http://www.fpml.org/spec/fpml-4-3-9-tr-1
http://www.fpml.org/spec/fpml-4-3-9-tr-1
http://www.fpml.org/spec/2007/lcwd-fpml-4-3-2007-10-30/
http://www.fpml.org/spec/fpml-4-3-9-tr-1/html/fpml-4-3-errata.html
Document built: Mon 01/14/2008 12:56:07.86
Copyright (c) 1999 - 2006 by INTERNATIONAL SWAPS AND DERIVATIVES ASSOCIATION, INC.
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.html
The FpML specifications provided are without warranty of any kind, either expressed or implied, including, without limitation, warranties that FpML, or the FpML specifications are free of defects, merchantable, fit for a particular purpose or non-infringing. The entire risk as to the quality and performance of the specifications is with you. Should any of the FpML specifications prove defective in any respect, you assume the cost of any necessary servicing or repair. Under no circumstances and under no legal theory, whether tort (including negligence), contract, or otherwise, shall ISDA, any of its members, or any distributor of documents or software containing any of the FpML specifications, or any supplier of any of such parties, be liable to you or any other person for any indirect, special, incidental, or consequential damages of any character including, without limitation, damages for loss of goodwill, work stoppage, computer failure or malfunction, or any and all other commercial damages or losses, even if such party shall have been informed of the possibility of such damages.
currency (zero or one occurrence; of the type Currency)
amount (exactly one occurrence; of the type xsd:decimal)
priceExpression (exactly one occurrence; of the type PriceExpressionEnum)
<xsd:complexType name="ActualPrice">
<xsd:sequence>
<xsd:element name="currency" type="Currency" minOccurs="0">
<xsd:annotation>
<xsd:documentation xml:lang="en">
Specifies the currency associated with the net price. This
element is not present if the price is expressed in
percentage terms (as specified through the priceExpression
element).
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="amount" type="xsd:decimal">
<xsd:annotation>
<xsd:documentation xml:lang="en">
Specifies the net price amount. In the case of a fixed income
security or a convertible bond, this price includes the
accrued interests.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="priceExpression" type="PriceExpressionEnum">
<xsd:annotation>
<xsd:documentation xml:lang="en">
Specifies whether the price is expressed in absolute or
relative terms.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
</xsd:sequence>
</xsd:complexType>
A reference to an asset, e.g. a portfolio, trade, or reference instrument..
Inherited element(s): (This definition inherits the content defined by the type Reference)
Attribute: href (xsd:IDREF) - required
<xsd:complexType name="AnyAssetReference">
<xsd:annotation>
<xsd:documentation xml:lang="en">
A reference to an asset, e.g. a portfolio, trade, or reference
instrument..
</xsd:documentation>
</xsd:annotation>
<xsd:complexContent>
<xsd:extension base="Reference">
<xsd:attribute name="href" type="xsd:IDREF" use="required"/>
</xsd:extension>
</xsd:complexContent>
</xsd:complexType>
A generic type describing the basic components of an asset.
instrumentId (one or more occurrences; of the type InstrumentId)
description (zero or one occurrence; of the type xsd:string)
Attribute: id (xsd:ID)
<xsd:complexType name="Asset" abstract="true">
<xsd:annotation>
<xsd:documentation xml:lang="en">
A generic type describing the basic components of an asset.
</xsd:documentation>
</xsd:annotation>
<xsd:sequence>
<xsd:element name="instrumentId" type="InstrumentId" maxOccurs="unbounded"/>
<xsd:element name="description" type="xsd:string" minOccurs="0">
<xsd:annotation>
<xsd:documentation xml:lang="en">
The long name of a security.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
</xsd:sequence>
<xsd:attribute name="id" type="xsd:ID"/>
</xsd:complexType>
A scheme identifying the types of measures that can be used to describe an asset.
Inherited element(s): (This definition inherits the content defined by the type xsd:normalizedString)
Attribute: assetMeasureScheme (xsd:anyURI)
<xsd:complexType name="AssetMeasureType">
<xsd:annotation>
<xsd:documentation xml:lang="en">
A scheme identifying the types of measures that can be used to
describe an asset.
</xsd:documentation>
</xsd:annotation>
<xsd:simpleContent>
<xsd:extension base="xsd:normalizedString">
<xsd:attribute name="assetMeasureScheme" default="http://www.fpml.org/coding-scheme/asset-measure-5-0" type="xsd:anyURI"/>
</xsd:extension>
</xsd:simpleContent>
</xsd:complexType>
Characterise the asset pool behind an asset backed bond.
version (exactly one occurrence; of the type xsd:nonNegativeInteger)
effectiveDate (zero or one occurrence; of the type IdentifiedDate)
initialFactor (exactly one occurrence; of the type xsd:decimal)
currentFactor (zero or one occurrence; of the type xsd:decimal)
<xsd:complexType name="AssetPool">
<xsd:annotation>
<xsd:documentation xml:lang="en">
Characterise the asset pool behind an asset backed bond.
</xsd:documentation>
</xsd:annotation>
<xsd:sequence>
<xsd:group ref="VersionHistory.model" minOccurs="0"/>
<xsd:element name="initialFactor" type="xsd:decimal">
<xsd:annotation>
<xsd:documentation xml:lang="en">
The part of the mortgage that is outstanding on trade
inception, i.e. has not been repaid yet as principal. It is
expressed as a multiplier factor to the morgage: 1 means that
the whole mortage amount is outstanding, 0.8 means that 20%
has been repaid.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="currentFactor" type="xsd:decimal" minOccurs="0">
<xsd:annotation>
<xsd:documentation xml:lang="en">
The part of the mortgage that is currently outstanding. It is
expressed similarly to the initial factor, as factor
multiplier to the mortgage. This term is formally defined as
part of the "ISDA Standard Terms Supplement for use with
credit derivatives transactions on mortgage-backed security
with pas-as-you-go or physical settlement".
</xsd:documentation>
</xsd:annotation>
</xsd:element>
</xsd:sequence>
</xsd:complexType>
Reference to an underlying asset.
Inherited element(s): (This definition inherits the content defined by the type Reference)
Attribute: href (xsd:IDREF) - required
<xsd:complexType name="AssetReference">
<xsd:annotation>
<xsd:documentation xml:lang="en">
Reference to an underlying asset.
</xsd:documentation>
</xsd:annotation>
<xsd:complexContent>
<xsd:extension base="Reference">
<xsd:attribute name="href" type="xsd:IDREF" use="required" ecore:reference="Asset"/>
</xsd:extension>
</xsd:complexContent>
</xsd:complexType>
Some kind of numerical measure about an asset, eg. its NPV, together with characteristics of that measure.
value (zero or one occurrence; of the type xsd:decimal)
measureType (zero or one occurrence; of the type AssetMeasureType)
quoteUnits (zero or one occurrence; of the type PriceQuoteUnits)
side (zero or one occurrence; of the type QuotationSideEnum)
currency (zero or one occurrence; of the type Currency)
timing (zero or one occurrence; of the type QuoteTiming)
businessCenter (exactly one occurrence; of the type BusinessCenter)
Or
exchangeId (exactly one occurrence; of the type ExchangeId)
informationSource (zero or more occurrences; of the type InformationSource)
time (zero or one occurrence; of the type xsd:dateTime)
valuationDate (zero or one occurrence; of the type xsd:date)
expiryTime (zero or one occurrence; of the type xsd:dateTime)
cashFlowType (zero or one occurrence; of the type CashflowType)
<xsd:complexType name="BasicQuotation">
<xsd:annotation>
<xsd:documentation xml:lang="en">
Some kind of numerical measure about an asset, eg. its NPV,
together with characteristics of that measure.
