Copyright 1999 - 2003. 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
| Element/Description | Used By |
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additionalPayment ; entity type: FpML_Fee Additional payments between the principal parties. Source: fpml-dtd-ird-3-0.dtd |
FpML_Swap FpML_CapFloor |
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adjustableDate ; entity type: 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. Source: fpml-dtd-shared-3-0.dtd |
FpML_AdjustableOrRelativeDate |
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adjustableDates ; entity type: 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. Source: fpml-dtd-shared-3-0.dtd |
FpML_AdjustableOrRelativeDates FpML_CashSettlementPaymentDate |
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adjustedCashSettlementPaymentDate ; built-in datatype: date The date on which the cash settlement amount is paid. This date should already be adjusted for any applicable business day convention. Source: fpml-dtd-ird-3-0.dtd |
FpML_EarlyTerminationEvent FpML_ExerciseEvent FpML_MandatoryEarlyTerminationAdjustedDates |
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adjustedCashSettlementValuationDate ; built-in datatype: date The date by which the cash settlement amount must be agreed. This date should already be adjusted for any applicable business day convention. Source: fpml-dtd-ird-3-0.dtd |
FpML_EarlyTerminationEvent FpML_ExerciseEvent FpML_MandatoryEarlyTerminationAdjustedDates |
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adjustedEarlyTerminationDate ; built-in datatype: date The early termination date that is applicable if an early termination provision is exercised. This date should already be adjusted for any applicable business day convention. Source: fpml-dtd-ird-3-0.dtd |
FpML_CancellationEvent FpML_EarlyTerminationEvent FpML_MandatoryEarlyTerminationAdjustedDates |
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adjustedEffectiveDate ; built-in datatype: date 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. Source: fpml-dtd-ird-3-0.dtd |
FpML_Fra |
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adjustedEndDate ; built-in datatype: date The calculation period end date, adjusted according to any relevant business day convention. Source: fpml-dtd-ird-3-0.dtd |
FpML_CalculationPeriod |
|
adjustedExerciseDate ; built-in datatype: date The date on which option exercise takes place. This date should already be adjusted for any applicable business day convention. Source: fpml-dtd-ird-3-0.dtd |
FpML_CancellationEvent FpML_EarlyTerminationEvent FpML_ExerciseEvent FpML_ExtensionEvent |
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adjustedExerciseFeePaymentDate ; built-in datatype: date The date on which the exercise fee amount is paid. This date should already be adjusted for any applicable business day convention. Source: fpml-dtd-ird-3-0.dtd |
FpML_EarlyTerminationEvent FpML_ExerciseEvent |
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adjustedExtendedTerminationDate ; built-in datatype: date The termination date if an extendible provision is exercised. This date should already be adjusted for any applicable business day convention. Source: fpml-dtd-ird-3-0.dtd |
FpML_ExtensionEvent |
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adjustedFixingDate ; built-in datatype: date 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. Source: fpml-dtd-shared-3-0.dtd |
FpML_RateObservation |
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adjustedFxSpotFixingDate ; built-in datatype: date The date on which the fx spot rate is observed. This date should already be adjusted for any applicable business day convention. Source: fpml-dtd-ird-3-0.dtd |
FpML_FxLinkedNotionalAmount |
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adjustedPaymentDate ; built-in datatype: date The adjusted payment date. This date should already be adjusted for any applicable business day convention. Source: fpml-dtd-shared-3-0.dtd |
FpML_Payment FpML_PaymentCalculationPeriod |
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adjustedPrincipalExchangeDate ; built-in datatype: date The principal exchange date. This date should already be adjusted for any applicable business day convention. Source: fpml-dtd-ird-3-0.dtd |
FpML_PrincipalExchange |
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adjustedRelevantSwapEffectiveDate ; built-in datatype: date The effective date of the underlying swap associated with a given exercise date. This date should already be adjusted for any applicable business day convention. Source: fpml-dtd-ird-3-0.dtd |
FpML_ExerciseEvent |
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adjustedStartDate ; built-in datatype: date The calculation period start date, adjusted according to any relevant business day convention. Source: fpml-dtd-ird-3-0.dtd |
FpML_CalculationPeriod |
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adjustedTerminationDate ; built-in datatype: date The end date of the calculation period. This date should already be adjusted for any applicable business day convention. Source: fpml-dtd-ird-3-0.dtd |
FpML_Fra |
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americanExercise ; entity type: FpML_AmericanExercise The parameters 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. Source: fpml-dtd-shared-3-0.dtd |
FpML_ExerciseSelection |
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amount ; built-in datatype: decimal The monetary quantity in currency units. Source: fpml-dtd-shared-3-0.dtd |
FpML_Money |
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automaticExercise ; entity type: 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. Source: fpml-dtd-shared-3-0.dtd |
FpML_ExerciseProcedure |
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automaticExerciseApplicable ; built-in datatype: boolean 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. Source: fpml-dtd-eqd-3-0.dtd |
FpML_EquityExercise |
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averageRateObservationDate ; entity type: FpML_FXAverageRateObservationDate One of more specific rate observation dates. Source: fpml-dtd-fx-3-0.dtd |
FpML_FXAverageRateOption |
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averageRateObservationSchedule ; entity type: FpML_FXAverageRateObservationSchedule Parametric schedule of rate observations. Source: fpml-dtd-fx-3-0.dtd |
FpML_FXAverageRateOption |
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averageRateQuoteBasis ; built-in datatype: string ; coding scheme: strikeQuoteBasisScheme The method by which the average rate that is being observed is quoted. Source: fpml-dtd-fx-3-0.dtd |
FpML_FXAverageRateOption |
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averageRateWeightingFactor ; built-in datatype: decimal An optional factor that can be used for weighting certain observation dates. Typically, firms will weight each date with a factor of 1 if there are standard, unweighted adjustments. Source: fpml-dtd-fx-3-0.dtd |
FpML_FXAverageRateObservationDate |
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averagingMethod ; built-in datatype: string ; coding scheme: averagingMethodScheme If averaging is applicable, this element specifies whether a weighted or unweighted average method of calculation is to be used. The element must only be included when averaging applies. Source: fpml-dtd-ird-3-0.dtd |
FpML_FloatingRateCalculation |
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baseCurrency ; built-in datatype: string ; coding scheme: currencyScheme The currency that is used as the basis for the side rates when calculating a cross rate. Source: fpml-dtd-fx-3-0.dtd |
FpML_SideRates |
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beneficiary ; entity type: FpML_Routing The ultimate beneficiary of the funds. The beneficiary can be identified either by an account at the beneficiaryBank (qv) or by explicit routingInformation. This element provides for the latter. Source: fpml-dtd-fx-3-0.dtd |
FpML_SettlementInstruction FpML_SplitSettlement |
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beneficiaryBank ; entity type: FpML_Routing The bank that acts for the ultimate beneficiary of the funds in receiving payments. Source: fpml-dtd-fx-3-0.dtd |
FpML_SettlementInstruction FpML_SplitSettlement |
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bermudaExercise ; entity type: FpML_BermudaExercise The parameters for defining the exercise period for a Bermuda 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. Source: fpml-dtd-shared-3-0.dtd |
FpML_ExerciseSelection |
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bermudaExerciseDates ; entity type: FpML_AdjustableOrRelativeDates 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. Source: fpml-dtd-shared-3-0.dtd |
FpML_BermudaExercise |
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bulletPayment ; entity type: FpML_BulletPayment A product to represent one or more known payments. Source: fpml-dtd-ird-3-0.dtd |
FpML_ProductSelection |
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businessCenter ; built-in datatype: string ; coding scheme: businessCenterScheme A code identifying a financial business center location. A list of business centers may be ordered in the document alphabetically based on business center code. An FpML document containing an unordered business center list is still regarded as a conformant document. Source: fpml-dtd-shared-3-0.dtd |
FpML_BusinessCenters FpML_BusinessCenterTime FpML_ExerciseNotice |
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businessCenters ; entity type: FpML_BusinessCenters A container for a set of financial business centers. This set of business centers is used to determine whether a day is a business day or not. Source: fpml-dtd-shared-3-0.dtd |
FpML_BusinessDayAdjustments FpML_RelativeDateOffset FpML_BusinessDateRange |
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businessCentersReference ; empty element A pointer style reference to a set of financial business centers defined elsewhere in the document. This set of business centers is used to determine whether a particular day is a business day or not. Source: fpml-dtd-shared-3-0.dtd |
FpML_BusinessDayAdjustments FpML_RelativeDateOffset FpML_BusinessDateRange |
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businessDateRange ; entity type: FpML_BusinessDateRange A range of contiguous business days. Source: fpml-dtd-shared-3-0.dtd |
FpML_CashSettlementPaymentDate |
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businessDayConvention ; built-in datatype: string ; coding scheme: businessDayConventionScheme The convention for adjusting a date if it would otherwise fall on a day that is not a business day. (FpML_BusinessDayAdjustments usage) If the business day convention value is NONE then neither the businessCentersReference or businessCenters element should be included (FpML_RelativeDateOffset usage) If the business day convention value is NONE then the businessCentersReference or businessCenters element should still be included if the dayType element contains a value of Business since the business centers defined are those used for determining good business days. Source: fpml-dtd-shared-3-0.dtd |
FpML_BusinessDayAdjustments FpML_RelativeDateOffset FpML_BusinessDateRange |
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buyer ; built-in datatype: string ; coding scheme: payerReceiverScheme The buyer of the option Source: fpml-dtd-shared-3-0.dtd |
FpML_Strike FpML_StrikeSchedule |
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buyerParty ; entity type: FpML_PartyDetails The party buying the option. Source: fpml-dtd-eqd-3-0.dtd |
FpML_EquityOption |
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buyerPartyReference ; empty element A pointer style reference to a party identifier defined elsewhere in the document. The party referenced is the buyer of the instrument. (FpML_SinglePartyOption usage) The ISDA defined Buyer. The party referenced holds the right, upon exercise, to terminate the Swap Transaction in whole or in part (depending on whether partial exercise is applicable). Source: fpml-dtd-shared-3-0.dtd |
FpML_FXOptionLeg FpML_FXDigitalOption FpML_FXAverageRateOption FpML_Fra FpML_CancelableProvision FpML_ExtendibleProvision FpML_SinglePartyOption FpML_Swaption |
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calculatedRate ; built-in datatype: decimal The final calculated rate for a calculation period after any required averaging of rates. A calculated rate of 5% would be represented as 0.05. Source: fpml-dtd-ird-3-0.dtd |
FpML_FloatingRateDefinition |
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calculation ; entity type: FpML_Calculation The parameters used in the calculation of fixed or floating rate calculation period amounts. Source: fpml-dtd-ird-3-0.dtd |
FpML_CalculationPeriodAmount |
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calculationAgent ; entity type: FpML_CalculationAgent The ISDA Calculation Agent responsible for performing duties associated with an optional early termination. Source: fpml-dtd-shared-3-0.dtd |
FpML_MandatoryEarlyTermination FpML_OptionalEarlyTermination FpML_Trade |
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calculationAgentParty ; built-in datatype: string ; coding scheme: 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. Source: fpml-dtd-shared-3-0.dtd |
FpML_CalculationAgent |
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calculationAgentPartyReference ; empty element 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. Source: fpml-dtd-shared-3-0.dtd |
FpML_CalculationAgent FpML_Swaption FpML_TradeHeader |
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calculationPeriod ; entity type: FpML_CalculationPeriod The parameters used in the calculation of a fixed or floating rate calculation period amount. A list of calculation period elements may be ordered in the document by ascending adjusted start date. An FpML document which contains an unordered list of calculation periods is still regarded as a conformant document. Source: fpml-dtd-ird-3-0.dtd |
FpML_PaymentCalculationPeriod |
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calculationPeriodAmount ; entity type: FpML_CalculationPeriodAmount The calculation period amount parameters. Source: fpml-dtd-ird-3-0.dtd |
FpML_InterestRateStream |
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calculationPeriodDates ; entity type: FpML_CalculationPeriodDates The calculation periods dates schedule. Source: fpml-dtd-ird-3-0.dtd |
FpML_InterestRateStream |
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calculationPeriodDatesAdjustments ; entity type: FpML_BusinessDayAdjustments The business day convention to apply to each calculation period end date if it would otherwise fall on a day that is not a business day in the specified financial business centers. Source: fpml-dtd-ird-3-0.dtd |
FpML_CalculationPeriodDates |
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calculationPeriodDatesReference ; empty element A pointer style reference to the associated calculation period dates component defined elsewhere in the document. Source: fpml-dtd-ird-3-0.dtd |
FpML_NotionalStepRule FpML_PaymentDates FpML_ResetDates FpML_StubCalculationPeriodAmount |
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calculationPeriodFrequency ; entity type: FpML_CalculationPeriodFrequency The frequency at which calculation period end dates occur within the regular part of the calculation period schedule and their roll date convention. Source: fpml-dtd-shared-3-0.dtd |
