FpML Issues Tracker

6: Revision of Equity Swap structure

April 13, 2005

closed

Minor

Always

Schema

Admin

mgratacos

Summary

Allow swap streams of different types in the same swap. Revise equity swap to something more generic (to better indicate support for total return swaps, asset swaps, etc.)

Notes:

  • mgratacos

    10/19/05 11:12 am

    In FpML 4.2 Second Working Draft (2005-10-12) the equity swap structure has suffered important changes to better support return type swaps. These changes include:

    The fpml-eqs-4-2.xsd file has been renamed fpml-return-swaps-4-2.xsd. In addition, the following changes have been implemented:
    – equitySwap has been deprecated (it will be removed in the next major version) and a new returnSwap element has been created.
    – the new head of the substitution group is now called returnSwapLeg (it was called returnLeg before).
    – equityLeg has been deprecated (it will be removed in the next major version) and a new returnLeg element of type ReturnLeg has been created.
    – ReturnLeg type has the same structure as EquityLeg but the following elements have been renamed:
    — valuation is now called rateOfReturn
    — equityAmount is now called amount.
    — equityNotionalReset is now called notionalReset.
    — equityPaymentDates is now called paymentDates
    — equityValuation is now called valuationRules
    — equityPaymentDatesInterim is now called paymentDatesInterim
    — equityPaymentDateFinal is now called paymentDateFinal

    The types of the elements listed above have been renamed as well but the old types are being kept in the schema for backward compatibility reasons.

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