</xsd:documentation>
</xsd:annotation>
<xsd:sequence>
<xsd:group ref="Quotation.model"/>
</xsd:sequence>
</xsd:complexType>
A type describing the underlyer features of a basket swap. Each of the basket constituents are described through an embedded component, the basketConstituentsType.
openUnits (zero or one occurrence; of the type xsd:decimal)
basketConstituent (one or more occurrences; of the type BasketConstituent)
basketDivisor (zero or one occurrence; of the type xsd:decimal)
basketCurrency (zero or one occurrence; of the type Currency)
Attribute: id (xsd:ID) - optional
<xsd:complexType name="Basket">
<xsd:annotation>
<xsd:documentation xml:lang="en">
A type describing the underlyer features of a basket swap. Each
of the basket constituents are described through an embedded
component, the basketConstituentsType.
</xsd:documentation>
</xsd:annotation>
<xsd:sequence>
<xsd:element name="openUnits" type="xsd:decimal" minOccurs="0">
<xsd:annotation>
<xsd:documentation xml:lang="en">
The number of units (index or securities) that constitute the
underlyer of the swap. In the case of a basket swap, this
element is used to reference both the number of basket units,
and the number of each asset components of the basket when
these are expressed in absolute terms.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="basketConstituent" type="BasketConstituent" maxOccurs="unbounded">
<xsd:annotation>
<xsd:documentation xml:lang="en">
Describes each of the components of the basket.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="basketDivisor" type="xsd:decimal" minOccurs="0">
<xsd:annotation>
<xsd:documentation xml:lang="en">
Specifies the basket divisor amount. This value is normally
used to adjust the constituent weight for pricing or to
adjust for dividends, or other corporate actions.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:group ref="BasketIdentifier.model" minOccurs="0">
<xsd:annotation>
<xsd:documentation xml:lang="en">
Reuses the group that specifies a name and an identifier for
a given basket.
</xsd:documentation>
</xsd:annotation>
</xsd:group>
<xsd:element name="basketCurrency" type="Currency" minOccurs="0">
<xsd:annotation>
<xsd:documentation xml:lang="en">
Specifies the currency for this basket.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
</xsd:sequence>
<xsd:attribute name="id" type="xsd:ID" use="optional"/>
</xsd:complexType>
A type describing each of the constituents of a basket.
underlyingAsset (exactly one occurrence; of the type Asset)
constituentWeight (zero or one occurrence; of the type ConstituentWeight)
dividendPayout (zero or one occurrence; of the type DividendPayout)
underlyerPrice (zero or one occurrence; of the type Price)
underlyerNotional (zero or one occurrence; of the type Money)
underlyerSpread (zero or one occurrence; of the type SpreadScheduleReference)
couponPayment (zero or one occurrence; of the type PendingPayment)
Attribute: id (xsd:ID) - optional
<xsd:complexType name="BasketConstituent">
<xsd:annotation>
<xsd:documentation xml:lang="en">
A type describing each of the constituents of a basket.
</xsd:documentation>
</xsd:annotation>
<xsd:sequence>
<xsd:element ref="underlyingAsset"/>
<xsd:element name="constituentWeight" type="ConstituentWeight" minOccurs="0">
<xsd:annotation>
<xsd:documentation xml:lang="en">
Specifies the weight of each of the underlyer constituent
within the basket, either in absolute or relative terms. This
is an optional component, as certain swaps do not specify a
specific weight for each of their basket constituents.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="dividendPayout" type="DividendPayout" minOccurs="0">
<xsd:annotation>
<xsd:documentation xml:lang="en">
Specifies the dividend payout ratio associated with an equity
underlyer. A basket swap can have different payout ratios
across the various underlying constituents. In certain cases
the actual ratio is not known on trade inception, and only
general conditions are then specified. Users should note that
FpML makes a distinction between the derivative contract and
the underlyer of the contract. It would be better if the
agreed dividend payout on a derivative contract was modelled
at the level of the derivative contract, an approach which
may be adopted in the next major version of FpML.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="underlyerPrice" type="Price" minOccurs="0">
<xsd:annotation>
<xsd:documentation xml:lang="en">
Specifies the price that is associated with each of the
basket constituents. This component is optional, as it is not
absolutely required to accurately describe the economics of
the trade, considering the price that characterizes the
equity swap is associated to the leg of the trade.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="underlyerNotional" type="Money" minOccurs="0">
<xsd:annotation>
<xsd:documentation xml:lang="en">
Specifies the notional (i.e. price * quantity) that is
associated with each of the basket constituents. This
component is optional, as it is not absolutely required to
accurately describe the economics of the trade, considering
the notional that characterizes the equity swap is associated
to the leg of the trade.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="underlyerSpread" type="SpreadScheduleReference" minOccurs="0">
<xsd:annotation>
<xsd:documentation xml:lang="en">
Provides a link to the spread schedule used for this
underlyer.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="couponPayment" type="PendingPayment" minOccurs="0">
<xsd:annotation>
<xsd:documentation xml:lang="en">
The next upcoming coupon payment.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
</xsd:sequence>
<xsd:attribute name="id" type="xsd:ID" use="optional"/>
</xsd:complexType>
Inherited element(s): (This definition inherits the content defined by the type xsd:normalizedString)
Attribute: basketIdScheme (xsd:anyURI)
<xsd:complexType name="BasketId">
<xsd:simpleContent>
<xsd:extension base="xsd:normalizedString">
<xsd:attribute name="basketIdScheme" type="xsd:anyURI"/>
</xsd:extension>
</xsd:simpleContent>
</xsd:complexType>
Inherited element(s): (This definition inherits the content defined by the type xsd:normalizedString)
Attribute: basketNameScheme (xsd:anyURI)
<xsd:complexType name="BasketName">
<xsd:simpleContent>
<xsd:extension base="xsd:normalizedString">
<xsd:attribute name="basketNameScheme" type="xsd:anyURI"/>
</xsd:extension>
</xsd:simpleContent>
</xsd:complexType>
Inherited element(s): (This definition inherits the content defined by the type ExchangeTraded)
issuerName (exactly one occurrence; of the type xsd:string)
Or
issuerPartyReference (exactly one occurrence; of the type PartyReference)
seniority (zero or one occurrence; of the type CreditSeniority)
couponType (zero or one occurrence; of the type CouponType)
couponRate (zero or one occurrence; of the type xsd:decimal)
maturity (zero or one occurrence; of the type xsd:date)
parValue (zero or one occurrence; of the type xsd:decimal)
faceAmount (zero or one occurrence; of the type xsd:decimal)
paymentFrequency (zero or one occurrence; of the type Interval)
dayCountFraction (zero or one occurrence; of the type DayCountFraction)
<xsd:complexType name="Bond">
<xsd:complexContent>
<xsd:extension base="ExchangeTraded">
<xsd:sequence>
<xsd:group ref="BondContent.model"/>
<xsd:element name="parValue" type="xsd:decimal" minOccurs="0">
<xsd:annotation>
<xsd:documentation xml:lang="en">
Specifies the nominal amount of a fixed income security
or convertible bond.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="faceAmount" type="xsd:decimal" minOccurs="0">
<xsd:annotation>
<xsd:documentation xml:lang="en">
Specifies the total amount of the issue. Corresponds to
the par value multiplied by the number of issued
security.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:group ref="BondCalculation.model"/>
</xsd:sequence>
</xsd:extension>
</xsd:complexContent>
</xsd:complexType>
Inherited element(s): (This definition inherits the content defined by the type Asset)
currency (exactly one occurrence; of the type Currency)
<xsd:complexType name="Cash">
<xsd:complexContent>
<xsd:extension base="Asset">
<xsd:sequence>
<xsd:element name="currency" type="Currency">
<xsd:annotation>
<xsd:documentation xml:lang="en">
The currency in which an amount is denominated.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
</xsd:sequence>
</xsd:extension>
</xsd:complexContent>
</xsd:complexType>
A type describing the commission that will be charged for each of the hedge transactions.