FpML_FXAverageRateObservationSchedule FpML_CalculationPeriodDates |
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calculationPeriodNumberOfDays ; built-in datatype: positiveInteger The number of days from the adjusted effective / start date to the adjusted termination / end date calculated in accordance with the applicable day count fraction. Source: fpml-dtd-ird-3-0.dtd |
FpML_CalculationPeriod FpML_Fra |
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callCurrencyAmount ; entity type: FpML_Money The currency amount that the option gives the right to buy. Source: fpml-dtd-fx-3-0.dtd |
FpML_FXOptionLeg FpML_FXAverageRateOption |
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cancelableProvision ; entity type: FpML_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. Source: fpml-dtd-ird-3-0.dtd |
FpML_Swap |
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cancelableProvisionAdjustedDates ; entity type: FpML_CancelableProvisionAdjustedDates The adjusted dates associated with a cancelable provision. These dates have been adjusted for any applicable business day convention. Source: fpml-dtd-ird-3-0.dtd |
FpML_CancelableProvision |
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cancellationEvent ; entity type: FpML_CancellationEvent The adjusted dates for an individual cancellation date. Source: fpml-dtd-ird-3-0.dtd |
FpML_CancelableProvisionAdjustedDates |
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capFloor ; entity type: FpML_CapFloor A cap, floor or cap floor structures product definition. Source: fpml-dtd-ird-3-0.dtd |
FpML_ProductSelection |
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capFloorStream ; entity type: FpML_InterestRateStream A cap, floor or cap floor structure stream. Source: fpml-dtd-ird-3-0.dtd |
FpML_CapFloor |
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capRate ; entity type: FpML_Strike The cap rate, if any, which applies to the floating rate for the calculation period. The cap rate (strike) is only required where the floating rate on a swap stream is capped at a certain strike level. The cap rate is assumed to be exclusive of any spread and is a per annum rate, expressed as a decimal. A cap rate of 5% would be represented as 0.05. Source: fpml-dtd-ird-3-0.dtd |
FpML_FloatingRateDefinition |
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capRateSchedule ; entity type: FpML_StrikeSchedule The cap rate or cap rate schedule, if any, which applies to the floating rate. The cap rate (strike) is only required where the floating rate on a swap stream is capped at a certain strike level. A cap rate schedule is expressed as explicit cap rates and dates and the step dates may be subject to adjustment in accordance with any adjustments specified in calculationPeriodDatesAdjustments. The cap rate is assumed to be exclusive of any spread and is a per annum rate, expressed as a decimal. A cap rate of 5% would be represented as 0.05. Source: fpml-dtd-ird-3-0.dtd |
FpML_FloatingRate |
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cashflows ; entity type: FpML_Cashflows The cashflows representation of the swap stream. Source: fpml-dtd-ird-3-0.dtd |
FpML_InterestRateStream |
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cashflowsMatchParameters ; built-in datatype: boolean A true/false flag to indicate whether the cashflows match the parametric definition of the stream, i.e. whether the cashflows could be regenerated from the parameters without loss of information. Source: fpml-dtd-ird-3-0.dtd |
FpML_Cashflows |
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cashPriceAlternateMethod ; entity type: FpML_CashPriceMethod An ISDA defined cash settlement method used for the determination of the applicable cash settlement amount. The method is defined in the 2000 ISDA Definitions, Section 17.3. Cash Settlement Methods, paragraph (b). Source: fpml-dtd-ird-3-0.dtd |
FpML_CashSettlement |
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cashPriceMethod ; entity type: FpML_CashPriceMethod An ISDA defined cash settlement method used for the determination of the applicable cash settlement amount. The method is defined in the 2000 ISDA Definitions, Section 17.3. Cash Settlement Methods, paragraph (a). Source: fpml-dtd-ird-3-0.dtd |
FpML_CashSettlement |
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cashSettlement ; entity type: FpML_CashSettlement If specified, this means that cash settlement is applicable to the transaction and defines the parameters associated with the cash settlement procedure. If not specified, then physical settlement is applicable. Source: fpml-dtd-ird-3-0.dtd |
FpML_MandatoryEarlyTermination FpML_OptionalEarlyTermination FpML_Swaption |
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cashSettlementCurrency ; built-in datatype: string ; coding scheme: currencyScheme The currency in which the cash settlement amount will be specified. Source: fpml-dtd-ird-3-0.dtd |
FpML_CashPriceMethod |
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cashSettlementPaymentDate ; entity type: FpML_CashSettlementPaymentDate The date on which the cash settlement amount will be paid, subject to adjustment in accordance with any applicable business day convention. This element would not be present for a mandatory early termination provision where the cash settlement date is the mandatory early termination date. Source: fpml-dtd-ird-3-0.dtd |
FpML_CashSettlement |
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cashSettlementReferenceBanks ; entity type: FpML_CashSettlementReferenceBanks A container for a set of reference institutions. These reference institutions may be called upon to provide rate quotations as part of the method to determine the applicable cash settlement amount. If institutions are not specified, it is assumed that reference institutions will be agreed between the parties on the exercise date, or in the case of swap transaction to which mandatory early termination is applicable, the cash settlement valuation date. Source: fpml-dtd-ird-3-0.dtd |
FpML_CashPriceMethod FpML_SettlementRateSource |
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cashSettlementTerms ; entity type: FpML_FXCashSettlement This optional element is only used if an option has been specified at execution time to be settled into a single cash payment. This would be used for a non-deliverable option. Source: fpml-dtd-fx-3-0.dtd |
FpML_FXOptionLeg |
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cashSettlementValuationDate ; entity type: FpML_RelativeDateOffset The date on which the cash settlement amount will be determined according to the cash settlement method if the parties have not otherwise been able to agree the cash settlement amount. Source: fpml-dtd-ird-3-0.dtd |
FpML_CashSettlement |
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cashSettlementValuationTime ; entity type: FpML_BusinessCenterTime The time on the cash settlement valuation date when the cash settlement amount will be determined according to the cash settlement method if the parties have not otherwise been able to agree the cash settlement amount. Source: fpml-dtd-ird-3-0.dtd |
FpML_CashSettlement |
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city ; built-in datatype: string The city component of a postal address. Source: fpml-dtd-fx-3-0.dtd |
FpML_Address |
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clearanceSystem ; built-in datatype: string ; coding scheme: clearanceSystemScheme Unless otherwise specified, the principal clearance system customarily used for settling trades in the relevant underlying. Source: fpml-dtd-eqd-3-0.dtd |
FpML_Equity |
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commencementDate ; entity type: FpML_AdjustableOrRelativeDate The first day of the exercise period for an American style option. Source: fpml-dtd-shared-3-0.dtd |
FpML_SharedAmericanExercise FpML_AmericanExercise |
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compoundingMethod ; built-in datatype: string ; coding scheme: compoundingMethodScheme If more than one calculation period contributes to a single payment amount this element specifies whether compounding is applicable, and if so, what compounding method is to be used. This element must only be included when more than one calculation period contributes to a single payment amount. Source: fpml-dtd-ird-3-0.dtd |
FpML_Calculation |
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confirmationSenderPartyReference ; empty element The party that is sending the current document as a confirmation of the trade. Source: fpml-dtd-fx-3-0.dtd |
FpML_FXLeg |
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constantNotionalScheduleReference ; empty element A pointer style reference to the associated constant notional schedule defined elsewhere in the document which contains the currency amounts which will be converted into the varying notional currency amounts using the spot currency exchange rate. Source: fpml-dtd-ird-3-0.dtd |
FpML_FxLinkedNotionalSchedule |
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contractualDefinitions ; entity type: FpML_Definitions ; coding scheme: contractualDefinitionsScheme The definitions (such as those published by ISDA) published by ISDA that will define the terms of the trade. Source: fpml-dtd-shared-3-0.dtd |
FpML_Documentation |
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correspondentInformation ; entity type: FpML_Routing The information required to identify the correspondent bank that will make delivery of the funds on the paying bank's behalf in the country where the payment is to be made Source: fpml-dtd-fx-3-0.dtd |
FpML_SettlementInstruction |
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country ; built-in datatype: string ; coding scheme: countryScheme The ISO 3166 standard code for the country within which the postal address is located. Source: fpml-dtd-fx-3-0.dtd |
FpML_Address |
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creditSupportDocument ; built-in datatype: string The agreement executed between the parties and intended to govern collateral arrangement for all OTC derivatives transactions between those parties. Source: fpml-dtd-shared-3-0.dtd |
FpML_Documentation |
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currency ; built-in datatype: string ; coding scheme: currencyScheme The currency in which an amount is denominated. Source: fpml-dtd-shared-3-0.dtd |
FpML_Money FpML_AmountSchedule FpML_SideRate FpML_EquityStrike FpML_Equity |
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currency1 ; built-in datatype: string ; coding scheme: currencyScheme The first currency specified when a pair of currencies is to be evaluated. Source: fpml-dtd-fx-3-0.dtd |
FpML_QuotedCurrencyPair |
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currency1SideRate ; entity type: FpML_SideRate The exchange rate for the first currency of the trade against base currency. Source: fpml-dtd-fx-3-0.dtd |
FpML_SideRates |
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currency1ValueDate ; built-in datatype: date The date on which the currency1 amount will be settled. To be used in a split value date scenario. Source: fpml-dtd-fx-3-0.dtd |
FpML_FXLeg |
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currency2 ; built-in datatype: string ; coding scheme: currencyScheme The second currency specified when a pair of currencies is to be evaluated. Source: fpml-dtd-fx-3-0.dtd |
FpML_QuotedCurrencyPair |
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currency2SideRate ; entity type: FpML_SideRate The exchange rate for the second currency of the trade against base currency. Source: fpml-dtd-fx-3-0.dtd |
FpML_SideRates |
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currency2ValueDate ; built-in datatype: date The date on which the currency2 amount will be settled. To be used in a split value date scenario. Source: fpml-dtd-fx-3-0.dtd |
FpML_FXLeg |
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cutName ; built-in datatype: string ; coding scheme: cutNameScheme Allows for an expiryDateTime cut to be described by name. Source: fpml-dtd-fx-3-0.dtd |
FpML_ExpiryDateTime |
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dateAdjustments ; entity type: FpML_BusinessDayAdjustments 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. Source: fpml-dtd-shared-3-0.dtd |
FpML_AdjustableDate FpML_AdjustableDates |
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dateRelativeTo ; built-in datatype: string ; coding scheme: dateRelativeToScheme Specifies the anchor date. This element also carries an href attribute. The href attribute value will be a pointer style reference to the element or component elsewhere in the document where the anchor date is defined. Source: fpml-dtd-shared-3-0.dtd |
FpML_RelativeDateOffset |
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dayCountFraction ; built-in datatype: string ; coding scheme: dayCountFractionScheme The day count fraction. Source: fpml-dtd-ird-3-0.dtd |
FpML_Calculation FpML_Fra |
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dayType ; built-in datatype: string ; coding scheme: dayTypeScheme In the case of an offset specified as a number of days, this element defines whether consideration is given as to whether a day is a good business day or not. If a day type of business days is specified then non-business days are ignored when calculating the offset. The financial business centers to use for determination of business days are implied by the context in which this element is used. This element must only be included when the offset is specified as a number of days. If the offset is zero days then the dayType element should not be included. Source: fpml-dtd-shared-3-0.dtd |
FpML_Offset |
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delisting ; built-in datatype: string ; coding scheme: nationalisationOrInsolvencyOrDelistingScheme The term "Delisting" has the meaning defined in the ISDA 1996 Equity Derivatives Definitions. Source: fpml-dtd-eqd-3-0.dtd |
FpML_ExtraordinaryEvents |
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description ; built-in datatype: string The name of a security. Source: fpml-dtd-eqd-3-0.dtd |
FpML_Equity |
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discounting ; entity type: FpML_Discounting The parameters specifying any discounting conventions that may apply. This element must only be included if discounting applies. Source: fpml-dtd-ird-3-0.dtd |
FpML_Calculation |
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discountingType ; built-in datatype: string ; coding scheme: discountingTypeScheme The discounting method that is applicable. Source: fpml-dtd-ird-3-0.dtd |
FpML_Discounting |
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discountRate ; built-in datatype: decimal A discount rate, expressed as a decimal, to be used in the calculation of a discounted amount. A discount rate of 5% would be represented as 0.05. Source: fpml-dtd-ird-3-0.dtd |
FpML_Discounting |
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discountRateDayCountFraction ; built-in datatype: string ; coding scheme: dayCountFractionScheme A discount day count fraction to be used in the calculation of a discounted amount. Source: fpml-dtd-ird-3-0.dtd |
FpML_Discounting |
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documentation ; entity type: FpML_Documentation Defines 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. Source: fpml-dtd-shared-3-0.dtd |
