FpML Financial product Markup Language
Last Call Working Draft 13 September 2002

An entity for defining a date that shall be subject to adjustment if it would otherwise fall on a day that is not a business day in the specified business centers, together with the convention for adjusting the date.

Figure:

Contents:

• A date subject to adjustment.

• The business day convention and financial business centers used for adjusting the date if it would otherwise fall on a day that is not a business day in the specified business centers.

Used by:

adjustableDate
effectiveDate
firstPeriodStartDate
mandatoryEarlyTerminationDate
paymentDate
terminationDate

DTD Fragment:

<!ENTITY % FpML_AdjustableDate "unadjustedDate , dateAdjustments">

An entity for defining a series of dates that shall be subject to adjustment if they would otherwise fall on a day that is not a business day in the specified business centers, together with the convention for adjusting the dates.

Figure:

Contents:

• A date subject to adjustment.

• The business day convention and financial business centers used for adjusting the date if it would otherwise fall on a day that is not a business day in the specified business centers.

Used by:

adjustableDates

DTD Fragment:

<!ENTITY % FpML_AdjustableDates "unadjustedDate+ , dateAdjustments">

An entity for the choice between defining a date as an explicit date together with applicable adjustments or as relative to some other (anchor) date.

Figure:

Contents:

adjustableDate (exactly one occurrence; contains the sub-element(s) defined by exactly one occurrence of the entity FpML_AdjustableDate)



• A date that shall be subject to adjustment if it would otherwise fall on a day that is not a business day in the specified business centers, together with the convention for adjusting the date.

relativeDate (exactly one occurrence; contains the sub-element(s) defined by exactly one occurrence of the entity FpML_RelativeDateOffset)



• A date specified as some offset to another date (the anchor date).

Used by:

commencementDate
expirationDate

DTD Fragment:

<!ENTITY % FpML_AdjustableOrRelativeDate "adjustableDate | relativeDate">

An entity for the choice between defining a series of dates as an explicit list of dates together with applicable adjustments or as relative to some other series of (anchor) dates.

Figure:

Contents:

adjustableDates (exactly one occurrence; contains the sub-element(s) defined by exactly one occurrence of the entity FpML_AdjustableDates)



• A series of dates that shall be subject to adjustment if they would otherwise fall on a day that is not a business day in the specified business centers, together with the convention for adjusting the date.

relativeDates (exactly one occurrence; contains the sub-element(s) defined by exactly one occurrence of the entity FpML_RelativeDates)



• A series of dates specified as some offset to another series of dates. (the anchor dates).

Used by:

bermudaExerciseDates
relevantUnderlyingDate

DTD Fragment:

<!ENTITY % FpML_AdjustableOrRelativeDates "adjustableDates | relativeDates">

An entity for defining the exercise period for an American style option together with any rules governing the notional amount of the underlying which can be exercised on any given exercise date and any associated exercise fees.

Figure:

Contents:

• The first day of the exercise period for an American style option.

• 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 date on the underlying set by the exercise of an option. What this date is depends on the option (eg in a swaption it is the effective date, in a extendible / cancelable provision is is the termination date).

• The earliest time at which notice of exercise can be given by the buyer to the seller (or seller's agent) i) on the expiration date, in the case of a European style option, (ii) on each bermuda option exercise date and the expiration date, in the case of a Bermuda style option and (iii) all days that are exercise business days from and including the commencement date to, and including, the expiration date, in the case of an American style option.

• For a Bermuda or American style options, the latest time on an exercise business day (excluding the expiration date) within the exercise period that notice of exercise can be given by buyer to the seller or seller's agent. Notice of exercise given after this time will be deemed to have been given on the next exercise business day.

• The latest time for expiration on expirationDate.

• As defined in the 2000 ISDA Definitions, Section 12.4. Multiple Exercise, the buyer of the option has the right to exercise all or less than all the unexercised notional amount of the underlying swap on one or more days in the exercise period, but on any such day may not exercise less than the minimum notional amount or more than the maximum notional amount, and if an integral multiple amount is specified, the notional amount exercised must be equal to, or be an integral multiple of, the integral multiple amount.

• The fees associated with an exercise date. The fees are conditional on the exercise occurring. The fees can be specified as actual currency amounts or as percentages of the notional amount being exercised.