commissionDenomination (exactly one occurrence; of the type CommissionDenominationEnum)
commissionAmount (exactly one occurrence; of the type xsd:decimal)
currency (zero or one occurrence; of the type Currency)
commissionPerTrade (zero or one occurrence; of the type xsd:decimal)
fxRate (zero or more occurrences; of the type FxRate)
<xsd:complexType name="Commission">
<xsd:annotation>
<xsd:documentation xml:lang="en">
A type describing the commission that will be charged for each of
the hedge transactions.
</xsd:documentation>
</xsd:annotation>
<xsd:sequence>
<xsd:element name="commissionDenomination" type="CommissionDenominationEnum">
<xsd:annotation>
<xsd:documentation xml:lang="en">
The type of units used to express a commission.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="commissionAmount" type="xsd:decimal">
<xsd:annotation>
<xsd:documentation xml:lang="en">
The commission amount, expressed in the way indicated by the
commissionType element.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="currency" type="Currency" minOccurs="0">
<xsd:annotation>
<xsd:documentation xml:lang="en">
The currency in which an amount is denominated.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="commissionPerTrade" type="xsd:decimal" minOccurs="0">
<xsd:annotation>
<xsd:documentation xml:lang="en">
The total commission per trade.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="fxRate" type="FxRate" minOccurs="0" maxOccurs="unbounded">
<xsd:annotation>
<xsd:documentation xml:lang="en">
FX Rates that have been used to convert commissions to a
single currency.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
</xsd:sequence>
</xsd:complexType>
A type describing the weight of each of the underlyer constituent within the basket, either in absolute or relative terms.
openUnits (exactly one occurrence; of the type xsd:decimal)
Or
basketPercentage (exactly one occurrence; of the type RestrictedPercentage)
Or
basketAmount (exactly one occurrence; of the type Money)
<xsd:complexType name="ConstituentWeight">
<xsd:annotation>
<xsd:documentation xml:lang="en">
A type describing the weight of each of the underlyer constituent
within the basket, either in absolute or relative terms.
</xsd:documentation>
</xsd:annotation>
<xsd:choice>
<xsd:element name="openUnits" type="xsd:decimal">
<xsd:annotation>
<xsd:documentation xml:lang="en">
The number of units (index or securities) that constitute the
underlyer of the swap. In the case of a basket swap, this
element is used to reference both the number of basket units,
and the number of each asset components of the basket when
these are expressed in absolute terms.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="basketPercentage" type="RestrictedPercentage">
<xsd:annotation>
<xsd:documentation xml:lang="en">
The relative weight of each respective basket constituent,
expressed in percentage. A basket percentage of 5% would be
represented as 0.05.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="basketAmount" type="Money">
<xsd:annotation>
<xsd:documentation xml:lang="en">
The relative weight of each respective basket constituent,
expressed as a monetary amount.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
</xsd:choice>
</xsd:complexType>
Inherited element(s): (This definition inherits the content defined by the type Bond)
underlyingEquity (zero or one occurrence; of the type EquityAsset)
redemptionDate (zero or one occurrence; of the type xsd:date)
<xsd:complexType name="ConvertibleBond">
<xsd:complexContent>
<xsd:extension base="Bond">
<xsd:sequence>
<xsd:element name="underlyingEquity" type="EquityAsset" minOccurs="0">
<xsd:annotation>
<xsd:documentation xml:lang="en">
Specifies the equity in which the convertible bond can be
converted.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="redemptionDate" type="xsd:date" minOccurs="0">
<xsd:annotation>
<xsd:documentation xml:lang="en">
Earlier date between the convertible bond put dates and
its maturity date.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
</xsd:sequence>
</xsd:extension>
</xsd:complexContent>
</xsd:complexType>
Defines a scheme of values for specifiying if the bond has a variable coupon, step-up/down coupon or a zero-coupon.
Inherited element(s): (This definition inherits the content defined by the type xsd:normalizedString)
Attribute: couponTypeScheme (xsd:anyURI)
<xsd:complexType name="CouponType">
<xsd:annotation>
<xsd:documentation xml:lang="en">
Defines a scheme of values for specifiying if the bond has a
variable coupon, step-up/down coupon or a zero-coupon.
</xsd:documentation>
</xsd:annotation>
<xsd:simpleContent>
<xsd:extension base="xsd:normalizedString">
<xsd:attribute name="couponTypeScheme" type="xsd:anyURI" default="http://www.fpml.org/coding-scheme/coupon-type-1-0"/>
</xsd:extension>
</xsd:simpleContent>
</xsd:complexType>
Inherited element(s): (This definition inherits the content defined by the type UnderlyingAsset)
term (exactly one occurrence; of the type Interval)
paymentFrequency (zero or one occurrence; of the type Interval)
dayCountFraction (zero or one occurrence; of the type DayCountFraction)
<xsd:complexType name="Deposit">
<xsd:complexContent>
<xsd:extension base="UnderlyingAsset">
<xsd:sequence>
<xsd:element name="term" type="Interval">
<xsd:annotation>
<xsd:documentation xml:lang="en">
Specifies the term of the deposit, e.g. 5Y.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="paymentFrequency" type="Interval" minOccurs="0">
<xsd:annotation>
<xsd:documentation xml:lang="en">
Specifies the frequency at which the deposit pays, e.g.
6M.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="dayCountFraction" type="DayCountFraction" minOccurs="0">
<xsd:annotation>
<xsd:documentation xml:lang="en">
The day count basis for the deposit.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
</xsd:sequence>
</xsd:extension>
</xsd:complexContent>
</xsd:complexType>
A type describing the dividend payout ratio associated with an equity underlyer. In certain cases the actual ratio is not known on trade inception, and only general conditions are then specified.
dividendPayoutRatio (exactly one occurrence; of the type xsd:decimal)
Or
dividendPayoutConditions (exactly one occurrence; of the type xsd:string)
dividendPayment (zero or more occurrences; of the type PendingPayment)
<xsd:complexType name="DividendPayout">
<xsd:annotation>
<xsd:documentation xml:lang="en">
A type describing the dividend payout ratio associated with an
equity underlyer. In certain cases the actual ratio is not known
on trade inception, and only general conditions are then
specified.