FpML_Trade |
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earliestExerciseTime ; entity type: FpML_BusinessCenterTime 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. Source: fpml-dtd-shared-3-0.dtd |
FpML_AmericanExercise FpML_BermudaExercise FpML_EuropeanExercise |
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earlyTerminationEvent ; entity type: FpML_EarlyTerminationEvent The adjusted dates associated with an individual early termination date. Source: fpml-dtd-ird-3-0.dtd |
FpML_OptionalEarlyTerminationAdjustedDates |
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earlyTerminationProvision ; entity type: FpML_EarlyTerminationProvision Parameters specifying provisions relating to the optional and mandatory early termination of a swap transaction. Source: fpml-dtd-ird-3-0.dtd |
FpML_Swap |
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effectiveDate ; entity type: FpML_AdjustableDate The first day of the term of the trade. This day may be subject to adjustment in accordance with a business day convention. Source: fpml-dtd-ird-3-0.dtd |
FpML_CalculationPeriodDates |
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equityAmericanExercise ; entity type: FpML_EquityAmericanExercise 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. Source: fpml-dtd-eqd-3-0.dtd |
FpML_EquityExercise |
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equityEuropeanExercise ; entity type: FpML_EquityEuropeanExercise The parameters for defining the expiration date and time for a European style equity option Source: fpml-dtd-eqd-3-0.dtd |
FpML_EquityExercise |
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equityExercise ; entity type: FpML_EquityExercise The parameters for defining how the equity option can be exercised, how it is valued and how it is settled. Source: fpml-dtd-eqd-3-0.dtd |
FpML_EquityOption |
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equityExpirationTime ; entity type: FpML_BusinessCenterTime The specific time of day at which the equity option expires. Source: fpml-dtd-eqd-3-0.dtd |
FpML_EquityAmericanExercise FpML_EquityEuropeanExercise |
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equityExpirationTimeType ; built-in datatype: string ; coding scheme: timeTypeScheme The time of day at which the equity option expires, for example the official closing time of the exchange. Source: fpml-dtd-eqd-3-0.dtd |
FpML_EquityAmericanExercise FpML_EquityEuropeanExercise |
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equityMultipleExercise ; entity type: FpML_EquityMultipleExercise The presence of this element indicates that the option may be exercised on different days. It is not applicable to European options. Source: fpml-dtd-eqd-3-0.dtd |
FpML_EquityAmericanExercise |
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equityOption ; entity type: FpML_EquityOption An equity option product definition. Source: fpml-dtd-eqd-3-0.dtd |
FpML_ProductSelection |
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equityPremium ; entity type: FpML_EquityPremium The equity option premium payable by the buyer to the seller. Source: fpml-dtd-eqd-3-0.dtd |
FpML_EquityOption |
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equityValuation ; entity type: FpML_EquityValuation The parameters for defining when valuation of the underlying takes place. Source: fpml-dtd-eqd-3-0.dtd |
FpML_EquityExercise |
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europeanExercise ; entity type: FpML_EuropeanExercise The parameters for defining 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. Source: fpml-dtd-shared-3-0.dtd |
FpML_ExerciseSelection |
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exchangedCurrency1 ; entity type: FpML_CurrencyFlow This is the first of the two currency flows that define a single leg of a standard foreign exchange transaction. Source: fpml-dtd-fx-3-0.dtd |
FpML_FXLeg |
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exchangedCurrency2 ; entity type: FpML_CurrencyFlow This is the second of the two currency flows that define a single leg of a standard foreign exchange transaction. Source: fpml-dtd-fx-3-0.dtd |
FpML_FXLeg |
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exchangeId ; built-in datatype: string ; coding scheme: exchangeIdScheme 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. Source: fpml-dtd-eqd-3-0.dtd |
FpML_Equity |
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exchangeRate ; entity type: FpML_FXRate The rate of exchange between the two currencies. Source: fpml-dtd-fx-3-0.dtd |
FpML_FXLeg |
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exerciseEvent ; entity type: FpML_ExerciseEvent The adjusted dates associated with an individual swaption exercise date. Source: fpml-dtd-ird-3-0.dtd |
FpML_SwaptionAdjustedDates |
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exerciseFee ; entity type: FpML_ExerciseFee 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. Source: fpml-dtd-shared-3-0.dtd |
FpML_EuropeanExercise |
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exerciseFeeSchedule ; entity type: FpML_ExerciseFeeSchedule 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. Source: fpml-dtd-shared-3-0.dtd |
FpML_AmericanExercise FpML_BermudaExercise |
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exerciseNotice ; entity type: FpML_ExerciseNotice Definition of the party to whom notice of exercise should be given. Source: fpml-dtd-shared-3-0.dtd |
FpML_ManualExercise FpML_CancelableProvision FpML_ExtendibleProvision FpML_OptionalEarlyTermination |
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exerciseNoticePartyReference ; empty element 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. Source: fpml-dtd-shared-3-0.dtd |
FpML_ExerciseNotice |
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exerciseProcedure ; entity type: FpML_ExerciseProcedure A set of parameters defining procedures associated with the exercise. Source: fpml-dtd-shared-3-0.dtd |
FpML_Swaption |
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exerciseStyle ; built-in datatype: string ; coding scheme: exerciseStyleScheme The manner in which the option can be exercised. Source: fpml-dtd-fx-3-0.dtd |
FpML_FXOptionLeg FpML_FXAverageRateOption |
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expirationDate ; entity type: FpML_AdjustableOrRelativeDate 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. Source: fpml-dtd-shared-3-0.dtd |
FpML_SharedAmericanExercise FpML_AmericanExercise FpML_EuropeanExercise FpML_EquityEuropeanExercise |
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expirationTime ; entity type: FpML_BusinessCenterTime The latest time for expiration on expirationDate. Source: fpml-dtd-shared-3-0.dtd |
FpML_AmericanExercise FpML_BermudaExercise FpML_EuropeanExercise |
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expiryDate ; built-in datatype: date Represents a standard expiry date as defined for an FX OTC option. Source: fpml-dtd-fx-3-0.dtd |
FpML_ExpiryDateTime |
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expiryDateTime ; entity type: FpML_ExpiryDateTime The date and time in a location of the option expiry. In the case of american options this is the latest possible expiry date and time. Source: fpml-dtd-fx-3-0.dtd |
FpML_FXOptionLeg FpML_FXDigitalOption FpML_FXAverageRateOption |
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expiryTime ; entity type: FpML_BusinessCenterTime The time in a location of the option expiry. In the case of american options this is the latest possible expiry time. Source: fpml-dtd-fx-3-0.dtd |
FpML_ExpiryDateTime |
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extendibleProvision ; entity type: FpML_ExtendibleProvision A provision that allows the specification of an embedded option within a swap giving the buyer of the option the right to extend the swap, in whole or in part, to the extended termination date. Source: fpml-dtd-ird-3-0.dtd |
FpML_Swap |
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extendibleProvisionAdjustedDates ; entity type: FpML_ExtendibleProvisionAdjustedDates The adjusted dates associated with a extendible provision. These dates have been adjusted for any applicable business day convention. Source: fpml-dtd-ird-3-0.dtd |
FpML_ExtendibleProvision |
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extensionEvent ; entity type: FpML_ExtensionEvent The adjusted dates associated with a single extendible exercise date. Source: fpml-dtd-ird-3-0.dtd |
FpML_ExtendibleProvisionAdjustedDates |
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extraordinaryEvents ; entity type: FpML_ExtraordinaryEvents Where the underlying is shares, specifies events affecting the issuer of those shares that may require the terms of the transaction to be adjusted. Source: fpml-dtd-eqd-3-0.dtd |
FpML_EquityOption |
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faceOnCurrency ; built-in datatype: string ; coding scheme: currencyScheme The currency denotes the face currency as the option was quoted (as opposed to the option currency). Source: fpml-dtd-fx-3-0.dtd |
FpML_QuotedAs |
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failureToDeliverApplicable ; built-in datatype: boolean 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. Source: fpml-dtd-eqd-3-0.dtd |
FpML_EquityExercise |
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fallbackExercise ; built-in datatype: boolean 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. Source: fpml-dtd-shared-3-0.dtd |
FpML_ManualExercise |
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feeAmount ; built-in datatype: decimal The amount of fee to be paid on exercise. The currency of this fee is the currency of the referenced notional Source: fpml-dtd-shared-3-0.dtd |
FpML_ExerciseFee |
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feeAmountSchedule ; entity type: FpML_Schedule A schedule of fee amounts to be paid on exercise. The currency of this fee is the currency of the referenced notional Source: fpml-dtd-shared-3-0.dtd |
FpML_ExerciseFeeSchedule |
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feePaymentDate ; entity type: FpML_RelativeDateOffset The date on which exercise fees will be paid. It can be specified as a relative date. Source: fpml-dtd-shared-3-0.dtd |
FpML_ExerciseFee FpML_ExerciseFeeSchedule |
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feeRate ; built-in datatype: decimal A fee represented as a percentage of some referenced notional Source: fpml-dtd-shared-3-0.dtd |
FpML_ExerciseFee |
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feeRateSchedule ; entity type: FpML_Schedule A schedule of rates used to calculate an exercise fee based on the referenced notional. Source: fpml-dtd-shared-3-0.dtd |
FpML_ExerciseFeeSchedule |
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finalExchange ; built-in datatype: boolean A true/false flag to indicate whether there is a final exchange of principal on the termination date. Source: fpml-dtd-ird-3-0.dtd |
FpML_PrincipalExchanges |
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finalRateRounding ; entity type: FpML_Rounding The rounding convention to apply to the final rate used in determination of a calculation period amount. Source: fpml-dtd-ird-3-0.dtd |
FpML_FloatingRateCalculation |
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finalStub ; entity type: FpML_Stub Specifies how the final stub amount is calculated. A single floating rate tenor different to that used for the regular part of the calculation periods schedule may be specified, or two floating tenors may be specified. If two floating rate tenors are specified then Linear Interpolation (in accordance with the 2000 ISDA Definitions, Section 8.3. Interpolation) is assumed to apply. Alternatively, an actual known stub rate or stub amount may be specified. Source: fpml-dtd-ird-3-0.dtd |
FpML_StubCalculationPeriodAmount |
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firstNotionalStepDate ; built-in datatype: date The unadjusted calculation period start date of the first change in notional. This day may be subject to adjustment in accordance with any adjustments specified in calculationPeriodDatesAdjustments. Source: fpml-dtd-ird-3-0.dtd |
FpML_NotionalStepRule |
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firstPaymentDate ; built-in datatype: date The first unadjusted payment date. This day may be subject to adjustment in accordance with any business day convention specified in paymentDatesAdjustments. This element must only be included if there is an initial stub. This date will normally correspond to an unadjusted calculation period start or end date. This is true even if early or delayed payment is specified to be applicable since the actual first payment date will be the specified number of days before or after the applicable adjusted calculation period start or end date with the resulting payment date then being adjusted in accordance with any business day convention specified in paymentDatesAdjustments. Source: fpml-dtd-ird-3-0.dtd |
FpML_PaymentDates |
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firstPeriodStartDate ; entity type: FpML_AdjustableDate The start date of the first calculation period if the date falls before the effective date. It must only be specified if it is not equal to the effective date. This day may be subject to adjustment in accordance with a business day convention. Source: fpml-dtd-ird-3-0.dtd |
FpML_CalculationPeriodDates |
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firstRegularPeriodStartDate ; built-in datatype: date The start date of the regular part of the calculation period schedule. It must only be specified if there is an initial stub calculation period. This day may be subject to adjustment in accordance with any adjustments specified in calculationPeriodDatesAdjustments. Source: fpml-dtd-ird-3-0.dtd |
FpML_CalculationPeriodDates |
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fixedPaymentAmount ; built-in datatype: decimal A known fixed payment amount. Source: fpml-dtd-ird-3-0.dtd |
FpML_PaymentCalculationPeriod |
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fixedRate ; built-in datatype: decimal The calculation period fixed rate. A per annum rate, expressed as a decimal. A fixed rate of 5% would be represented as 0.05. Source: fpml-dtd-ird-3-0.dtd |
FpML_CalculationPeriod FpML_Fra |
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fixedRateSchedule ; entity type: FpML_Schedule 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. Source: fpml-dtd-ird-3-0.dtd |
FpML_Calculation |
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fixing ; entity type: FpML_FXFixing Specifies the source for and timing of a fixing of an exchange rate. This is used in the agreement of non-deliverable forward trades as well as various types of FX OTC options that require observations against a particular rate. Source: fpml-dtd-fx-3-0.dtd |
FpML_FXCashSettlement |
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fixingDate ; built-in datatype: date Describes the specific date when a non-deliverable forward or non-deliverable option will "fix" against a particular rate, which will be used to compute the ultimate cash settlement. Source: fpml-dtd-fx-3-0.dtd |
FpML_FXFixing |