Used by:

americanExercise

DTD Fragment:

<!ENTITY % FpML_AmericanExercise "commencementDate , expirationDate , relevantUnderlyingDate , earliestExerciseTime , latestExerciseTime? , expirationTime , multipleExercise? , exerciseFeeSchedule?">

An entity for defining a currency amount or a currency amount schedule. This entity inherits from a base entity, FpML_Schedule.

Figure:

Contents:

• An entity for defining a schedule of rate or amounts in terms of an initial value and then a series of step date and value pairs. On each step date the rate or amount changes to the new step value. The series of step date and value pairs are optional. If not specified, this implies that the initial value remains unchanged over time.

Used by:

knownAmountSchedule
notionalStepSchedule

DTD Fragment:

<!ENTITY % FpML_AmountSchedule "(%FpML_Schedule; , currency)">

An entity to define automatic exercise of a swaption. With automatic exercise the option is deemed to have exercised if it is in the money by more than the threshold amount on the exercise date.

Figure:

Contents:

• A threshold rate. A threshold of 0.10% would be represented as 0.001.

Used by:

automaticExercise

DTD Fragment:

<!ENTITY % FpML_AutomaticExercise "thresholdRate">

An entity to define the bermuda option exercise dates and the expiration date together with any rules governing the notional amount of the underlying which can be exercised on any given exercise date and any associated exercise fees.

Figure:

Contents:

• The dates that define the bermuda option exercise dates and the expiration date. The last specified exercise date is assumed to be the expiration date. The dates can either be specified as a series of explicit dates and associated adjustments or as a series of dates defined relative to another schedule of dates, for example, the calculation period start dates. Where a relative series of dates are defined the first and last possible exercise dates can be separately specified.

• The date on the underlying set by the exercise of an option. What this date is depends on the option (eg in a swaption it is the effective date, in a extendible / cancelable provision is is the termination date).

• The earliest time at which notice of exercise can be given by the buyer to the seller (or seller's agent) i) on the expiration date, in the case of a European style option, (ii) on each bermuda option exercise date and the expiration date, in the case of a Bermuda style option and (iii) all days that are exercise business days from and including the commencement date to, and including, the expiration date, in the case of an American style option.

• For a Bermuda or American style options, the latest time on an exercise business day (excluding the expiration date) within the exercise period that notice of exercise can be given by buyer to the seller or seller's agent. Notice of exercise given after this time will be deemed to have been given on the next exercise business day.

• The latest time for expiration on expirationDate.

• As defined in the 2000 ISDA Definitions, Section 12.4. Multiple Exercise, the buyer of the option has the right to exercise all or less than all the unexercised notional amount of the underlying swap on one or more days in the exercise period, but on any such day may not exercise less than the minimum notional amount or more than the maximum notional amount, and if an integral multiple amount is specified, the notional amount exercised must be equal to, or be an integral multiple of, the integral multiple amount.

• The fees associated with an exercise date. The fees are conditional on the exercise occurring. The fees can be specified as actual currency amounts or as percentages of the notional amount being exercised.

Used by:

bermudaExercise

DTD Fragment:

<!ENTITY % FpML_BermudaExercise "bermudaExerciseDates , relevantUnderlyingDate , earliestExerciseTime , latestExerciseTime? , expirationTime , multipleExercise? , exerciseFeeSchedule?">

An entity for defining financial business centers used in determining whether a day is a business day or not.

Figure:

Contents:

Used by:

businessCenters

DTD Fragment:

<!ENTITY % FpML_BusinessCenters "businessCenter+">

An entity for defining a time with respect to a business center location. For example, 11:00 am London time.

Figure:

Contents:

• A time specified in hh:mm:ss format where the second component must be '00', e.g. 11am would be represented as 11:00:00.

Used by:

cashSettlementValuationTime
earliestExerciseTime
equityExpirationTime
expirationTime
expiryTime
fixingTime
latestExerciseTime
valuationTime

DTD Fragment:

<!ENTITY % FpML_BusinessCenterTime "hourMinuteTime , businessCenter">

An entity for defining a range of contiguous business days by defining an unadjusted first date, an unadjusted last date and a business day convention and business centers for adjusting the first and last dates if they would otherwise fall on a non business day in the specified business centers. The days between the first and last date must also be good business days in the specified business centers to be counted in the range. This entity inherits from the base entity, FpML_DateRange.

Figure:

Contents:

• A entity for defining a contiguous series of calendar dats. The date range is defined as all the dates between and including the first and the last date. The first date must fall before the last date.