</xsd:documentation>
</xsd:annotation>
<xsd:sequence>
<xsd:choice>
<xsd:element name="dividendPayoutRatio" type="xsd:decimal">
<xsd:annotation>
<xsd:documentation xml:lang="en">
Specifies the actual dividend payout ratio associated with
the equity underlyer.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="dividendPayoutConditions" type="xsd:string">
<xsd:annotation>
<xsd:documentation xml:lang="en">
Specifies the dividend payout conditions that will be
applied in the case where the actual ratio is not known,
typically because of regulatory or legal uncertainties.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
</xsd:choice>
<xsd:element name="dividendPayment" type="PendingPayment" minOccurs="0" maxOccurs="unbounded">
<xsd:annotation>
<xsd:documentation xml:lang="en">
The next upcoming dividend payment or payments.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
</xsd:sequence>
</xsd:complexType>
Inherited element(s): (This definition inherits the content defined by the type ExchangeTraded)
<xsd:complexType name="EquityAsset">
<xsd:complexContent>
<xsd:extension base="ExchangeTraded"/>
</xsd:complexContent>
</xsd:complexType>
Inherited element(s): (This definition inherits the content defined by the type UnderlyingAsset)
relatedExchangeId (zero or more occurrences; of the type ExchangeId)
optionsExchangeId (zero or more occurrences; of the type ExchangeId)
<xsd:complexType name="ExchangeTraded" abstract="true">
<xsd:complexContent>
<xsd:extension base="UnderlyingAsset">
<xsd:sequence>
<xsd:group ref="ExchangeIdentifier.model"/>
</xsd:sequence>
</xsd:extension>
</xsd:complexContent>
</xsd:complexType>
A type an Exchange Traded Contract
Inherited element(s): (This definition inherits the content defined by the type ExchangeTraded)
multiplier (zero or one occurrence; of the type xsd:positiveInteger)
contractReference (zero or one occurrence; of the type xsd:string)
expirationDate (zero or one occurrence; of the type AdjustableOrRelativeDate)
<xsd:complexType name="ExchangeTradedContract">
<xsd:annotation>
<xsd:documentation xml:lang="en">
A type an Exchange Traded Contract
</xsd:documentation>
</xsd:annotation>
<xsd:complexContent>
<xsd:extension base="ExchangeTraded">
<xsd:sequence>
<xsd:element name="multiplier" type="xsd:positiveInteger" minOccurs="0">
<xsd:annotation>
<xsd:documentation xml:lang="en">
Specifies the contract multiplier that can be associated
with the number of units.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="contractReference" type="xsd:string" minOccurs="0">
<xsd:annotation>
<xsd:documentation xml:lang="en">
Specifies the contract that can be referenced, besides
the undelyer type.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="expirationDate" type="AdjustableOrRelativeDate" minOccurs="0">
<xsd:annotation>
<xsd:documentation xml:lang="en">
The date when the contract expires.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
</xsd:sequence>
</xsd:extension>
</xsd:complexContent>
</xsd:complexType>
Inherited element(s): (This definition inherits the content defined by the type ExchangeTraded)
fundManager (zero or one occurrence; of the type xsd:string)
<xsd:complexType name="ExchangeTradedFund">
<xsd:complexContent>
<xsd:extension base="ExchangeTraded">
<xsd:sequence>
<xsd:element name="fundManager" type="xsd:string" minOccurs="0">
<xsd:annotation>
<xsd:documentation xml:lang="en">
Specifies the fund manager that is in charge of the fund.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
</xsd:sequence>
</xsd:extension>
</xsd:complexContent>
</xsd:complexType>
A type describing the type of loan facility.
Inherited element(s): (This definition inherits the content defined by the type xsd:token)
Attribute: facilityTypeScheme (xsd:anyURI)
<xsd:complexType name="FacilityType">
<xsd:annotation>
<xsd:documentation xml:lang="en">
A type describing the type of loan facility.
</xsd:documentation>
</xsd:annotation>
<xsd:simpleContent>
<xsd:extension base="xsd:token">
<xsd:attribute name="facilityTypeScheme" type="xsd:anyURI" default="http://www.fpml.org/coding-scheme/facility-type-1-0"/>
</xsd:extension>
</xsd:simpleContent>
</xsd:complexType>
Inherited element(s): (This definition inherits the content defined by the type ExchangeTraded)
multiplier (zero or one occurrence; of the type xsd:positiveInteger)
futureContractReference (zero or one occurrence; of the type xsd:string)
maturity (zero or one occurrence; of the type xsd:date)
<xsd:complexType name="Future">
<xsd:complexContent>
<xsd:extension base="ExchangeTraded">
<xsd:sequence>
<xsd:element name="multiplier" type="xsd:positiveInteger" minOccurs="0">
<xsd:annotation>
<xsd:documentation xml:lang="en">
Specifies the contract multiplier that can be associated
with the number of units.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="futureContractReference" type="xsd:string" minOccurs="0">
<xsd:annotation>
<xsd:documentation xml:lang="en">
Specifies the future contract that can be referenced,
besides the equity or index reference defined as part of
the UnderlyerAsset type.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="maturity" type="xsd:date" minOccurs="0">
<xsd:annotation>
<xsd:documentation xml:lang="en">
The date when the future contract expires.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
</xsd:sequence>
</xsd:extension>
</xsd:complexContent>
</xsd:complexType>
A type defining a short form unique identifier for a future contract.
Inherited element(s): (This definition inherits the content defined by the type xsd:normalizedString)
Attribute: futureIdScheme (xsd:anyURI)
<xsd:complexType name="FutureId">
<xsd:annotation>
<xsd:documentation xml:lang="en">
A type defining a short form unique identifier for a future
contract.
</xsd:documentation>
</xsd:annotation>
<xsd:simpleContent>
<xsd:extension base="xsd:normalizedString">
<xsd:attribute name="futureIdScheme" type="xsd:anyURI"/>
</xsd:extension>
</xsd:simpleContent>
</xsd:complexType>
amountRelativeTo (exactly one occurrence; of the type AmountReference)
Or
fxRate (one or more occurrences; of the type FxRate)
<xsd:complexType name="FxConversion">
<xsd:choice>
<xsd:element name="amountRelativeTo" type="AmountReference"/>
<xsd:element name="fxRate" type="FxRate" maxOccurs="unbounded">
<xsd:annotation>
<xsd:documentation xml:lang="en">
Specifies a currency conversion rate.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
</xsd:choice>
</xsd:complexType>
Inherited element(s): (This definition inherits the content defined by the type UnderlyingAsset)
quotedCurrencyPair (exactly one occurrence; of the type QuotedCurrencyPair)
rateSource (zero or one occurrence; of the type FxSpotRateSource)
<xsd:complexType name="FxRateAsset">
<xsd:complexContent>
<xsd:extension base="UnderlyingAsset">
<xsd:sequence>
<xsd:element name="quotedCurrencyPair" type="QuotedCurrencyPair">
<xsd:annotation>
<xsd:documentation xml:lang="en">
Defines the two currencies for an FX trade and the
quotation relationship between the two currencies.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="rateSource" type="FxSpotRateSource" minOccurs="0">
<xsd:annotation>
<xsd:documentation xml:lang="en">
Defines the source of the FX rate.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
</xsd:sequence>
</xsd:extension>
</xsd:complexContent>
</xsd:complexType>
Inherited element(s): (This definition inherits the content defined by the type ExchangeTraded)
futureId (zero or one occurrence; of the type FutureId)
<xsd:complexType name="Index">
<xsd:complexContent>
<xsd:extension base="ExchangeTraded">
<xsd:sequence>
<xsd:element name="futureId" type="FutureId" minOccurs="0">
<xsd:annotation>
<xsd:documentation xml:lang="en">
A short form unique identifier for the reference future
contract in the case of an index underlyer.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
</xsd:sequence>
</xsd:extension>
</xsd:complexContent>
</xsd:complexType>
A type describing the liens associated with a loan facility.