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fixingDateOffset ; entity type: FpML_RelativeDateOffset Specifies the fixing date relative to the reset date in terms of a business days offset and an associated set of financial business centers. Normally these offset calculation rules will be those specified in the ISDA definition for the relevant floating rate index (ISDA's Floating Rate Option). However, non-standard offset calculation rules may apply for a trade if mutually agreed by the principal parties to the transaction. The href attribute on the dateRelativeTo element should reference the id attribute on the adjustedEffectiveDate element. Source: fpml-dtd-ird-3-0.dtd |
FpML_Fra |
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fixingDates ; entity type: FpML_RelativeDateOffset Specifies the fixing date relative to each reset date in terms of a business days offset and an associated set of financial business centers. Normally these offset calculation rules will be those specified in the ISDA definition for the relevant floating rate index (ISDA's Floating Rate Option). However, non-standard offset calculation rules may apply for a trade if mutually agreed by the principal parties to the transaction. The href attribute on the dateRelativeTo element should reference the id attribute on the resetDates element. Source: fpml-dtd-ird-3-0.dtd |
FpML_ResetDates |
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fixingTime ; entity type: FpML_BusinessCenterTime 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. Source: fpml-dtd-shared-3-0.dtd |
FpML_FxSpotRateSource FpML_FXFixing FpML_FXAverageRateOption |
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floatingRate ; entity type: FpML_FloatingRate The rates to be applied to the initial or final stub may be the linear interpolation of two different rates. While the majority of the time, the rate indices will be the same as that specified in the stream and only the tenor itself will be different, it is possible to specify two different rates. For example, a 2 month stub period may use the linear interpolation of a 1 month and 3 month rate. The different rates would be specified in this component. Note that a maximum of two rates can be specified. If a stub period uses the same floating rate index, including tenor, as the regular calculation periods then this should not be specified again within this component, i.e. the stub calculation period amount component may not need to be specified even if there is an initial or final stub period. If a stub period uses a different floating rate index compared to the regular calculation periods then this should be specified within this component. If specified here, they are likely to have id attributes, allowing them to be referenced from within the cashflows component. Source: fpml-dtd-ird-3-0.dtd |
FpML_Stub |
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floatingRateCalculation ; entity type: FpML_FloatingRateCalculation The floating rate calculation definitions. Source: fpml-dtd-ird-3-0.dtd |
FpML_Calculation |
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floatingRateDefinition ; entity type: FpML_FloatingRateDefinition The floating rate reset information for the calculation period. Source: fpml-dtd-ird-3-0.dtd |
FpML_CalculationPeriod |
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floatingRateIndex ; built-in datatype: string ; coding scheme: floatingRateIndexScheme The ISDA Floating Rate Option, i.e. the floating rate index. Source: fpml-dtd-ird-3-0.dtd |
FpML_FloatingRate FpML_Fra |
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floatingRateMultiplier ; built-in datatype: decimal A rate multiplier to apply to the floating rate. The multiplier can be a positive or negative decimal. This element should only be included if the multiplier is not equal to 1 (one). Source: fpml-dtd-ird-3-0.dtd |
FpML_FloatingRateDefinition |
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floatingRateMultiplierSchedule ; entity type: FpML_Schedule A rate mutliplier or multiplier scheduel to apply to the floating rate. A multiplier schedule is expressed as explicit multipliers and dates. In the case of a schedule, the step dates may be subject to adjustment in accordance with any adjustments specified in the calculationPeriodDatesAdjustments. The multiplier can be a positive or negative decimal. This element should only be included if the multiplier is not equal to 1 (one) for the term of the stream. Source: fpml-dtd-ird-3-0.dtd |
FpML_FloatingRate |
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floorRate ; entity type: FpML_Strike The floor rate, if any, which applies to the floating rate for the calculation period. The floor rate (strike) is only required where the floating rate on a swap stream is floored at a certain strike level. The floor rate is assumed to be exclusive of any spread and is a per annum rate, expressed as a decimal. A floor rate of 5% would be represented as 0.05. Source: fpml-dtd-ird-3-0.dtd |
FpML_FloatingRateDefinition |
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floorRateSchedule ; entity type: FpML_StrikeSchedule The floor rate or floor rate schedule, if any, which applies to the floating rate. The floor rate (strike) is only required where the floating rate on a swap stream is floored at a certain strike level. A floor rate schedule is expressed as explicit floor rates and dates and the step dates may be subject to adjustment in accordance with any adjustments specified in calculationPeriodDatesAdjustments. The floor rate is assumed to be exclusive of any spread and is a per annum rate, expressed as a decimal. A floor rate of 5% would be represented as 0.05. Source: fpml-dtd-ird-3-0.dtd |
FpML_FloatingRate |
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followUpConfirmation ; built-in datatype: boolean 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. Source: fpml-dtd-shared-3-0.dtd |
FpML_ExerciseProcedure FpML_CancelableProvision FpML_ExtendibleProvision FpML_OptionalEarlyTermination |
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forwardPoints ; built-in datatype: decimal An optional element used for deals consumated in the FX Forwards market. Forward points represent the interest rate differential between the two currencies traded and are quoted as a preminum or a discount. Forward points are added to, or subtracted from, the spot rate to create the rate of the forward trade. Source: fpml-dtd-fx-3-0.dtd |
FpML_FXRate FpML_SideRate |
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fra ; entity type: FpML_Fra A forward rate agreement product definition. Source: fpml-dtd-ird-3-0.dtd |
FpML_ProductSelection |
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fraDiscounting ; built-in datatype: boolean A true/false flag to indicate whether ISDA FRA Discounting applies. If false, then the calculation will be based on a par value and no discounting will apply. Source: fpml-dtd-ird-3-0.dtd |
FpML_Fra |
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fxAmericanTrigger ; entity type: FpML_FXAmericanTrigger An American trigger occurs if the trigger criteria are met at any time from the initiation to the maturity of the option. Source: fpml-dtd-fx-3-0.dtd |
FpML_FXDigitalOption |
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fxAverageRateOption ; entity type: FpML_FXAverageRateOption An average rate option definition. Source: fpml-dtd-fx-3-0.dtd |
FpML_ProductSelection |
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fxBarrier ; entity type: FpML_FXBarrier Information about a barrier rate in a Barrier Option - specifying the exact criteria for a trigger event to occur. Source: fpml-dtd-fx-3-0.dtd |
FpML_FXBarrierOption |
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fxBarrierOption ; entity type: FpML_FXBarrierOption A barrier option definition. Accommodates one or many barriers, with or without a payout. Source: fpml-dtd-fx-3-0.dtd |
FpML_ProductSelection |
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fxBarrierType ; built-in datatype: string ; coding scheme: fxBarrierTypeScheme This specifies whether the option becomes effective ("knock-in") or is annulled ("knock-out") when the respective trigger event occurs. Source: fpml-dtd-fx-3-0.dtd |
FpML_FXBarrier |
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fxDigitalOption ; entity type: FpML_FXDigitalOption Defines different types of digital and binary options. Source: fpml-dtd-fx-3-0.dtd |
FpML_ProductSelection |
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fxEuropeanTrigger ; entity type: FpML_FXEuropeanTrigger A European trigger occurs if the trigger criteria are met, but these are valid (and an observation is made) only at the maturity of the option. Source: fpml-dtd-fx-3-0.dtd |
FpML_FXDigitalOption |
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fxLinkedNotionalAmount ; entity type: FpML_FxLinkedNotionalAmount The amount that a cashflow will accrue interest on. This is the calculated amount of the fx linked notional - ie the other currency notional amount multiplied by the appropriate fx spot rate. Source: fpml-dtd-ird-3-0.dtd |
FpML_CalculationPeriod |
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fxLinkedNotionalSchedule ; entity type: FpML_FxLinkedNotionalSchedule A notional amount 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. Source: fpml-dtd-ird-3-0.dtd |
FpML_Calculation |
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fxOptionPremium ; entity type: FpML_FXOptionPremium Premium amount or premium installment amount for an option. Source: fpml-dtd-fx-3-0.dtd |
FpML_FXOptionLeg FpML_FXDigitalOption FpML_FXAverageRateOption |
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fxSimpleOption ; entity type: FpML_FXOptionLeg Defines a simple FX OTC option. Source: fpml-dtd-fx-3-0.dtd |
FpML_ProductSelection |
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fxSingleLeg ; entity type: FpML_FXLeg A single-legged FX transaction definition (e.g., spot or forward). Source: fpml-dtd-fx-3-0.dtd |
FpML_FXSwap FpML_ProductSelection |
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fxSpotRateSource ; entity type: FpML_FxSpotRateSource The information source and time at which the spot currency exchange rate will be observed. Source: fpml-dtd-ird-3-0.dtd |
FpML_FxLinkedNotionalSchedule |
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fxStrikePrice ; entity type: FpML_FXStrikePrice TBA Source: fpml-dtd-fx-3-0.dtd |
FpML_FXOptionLeg FpML_FXAverageRateOption |
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fxSwap ; entity type: FpML_FXSwap An FX deal consisting of two single FX legs. Source: fpml-dtd-fx-3-0.dtd |
FpML_ProductSelection |
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governingLaw ; built-in datatype: string ; coding scheme: governingLawScheme TBA Source: fpml-dtd-shared-3-0.dtd |
FpML_Trade |
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hourMinuteTime ; built-in datatype: time 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. Source: fpml-dtd-shared-3-0.dtd |
FpML_BusinessCenterTime |
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indexTenor ; entity type: FpML_Interval The ISDA Designated Maturity, i.e. the tenor of the floating rate. Source: fpml-dtd-ird-3-0.dtd |
FpML_FloatingRate FpML_Fra |
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informationSource ; entity type: FpML_InformationSource The information source where a published or displayed market rate will be obtained, e.g. Telerate Page 3750. Source: fpml-dtd-shared-3-0.dtd |
FpML_FxSpotRateSource FpML_FXBarrier FpML_FXAmericanTrigger FpML_FXEuropeanTrigger FpML_SettlementRateSource |
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initialExchange ; built-in datatype: boolean A true/false flag to indicate whether there is an initial exchange of principal on the effective date. Source: fpml-dtd-ird-3-0.dtd |
FpML_PrincipalExchanges |
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initialFixingDate ; entity type: FpML_RelativeDateOffset TBA Source: fpml-dtd-ird-3-0.dtd |
FpML_ResetDates |
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initialRate ; built-in datatype: decimal The initial floating rate reset agreed between the principal parties involved in the trade. This is assumed to be the first required reset rate for the first regular calculation period. It should only be included when the rate is not equal to the rate published on the source implied by the floating rate index. An initial rate of 5% would be represented as 0.05. Source: fpml-dtd-ird-3-0.dtd |
FpML_FloatingRateCalculation |
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initialStub ; entity type: FpML_Stub Specifies how the initial stub amount is calculated. A single floating rate tenor different to that used for the regular part of the calculation periods schedule may be specified, or two floating tenors may be specified. If two floating rate tenors are specified then Linear Interpolation (in accordance with the 2000 ISDA Definitions, Section 8.3. Interpolation) is assumed to apply. Alternatively, an actual known stub rate or stub amount may be specified. Source: fpml-dtd-ird-3-0.dtd |
FpML_StubCalculationPeriodAmount |
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initialValue ; built-in datatype: decimal The initial rate or amount, as the case may be. An initial rate of 5% would be represented as 0.05. Source: fpml-dtd-shared-3-0.dtd |
FpML_Schedule FpML_FxLinkedNotionalSchedule |
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instrumentId ; built-in datatype: string ; coding scheme: instrumentIdScheme A short form unique identifier for a security. Source: fpml-dtd-eqd-3-0.dtd |
FpML_Equity |
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integralMultipleAmount ; built-in datatype: decimal 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. Source: fpml-dtd-shared-3-0.dtd |
FpML_PartialExercise |
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integralMultipleExercise ; built-in datatype: decimal 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. Source: fpml-dtd-eqd-3-0.dtd |
FpML_EquityMultipleExercise |
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intermediaryInformation ; entity type: FpML_IntermediaryInformation Information to identify an intermediary through which payment will be made by the correspondent bank to the ultimate beneficiary of the funds. Source: fpml-dtd-fx-3-0.dtd |
FpML_SettlementInstruction |
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intermediarySequenceNumber ; built-in datatype: integer A sequence number that gives the position of the current intermediary in the chain of payment intermediaries. The assumed domain value set is an ascending sequence of integers starting from 1. Source: fpml-dtd-fx-3-0.dtd |
FpML_IntermediaryInformation |
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intermediateExchange ; built-in datatype: boolean A true/false flag to indicate whether there are intermediate or interim exchanges of principal during the term of the swap. Source: fpml-dtd-ird-3-0.dtd |
FpML_PrincipalExchanges |
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knownAmountSchedule ; entity type: FpML_AmountSchedule 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. Source: fpml-dtd-ird-3-0.dtd |
FpML_CalculationPeriodAmount |
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lastNotionalStepDate ; built-in datatype: date The unadjusted calculation period end date of the last change in notional. This day may be subject to adjustment in accordance with any adjustments specified in calculationPeriodDatesAdjustments. Source: fpml-dtd-ird-3-0.dtd |
FpML_NotionalStepRule |