Used by:

businessDateRange

DTD Fragment:

<!ENTITY % FpML_BusinessDateRange "(%FpML_DateRange; , businessDayConvention , (businessCentersReference | businessCenters)?)">

An entity for defining the business day convention and financial business centers used for adjusting any relevant date if it would otherwise fall on a day that is not a business day in the specified business centers.

Figure:

Contents:

Used by:

calculationPeriodDatesAdjustments
dateAdjustments
paymentDatesAdjustments
resetDatesAdjustments

DTD Fragment:

<!ENTITY % FpML_BusinessDayAdjustments "businessDayConvention , (businessCentersReference | businessCenters)?">

An entity for defining the ISDA Calculation Agent responsible for performing duties associated with the optional early termination on a swap transaction.

Figure:

Contents:

calculationAgentPartyReference (one or more occurrences; an empty element containing an href attribute)



• A pointer style reference to a party identifier defined elsewhere in the document. The party referenced is the ISDA Calculation Agent for the trade. If more than one party is referenced then the parties are assumed to be co-calculation agents, i.e. they have joint responsibility.

calculationAgentParty (exactly one occurrence; of type string, an enumerated domain value defined by calculationAgentPartyScheme)



• The ISDA Calculation Agent where the actual party responsible for performing the duties associated with a mandatory or optional early termination on a Swap Transaction will be determined at exercise, or in the case of mandatory early termination on the Cash Settlement Valuation Date. For example, the Calculation Agent in an optional early termination may be defined as being the Non-exercising Party. Alternatively, the party responsible may be determined by reference to the relevant master agreement.

Used by:

calculationAgent

DTD Fragment:

<!ENTITY % FpML_CalculationAgent "calculationAgentPartyReference+ | calculationAgentParty">

An entity for defining the frequency at which calculation period end dates occur within the regular part of the calculation period schedule and their roll date convention. This entity inherits from a base entity, FpML_Interval.

Figure:

Contents:

• An entity for defining a time interval or offset, e.g. one day, three months. Used for specifying frequencies at which events occur, the tenor of a floating rate or an offset relative to another date.

Used by:

calculationPeriodFrequency

DTD Fragment:

<!ENTITY % FpML_CalculationPeriodFrequency "(%FpML_Interval; , rollConvention)">

A entity for defining a contiguous series of calendar dats. The date range is defined as all the dates between and including the first and the last date. The first date must fall before the last date.

Figure:

Contents:

• The first date of a date range.

• The last date of a date range.

Used by:

FpML_BusinessDateRange
scheduleBounds

DTD Fragment:

<!ENTITY % FpML_DateRange "unadjustedFirstDate , unadjustedLastDate">

An entity for defining the definitions that govern the document and should include the year and type of definitions referenced, along with any relevant documentation (such as master agreement) and the date it was signed.

Figure:

Contents:

• The agreement executed between the parties and intended to govern all OTC derivatives transactions between those parties.

Used by:

documentation

DTD Fragment:

<!ENTITY % FpML_Documentation "masterAgreement , contractualDefinitions+ , masterConfirmation? , creditSupportDocument?">

An entity to define the exercise period for a European style option together with any rules governing the notional amount of the underlying which can be exercised on any given exercise date and any associated exercise fees.

Figure:

Contents:

• 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 date on the underlying set by the exercise of an option. What this date is depends on the option (eg in a swaption it is the effective date, in a extendible / cancelable provision is is the termination date).

• The earliest time at which notice of exercise can be given by the buyer to the seller (or seller's agent) i) on the expiration date, in the case of a European style option, (ii) on each bermuda option exercise date and the expiration date, in the case of a Bermuda style option and (iii) all days that are exercise business days from and including the commencement date to, and including, the expiration date, in the case of an American style option.

• The latest time for expiration on expirationDate.

• As defined in the 2000 ISDA Definitions, Section 12.3. Partial Exercise, the buyer of the option has the right to exercise all or less than all the notional amount of the underlying swap on the expiration date, but may not exercise less than the minimum notional amount, and if an integral multiple amount is specified, the notional amount exercised must be equal to, or be an integral multiple of, the integral multiple amount.

• A fee to be paid on exercise. This could be represented as an amount or a rate and notional reference on which to apply the rate.