Inherited element(s): (This definition inherits the content defined by the type xsd:normalizedString)
Attribute: lienScheme (xsd:anyURI)
<xsd:complexType name="Lien">
<xsd:annotation>
<xsd:documentation xml:lang="en">
A type describing the liens associated with a loan facility.
</xsd:documentation>
</xsd:annotation>
<xsd:simpleContent>
<xsd:extension base="xsd:normalizedString">
<xsd:attribute name="lienScheme" type="xsd:anyURI" default="http://www.fpml.org/coding-scheme/designated-priority-1-0"/>
</xsd:extension>
</xsd:simpleContent>
</xsd:complexType>
A type describing a loan underlying asset.
Inherited element(s): (This definition inherits the content defined by the type UnderlyingAsset)
borrower (exactly one occurrence; of the type LegalEntity)
Or
borrowerReference (exactly one occurrence; of the type LegalEntityReference)
lien (zero or one occurrence; of the type Lien)
facilityType (zero or one occurrence; of the type FacilityType)
maturity (zero or one occurrence; of the type xsd:date)
creditAgreementDate (zero or one occurrence; of the type xsd:date)
tranche (zero or one occurrence; of the type UnderlyingAssetTranche)
<xsd:complexType name="Loan">
<xsd:annotation>
<xsd:documentation xml:lang="en">
A type describing a loan underlying asset.
</xsd:documentation>
</xsd:annotation>
<xsd:complexContent>
<xsd:extension base="UnderlyingAsset">
<xsd:sequence>
<xsd:choice minOccurs="0" maxOccurs="unbounded">
<xsd:annotation>
<xsd:documentation xml:lang="en">
Specifies the borrower. There can be more than one
borrower. It is meant to be used in the event that there
is no Bloomberg Id or the Secured List isn't applicable.
</xsd:documentation>
</xsd:annotation>
<xsd:element name="borrower" type="LegalEntity"/>
<xsd:element name="borrowerReference" type="LegalEntityReference"/>
</xsd:choice>
<xsd:element name="lien" type="Lien" minOccurs="0">
<xsd:annotation>
<xsd:documentation xml:lang="en">
Specifies the seniority level of the lien.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="facilityType" type="FacilityType" minOccurs="0">
<xsd:annotation>
<xsd:documentation xml:lang="en">
The type of loan facility (letter of credit, revolving,
...).
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="maturity" type="xsd:date" minOccurs="0">
<xsd:annotation>
<xsd:documentation xml:lang="en">
The date when the principal amount of the loan becomes
due and payable.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="creditAgreementDate" type="xsd:date" minOccurs="0">
<xsd:annotation>
<xsd:documentation xml:lang="en">
The credit agreement date is the closing date (the date
where the agreement has been signed) for the loans in the
credit agreement. Funding of the facilities occurs on (or
sometimes a little after) the Credit Agreement date. This
underlyer attribute is used to help identify which of the
company's outstanding loans are being referenced by
knowing to which credit agreement it belongs. ISDA
Standards Terms Supplement term: Date of Original Credit
Agreement.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="tranche" type="UnderlyingAssetTranche" minOccurs="0">
<xsd:annotation>
<xsd:documentation xml:lang="en">
The loan tranche that is subject to the derivative
transaction. It will typically be referenced as the
Bloomberg tranche number. ISDA Standards Terms Supplement
term: Bloomberg Tranche Number.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
</xsd:sequence>
</xsd:extension>
</xsd:complexContent>
</xsd:complexType>
A type describing a mortgage asset.
Inherited element(s): (This definition inherits the content defined by the type UnderlyingAsset)
insurer (exactly one occurrence; of the type LegalEntity)
Or
insurerReference (exactly one occurrence; of the type LegalEntityReference)
issuerName (exactly one occurrence; of the type xsd:string)
Or
issuerPartyReference (exactly one occurrence; of the type PartyReference)
seniority (zero or one occurrence; of the type CreditSeniority)
couponType (zero or one occurrence; of the type CouponType)
couponRate (zero or one occurrence; of the type xsd:decimal)
maturity (zero or one occurrence; of the type xsd:date)
paymentFrequency (zero or one occurrence; of the type Interval)
dayCountFraction (zero or one occurrence; of the type DayCountFraction)
originalPrincipalAmount (zero or one occurrence; of the type xsd:decimal)
pool (zero or one occurrence; of the type AssetPool)
sector (zero or one occurrence; of the type MortgageSector)
tranche (zero or one occurrence; of the type xsd:token)
<xsd:complexType name="Mortgage">
<xsd:annotation>
<xsd:documentation xml:lang="en">
A type describing a mortgage asset.
</xsd:documentation>
</xsd:annotation>
<xsd:complexContent>
<xsd:extension base="UnderlyingAsset">
<xsd:sequence>
<xsd:choice minOccurs="0">
<xsd:annotation>
<xsd:documentation>
Applicable to the case of default swaps on MBS terms. For
specifying the insurer name, when applicable (when the
element is not present, it signifies that the insurer is
Not Applicable)
</xsd:documentation>
</xsd:annotation>
<xsd:element name="insurer" type="LegalEntity"/>
<xsd:element name="insurerReference" type="LegalEntityReference"/>
</xsd:choice>
<xsd:group ref="BondContent.model"/>
<xsd:group ref="BondCalculation.model"/>
<xsd:element name="originalPrincipalAmount" type="xsd:decimal" minOccurs="0">
<xsd:annotation>
<xsd:documentation xml:lang="en">
The initial issued amount of the mortgage obligation.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="pool" type="AssetPool" minOccurs="0">
<xsd:annotation>
<xsd:documentation xml:lang="en">
The morgage pool that is underneath the mortgage
obligation.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="sector" type="MortgageSector" minOccurs="0">
<xsd:annotation>
<xsd:documentation xml:lang="en">
The sector classification of the mortgage obligation.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="tranche" type="xsd:token" minOccurs="0">
<xsd:annotation>
<xsd:documentation xml:lang="en">
The mortgage obligation tranche that is subject to the
derivative transaction.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
</xsd:sequence>
</xsd:extension>
</xsd:complexContent>
</xsd:complexType>
A type describing the typology of mortgage obligations.
