<xsd:documentation xml:lang="en">A swap product definition.</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="swaption" substitutionGroup="product" type="Swaption">
<xsd:annotation>
<xsd:documentation xml:lang="en">A swaption product definition.</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:choice>
<xsd:element name="mandatoryEarlyTermination" type="MandatoryEarlyTermination">
<xsd:annotation>
<xsd:documentation xml:lang="en">
A mandatory early termination provision to terminate the swap at fair value.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:sequence>
<xsd:element name="mandatoryEarlyTerminationDateTenor" type="Period">
<xsd:annotation>
<xsd:documentation xml:lang="en">
Period after trade date of the mandatory early termination date.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element minOccurs="0" name="mandatoryEarlyTermination" type="MandatoryEarlyTermination">
<xsd:annotation>
<xsd:documentation xml:lang="en">
A mandatory early termination provision to terminate the swap at fair value.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
</xsd:sequence>
</xsd:choice>
</xsd:group>
<xsd:choice>
<xsd:element name="optionalEarlyTermination" type="OptionalEarlyTermination">
<xsd:annotation>
<xsd:documentation xml:lang="en">
An option for either or both parties to terminate the swap at fair value.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:sequence>
<xsd:element name="optionalEarlyTerminationParameters" type="ExercisePeriod">
<xsd:annotation>
<xsd:documentation xml:lang="en">
Definition of the first early termination date and the frequency of the termination dates subsequent to that. American exercise is defined by having a frequency of one day.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element minOccurs="0" name="optionalEarlyTermination" type="OptionalEarlyTermination">
<xsd:annotation>
<xsd:documentation xml:lang="en">
An option for either or both parties to terminate the swap at fair value.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
</xsd:sequence>
</xsd:choice>
</xsd:group>
<xsd:group name="ReturnInflation.model">
<xsd:sequence>
<xsd:element minOccurs="0" name="inflationRate">
<xsd:complexType>
<xsd:sequence>
<xsd:element minOccurs="0" name="inflationRateIndex" type="FloatingRateIndex"/>
<xsd:element minOccurs="0" name="inflationLag" type="Offset">
<xsd:annotation>
<xsd:documentation xml:lang="en">
an offsetting period from the payment date which determines the reference period for which the inflation index is onserved.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element minOccurs="0" name="indexSource" type="RateSourcePage">
<xsd:annotation>
<xsd:documentation xml:lang="en">
The reference source such as Reuters or Bloomberg.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element minOccurs="0" name="interpolationMethod" type="InterpolationMethod">
<xsd:annotation>
<xsd:documentation xml:lang="en">
The method used when calculating the Inflation Index Level from multiple points - the most common is Linear.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element minOccurs="0" name="initialIndexLevel" type="xsd:decimal">
<xsd:annotation>
<xsd:documentation xml:lang="en">
initial known index level for the first calculation period.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element minOccurs="0" name="fallbackBondApplicable" type="xsd:boolean">
<xsd:annotation>
<xsd:documentation xml:lang="en">
The applicability of a fallback bond as defined in the 2006 ISDA Inflation Derivatives Definitions, sections 1.3 and 1.8.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element minOccurs="0" name="calculationMethod" type="InflationCalculationMethodEnum">
<xsd:annotation>
<xsd:documentation xml:lang="en">
Indicates how to use the inflation index to calculate the payment (e.g. Ratio, Return, Spread). Added for Inflation Asset Swap
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element minOccurs="0" name="calculationStyle" type="InflationCalculationStyleEnum">
<xsd:annotation>
<xsd:documentation xml:lang="en">
Indicates the style of how the inflation index calculates the payment (e.g. YearOnYear, ZeroCoupon).
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:annotation>
<xsd:documentation xml:lang="en">
To be specified only for inflation products that embed a redemption payment, e.g. inflation linked asset swap.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
</xsd:sequence>
</xsd:complexType>
</xsd:element>
<xsd:element minOccurs="0" name="initialPrice" type="ActualPrice"/>
</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.