Used by:

europeanExercise

DTD Fragment:

<!ENTITY % FpML_EuropeanExercise "expirationDate , relevantUnderlyingDate? , earliestExerciseTime , expirationTime , partialExercise? , exerciseFee?">

An entity to define a fee to be payable on exercise of an option. This fee may be defined as an amount or a percentage of the notional exercised.

Figure:

Contents:

• 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.

• A pointer style reference to the associated notional schedule defined elsewhere in the document.

feeAmount (exactly one occurrence; of type decimal)



• The amount of fee to be paid on exercise. The currency of this fee is the currency of the referenced notional

feeRate (exactly one occurrence; of type decimal)



• A fee represented as a percentage of some referenced notional

• The date on which exercise fees will be paid. It can be specified as a relative date.

Used by:

exerciseFee

DTD Fragment:

<!ENTITY % FpML_ExerciseFee "payerPartyReference , receiverPartyReference , notionalReference , (feeAmount | feeRate) , feePaymentDate">

An entity to define a fee or schedule of fees to be payable on exercise of an option. This fee may be defined as an amount or a percentage of the notional exercised.

Figure:

Contents:

• 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.

• A pointer style reference to the associated notional schedule defined elsewhere in the document.

feeAmountSchedule (exactly one occurrence; contains the sub-element(s) defined by exactly one occurrence of the entity FpML_Schedule)



• A schedule of fee amounts to be paid on exercise. The currency of this fee is the currency of the referenced notional

feeRateSchedule (exactly one occurrence; contains the sub-element(s) defined by exactly one occurrence of the entity FpML_Schedule)



• A schedule of rates used to calculate an exercise fee based on the referenced notional.

• The date on which exercise fees will be paid. It can be specified as a relative date.

Used by:

exerciseFeeSchedule

DTD Fragment:

<!ENTITY % FpML_ExerciseFeeSchedule "payerPartyReference , receiverPartyReference , notionalReference , (feeAmountSchedule | feeRateSchedule) , feePaymentDate">

An entity to define to whom and where notice of exercise should be given. The partyReference refers to one of the principal parties of the trade. If present the exerciseNoticePartyReference refers to a party, other than the principal party, to whom notice should be given.

Figure:

Contents:

• A pointer style reference to a party identifier defined elsewhere in the document. The party referenced has allocated the trade identifier.

• A pointer style reference to a party identifier defined elsewhere in the document. The party referenced is the party to which notice of exercise should be given by the buyer.

Used by:

exerciseNotice

DTD Fragment:

<!ENTITY % FpML_ExerciseNotice "partyReference , exerciseNoticePartyReference? , businessCenter">

An entity to describe how notice of exercise should be given. This can either be manual or automatic.

Figure:

Contents:

manualExercise (exactly one occurrence; contains the sub-element(s) defined by exactly one occurrence of the entity FpML_ManualExercise)



• Specifies that the notice of exercise must be given by the buyer to the seller or seller's agent.

automaticExercise (exactly one occurrence; contains the sub-element(s) defined by exactly one occurrence of the entity FpML_AutomaticExercise)



• If automatic exercise is specified then the notional amount of the underlying swap, not previously exercised under the swaption, will be automatically exercised at the expiration time on the expiration date if at such time the buyer is in-the-money, provided that the difference between the settlement rate and the fixed rate under the relevant underlying swap is not less than the specified thresholdRate. The term In-the-money is assumed to have the meaning defined in the 2000 ISDA Definitions, Section 17.4. In-the-money.

• 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.

Used by:

exerciseProcedure

DTD Fragment:

<!ENTITY % FpML_ExerciseProcedure "(manualExercise | automaticExercise) , followUpConfirmation">

An entity for defining additional payments associated with a trade which are not defined as part of the stream payments. It may be used to define additional payments between the principal parties involved in the trade or other third parties such as a broker. This entity inherits from a base entity, FpML_Payment.

Figure:

Contents:

• An entity for defining a payment between two parties.

Used by:

additionalPayment
otherPartyPayment

DTD Fragment:

<!ENTITY % FpML_Fee "%FpML_Payment; , paymentType?">

An entity to define the source and time for an fx rate.

Figure:

Contents:

• The information source where a published or displayed market rate will be obtained, e.g. Telerate Page 3750.

• The time at which the spot currency exchange rate will be observed. It is specified as a time in a specific business center, e.g. 11:00 am London time.