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lastRegularPaymentDate ; built-in datatype: date The last regular unadjusted payment date. This day may be subject to adjustment in accordance with any business day convention specified in paymentDatesAdjustments. This element must only be included if there is a final stub. All calculation periods after this date contribute to the final payment. The final payment is made relative to the final set of calculation periods or the final reset date as the case may be. This date will normally correspond to an unadjusted calculation period start or end date. This is true even if early or delayed payment is specified to be applicable since the actual last regular payment date will be the specified number of days before or after the applicable adjusted calculation period start or end date with the resulting payment date then being adjusted in accordance with any business day convention specified in paymentDatesAdjustments. Source: fpml-dtd-ird-3-0.dtd |
FpML_PaymentDates |
|
lastRegularPeriodEndDate ; built-in datatype: date The end date of the regular part of the calculation period schedule. It must only be specified if there is a final stub calculation period. This day may be subject to adjustment in accordance with any adjustments specified in calculationPeriodDatesAdjustments. Source: fpml-dtd-ird-3-0.dtd |
FpML_CalculationPeriodDates |
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latestExerciseTime ; entity type: FpML_BusinessCenterTime 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. Source: fpml-dtd-shared-3-0.dtd |
FpML_SharedAmericanExercise FpML_AmericanExercise FpML_BermudaExercise |
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latestExerciseTimeType ; built-in datatype: string ; coding scheme: timeTypeScheme The latest time of day at which the equity option can be exercised, for example the official closing time of the exchange. Source: fpml-dtd-eqd-3-0.dtd |
FpML_EquityAmericanExercise |
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linkId ; built-in datatype: string ; coding scheme: linkIdScheme A link identifier allowing the trade to be associated with other related trades, e.g. the linkId may contain a tradeId for an associated trade or several related trades may be given the same linkId. FpML does not define the domain values associated with this element. Note that the domain values for this element are not strictly an enumerated list. Source: fpml-dtd-main-3-0.dtd |
FpML_PartyTradeIdentifier |
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mandatoryEarlyTermination ; entity type: FpML_MandatoryEarlyTermination A mandatory early termination provision to terminate the swap at fair value. Source: fpml-dtd-ird-3-0.dtd |
FpML_EarlyTerminationProvision |
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mandatoryEarlyTerminationAdjustedDates ; entity type: FpML_MandatoryEarlyTerminationAdjustedDates The adjusted dates associated with a mandatory early termination provision. These dates have been adjusted for any applicable business day convention. Source: fpml-dtd-ird-3-0.dtd |
FpML_MandatoryEarlyTermination |
|
mandatoryEarlyTerminationDate ; entity type: FpML_AdjustableDate The early termination date associated with a mandatory early termination of a swap. Source: fpml-dtd-ird-3-0.dtd |
FpML_MandatoryEarlyTermination |
|
manualExercise ; entity type: FpML_ManualExercise Specifies that the notice of exercise must be given by the buyer to the seller or seller's agent. Source: fpml-dtd-shared-3-0.dtd |
FpML_ExerciseProcedure |
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masterAgreement ; entity type: FpML_MasterAgreement The agreement executed between the parties and intended to govern all OTC derivatives transactions between those parties. Source: fpml-dtd-shared-3-0.dtd |
FpML_Documentation |
|
masterAgreementDate ; built-in datatype: date The date on which the master agreement was signed. Source: fpml-dtd-shared-3-0.dtd |
FpML_MasterAgreement |
|
masterAgreementType ; built-in datatype: string ; coding scheme: masterAgreementTypeScheme The agreement executed between the parties and intended to govern product-specific derivatives transactions between those parties. Source: fpml-dtd-shared-3-0.dtd |
FpML_MasterAgreement |
|
masterConfirmation ; built-in datatype: date The date of the confirmation executed between the parties and intended to govern all relevant transactions between those parties. Source: fpml-dtd-shared-3-0.dtd |
FpML_Documentation |
|
maximumNotionalAmount ; built-in datatype: decimal The maximum notional amount that can be exercised on a given exercise date. Source: fpml-dtd-shared-3-0.dtd |
FpML_MultipleExercise |
|
maximumNumberOfOptions ; built-in datatype: decimal 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. Source: fpml-dtd-eqd-3-0.dtd |
FpML_EquityMultipleExercise |
|
mergerEvents ; entity type: FpML_MergerEvents Occurs when the underlying ceases to exist following a merger between the Issuer and another company. Source: fpml-dtd-eqd-3-0.dtd |
FpML_ExtraordinaryEvents |
|
methodOfAdjustment ; built-in datatype: string ; coding scheme: methodOfAdjustmentScheme Defines how adjustments will be made to the contract should one or more of the extraordinary events occur. Source: fpml-dtd-eqd-3-0.dtd |
FpML_EquityOption |
|
minimumNotionalAmount ; built-in datatype: decimal The minimum notional amount that can be exercised on a given exercise date. See multipleExercise. Source: fpml-dtd-shared-3-0.dtd |
FpML_PartialExercise |
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minimumNumberOfOptions ; built-in datatype: decimal 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. Source: fpml-dtd-eqd-3-0.dtd |
FpML_EquityMultipleExercise |
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multipleExercise ; entity type: FpML_MultipleExercise 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. Source: fpml-dtd-shared-3-0.dtd |
FpML_AmericanExercise FpML_BermudaExercise |
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nationalisationOrInsolvency ; built-in datatype: string ; coding scheme: nationalisationOrInsolvencyOrDelistingScheme The terms "Nationalisation" and "Insolvency" have the meaning as defined in the ISDA 1996 Equity Derivatives Definitions. Source: fpml-dtd-eqd-3-0.dtd |
FpML_ExtraordinaryEvents |
|
negativeInterestRateTreatment ; built-in datatype: string ; coding scheme: negativeInterestRateTreatmentScheme The specification of any provisions for calculating payment obligations when a floating rate is negative (either due to a quoted negative floating rate or by operation of a spread that is subtracted from the floating rate). Source: fpml-dtd-ird-3-0.dtd |
FpML_FloatingRateCalculation |
|
nonDeliverableForward ; entity type: FpML_FXCashSettlement Used to describe a particular type of FX forward transaction that is settled in a single currency. Source: fpml-dtd-fx-3-0.dtd |
FpML_FXLeg |
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notional ; entity type: FpML_Money The notional amount. Source: fpml-dtd-shared-3-0.dtd |
FpML_Fra FpML_EquityOption |
|
notionalAmount ; built-in datatype: decimal The calculation period notional amount. (FpML_FxLinkedNotionalAmount usage) The notional in the currency of the stream. This notional can be calculated once the FX Spot rate is known. It is optional since it should not be present prior to the fx spot reset date. Source: fpml-dtd-ird-3-0.dtd |
FpML_CalculationPeriod FpML_FxLinkedNotionalAmount |
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notionalReference ; empty element A pointer style reference to the associated notional schedule defined elsewhere in the document. Source: fpml-dtd-shared-3-0.dtd |
FpML_ExerciseFee FpML_ExerciseFeeSchedule FpML_PartialExercise |
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notionalSchedule ; entity type: FpML_Notional The notional amount or notional amount schedule. Source: fpml-dtd-ird-3-0.dtd |
FpML_Calculation |
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notionalStepAmount ; built-in datatype: decimal The explicit amount that the notional changes on each step date. This can be a positive or negative amount. Source: fpml-dtd-ird-3-0.dtd |
FpML_NotionalStepRule |
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notionalStepParameters ; entity type: FpML_NotionalStepRule A parametric representation of the notional step schedule, i.e. parameters used to generate the notional schedule. Source: fpml-dtd-ird-3-0.dtd |
FpML_Notional |
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notionalStepRate ; built-in datatype: decimal The percentage amount by which the notional changes on each step date. The percentage is either a percentage applied to the initial notional amount or the previous outstanding notional, depending on the value of the element stepRelativeTo. The percentage can be either positive or negative. A percentage of 5% would be represented as 0.05. Source: fpml-dtd-ird-3-0.dtd |
FpML_NotionalStepRule |
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notionalStepSchedule ; entity type: FpML_AmountSchedule 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. Source: fpml-dtd-ird-3-0.dtd |
FpML_Notional |
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numberOfOptions ; built-in datatype: decimal The number of options comprised in the option transaction. Source: fpml-dtd-eqd-3-0.dtd |
FpML_EquityOption |
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observationDate ; built-in datatype: date A specific date for which an observation against a particular rate will be made and will be used for subsequent computations. Source: fpml-dtd-fx-3-0.dtd |
FpML_FXAverageRateObservationDate FpML_ObservedRates |
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observationEndDate ; built-in datatype: date The end of the period over which observations are made to determine whether a trigger event has occurred. Source: fpml-dtd-fx-3-0.dtd |
FpML_FXAverageRateObservationSchedule FpML_FXBarrier FpML_FXAmericanTrigger |
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observationStartDate ; built-in datatype: date The start of the period over which observations are made to determine whether a trigger event has occurred. Source: fpml-dtd-fx-3-0.dtd |
FpML_FXAverageRateObservationSchedule FpML_FXBarrier FpML_FXAmericanTrigger |
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observationWeight ; built-in datatype: positiveInteger 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. Source: fpml-dtd-shared-3-0.dtd |
FpML_RateObservation |
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observedFxSpotRate ; built-in datatype: decimal The actual observed fx spot rate. Source: fpml-dtd-ird-3-0.dtd |
FpML_FxLinkedNotionalAmount |
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observedRate ; built-in datatype: decimal 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. Source: fpml-dtd-shared-3-0.dtd |
FpML_RateObservation FpML_ObservedRates |
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observedRates ; entity type: FpML_ObservedRates Describes prior rate observations within average rate options. Periodically, an average rate option agreement will be struck whereby some rates have already been observed in the past but will become part of computation of the average rate of the option. This structure provides for these previously observed rates to be included in the description of the trade. Source: fpml-dtd-fx-3-0.dtd |
FpML_FXAverageRateOption |
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optionalEarlyTermination ; entity type: FpML_OptionalEarlyTermination An option for either or both parties to terminate the swap at fair value. Source: fpml-dtd-ird-3-0.dtd |
FpML_EarlyTerminationProvision |
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optionalEarlyTerminationAdjustedDates ; entity type: FpML_OptionalEarlyTerminationAdjustedDates An early termination provision to terminate the trade at fair value where one or both parties have the right to decide on termination. Source: fpml-dtd-ird-3-0.dtd |
FpML_OptionalEarlyTermination |
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optionEntitlement ; built-in datatype: decimal The number of shares per option comprised in the option transaction. Source: fpml-dtd-eqd-3-0.dtd |
FpML_EquityOption |
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optionOnCurrency ; built-in datatype: string ; coding scheme: currencyScheme The currency denotes the option currency as the option was quoted (as opposed to the face currency). Source: fpml-dtd-fx-3-0.dtd |
FpML_QuotedAs |
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optionType ; built-in datatype: string ; coding scheme: optionTypeScheme The type of option transaction. Source: fpml-dtd-eqd-3-0.dtd |
FpML_EquityOption |
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otherPartyPayment ; entity type: FpML_Fee Other fees or additional payments associated with the trade, e.g. broker commissions, where one or more of the parties involved are not principal parties involved in the trade. Source: fpml-dtd-main-3-0.dtd |
FpML_Trade |
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partialExercise ; entity type: FpML_PartialExercise 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. Source: fpml-dtd-shared-3-0.dtd |
FpML_EuropeanExercise |
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party ; entity type: FpML_Party The parties obligated to make payments from time to time during the term of a trade. This will include, at a minimum, the principal parties involved in any trades. Other parties paying or receiving fees, commissions etc. must also be specified if referenced in other party payments. Source: fpml-dtd-main-3-0.dtd |
FpML_Root |
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partyContact ; entity type: FpML_PartyContact Defines a person to contact at a party to the transaction and how to contact that person. Source: fpml-dtd-eqd-3-0.dtd |
FpML_PartyDetails |
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partyContactDetail ; built-in datatype: string ; coding scheme: partyContactDetailScheme A method of contacting the contact person, for example telephone number, fax number, e-mail address. Source: fpml-dtd-eqd-3-0.dtd |
FpML_PartyContact |
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partyContactFunction ; built-in datatype: string ; coding scheme: partyContactFunctionScheme The role or business area of the contact person. Source: fpml-dtd-eqd-3-0.dtd |
FpML_PartyContact |
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partyContactName ; built-in datatype: string The name of the contact person at a party to the transaction. Source: fpml-dtd-eqd-3-0.dtd |
FpML_PartyContact |
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partyId ; built-in datatype: string ; coding scheme: partyIdScheme A party identifier, e.g. a S.W.I.F.T. bank identifier code (BIC). Source: fpml-dtd-main-3-0.dtd |
FpML_Party |
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partyName ; built-in datatype: string The name of the party. A free format string. FpML does not define usage rules for this element Source: fpml-dtd-main-3-0.dtd |
FpML_Party |
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partyPortfolioName ; entity type: FpML_PartyPortfolioName Name of a portfolio together with the party that gave the name. Source: fpml-dtd-main-3-0.dtd |
FpML_Portfolio |
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partyReference ; empty element A pointer style reference to a party identifier defined elsewhere in the document. The party referenced has allocated the trade identifier. Source: fpml-dtd-shared-3-0.dtd |