Inherited element(s): (This definition inherits the content defined by the type xsd:normalizedString)
Attribute: mortgageSectorScheme (xsd:anyURI)
<xsd:complexType name="MortgageSector">
<xsd:annotation>
<xsd:documentation xml:lang="en">
A type describing the typology of mortgage obligations.
</xsd:documentation>
</xsd:annotation>
<xsd:simpleContent>
<xsd:extension base="xsd:normalizedString">
<xsd:attribute name="mortgageSectorScheme" type="xsd:anyURI" default="http://www.fpml.org/coding-scheme/mortgage-sector-1-0"/>
</xsd:extension>
</xsd:simpleContent>
</xsd:complexType>
Inherited element(s): (This definition inherits the content defined by the type UnderlyingAsset)
openEndedFund (zero or one occurrence; of the type xsd:boolean)
fundManager (zero or one occurrence; of the type xsd:string)
<xsd:complexType name="MutualFund">
<xsd:complexContent>
<xsd:extension base="UnderlyingAsset">
<xsd:sequence>
<xsd:element name="openEndedFund" type="xsd:boolean" minOccurs="0">
<xsd:annotation>
<xsd:documentation xml:lang="en">
Boolean indicator to specify whether the mutual fund is
an open-ended mutual fund.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="fundManager" type="xsd:string" minOccurs="0">
<xsd:annotation>
<xsd:documentation xml:lang="en">
Specifies the fund manager that is in charge of the fund.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
</xsd:sequence>
</xsd:extension>
</xsd:complexContent>
</xsd:complexType>
paymentDate (exactly one occurrence; of the type xsd:date)
amount (exactly one occurrence; of the type Money)
accruedInterest (zero or one occurrence; of the type Money)
<xsd:complexType name="PendingPayment">
<xsd:annotation>
<xsd:documentation>
A structure representing a pending dividend or coupon payment.
</xsd:documentation>
</xsd:annotation>
<xsd:sequence>
<xsd:element name="paymentDate" type="xsd:date">
<xsd:annotation>
<xsd:documentation xml:lang="en">
The date that the dividend or coupon is due.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="amount" type="Money">
<xsd:annotation>
<xsd:documentation xml:lang="en">
The amount of the dividend or coupon payment. Value of
dividends or coupon between ex and pay date. Stock: if we are
between ex-date and pay-date and the dividend is payable
under the swap, then this should be the ex-div amount * # of
securities. Bond: regardless of where we are vis-a-vis
resets: (coupon % * face of bonds on swap * (bond day count
fraction using days last coupon pay date of the bond through
today).
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="accruedInterest" type="Money" minOccurs="0">
<xsd:annotation>
<xsd:documentation xml:lang="en">
Accrued interest on the dividend or coupon payment. When the
TRS is structured to pay a dividend or coupon on reset after
payable date, you may earn interest on these amounts. This
field indicates the interest accrued on dividend/coupon from
pay date to statement date. This will only apply to a handful
of agreements where dividendss are held to the next reset AND
you receive/pay interest on unpaid amounts.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
</xsd:sequence>
</xsd:complexType>
A type describing the strike price.
commission (zero or one occurrence; of the type Commission)
determinationMethod (exactly one occurrence; of the type DeterminationMethod)
Or
amountRelativeTo (exactly one occurrence; of the type AmountReference)
cleanNetPrice (zero or one occurrence; of the type xsd:decimal)
quotationCharacteristics (zero or one occurrence; of the type QuotationCharacteristics)
<xsd:complexType name="Price">
<xsd:annotation>
<xsd:documentation xml:lang="en">
A type describing the strike price.
</xsd:documentation>
</xsd:annotation>
<xsd:sequence>
<xsd:element name="commission" type="Commission" minOccurs="0">
<xsd:annotation>
<xsd:documentation xml:lang="en">
This optional component specifies the commission to be
charged for executing the hedge transactions.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:choice>
<xsd:element name="determinationMethod" type="DeterminationMethod">
<xsd:annotation>
<xsd:documentation xml:lang="en">
Specifies the method according to which an amount or a date
is determined.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="amountRelativeTo" type="AmountReference">
<xsd:annotation>
<xsd:documentation xml:lang="en">
The href attribute value will be a pointer style reference
to the element or component elsewhere in the document where
the anchor amount is defined.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:sequence>
<xsd:element name="grossPrice" type="ActualPrice" minOccurs="0">
<xsd:annotation>
<xsd:documentation xml:lang="en">
Specifies the price of the underlyer, before commissions.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="netPrice" type="ActualPrice">
<xsd:annotation>
<xsd:documentation xml:lang="en">
Specifies the price of the underlyer, net of commissions.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="accruedInterestPrice" type="xsd:decimal" minOccurs="0">
<xsd:annotation>
<xsd:documentation xml:lang="en">
Specifies the accrued interest that are part of the dirty
price in the case of a fixed income security or a
convertible bond. Expressed in percentage of the
notional.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="fxConversion" type="FxConversion" minOccurs="0">
<xsd:annotation>
<xsd:documentation xml:lang="en">
Specifies the currency conversion rate that applies to an
amount. This rate can either be defined elsewhere in the
document (case of a quanto swap), or explicitly described
through this component.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
</xsd:sequence>
</xsd:choice>
<xsd:element name="cleanNetPrice" type="xsd:decimal" minOccurs="0">
<xsd:annotation>
<xsd:documentation xml:lang="en">
The net price excluding accrued interest. The "Dirty Price"
for bonds is put in the "netPrice" element, which includes
accrued interest. Thus netPrice - cleanNetPrice =
accruedInterest. The currency and price expression for this
field are the same as those for the (dirty) netPrice.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="quotationCharacteristics" type="QuotationCharacteristics" minOccurs="0">
<xsd:annotation>
<xsd:documentation>
Allows information about how the price was quoted to be
provided.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
</xsd:sequence>
</xsd:complexType>
The units in which a price is quoted.
Inherited element(s): (This definition inherits the content defined by the type xsd:normalizedString)
Attribute: priceQuoteUnitsScheme (xsd:anyURI)
<xsd:complexType name="PriceQuoteUnits">
<xsd:annotation>
<xsd:documentation source="http://www.FpML.org" xml:lang="en">
The units in which a price is quoted.
</xsd:documentation>
</xsd:annotation>
<xsd:simpleContent>
<xsd:extension base="xsd:normalizedString">
<xsd:attribute name="priceQuoteUnitsScheme" type="xsd:anyURI" default="http://www.fpml.org/coding-scheme/price-quote-units-1-1"/>
</xsd:extension>
</xsd:simpleContent>
</xsd:complexType>
A type representing a set of characteristics that describe a quotation.
measureType (zero or one occurrence; of the type AssetMeasureType)
quoteUnits (zero or one occurrence; of the type PriceQuoteUnits)
side (zero or one occurrence; of the type QuotationSideEnum)
currency (zero or one occurrence; of the type Currency)
timing (zero or one occurrence; of the type QuoteTiming)
businessCenter (exactly one occurrence; of the type BusinessCenter)
Or
exchangeId (exactly one occurrence; of the type ExchangeId)
informationSource (zero or more occurrences; of the type InformationSource)
time (zero or one occurrence; of the type xsd:dateTime)
valuationDate (zero or one occurrence; of the type xsd:date)
expiryTime (zero or one occurrence; of the type xsd:dateTime)
cashFlowType (zero or one occurrence; of the type CashflowType)
<xsd:complexType name="QuotationCharacteristics">
<xsd:annotation>
<xsd:documentation xml:lang="en">
A type representing a set of characteristics that describe a
quotation.