Used by:

fxSpotRateSource

DTD Fragment:

<!ENTITY % FpML_FxSpotRateSource "informationSource , fixingTime">

An entity to define the source for a piece of information (eg a rate refix or a fx fixing).

Figure:

Contents:

Used by:

informationSource
primaryRateSource
secondaryRateSource

DTD Fragment:

<!ENTITY % FpML_InformationSource "rateSource , rateSourcePage? , rateSourcePageHeading?">

An entity for defining a time interval or offset, e.g. one day, three months. Used for specifying frequencies at which events occur, the tenor of a floating rate or an offset relative to another date.

Figure:

Contents:

• A time period multiplier, e.g. 1, 2 or 3 etc. A negative value can be used when specifying an offset relative to another date, e.g. -2 days. If the period value is T (Term) then periodMultiplier must contain the value 1.

Used by:

FpML_CalculationPeriodFrequency
FpML_Offset
FpML_ResetFrequency
indexTenor
paymentFrequency
quotedTenor
stepFrequency

DTD Fragment:

<!ENTITY % FpML_Interval "periodMultiplier , period">

An entity to define manual exercise. ie that option buyer counterparty must give notice to the option seller of exercise.

Figure:

Contents:

• Definition of the party to whom notice of exercise should be given.

• If fallback exercise is specified then the notional amount of the underlying swap, not previously exercised under the swaption, will be automatically exercised at the expiration time on the expiration date if at such time the buyer is in-the-money, provided that the difference between the settlement rate and the fixed rate under the relevant underlying swap is not less than one tenth of a percentage point (0.10% or 0.001). The term In-the-money is assumed to have the meaning defined in the 2000 ISDA Definitions, Section 17.4. In-the-money.

Used by:

manualExercise

DTD Fragment:

<!ENTITY % FpML_ManualExercise "exerciseNotice? , fallbackExercise?">

An entity for defining the agreement executed between the parties and intended to govern all OTC derivatives transactions between those parties.

Figure:

Contents:

Used by:

masterAgreement

DTD Fragment:

<!ENTITY % FpML_MasterAgreement "masterAgreementType , masterAgreementDate?">

An entity for defining a currency amount.

Figure:

Contents:

Used by:

FpML_FXOptionPayout
callCurrencyAmount
notional
paymentAmount
premiumAmount
putCurrencyAmount
splitSettlementAmount
stubAmount

DTD Fragment:

<!ENTITY % FpML_Money "currency , amount">

An entity to define multiple exercise. As defined in the 2000 ISDA Definitions, Section 12.4. Multiple Exercise, the buyer of the option has the right to exercise all or less than all the unexercised notional amount of the underlying swap on one or more days in the exercise period, but on any such day may not exercise less than the minimum notional amount or more than the maximum notional amount, and if an integral multiple amount is specified, the notional amount exercised must be equal to, or be an integral multiple of, the integral multiple amount.

Figure:

Contents:

• An entity to define partial exercise. As defined in the 2000 ISDA Definitions, Section 12.3 Partial Exercise, the buyer of the option may exercise all or less than all the notional amount of the underlying swap but may not be less than the minimum notional amount (if specified) and must be an integral multiple of the integral multiple amount if specified.

• The maximum notional amount that can be exercised on a given exercise date.

Used by:

multipleExercise

DTD Fragment:

<!ENTITY % FpML_MultipleExercise "%FpML_PartialExercise; , maximumNotionalAmount?">

An entity for defining an offset used in calculating a new date relative to a reference date. Currently, the only offsets defined are expected to be expressed as either calendar or business day offsets. This entity inherits from a base entity, FpML_Interval.

Figure:

Contents:

• An entity for defining a time interval or offset, e.g. one day, three months. Used for specifying frequencies at which events occur, the tenor of a floating rate or an offset relative to another date.

Used by:

FpML_RelativeDateOffset
paymentDaysOffset
rateCutOffDaysOffset

DTD Fragment:

<!ENTITY % FpML_Offset "(%FpML_Interval; , dayType?)">

An entity to define partial exercise. As defined in the 2000 ISDA Definitions, Section 12.3 Partial Exercise, the buyer of the option may exercise all or less than all the notional amount of the underlying swap but may not be less than the minimum notional amount (if specified) and must be an integral multiple of the integral multiple amount if specified.

Figure:

Contents:

• A pointer style reference to the associated notional schedule defined elsewhere in the document.