FpML_ExerciseNotice FpML_PartyDetails FpML_PartyTradeIdentifier FpML_PartyPortfolioName |
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partyTradeIdentifier ; entity type: FpML_PartyTradeIdentifier The trade reference identifier(s) allocated to the trade by the parties involved. Source: fpml-dtd-main-3-0.dtd |
FpML_TradeHeader |
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parYieldCurveAdjustedMethod ; entity type: FpML_YieldCurveMethod An ISDA defined cash settlement method used for the determination of the applicable cash settlement amount. The method is defined in the 2000 ISDA Definitions, Section 17.3. Cash Settlement Methods, paragraph (c). Source: fpml-dtd-ird-3-0.dtd |
FpML_CashSettlement |
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parYieldCurveUnadjustedMethod ; entity type: FpML_YieldCurveMethod An ISDA defined cash settlement method used for the determination of the applicable cash settlement amount. The method is defined in the 2000 ISDA Definitions, Section 17.3. Cash Settlement Methods, paragraph (e). Source: fpml-dtd-ird-3-0.dtd |
FpML_CashSettlement |
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payerPartyReference ; empty element A pointer style reference to a party identifier defined elsewhere in the document. Source: fpml-dtd-shared-3-0.dtd |
FpML_Payment FpML_ExerciseFee FpML_ExerciseFeeSchedule FpML_FXOptionPremium FpML_InterestRateStream FpML_EquityPremium |
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payment ; entity type: FpML_Payment A known payment between two parties. Source: fpml-dtd-ird-3-0.dtd |
FpML_BulletPayment |
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paymentAmount ; entity type: FpML_Money The currency amount of the payment. Source: fpml-dtd-shared-3-0.dtd |
FpML_Payment FpML_EquityPremium |
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paymentCalculationPeriod ; entity type: FpML_PaymentCalculationPeriod The adjusted payment date and associated calculation period parameters required to calculate the actual or projected payment amount. A list of payment calculation period elements may be ordered in the document by ascending adjusted payment date. An FpML document containing an unordered list of payment calculation periods is still regarded as a conformant document. Source: fpml-dtd-ird-3-0.dtd |
FpML_Cashflows |
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paymentDate ; entity type: FpML_AdjustableDate The payment date. This date is subject to adjustment in accordance with any applicable business day convention. Source: fpml-dtd-shared-3-0.dtd |
FpML_Payment FpML_Fra FpML_EquityPremium |
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paymentDates ; entity type: FpML_PaymentDates The payment dates schedule. Source: fpml-dtd-ird-3-0.dtd |
FpML_InterestRateStream |
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paymentDatesAdjustments ; entity type: FpML_BusinessDayAdjustments The business day convention to apply to each payment date if it would otherwise fall on a day that is not a business day in the specified financial business centers. Source: fpml-dtd-ird-3-0.dtd |
FpML_PaymentDates |
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paymentDaysOffset ; entity type: FpML_Offset If early payment or delayed payment is required, specifies the number of days offset that the payment occurs relative to what would otherwise be the unadjusted payment date. The offset can be specified in terms of either calendar or business days. Even in the case of a calendar days offset, the resulting payment date, adjusted for the specified calendar days offset, will still be adjusted in accordance with the specified payment dates adjustments. This element should only be included if early or delayed payment is applicable, i.e. if the periodMultiplier element value is not equal to zero. An early payment would be indicated by a negative periodMultiplier element value and a delayed payment (or payment lag) would be indicated by a positive periodMultiplier element value. Source: fpml-dtd-ird-3-0.dtd |
FpML_PaymentDates |
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paymentFrequency ; entity type: FpML_Interval 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 each 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. Source: fpml-dtd-ird-3-0.dtd |
FpML_PaymentDates |
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paymentType ; built-in datatype: string ; coding scheme: paymentTypeScheme A classification of the type of fee or additional payment, e.g. brokerage, upfront fee etc. FpML does not define domain values for this element. Source: fpml-dtd-shared-3-0.dtd |
FpML_Fee |
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payoutCurrency ; built-in datatype: string ; coding scheme: currencyScheme The ISO code of the currency in which a payout (if any) is to be made when a trigger is hit on a digital or barrier option. Source: fpml-dtd-fx-3-0.dtd |
FpML_FXAverageRateOption |
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payoutFormula ; built-in datatype: string The description of the mathematical computation for how the payout is computed. Source: fpml-dtd-fx-3-0.dtd |
FpML_FXAverageRateOption |
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payoutStyle ; built-in datatype: string ; coding scheme: payoutScheme The trigger event and payout may be asynchonous. A payout may become due on the trigger event, or the payout may (by agreeement at initiation) be deferred (for example) to the maturity date. Source: fpml-dtd-fx-3-0.dtd |
FpML_FXOptionPayout |
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payRelativeTo ; built-in datatype: string ; coding scheme: payRelativeToScheme Specifies whether the payments occur relative to each adjusted calculation period start date, adjusted calculation period end date or each reset date. The reset date is applicable in the case of certain euro (former French Franc) floating rate indices. Calculation period start date means relative to the start of the first calculation period contributing to a given payment. Similarly, calculation period end date means the end of the last calculation period contributing to a given payment. Source: fpml-dtd-ird-3-0.dtd |
FpML_PaymentDates |
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percentageOfNotional ; built-in datatype: decimal 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. Source: fpml-dtd-eqd-3-0.dtd |
FpML_EquityPremium |
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period ; built-in datatype: string ; coding scheme: periodScheme A time period, e.g. a day, week, month, year or term of the stream. If the periodMultiplier value is 0 (zero) then period must contain the value D (day). Source: fpml-dtd-shared-3-0.dtd |
FpML_Interval |
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periodMultiplier ; built-in datatype: integer 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. Source: fpml-dtd-shared-3-0.dtd |
FpML_Interval |
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periodSkip ; built-in datatype: positiveInteger 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. Source: fpml-dtd-shared-3-0.dtd |
FpML_RelativeDates |
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portfolio ; entity type: FpML_Portfolio An arbitrary grouping of trade references. Source: fpml-dtd-main-3-0.dtd |
FpML_Portfolio FpML_Root |
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portfolioName ; entity type: FpML_String ; coding scheme: portfolioNameScheme Name of a portfolio. Source: fpml-dtd-main-3-0.dtd |
FpML_PartyPortfolioName |
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postalCode ; built-in datatype: string The code, required for computerised mail sorting systems, that is allocated to a physical address by a national postal authority. Source: fpml-dtd-fx-3-0.dtd |
FpML_Address |
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precision ; built-in datatype: nonNegativeInteger Specifies the rounding precision in terms of a number of decimal places. Note how a percentage rate rounding of 5 decimal places is expressed as a rounding precision of 7 in the FpML document since the percentage is expressed as a decimal, e.g. 9.876543% (or 0.09876543) being rounded to the nearest 5 decimal places is 9.87654% (or 0.0987654). Source: fpml-dtd-shared-3-0.dtd |
FpML_Rounding FpML_FXAverageRateOption |
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premium ; entity type: FpML_Payment The option premium amount payable by buyer to seller on the specified payment date. Source: fpml-dtd-ird-3-0.dtd |
FpML_Swaption |
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premiumAmount ; entity type: FpML_Money The specific currency and amount of the option premium. Source: fpml-dtd-fx-3-0.dtd |
FpML_FXOptionPremium |
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premiumProductReference ; empty element TBA Source: fpml-dtd-main-3-0.dtd |
FpML_Strategy |
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premiumQuote ; entity type: FpML_PremiumQuote This is the option premium as quoted. It is expected to be consistent with the premiumAmount and is for information only. Source: fpml-dtd-fx-3-0.dtd |
FpML_FXOptionPremium |
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premiumQuoteBasis ; built-in datatype: string ; coding scheme: premiumQuoteBasisScheme The method by which the option premium was quoted. Source: fpml-dtd-fx-3-0.dtd |
FpML_PremiumQuote |
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premiumSettlementDate ; built-in datatype: date The agreed-upon date when the option premium will be settled. Source: fpml-dtd-fx-3-0.dtd |
FpML_FXOptionPremium |
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premiumValue ; built-in datatype: decimal The value of the premium quote. In general this will be either a percentage or an explicit amount. Source: fpml-dtd-fx-3-0.dtd |
FpML_PremiumQuote |
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pricePerOption ; built-in datatype: decimal The amount of premium to be paid expressed as a function of the number of options. Source: fpml-dtd-eqd-3-0.dtd |
FpML_EquityPremium |
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primaryRateSource ; entity type: FpML_InformationSource The primary source for where the rate observation will occur. Will typically be either a page or a reference bank published rate. Source: fpml-dtd-fx-3-0.dtd |
FpML_FXFixing FpML_FXAverageRateOption |
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principalExchange ; entity type: FpML_PrincipalExchange The initial, intermediate and final principal exchange amounts. Typically required on cross currency interest rate swaps where actual exchanges of principal occur. A list of principal exchange elements may be ordered in the document by ascending adjusted principal exchange date. An FpML document containing an unordered principal exchange list is still regarded as a conformant document. Source: fpml-dtd-ird-3-0.dtd |
FpML_Cashflows |
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principalExchangeAmount ; built-in datatype: decimal The principal exchange amount. This amount should be positive if the stream payer is paying the exchange amount and signed negative if they are receiving it. Source: fpml-dtd-ird-3-0.dtd |
FpML_PrincipalExchange |
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principalExchanges ; entity type: FpML_PrincipalExchanges The true/false flags indicating whether initial, intermediate or final exchanges of principal should occur. Source: fpml-dtd-ird-3-0.dtd |
FpML_InterestRateStream |
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productId ; built-in datatype: string ; coding scheme: productIdScheme A product reference identifier allocated by a party. FpML does not define the domain values associated with this element. Note that the domain values for this element are not strictly an enumerated list. Source: fpml-dtd-shared-3-0.dtd |
FpML_Product |
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productType ; built-in datatype: string ; coding scheme: productTypeScheme A classification of the type of product. Fpml does not define a domain of values for this element. Source: fpml-dtd-shared-3-0.dtd |
FpML_Product |
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putCurrencyAmount ; entity type: FpML_Money The currency amount that the option gives the right to sell. Source: fpml-dtd-fx-3-0.dtd |
FpML_FXOptionLeg FpML_FXAverageRateOption |
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quotationRateType ; built-in datatype: string ; coding scheme: quotationRateTypeScheme Which rate quote is to be observed, either Bid, Mid, Offer or Exercising Party Pays. The meaning of Exercising Party Pays is defined in the 2000 ISDA Definitions, Section 17.2. Certain Definitions Relating to Cash Settlement, paragraph (j) Source: fpml-dtd-ird-3-0.dtd |
FpML_CashPriceMethod FpML_YieldCurveMethod |
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quoteBasis ; built-in datatype: string ; coding scheme: quoteBasisScheme The method by which the exchange rate is quoted. Source: fpml-dtd-fx-3-0.dtd |
FpML_QuotedCurrencyPair |
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quotedAs ; entity type: FpML_QuotedAs Describes how the option was quoted. Source: fpml-dtd-fx-3-0.dtd |
FpML_FXOptionLeg |
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quotedCurrencyPair ; entity type: FpML_QuotedCurrencyPair Defines the two currencies for an FX trade and the quotation relationship between the two currencies. Source: fpml-dtd-fx-3-0.dtd |
FpML_FXFixing FpML_FXDigitalOption FpML_FXBarrier FpML_FXAmericanTrigger FpML_FXEuropeanTrigger FpML_FXRate |
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quotedTenor ; entity type: FpML_Interval Code denoting the tenor of the option leg. Source: fpml-dtd-fx-3-0.dtd |
FpML_QuotedAs |
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rate ; built-in datatype: decimal The rate of exchange between the two currencies of the leg of a deal. Must be specified with a quote basis. Source: fpml-dtd-shared-3-0.dtd |
FpML_FXStrikePrice FpML_FXRate FpML_SideRate |
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rateCutOffDaysOffset ; entity type: FpML_Offset Specifies the number of business days before the period end date when the rate cut-off date is assumed to apply. The financial business centers associated with determining the rate cut-off date are those specified in the reset dates adjustments. The rate cut-off number of days must be a negative integer (a value of zero would imply no rate cut off applies in which case the rateCutOffDaysOffset element should not be included). The relevant rate for each reset date in the period from, and including, a rate cut-off date to, but excluding, the next applicable period end date (or, in the case of the last calculation period, the termination date) will (solely for purposes of calculating the floating amount payable on the next applicable payment date) be deemed to be the relevant rate in effect on that rate cut-off date. For example, if rate cut-off days for a daily averaging deal is -2 business days, then the refix rate applied on (period end date - 2 days) will also be applied as the reset on (period end date - 1 day), i.e. the actual number of reset dates remains the same but from the rate cut-off date until the period end date, the same refix rate is applied. Note that in the case of several calculation periods contributing to a single payment, the rate cut-off is assumed only to apply to the final calculation period contributing to that payment. The day type associated with the offset must imply a business days offset. Source: fpml-dtd-ird-3-0.dtd |
