Copyright 1999 - 2002. 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/documents/license
An entity for defining the underlying instrument for an equity option.
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The name of a security.
A short form unique identifier for a security.
The currency in which an amount is denominated.
A short form unique identifier for an exchange. If the element is not present then the exchange shall be the primary exchange on which the underlying is listed. The term "Exchange" is assumed to have the meaning as defined in the ISDA 1996 Equity Derivatives Definitions.
A short form unique identifier for a related exchange. If the element is not present then the exchange shall be the primary exchange on which listed futures and options on the underlying are listed. The term "Exchange" is assumed to have the meaning as defined in the ISDA 1996 Equity Derivatives Definitions.
Unless otherwise specified, the principal clearance system customarily used for settling trades in the relevant underlying.
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DTD Fragment:
<!ENTITY % FpML_Equity "description , instrumentId+ , currency? , exchangeId* , relatedExchangeId* , clearanceSystem?">
An entity for defining exercise procedures associated with an American style exercise of an equity option. This entity inherits from the entity FpML_SharedAmericanExercise.
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The latest time of day at which the equity option can be exercised, for example the official closing time of the exchange.
The time of day at which the equity option expires, for example the official closing time of the exchange.
The specific time of day at which the equity option expires.
The presence of this element indicates that the option may be exercised on different days. It is not applicable to European options.
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DTD Fragment:
<!ENTITY % FpML_EquityAmericanExercise "%FpML_SharedAmericanExercise; , latestExerciseTimeType , equityExpirationTimeType , equityExpirationTime? , equityMultipleExercise?">
An entity for defining exercise procedures associated with a European style exercise of an equity option.
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The last day within an exercise period for an American style option. For a European style option it is the only day within the exercise period.
The time of day at which the equity option expires, for example the official closing time of the exchange.
The specific time of day at which the equity option expires.
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DTD Fragment:
<!ENTITY % FpML_EquityEuropeanExercise "expirationDate , equityExpirationTimeType , equityExpirationTime?">
An entity for defining exercise procedures for equity options.
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The parameters for defining the expiration date and time for a European style equity option
The parameters for defining the exercise period for an American style equity option together with the rules governing the quantity of the underlying that can be exercised on any given exercise date.
If true then each option not previously exercised will be deemed to be exercised at the expiration time on the expiration date without service of notice unless the buyer notifies the seller that it no longer wishes this to occur.
The parameters for defining when valuation of the underlying takes place.
Date on which settlement of option premiums will occur.
The currency in which a cash settlement for non-deliverable forward and non-deliverable options.
The source from which the settlement price is to be obtained, e.g. a Reuters page, Prezzo di Riferimento, etc.
How the option will be settled.
Where the underlying is shares and the transaction is physically settled, then, if true, a failure to deliver the shares on the settlement date will not be an event of default for the purposes of the master agreement.
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DTD Fragment:
<!ENTITY % FpML_EquityExercise "(equityEuropeanExercise | equityAmericanExercise) , automaticExerciseApplicable , equityValuation , settlementDate? , settlementCurrency , settlementPriceSource , settlementType , failureToDeliverApplicable?">
An entity for defining the multiple exercise provisions of an American style equity option.
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When multiple exercise is applicable and this element is present it specifies that the number of options that can be exercised on a given exercise date must either be equal to the value of this element or be an integral multiple of it.
When multiple exercise is applicable this element specifies the minimum number of options that can be exercised on a given exercise date. If this element is not present then the minimum number is deemed to be 1.
When multiple exercise is applicable this element specifies the maximum number of options that can be exercised on a given exercise date. If this element is not present then the maximum number is deemed to be the same as the number of options.
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DTD Fragment:
<!ENTITY % FpML_EquityMultipleExercise "integralMultipleExercise? , minimumNumberOfOptions , maximumNumberOfOptions">
An entity for defining equity options.
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The base entity which all FpML products extend.
The party buying the option.
The party selling the option.
The type of option transaction.
Defines the asset(s) on which the option is granted. Can be (a) shares - equity securities of a single issuer, (b) a basket of shares - a weighted basket of the equity securities of two or more issuers, (c) a basket of indices - a weighted collection of two or more equity indices, or (d) a portfolio basket - a weighted collection of two or more of: equity indices, equity securities, other securities of any type.