• A notional amount which restricts the amount of notional that can be exercised when partial exercise or multiple exercise is applicable. The integral multiple amount defines a lower limit of notional that can be exercised and also defines a unit multiple of notional that can be exercised, i.e. only integer multiples of this amount can be exercised.

• The minimum notional amount that can be exercised on a given exercise date. See multipleExercise.

Used by:

FpML_MultipleExercise
partialExercise

DTD Fragment:

<!ENTITY % FpML_PartialExercise "notionalReference+ , integralMultipleAmount? , minimumNotionalAmount">

An entity for defining a payment between two parties.

Figure:

Contents:

• 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.

• The adjusted payment date. This date should already be adjusted for any applicable business day convention.

Used by:

FpML_CurrencyFlow
FpML_Fee
payment
premium

DTD Fragment:

<!ENTITY % FpML_Payment "payerPartyReference , receiverPartyReference , paymentAmount , paymentDate? , adjustedPaymentDate?">

The base entity which all FpML products extend.

Figure:

Contents:

Used by:

FpML_BulletPayment
FpML_CapFloor
FpML_EquityOption
FpML_Fra
FpML_FXAverageRateOption
FpML_FXDigitalOption
FpML_FXLeg
FpML_FXOptionLeg
FpML_FXSwap
FpML_Strategy
FpML_Swap
FpML_Swaption

DTD Fragment:

<!ENTITY % FpML_Product "productType?,productId*">

An entity for defining parameters associated with an individual rate observation or fixing. This entity forms part of the cashflows representation of a stream.

Figure:

Contents:

• The adjusted fixing date, i.e. the actual date the rate is observed. This date should already be adjusted for any applicable business day convention.

• The actual observed rate before any required rate treatment is applied, e.g. before converting a rate quoted on a discount basis to an equivalent yield. An observed rate of 5% would be represented as 0.05.

• The observed rate after any required rate treatment is applied. A treated rate of 5% would be represented as 0.05.

• The number of days weighting to be associated with the rate observation, i.e. the number of days such rate is in effect. This is applicable in the case of a weighted average method of calculation where more than one reset date is established for a single calculation period.

• A pointer style reference to a floating rate component defined as part of a stub calculation period amount component. It is only required when it is necessary to distinguish two rate observations for the same fixing date which could occur when linear interpolation of two different rates occurs for a stub calculation period.

Used by:

rateObservation

DTD Fragment:

<!ENTITY % FpML_RateObservation "adjustedFixingDate , observedRate? , treatedRate? , observationWeight , rateReference?">

An entity to describe institution (party) identified by means of a coding scheme and an optional name.

Figure:

Contents:

Used by:

referenceBank

DTD Fragment:

<!ENTITY % FpML_ReferenceBank "referenceBankId , referenceBankName?">

An entity for defining a date (referred to as the derived date) as a relative offset from another date (referred to as the anchor date). If the anchor date is itself an adjustable date then the offset is assumed to be calculated from the adjusted anchor date. A number of different scenarios can be supported, namely; 1) the derived date may simply be a number of calendar periods (days, weeks, months or years) preceding or following the anchor date; 2) the unadjusted derived date may be a number of calendar periods (days, weeks, months, years) preceding or following the anchor date with the resulting unadjusted derived date subject to adjustment in accordance with a specified business day convention, i.e. the derived date must fall on a good business day; 3) the derived date may be a number of business days preceding or following the anchor date. Note that the businessDayConvention element specifies any required adjustment to the unadjusted derived date. A negative or positive value in the periodMultiplier element indicates whether the unadjusted derived date precedes or follows the anchor date. The businessDayConvention element should contain a value of NONE if the dayType element contains a value of Business (since specifying a negative or positive business days offset would already guarantee that the derived date would fall on a good business day in the specified business centers).

Figure:

Contents:

• An entity for defining an offset used in calculating a new date relative to a reference date. Currently, the only offsets defined are expected to be expressed as either calendar or business day offsets. This entity inherits from a base entity, FpML_Interval.

Used by:

FpML_RelativeDates
cashSettlementValuationDate
feePaymentDate
fixingDateOffset
fixingDates
relativeDate
settlementDate
varyingNotionalFixingDates
varyingNotionalInterimExchangePaymentDates

DTD Fragment:

<!ENTITY % FpML_RelativeDateOffset "(%FpML_Offset; , businessDayConvention , (businessCentersReference | businessCenters)? , dateRelativeTo)">

An entity to define a set of dates defined as relative to another set of dates.

