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
This section contains twenty three example FpML trades related to FX and FX OTC options. Each example illustrates how different product features are modeled in FpML.
The sample xml documents are available for download from the fpml.org website.
File: fx_example_1.xml
On 23 October, 2001, Citibank New York and Barclay's London agree to a foreign exchange trade. The terms of the contract are:
File: fx_example_2.xml
On 23 October, 2001, Chase New York and CSFB New York agree to a foreign exchange trade. The terms of the contract are similar to Example 1, but in this case, the currencies exchanged are EUR and GBP. Both of these institutions are USD-based, so rates against the base currency (USD) have been captured as well. The terms of the contract are:
File: fx_example_3.xml
On 19 November, 2001, ABN Amro and DeutscheBank agree to a one-month forward foreign exchange contract. The terms of the contract are:
File: fx_example_4.xml
On 12 November, 2001, UBS Zurich and Citibank New York agree to a foreign exchange contract. The terms of the contract are:
Settlement is highlighted in this example. In this case, UBS pays the GBP from their account at UBS London to Citi's GBP account at Citi London, with the ultimate beneficiary being Citi New York.
For the USD, Citi pays the USD to ultimate beneficiary UBS Zurich, but in this case, UBS Zurich holds its USD at Citibank, and therefore UBS' account as Citibank is credited.
File: fx_example_5.xml
This is identical to Example 3, but the standard settlement scheme is used to highlight that this trade will be paid using standard, pre-agreed settlement instructions.
File: fx_example_6.xml
On 12 November, 2001, DeutscheBank Frankfurt and ABN Amro Amsterdam agree to a forward foreign exchange contract. The terms of the contract are:
In this example, the exchange rate has been quoted as an "inverted" rate.
Split settlement is highlighted in this example in the payment of the USD. Here, the following has been specified:
The ultimate beneficiary is ABNANL2A for all USD payments, but 3 different accounts have been specified for settlement.
For the EUR, ABN pays all EUR to Deutsche, but specifies settlement of the EUR via a debit of ABN's account in EUR with Deutsche.
File: fx_example_7.xml
On 09 January, 2002, Chase New York and CSFB New York agree to a FX non-deliverable forward contract. The terms of the contract are:
File: fx_example_8.xml
On 23 January, 2002, Chase New York and Deutsche Frankfurt agree to an FX swap contract. The terms of the contract are:
File: fx_example_9.xml
On 4 December, 2001, Chase agrees to purchase a standard FX OTC option from ABN Amro. The terms of the contract are:
File: fx_example_10.xml
On 4 December, 2001, Chase agrees to purchase a standard FX OTC option from ABN Amro. The terms of the contract are:
File: fx_example_11.xml
On 15 January, 2001, Chase agrees to purchase a non-deliverable FX OTC USD / VEB option from ABN Amro. The terms of the contract are:
File: fx_example_12.xml
On 16 August, 2001, DB agrees to purchase a EUR call against USD put barrier option with a knock-in
File: fx_example_13.xml
On 3 January, 2001, DB agrees to purchase a 2-month double knockout FX OTC JPY put / USD call option from Chase The terms of the contract are:
File: fx_example_14.xml
On 12 November, 2001, UBS agrees to purchase a two-week GBP/USD European binary option and pays a premium. At expiry, if the spot rate is above the trigger rate, UBS receives a payout.
File: fx_example_15.xml
On 12 November, 2001, UBS agrees to purchase a two-week GBP/USD European range binary option and pays a premium. At expiry, if below the higher trigger rate and above the lower trigger rate, UBS receives a payout.
File: fx_example_16.xml
On 12 November, 2001, UBS agrees to purchase a two-week GBP/USD one-touch option and pays a premium. At any time before expiry, if the spot rate is above the trigger rate, UBS receives a payout, but this payout is deferred until the value date of the option.
File: fx_example_17.xml
On 12 November, 2001, UBS agrees to purchase a two-week GBP/USD no-touch option and pays a premium. If the spot rate remains below the trigger rate at all times until expiry, UBS receives a payout.
File: fx_example_18.xml
On 12 November, 2001, UBS agrees to purchase a two-week GBP/USD double one-touch option and pays a premium. UBS receives a payout at maturity if the spot rate has crossed either trigger rate at some time during the lifetime of the option.
File: fx_example_19.xml
On 12 November, 2001, UBS agrees to purchase a two-week GBP/USD double no-touch option and pays a premium. If the spot rate remains below the upper trigger rate and above the lower trigger rate at all times until expiry, UBS receives a payout.
File: fx_example_20.xml
On 16 August, 2001, DB agrees to purchase an average rate option from Chase and pays a premium. The terms of the contract are:
File: fx_example_21.xml
This example is identical to Example 20. Instead of using a parametric frequency (e.g., daily), each specific observation date has been specified. All weighting factors are 1.0, since all rates would be weighted evenly when the average rate is computed upon expiry.
File: fx_example_22.xml
On 20 November 2001, Chase agrees to purchase a straddle from ABN Amro. A straddle consists of buying a call and a put for the same currency pair, at the same strike price.
This contains two instances of the fxSimpleOption structure within strategy. Note that this is used when a single trade reference number is desired.
File: fx_example_23.xml
On 4 December, 2001, Chase agrees to purchase an FX OTC European option from ABN Amro. At the same time, they agree to hedge their FX spot risk by doing a FX spot transaction. This is all part of a single trade strategy.