</xsd:documentation>
</xsd:annotation>
<xsd:sequence>
<xsd:group ref="QuotationCharacteristics.model"/>
</xsd:sequence>
</xsd:complexType>
The type of the time of the quote.
Inherited element(s): (This definition inherits the content defined by the type xsd:normalizedString)
Attribute: quoteTimingScheme (xsd:anyURI)
<xsd:complexType name="QuoteTiming">
<xsd:annotation>
<xsd:documentation source="http://www.FpML.org" xml:lang="en">
The type of the time of the quote.
</xsd:documentation>
</xsd:annotation>
<xsd:simpleContent>
<xsd:extension base="xsd:normalizedString">
<xsd:attribute name="quoteTimingScheme" type="xsd:anyURI" default="http://www.fpml.org/coding-scheme/quote-timing-1-0"/>
</xsd:extension>
</xsd:simpleContent>
</xsd:complexType>
Inherited element(s): (This definition inherits the content defined by the type UnderlyingAsset)
floatingRateIndex (exactly one occurrence; of the type FloatingRateIndex)
term (exactly one occurrence; of the type Interval)
paymentFrequency (zero or one occurrence; of the type Interval)
dayCountFraction (zero or one occurrence; of the type DayCountFraction)
<xsd:complexType name="RateIndex">
<xsd:complexContent>
<xsd:extension base="UnderlyingAsset">
<xsd:sequence>
<xsd:element name="floatingRateIndex" type="FloatingRateIndex"/>
<xsd:element name="term" type="Interval">
<xsd:annotation>
<xsd:documentation xml:lang="en">
Specifies the term of the simple swap, e.g. 5Y.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="paymentFrequency" type="Interval" minOccurs="0">
<xsd:annotation>
<xsd:documentation xml:lang="en">
Specifies the frequency at which the index pays, e.g. 6M.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="dayCountFraction" type="DayCountFraction" minOccurs="0">
<xsd:annotation>
<xsd:documentation xml:lang="en">
The day count basis for the index.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
</xsd:sequence>
</xsd:extension>
</xsd:complexContent>
</xsd:complexType>
Inherited element(s): (This definition inherits the content defined by the type UnderlyingAsset)
referenceEntity (exactly one occurrence; of the type LegalEntity)
Or
creditEntityReference (exactly one occurrence; of the type LegalEntityReference)
term (exactly one occurrence; of the type Interval)
paymentFrequency (zero or one occurrence; of the type Interval)
<xsd:complexType name="SimpleCreditDefaultSwap">
<xsd:complexContent>
<xsd:extension base="UnderlyingAsset">
<xsd:sequence>
<xsd:group ref="CreditEntity.model">
<xsd:annotation>
<xsd:documentation xml:lang="en">
The reference entity, index, etc. upon which the CDS is
based.
</xsd:documentation>
</xsd:annotation>
</xsd:group>
<xsd:element name="term" type="Interval">
<xsd:annotation>
<xsd:documentation xml:lang="en">
Specifies the term of the simple CD swap, e.g. 5Y.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="paymentFrequency" type="Interval" minOccurs="0">
<xsd:annotation>
<xsd:documentation xml:lang="en">
Specifies the frequency at which the swap pays, e.g. 6M.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
</xsd:sequence>
</xsd:extension>
</xsd:complexContent>
</xsd:complexType>
Inherited element(s): (This definition inherits the content defined by the type UnderlyingAsset)
startTerm (exactly one occurrence; of the type Interval)
endTerm (exactly one occurrence; of the type Interval)
dayCountFraction (zero or one occurrence; of the type DayCountFraction)
<xsd:complexType name="SimpleFra">
<xsd:complexContent>
<xsd:extension base="UnderlyingAsset">
<xsd:sequence>
<xsd:element name="startTerm" type="Interval">
<xsd:annotation>
<xsd:documentation xml:lang="en">
Specifies the start term of the simple fra, e.g. 3M.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="endTerm" type="Interval">
<xsd:annotation>
<xsd:documentation xml:lang="en">
Specifies the end term of the simple fra, e.g. 9M.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="dayCountFraction" type="DayCountFraction" minOccurs="0">
<xsd:annotation>
<xsd:documentation xml:lang="en">
The day count basis for the FRA.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
</xsd:sequence>
</xsd:extension>
</xsd:complexContent>
</xsd:complexType>
Inherited element(s): (This definition inherits the content defined by the type UnderlyingAsset)
term (exactly one occurrence; of the type Interval)
paymentFrequency (zero or one occurrence; of the type Interval)
dayCountFraction (zero or one occurrence; of the type DayCountFraction)
<xsd:complexType name="SimpleIRSwap">
<xsd:complexContent>
<xsd:extension base="UnderlyingAsset">
<xsd:sequence>
<xsd:element name="term" type="Interval">
<xsd:annotation>
<xsd:documentation xml:lang="en">
Specifies the term of the simple swap, e.g. 5Y.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="paymentFrequency" type="Interval" minOccurs="0">
<xsd:annotation>
<xsd:documentation xml:lang="en">
Specifies the frequency at which the swap pays, e.g. 6M.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="dayCountFraction" type="DayCountFraction" minOccurs="0">
<xsd:annotation>
<xsd:documentation xml:lang="en">
The day count basis for the swap.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
</xsd:sequence>
</xsd:extension>
</xsd:complexContent>
</xsd:complexType>
A type describing a single underlyer
underlyingAsset (exactly one occurrence; of the type Asset)
openUnits (zero or one occurrence; of the type xsd:decimal)
dividendPayout (zero or one occurrence; of the type DividendPayout)
couponPayment (zero or one occurrence; of the type PendingPayment)
<xsd:complexType name="SingleUnderlyer">
<xsd:annotation>
<xsd:documentation xml:lang="en">
A type describing a single underlyer
</xsd:documentation>
</xsd:annotation>
<xsd:sequence>
<xsd:element ref="underlyingAsset"/>
<xsd:element name="openUnits" type="xsd:decimal" minOccurs="0">
<xsd:annotation>
<xsd:documentation xml:lang="en">
The number of units (index or securities) that constitute the
underlyer of the swap. In the case of a basket swap, this
element is used to reference both the number of basket units,
and the number of each asset components of the basket when
these are expressed in absolute terms.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="dividendPayout" type="DividendPayout" minOccurs="0">
<xsd:annotation>
<xsd:documentation xml:lang="en">
Specifies the dividend payout ratio associated with an equity
underlyer. A basket swap can have different payout ratios
across the various underlying constituents. In certain cases
the actual ratio is not known on trade inception, and only
general conditions are then specified. Users should note that
FpML makes a distinction between the derivative contract and
the underlyer of the contract. It would be better if the
agreed dividend payout on a derivative contract was modelled
at the level of the derivative contract, an approach which
may be adopted in the next major version of FpML.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="couponPayment" type="PendingPayment" minOccurs="0">
<xsd:annotation>
<xsd:documentation xml:lang="en">
The next upcoming coupon payment.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
</xsd:sequence>
</xsd:complexType>
A type describing the whole set of possible underlyers: single underlyers or multiple underlyers, each of these having either security or index components.
singleUnderlyer (exactly one occurrence; of the type SingleUnderlyer)
Or
basket (exactly one occurrence; of the type Basket)
<xsd:complexType name="Underlyer">
<xsd:annotation>
<xsd:documentation xml:lang="en">
A type describing the whole set of possible underlyers: single
underlyers or multiple underlyers, each of these having either
security or index components.