Figure:

Contents:

• An entity for defining a date (referred to as the derived date) as a relative offset from another date (referred to as the anchor date). If the anchor date is itself an adjustable date then the offset is assumed to be calculated from the adjusted anchor date. A number of different scenarios can be supported, namely; 1) the derived date may simply be a number of calendar periods (days, weeks, months or years) preceding or following the anchor date; 2) the unadjusted derived date may be a number of calendar periods (days, weeks, months, years) preceding or following the anchor date with the resulting unadjusted derived date subject to adjustment in accordance with a specified business day convention, i.e. the derived date must fall on a good business day; 3) the derived date may be a number of business days preceding or following the anchor date. Note that the businessDayConvention element specifies any required adjustment to the unadjusted derived date. A negative or positive value in the periodMultiplier element indicates whether the unadjusted derived date precedes or follows the anchor date. The businessDayConvention element should contain a value of NONE if the dayType element contains a value of Business (since specifying a negative or positive business days offset would already guarantee that the derived date would fall on a good business day in the specified business centers).

• The number of periods in the referenced date schedule that are between each date in the relative date schedule. Thus a skip of 2 would mean that dates are relative to every second date in the referenced schedule. If present this should have a value greater than 1.

• The first and last dates of a schedule. This can be used to restrict the range of values in a reference series of dates.

Used by:

relativeDates

DTD Fragment:

<!ENTITY % FpML_RelativeDates "(%FpML_RelativeDateOffset; , periodSkip? , scheduleBounds?)">

An entity for defining a rounding direction and precision to be used in the rounding of a rate.

Figure:

Contents:

Used by:

finalRateRounding

DTD Fragment:

<!ENTITY % FpML_Rounding "roundingDirection , precision">

An entity for defining a schedule of rate or amounts in terms of an initial value and then a series of step date and value pairs. On each step date the rate or amount changes to the new step value. The series of step date and value pairs are optional. If not specified, this implies that the initial value remains unchanged over time.

Figure:

Contents:

• The initial rate or amount, as the case may be. An initial rate of 5% would be represented as 0.05.

• The schedule of step date and value pairs. On each step date the associated step value becomes effective A list of steps may be ordered in the document by ascending step date. An FpML document containing an unordered list of steps is still regarded as a conformant document.

Used by:

FpML_AmountSchedule
FpML_StrikeSchedule
feeAmountSchedule
feeRateSchedule
fixedRateSchedule
floatingRateMultiplierSchedule
spreadSchedule

DTD Fragment:

<!ENTITY % FpML_Schedule "initialValue , step*">

TBA

Figure:

Contents:

• The first day of the exercise period for an American style option.

• 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.

• For a Bermuda or American style options, the latest time on an exercise business day (excluding the expiration date) within the exercise period that notice of exercise can be given by buyer to the seller or seller's agent. Notice of exercise given after this time will be deemed to have been given on the next exercise business day.

Used by:

FpML_EquityAmericanExercise

DTD Fragment:

<!ENTITY % FpML_SharedAmericanExercise "commencementDate , expirationDate , latestExerciseTime?">

An entity for defining a step date and step value pair. These step definitions are used to define varying rate or amount schedules, e.g. a notional amortization or a step-up coupon schedule.

Figure:

Contents:

• The date on which the associated stepValue becomes effective. This day may be subject to adjustment in accordance with a business day convention.

• The rate or amount which becomes effective on the associated stepDate. A rate of 5% would be represented as 0.05.

Used by:

step

DTD Fragment:

<!ENTITY % FpML_Step "stepDate , stepValue">

TBA

Figure:

Contents:

• The rate for a cap or floor.

Used by:

capRate
floorRate

DTD Fragment:

<!ENTITY % FpML_Strike "strikeRate , buyer? , seller?">

TBA

Figure:

Contents:

• An entity for defining a schedule of rate or amounts in terms of an initial value and then a series of step date and value pairs. On each step date the rate or amount changes to the new step value. The series of step date and value pairs are optional. If not specified, this implies that the initial value remains unchanged over time.

Used by:

capRateSchedule
floorRateSchedule

DTD Fragment:

<!ENTITY % FpML_StrikeSchedule "(%FpML_Schedule; , buyer? , seller?)">