FpML_ResetDates |
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rateObservation ; entity type: FpML_RateObservation The details of a particular rate observation, including the fixing date and observed rate. A list of rate observation elements may be ordered in the document by ascending adjusted fixing date. An FpML document containing an unordered list of rate observations is still regarded as a conformant document. Source: fpml-dtd-ird-3-0.dtd |
FpML_FloatingRateDefinition |
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rateReference ; empty element 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. Source: fpml-dtd-shared-3-0.dtd |
FpML_RateObservation |
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rateSource ; built-in datatype: string ; coding scheme: informationProviderScheme An information source for obtaining a market rate. For example Bloomberg, Reuters, Telerate etc. Source: fpml-dtd-shared-3-0.dtd |
FpML_InformationSource |
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rateSourcePage ; built-in datatype: string ; coding scheme: rateSourcePageScheme A specific page for the rate source for obtaining a market rate. Source: fpml-dtd-shared-3-0.dtd |
FpML_InformationSource |
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rateSourcePageHeading ; built-in datatype: string The specific information source page for obtaining a market rate. For example, 3750 (Telerate), LIBO (Reuters) etc. Source: fpml-dtd-shared-3-0.dtd |
FpML_InformationSource |
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rateTreatment ; built-in datatype: string ; coding scheme: rateTreatmentScheme The specification of any rate conversion which needs to be applied to the observed rate before being used in any calculations. The two common conversions are for securities quoted on a bank discount basis which will need to be converted to either a Money Market Yield or Bond Equivalent Yield. See the Annex to the 2000 ISDA Definitions, Section 7.3. Certain General Definitions Relating to Floating Rate Options, paragraphs (g) and (h) for definitions of these terms. Source: fpml-dtd-ird-3-0.dtd |
FpML_FloatingRate |
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receiverPartyReference ; empty element A pointer style reference to a party identifier defined elsewhere in the document. Source: fpml-dtd-shared-3-0.dtd |
FpML_Payment FpML_ExerciseFee FpML_ExerciseFeeSchedule FpML_FXOptionPremium FpML_InterestRateStream FpML_EquityPremium |
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referenceBank ; entity type: FpML_ReferenceBank An institution (party) identified by means of a coding scheme and an optional name. Source: fpml-dtd-shared-3-0.dtd |
FpML_CashSettlementReferenceBanks |
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referenceBankId ; built-in datatype: string ; coding scheme: referenceBankIdScheme An institution (party) identifier, e.g. a bank identifier code (BIC). Source: fpml-dtd-shared-3-0.dtd |
FpML_ReferenceBank |
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referenceBankName ; built-in datatype: string The name of the institution (party). A free format string. FpML does not define usage rules for the element. Source: fpml-dtd-shared-3-0.dtd |
FpML_ReferenceBank |
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relatedExchangeId ; built-in datatype: string ; coding scheme: exchangeIdScheme 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. Source: fpml-dtd-eqd-3-0.dtd |
FpML_Equity |
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relativeDate ; entity type: FpML_RelativeDateOffset A date specified as some offset to another date (the anchor date). Source: fpml-dtd-shared-3-0.dtd |
FpML_AdjustableOrRelativeDate FpML_CashSettlementPaymentDate |
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relativeDates ; entity type: FpML_RelativeDates A series of dates specified as some offset to another series of dates. (the anchor dates). Source: fpml-dtd-shared-3-0.dtd |
FpML_AdjustableOrRelativeDates |
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relevantUnderlyingDate ; entity type: FpML_AdjustableOrRelativeDates 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). Source: fpml-dtd-shared-3-0.dtd |
FpML_AmericanExercise FpML_BermudaExercise FpML_EuropeanExercise |
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resetDate ; built-in datatype: date The reset date. Source: fpml-dtd-ird-3-0.dtd |
FpML_FxLinkedNotionalAmount |
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resetDates ; entity type: FpML_ResetDates The reset dates schedule. The reset dates schedule only applies for a floating rate stream. Source: fpml-dtd-ird-3-0.dtd |
FpML_InterestRateStream |
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resetDatesAdjustments ; entity type: FpML_BusinessDayAdjustments The business day convention to apply to each reset date if it would otherwise fall on a day that is not a business day in the specified financial business centers. Source: fpml-dtd-ird-3-0.dtd |
FpML_ResetDates |
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resetDatesReference ; empty element A pointer style reference to the associated reset dates component defined elsewhere in the document. Source: fpml-dtd-ird-3-0.dtd |
FpML_PaymentDates |
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resetFrequency ; entity type: FpML_ResetFrequency 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. Source: fpml-dtd-ird-3-0.dtd |
FpML_ResetDates |
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resetRelativeTo ; built-in datatype: string ; coding scheme: resetRelativeToScheme Specifies whether the reset dates are determined with respect to each adjusted calculation period start date or adjusted calculation period end date. If the reset frequency is specified as daily this element must not be included. Source: fpml-dtd-ird-3-0.dtd |
FpML_ResetDates |
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rollConvention ; built-in datatype: string ; coding scheme: rollConventionScheme Used in conjunction with a frequency and the regular period start date of a calculation period, determines each calculation period end date within the regular part of a calculation period schedule. Source: fpml-dtd-shared-3-0.dtd |
FpML_CalculationPeriodFrequency |
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roundingDirection ; built-in datatype: string ; coding scheme: roundingDirectionScheme Specifies the rounding direction. Source: fpml-dtd-shared-3-0.dtd |
FpML_Rounding |
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routingAccountNumber ; built-in datatype: string An account number via which a payment can be routed. Source: fpml-dtd-fx-3-0.dtd |
FpML_RoutingExplicitDetails |
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routingAddress ; entity type: FpML_Address A physical postal address via which a payment can be routed. Source: fpml-dtd-fx-3-0.dtd |
FpML_RoutingExplicitDetails |
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routingExplicitDetails ; entity type: FpML_RoutingExplicitDetails A set of details that is used to identify a party involved in the routing of a payment when the party does not have a code that identifies it within one of the recognized payment systems. Source: fpml-dtd-fx-3-0.dtd |
FpML_Routing |
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routingId ; built-in datatype: string ; coding scheme: routingIdScheme A unique identifier for party that is a participant in a recognized payment system. Source: fpml-dtd-fx-3-0.dtd |
FpML_RoutingIds |
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routingIds ; entity type: FpML_RoutingIds A set of unique identifiers for a party, eachone identifying the party within a payment system. The assumption is that each party will not have more than one identifier within the same payment system. Source: fpml-dtd-fx-3-0.dtd |
FpML_Routing FpML_RoutingIdsAndExplicitDetails |
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routingIdsAndExplicitDetails ; entity type: FpML_RoutingIdsAndExplicitDetails A combination of coded payment system identifiers and details for physical addressing for a party involved in the routing of a payment. Source: fpml-dtd-fx-3-0.dtd |
FpML_Routing |
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routingName ; built-in datatype: string A real name that is used to identify a party involved in the routing of a payment. Source: fpml-dtd-fx-3-0.dtd |
FpML_RoutingExplicitDetails |
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routingReferenceText ; built-in datatype: string A piece of free-format text used to assist the identification of a party involved in the routing of a payment. Source: fpml-dtd-fx-3-0.dtd |
FpML_RoutingExplicitDetails |
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scheduleBounds ; entity type: FpML_DateRange The first and last dates of a schedule. This can be used to restrict the range of values in a reference series of dates. Source: fpml-dtd-shared-3-0.dtd |
FpML_RelativeDates |
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secondaryRateSource ; entity type: FpML_InformationSource An alternative, or secondary, source for where the rate observation will occur. Will typically be either a page or a reference bank published rate. Source: fpml-dtd-fx-3-0.dtd |
FpML_FXFixing FpML_FXAverageRateOption |
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seller ; built-in datatype: string ; coding scheme: payerReceiverScheme The party that has sold. Source: fpml-dtd-shared-3-0.dtd |
FpML_Strike FpML_StrikeSchedule |
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sellerParty ; entity type: FpML_PartyDetails The party selling the option. Source: fpml-dtd-eqd-3-0.dtd |
FpML_EquityOption |
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sellerPartyReference ; empty element A pointer style reference to a party identifier defined elsewhere in the document. The party referenced is the seller of the instrument. (FpML_SinglePartyOption usage) ISDA defined Seller. The party reference grants the party referenced by the element buyerPartyReference (i.e. the ISDA defined Buyer) the right, upon exercise, to terminate the Swap Transaction in whole or in part (depending on whether partial exercise is applicable). Source: fpml-dtd-shared-3-0.dtd |
FpML_FXOptionLeg FpML_FXDigitalOption FpML_FXAverageRateOption FpML_Fra FpML_CancelableProvision FpML_ExtendibleProvision FpML_SinglePartyOption FpML_Swaption |
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settlementCurrency ; built-in datatype: string ; coding scheme: currencyScheme The currency in which a cash settlement for non-deliverable forward and non-deliverable options. Source: fpml-dtd-shared-3-0.dtd |
FpML_FXCashSettlement FpML_EquityExercise |
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settlementDate ; entity type: FpML_RelativeDateOffset Date on which settlement of option premiums will occur. Source: fpml-dtd-eqd-3-0.dtd |
FpML_EquityExercise |
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settlementInformation ; entity type: FpML_SettlementInformation The information required to settle a currency payment that results from a trade. Source: fpml-dtd-fx-3-0.dtd |
FpML_CurrencyFlow FpML_FXOptionPremium FpML_FXOptionPayout |
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settlementInstruction ; entity type: FpML_SettlementInstruction An explicit specification of how a currency payment is to be made, when the payment is not netted and the route is other than the recipient's standard settlement instruction. Source: fpml-dtd-fx-3-0.dtd |
FpML_SettlementInformation |
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settlementMethod ; built-in datatype: string ; coding scheme: settlementMethodScheme The mechanism by which settlement is to be made. The scheme of domain values will include standard mechanisms such as CLS, Fedwire, Chips ABA, Chips UID, SWIFT, CHAPS and DDA. Source: fpml-dtd-fx-3-0.dtd |
FpML_SettlementInstruction |
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settlementPriceSource ; built-in datatype: string ; coding scheme: settlementPriceSourceScheme The source from which the settlement price is to be obtained, e.g. a Reuters page, Prezzo di Riferimento, etc. Source: fpml-dtd-eqd-3-0.dtd |
FpML_EquityExercise |
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settlementRateSource ; entity type: FpML_SettlementRateSource The method for obtaining a settlement rate. This may be from some information source (e.g. Reuters) or from a set of reference banks. Source: fpml-dtd-ird-3-0.dtd |
FpML_YieldCurveMethod |
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settlementType ; built-in datatype: string ; coding scheme: settlementTypeScheme How the option will be settled. Source: fpml-dtd-eqd-3-0.dtd |
FpML_EquityExercise |
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shareForCombined ; built-in datatype: string ; coding scheme: shareExtraordinaryEventScheme The consideration paid for the original shares following the Merger Event consists of both cash/securities and new shares. Source: fpml-dtd-eqd-3-0.dtd |
FpML_MergerEvents |
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shareForOther ; built-in datatype: string ; coding scheme: shareExtraordinaryEventScheme The consideration paid for the original shares following the Merger Event consists wholly of cash/securities other than new shares. Source: fpml-dtd-eqd-3-0.dtd |
FpML_MergerEvents |
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shareForShare ; built-in datatype: string ; coding scheme: shareExtraordinaryEventScheme The consideration paid for the original shares following the Merger Event consists wholly of new shares. Source: fpml-dtd-eqd-3-0.dtd |
FpML_MergerEvents |
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sideRateBasis ; built-in datatype: string ; coding scheme: sideRateBasisScheme The method by which the exchange rate against base currency is quoted. Source: fpml-dtd-fx-3-0.dtd |
FpML_SideRate |
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sideRates ; entity type: FpML_SideRates An optional element that allow for definition of rates against base currency for non-base currency FX contracts. Source: fpml-dtd-fx-3-0.dtd |
FpML_FXRate |
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singlePartyOption ; entity type: FpML_SinglePartyOption If optional early termination is not available to both parties then this component specifies the buyer and seller of the option. Source: fpml-dtd-ird-3-0.dtd |
FpML_OptionalEarlyTermination |
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splitSettlement ; entity type: FpML_SplitSettlement The set of individual payments that are to be made when a currency payment settling a trade needs to be split between a number of ultimate beneficiaries. Each split payment may need to have its own routing information. Source: fpml-dtd-fx-3-0.dtd |
FpML_SettlementInstruction |
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splitSettlementAmount ; entity type: FpML_Money One of the monetary amounts in a split settlement payment. Source: fpml-dtd-fx-3-0.dtd |
FpML_SplitSettlement |
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spotPrice ; built-in datatype: decimal The real-time price per share, index or basket. Source: fpml-dtd-eqd-3-0.dtd |
FpML_EquityOption |