The price per unit of the underlying at which the option may be exercised.
The real-time price per share, index or basket.
The notional amount.
The number of options comprised in the option transaction.
The number of shares per option comprised in the option transaction.
The parameters for defining how the equity option can be exercised, how it is valued and how it is settled.
The equity option premium payable by the buyer to the seller.
Defines how adjustments will be made to the contract should one or more of the extraordinary events occur.
Where the underlying is shares, specifies events affecting the issuer of those shares that may require the terms of the transaction to be adjusted.
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DTD Fragment:
<!ENTITY % FpML_EquityOption "%FpML_Product; , buyerParty , sellerParty , optionType , underlying , strike , spotPrice? , notional? , numberOfOptions? , optionEntitlement , equityExercise , equityPremium , methodOfAdjustment? , extraordinaryEvents?">
An entity used to describe the amount paid for an equity option.
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A pointer style reference to a party identifier defined elsewhere in the document.
A pointer style reference to a party identifier defined elsewhere in the document.
The currency amount of the payment.
The payment date. This date is subject to adjustment in accordance with any applicable business day convention.
Specifies whether or not the premium is to be paid in the style of payments under an interest rate swap contract.
The amount of premium to be paid expressed as a function of the number of options.
The amount of premium to be paid expressed as a percentage of the notional value of the transaction. A percentage of 5% would be expressed as 0.05.
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DTD Fragment:
<!ENTITY % FpML_EquityPremium "payerPartyReference , receiverPartyReference , paymentAmount? , paymentDate? , swapPremium? , pricePerOption? , percentageOfNotional?">
An entity for defining the strike price for an equity option. The strike price is either: (i) in respect of an index option transaction, the level of the relevant index specified or otherwise determined in the transaction; or (ii) in respect of a share option transaction, the price per share specified or otherwise determined in the transaction.
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The rate of exchange at which the option has been struck. It is expected that this will be consistent with the put and call currency amounts within the option leg.
The currency in which an amount is denominated.
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DTD Fragment:
<!ENTITY % FpML_EquityStrike "strikePrice , currency?">
An entity for defining how and when an equity option is to be valued.
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The term "Valuation Date" is assumed to have the meaning as defined in the ISDA 1996 Equity Derivatives Definitions.
The time of day at which the calculation agent values the underlying, for example the official closing time of the exchange.
The specific time of day at which the calculation agent values the underlying.
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DTD Fragment:
<!ENTITY % FpML_EquityValuation "valuationDate? , valuationTimeType , valuationTime?">
Where the underlying is shares, defines events affecting the issuer of those shares that may require the terms of the transaction to be adjusted.
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Occurs when the underlying ceases to exist following a merger between the Issuer and another company.
The terms "Nationalisation" and "Insolvency" have the meaning as defined in the ISDA 1996 Equity Derivatives Definitions.
The term "Delisting" has the meaning defined in the ISDA 1996 Equity Derivatives Definitions.
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DTD Fragment:
<!ENTITY % FpML_ExtraordinaryEvents "mergerEvents , nationalisationOrInsolvency , delisting?">
An entity for defining the merger events and their treatment.
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The consideration paid for the original shares following the Merger Event consists wholly of new shares.
The consideration paid for the original shares following the Merger Event consists wholly of cash/securities other than new shares.
The consideration paid for the original shares following the Merger Event consists of both cash/securities and new shares.
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DTD Fragment:
<!ENTITY % FpML_MergerEvents "shareForShare , shareForOther , shareForCombined">
An entity for defing a person to contact at a party to the transaction and the methods of contacting that person.
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The name of the contact person at a party to the transaction.
The role or business area of the contact person.
A method of contacting the contact person, for example telephone number, fax number, e-mail address.
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DTD Fragment:
<!ENTITY % FpML_PartyContact "partyContactName , partyContactFunction , partyContactDetail+">
An entity for identifying a party to the transaction and the means of contacting that party.
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A pointer style reference to a party identifier defined elsewhere in the document. The party referenced has allocated the trade identifier.
Defines a person to contact at a party to the transaction and how to contact that person.
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DTD Fragment:
<!ENTITY % FpML_PartyDetails "partyReference , partyContact*">