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spotRate ; built-in datatype: decimal An optional element used for FX forwards and certain types of FX OTC options. For deals consumated in the FX Forwards Market, this represents the current market rate for a particular currency pair. For barrier and digital/binary options, it can be useful to include the spot rate at the time the option was executed to make it easier to know whether the option needs to move "up" or "down" to be triggered. Source: fpml-dtd-fx-3-0.dtd |
FpML_FXBarrierOption FpML_FXDigitalOption FpML_FXAverageRateOption FpML_FXRate FpML_SideRate |
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spread ; built-in datatype: decimal The ISDA Spread, if any, which applies for the calculation period. The spread is a per annum rate, expressed as a decimal. For purposes of determining a calculation period amount, if positive the spread will be added to the floating rate and if negative the spread will be subtracted from the floating rate. A positive 10 basis point (0.1%) spread would be represented as 0.001. Source: fpml-dtd-ird-3-0.dtd |
FpML_FloatingRateDefinition |
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spreadSchedule ; entity type: FpML_Schedule The ISDA Spread or a Spread schedule expressed as explicit spreads and dates. In the case of a schedule, the step dates may be subject to adjustment in accordance with any adjustments specified in calculationPeriodDatesAdjustments. The spread is a per annum rate, expressed as a decimal. For purposes of determining a calculation period amount, if positive the spread will be added to the floating rate and if negative the spread will be subtracted from the floating rate. A positive 10 basis point (0.1%) spread would be represented as 0.001. Source: fpml-dtd-ird-3-0.dtd |
FpML_FloatingRate |
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standardSettlementStyle ; built-in datatype: string ; coding scheme: standardSettlementStyleScheme An optional element used to describe how a trade will settle. This defines a scheme and is used for identifying trades that are identified as settling standard and/or flagged for settlement netting. Source: fpml-dtd-fx-3-0.dtd |
FpML_SettlementInformation |
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state ; built-in datatype: string A country subdivision used in postal addresses in some countries. For example, US states, Canadian provinces, Swiss cantons. Source: fpml-dtd-fx-3-0.dtd |
FpML_Address |
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step ; entity type: FpML_Step 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. Source: fpml-dtd-shared-3-0.dtd |
FpML_Schedule |
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stepDate ; built-in datatype: date The date on which the associated stepValue becomes effective. This day may be subject to adjustment in accordance with a business day convention. Source: fpml-dtd-shared-3-0.dtd |
FpML_Step |
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stepFrequency ; entity type: FpML_Interval The frequency at which the step changes occur. This frequency must be a multiple of the stream calculation period frequency. Source: fpml-dtd-ird-3-0.dtd |
FpML_NotionalStepRule |
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stepRelativeTo ; built-in datatype: string ; coding scheme: stepRelativeToScheme Specifies whether the notionalStepRate should be applied to the initial notional or the previous notional in order to calculate the notional step change amount. Source: fpml-dtd-ird-3-0.dtd |
FpML_NotionalStepRule |
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stepValue ; built-in datatype: decimal The rate or amount which becomes effective on the associated stepDate. A rate of 5% would be represented as 0.05. Source: fpml-dtd-shared-3-0.dtd |
FpML_Step |
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strategy ; entity type: FpML_Strategy A trade containing multiple products. It is envisaged that this will be used to represent structured products. Source: fpml-dtd-main-3-0.dtd |
FpML_ProductSelection |
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streetAddress ; entity type: FpML_StreetAddress The set of street and building number information that identifies a postal address within a city. Source: fpml-dtd-fx-3-0.dtd |
FpML_Address |
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streetLine ; built-in datatype: string An individual line of street and building number information, forming part of a postal address. Source: fpml-dtd-fx-3-0.dtd |
FpML_StreetAddress |
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strike ; entity type: FpML_EquityStrike The price per unit of the underlying at which the option may be exercised. Source: fpml-dtd-eqd-3-0.dtd |
FpML_EquityOption |
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strikePrice ; built-in datatype: decimal 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. Source: fpml-dtd-eqd-3-0.dtd |
FpML_EquityStrike |
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strikeQuoteBasis ; built-in datatype: string ; coding scheme: strikeQuoteBasisScheme The method by which the strike rate is quoted. Source: fpml-dtd-fx-3-0.dtd |
FpML_FXStrikePrice |
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strikeRate ; built-in datatype: decimal The rate for a cap or floor. Source: fpml-dtd-shared-3-0.dtd |
FpML_Strike |
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stubAmount ; entity type: FpML_Money An actual amount to apply for the initial or final stub period may have been agreed between the two parties. If an actual stub amount has been agreed then it would be included in this component. Source: fpml-dtd-ird-3-0.dtd |
FpML_Stub |
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stubCalculationPeriodAmount ; entity type: FpML_StubCalculationPeriodAmount The stub calculation period amount parameters. This element must only be included if there is an initial or final stub calculation period. Even then, it must only be included if either the stub references a different floating rate tenor to the regular calculation periods, or if the stub is calculated as a linear interpolation of two different floating rate tenors, or if a specific stub rate or stub amount has been negotiated. Source: fpml-dtd-ird-3-0.dtd |
FpML_InterestRateStream |
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stubRate ; built-in datatype: decimal An actual rate to apply for the initial or final stub period may have been agreed between the principal parties (in a similar way to how an initial rate may have been agreed for the first regular period). If an actual stub rate has been agreed then it would be included in this component. It will be a per annum rate, expressed as a decimal. A stub rate of 5% would be represented as 0.05. Source: fpml-dtd-ird-3-0.dtd |
FpML_Stub |
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swap ; entity type: FpML_Swap A swap product definition. Source: fpml-dtd-ird-3-0.dtd |
FpML_Swaption FpML_ProductSelection |
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swapPremium ; built-in datatype: boolean Specifies whether or not the premium is to be paid in the style of payments under an interest rate swap contract. Source: fpml-dtd-eqd-3-0.dtd |
FpML_EquityPremium |
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swapStream ; entity type: FpML_InterestRateStream The swap streams. Source: fpml-dtd-ird-3-0.dtd |
FpML_Swap |
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swaption ; entity type: FpML_Swaption A swaption product definition. Source: fpml-dtd-ird-3-0.dtd |
FpML_ProductSelection |
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swaptionAdjustedDates ; entity type: FpML_SwaptionAdjustedDates The adjusted dates associated with swaption exercise. These dates have been adjusted for any applicable business day convention. Source: fpml-dtd-ird-3-0.dtd |
FpML_Swaption |
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swaptionStraddle ; built-in datatype: boolean Whether the option is a swaption or a swaption straddle Source: fpml-dtd-ird-3-0.dtd |
FpML_Swaption |
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terminationDate ; entity type: FpML_AdjustableDate The last day of the term of the trade. This day may be subject to adjustment in accordance with a business day convention. Source: fpml-dtd-ird-3-0.dtd |
FpML_CalculationPeriodDates |
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thresholdRate ; built-in datatype: decimal A threshold rate. A threshold of 0.10% would be represented as 0.001. Source: fpml-dtd-shared-3-0.dtd |
FpML_AutomaticExercise |
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touchCondition ; built-in datatype: string ; coding scheme: touchConditionScheme The binary condition that applies to an American-style trigger. There can only be two domain values for this element: "touch" or "no touch". Source: fpml-dtd-fx-3-0.dtd |
FpML_FXAmericanTrigger |
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trade ; entity type: FpML_Trade The FpML trade definition. Source: fpml-dtd-main-3-0.dtd |
FpML_Root |
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tradeDate ; built-in datatype: date The trade date. Source: fpml-dtd-main-3-0.dtd |
FpML_TradeHeader |
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tradeHeader ; entity type: FpML_TradeHeader The information on the trade which is not product specific, e.g. trade date. Source: fpml-dtd-main-3-0.dtd |
FpML_Trade |
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tradeId ; built-in datatype: string ; coding scheme: tradeIdScheme A trade reference identifier allocated by a party. FpML does not define the domain values associated with this element. Note that the domain values for this element are not strictly an enumerated list. Source: fpml-dtd-main-3-0.dtd |
FpML_PartyTradeIdentifier FpML_Portfolio |
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treatedRate ; built-in datatype: decimal The observed rate after any required rate treatment is applied. A treated rate of 5% would be represented as 0.05. Source: fpml-dtd-shared-3-0.dtd |
FpML_RateObservation |
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triggerCondition ; built-in datatype: string ; coding scheme: triggerConditionScheme The binary condition that applies to a European-style trigger, determining where the spot rate must be relative to the triggerRate for the option to be exercisable. There can only be two domain values for this element: "aboveTrigger" or "belowTrigger". Source: fpml-dtd-fx-3-0.dtd |
FpML_FXEuropeanTrigger |
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triggerPayout ; entity type: FpML_FXOptionPayout The amount of currency which becomes payable if and when a trigger event occurs. Source: fpml-dtd-fx-3-0.dtd |
FpML_FXBarrierOption FpML_FXDigitalOption |
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triggerRate ; built-in datatype: decimal The market rate is observed relative to the trigger rate, and if it is found to be on the predefined side of (above or below) the trigger rate, a trigger event is deemed to have occurred. Source: fpml-dtd-fx-3-0.dtd |
FpML_FXBarrier FpML_FXAmericanTrigger FpML_FXEuropeanTrigger |
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unadjustedDate ; built-in datatype: date A date subject to adjustment. Source: fpml-dtd-shared-3-0.dtd |
FpML_AdjustableDate FpML_AdjustableDates |
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unadjustedEndDate ; built-in datatype: date The unadjusted calculation period end date. Source: fpml-dtd-ird-3-0.dtd |
FpML_CalculationPeriod |
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unadjustedFirstDate ; built-in datatype: date The first date of a date range. Source: fpml-dtd-shared-3-0.dtd |
FpML_DateRange |
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unadjustedLastDate ; built-in datatype: date The last date of a date range. Source: fpml-dtd-shared-3-0.dtd |
FpML_DateRange |
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unadjustedPaymentDate ; built-in datatype: date The unadjusted payment date. Source: fpml-dtd-ird-3-0.dtd |
FpML_PaymentCalculationPeriod |
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unadjustedPrincipalExchangeDate ; built-in datatype: date The unadjusted principal exchange date. Source: fpml-dtd-ird-3-0.dtd |
FpML_PrincipalExchange |
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unadjustedStartDate ; built-in datatype: date The unadjusted calculation period start date. Source: fpml-dtd-ird-3-0.dtd |
FpML_CalculationPeriod |
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underlying ; entity type: FpML_Equity 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. Source: fpml-dtd-eqd-3-0.dtd |
FpML_EquityOption |
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valuationDate ; built-in datatype: date The term "Valuation Date" is assumed to have the meaning as defined in the ISDA 1996 Equity Derivatives Definitions. Source: fpml-dtd-eqd-3-0.dtd |
FpML_EquityValuation |
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valuationTime ; entity type: FpML_BusinessCenterTime The specific time of day at which the calculation agent values the underlying. Source: fpml-dtd-eqd-3-0.dtd |
FpML_EquityValuation |
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valuationTimeType ; built-in datatype: string ; coding scheme: timeTypeScheme The time of day at which the calculation agent values the underlying, for example the official closing time of the exchange. Source: fpml-dtd-eqd-3-0.dtd |
FpML_EquityValuation |
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valueDate ; built-in datatype: date The date on which both currencies traded will settle. Source: fpml-dtd-fx-3-0.dtd |
FpML_FXLeg FpML_FXOptionLeg FpML_FXDigitalOption FpML_FXAverageRateOption |
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varyingNotionalCurrency ; built-in datatype: string ; coding scheme: currencyScheme The currency of the varying notional amount, i.e. the notional amount being determined periodically based on observation of a spot currency exchange rate. Source: fpml-dtd-ird-3-0.dtd |
FpML_FxLinkedNotionalSchedule |
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varyingNotionalFixingDates ; entity type: FpML_RelativeDateOffset The dates on which spot currency exchange rates are observed for purposes of determining the varying notional currency amount that will apply to a calculation period. Source: fpml-dtd-ird-3-0.dtd |
FpML_FxLinkedNotionalSchedule |
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varyingNotionalInterimExchangePaymentDates ; entity type: FpML_RelativeDateOffset The dates on which interim exchanges of notional are paid. Interim exchanges will arise as a result of changes in the spot currency exchange amount or changes in the constant notional schedule (e.g. amortization). Source: fpml-dtd-ird-3-0.dtd |
FpML_FxLinkedNotionalSchedule |
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weeklyRollConvention ; built-in datatype: string ; coding scheme: weeklyRollConventionScheme The day of the week on which a weekly reset date occurs. This element must be included if the reset frequency is defined as weekly and not otherwise. Source: fpml-dtd-ird-3-0.dtd |
FpML_ResetFrequency |
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zeroCouponYieldAdjustedMethod ; entity type: FpML_YieldCurveMethod An ISDA defined cash settlement method used for the determination of the applicable cash settlement amount. The method is defined in the 2000 ISDA Definitions, Section 17.3. Cash Settlement Methods, paragraph (d). Source: fpml-dtd-ird-3-0.dtd |
FpML_CashSettlement |