</xsd:documentation>
</xsd:annotation>
<xsd:choice>
<xsd:element name="singleUnderlyer" type="SingleUnderlyer">
<xsd:annotation>
<xsd:documentation xml:lang="en">
Describes the swap's underlyer when it has only one asset
component.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="basket" type="Basket">
<xsd:annotation>
<xsd:documentation xml:lang="en">
Describes the swap's underlyer when it has multiple asset
components.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
</xsd:choice>
</xsd:complexType>
A type describing the basic components of a security of index underlyer.
Inherited element(s): (This definition inherits the content defined by the type Asset)
currency (zero or one occurrence; of the type Currency)
exchangeId (zero or one occurrence; of the type ExchangeId)
clearanceSystem (zero or one occurrence; of the type ClearanceSystem)
definition (zero or one occurrence; of the type ProductReference)
<xsd:complexType name="UnderlyingAsset" abstract="true">
<xsd:annotation>
<xsd:documentation xml:lang="en">
A type describing the basic components of a security of index
underlyer.
</xsd:documentation>
</xsd:annotation>
<xsd:complexContent>
<xsd:extension base="Asset">
<xsd:sequence>
<xsd:element name="currency" type="Currency" minOccurs="0">
<xsd:annotation>
<xsd:documentation xml:lang="en">
The currency in which an amount is denominated.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="exchangeId" type="ExchangeId" minOccurs="0"/>
<xsd:element name="clearanceSystem" type="ClearanceSystem" minOccurs="0"/>
<xsd:element name="definition" type="ProductReference" minOccurs="0">
<xsd:annotation>
<xsd:documentation xml:lang="en">
An optional reference to a full FpML product that defines
the simple product in greater detail. In case of
inconsistency between the terms of the simple product and
those of the detailed definition, the values in the
simple product override those in the detailed definition.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
</xsd:sequence>
</xsd:extension>
</xsd:complexContent>
</xsd:complexType>
Inherited element(s): (This definition inherits the content defined by the type xsd:token)
Attribute: loanTrancheScheme (xsd:anyURI)
<xsd:complexType name="UnderlyingAssetTranche">
<xsd:simpleContent>
<xsd:extension base="xsd:token">
<xsd:attribute name="loanTrancheScheme" type="xsd:anyURI" default="http://www.fpml.org/coding-scheme/underlying-asset-tranche"/>
</xsd:extension>
</xsd:simpleContent>
</xsd:complexType>
Defines the underlying asset when it is a bond.
Element bond is defined by the complex type Bond
<xsd:element name="bond" type="Bond" substitutionGroup="underlyingAsset">
<xsd:annotation>
<xsd:documentation xml:lang="en">
Defines the underlying asset when it is a bond.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
Defines a simple underlying asset type that is a cash payment. Used for specifying discounting factors for future cash flows in the pricing and risk model.
Element cash is defined by the complex type Cash
<xsd:element name="cash" type="Cash" substitutionGroup="underlyingAsset">
<xsd:annotation>
<xsd:documentation xml:lang="en">
Defines a simple underlying asset type that is a cash payment.
Used for specifying discounting factors for future cash flows in
the pricing and risk model.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
Defines the underlying asset when it is a convertible bond.
Element convertibleBond is defined by the complex type ConvertibleBond
<xsd:element name="convertibleBond" type="ConvertibleBond" substitutionGroup="underlyingAsset">
<xsd:annotation>
<xsd:documentation xml:lang="en">
Defines the underlying asset when it is a convertible bond.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
Defines a simple underlying asset that is a term deposit.
Element deposit is defined by the complex type Deposit
<xsd:element name="deposit" type="Deposit" substitutionGroup="underlyingAsset">
<xsd:annotation>
<xsd:documentation xml:lang="en">
Defines a simple underlying asset that is a term deposit.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
Defines the underlying asset when it is a listed equity.
Element equity is defined by the complex type EquityAsset
<xsd:element name="equity" type="EquityAsset" substitutionGroup="underlyingAsset">
<xsd:annotation>
<xsd:documentation xml:lang="en">
Defines the underlying asset when it is a listed equity.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
Defines the underlying asset when it is an exchange-traded fund.
Element exchangeTradedFund is defined by the complex type ExchangeTradedFund
<xsd:element name="exchangeTradedFund" type="ExchangeTradedFund" substitutionGroup="underlyingAsset">
<xsd:annotation>
<xsd:documentation xml:lang="en">
Defines the underlying asset when it is an exchange-traded fund.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
Defines the underlying asset when it is a listed future contract.
Element future is defined by the complex type Future
<xsd:element name="future" type="Future" substitutionGroup="underlyingAsset">
<xsd:annotation>
<xsd:documentation xml:lang="en">
Defines the underlying asset when it is a listed future contract.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
Defines a simple underlying asset type that is an FX rate. Used for specifying FX rates in the pricing and risk model.
Element fxRate is defined by the complex type FxRateAsset
<xsd:element name="fxRate" type="FxRateAsset" substitutionGroup="underlyingAsset">
<xsd:annotation>
<xsd:documentation xml:lang="en">
Defines a simple underlying asset type that is an FX rate. Used
for specifying FX rates in the pricing and risk model.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
Defines the underlying asset when it is a financial index.
Element index is defined by the complex type Index
<xsd:element name="index" type="Index" substitutionGroup="underlyingAsset">
<xsd:annotation>
<xsd:documentation xml:lang="en">
Defines the underlying asset when it is a financial index.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
Defines a simple underlying asset that is a loan.
Element loan is defined by the complex type Loan
<xsd:element name="loan" type="Loan" substitutionGroup="underlyingAsset">
<xsd:annotation>
<xsd:documentation xml:lang="en">
Defines a simple underlying asset that is a loan.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
Defines an underlying asset that is a mortgage.
Element mortgage is defined by the complex type Mortgage
<xsd:element name="mortgage" type="Mortgage" substitutionGroup="underlyingAsset">
<xsd:annotation>
<xsd:documentation xml:lang="en">
Defines an underlying asset that is a mortgage.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
Defines the underlying asset when it is a mutual fund.
Element mutualFund is defined by the complex type MutualFund
<xsd:element name="mutualFund" type="MutualFund" substitutionGroup="underlyingAsset">
<xsd:annotation>
<xsd:documentation xml:lang="en">
Defines the underlying asset when it is a mutual fund.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
Defines a simple underlying asset that is an interest rate index. Used for specifying benchmark assets in the market environment in the pricing and risk model.
Element rateIndex is defined by the complex type RateIndex
<xsd:element name="rateIndex" type="RateIndex" substitutionGroup="underlyingAsset">
<xsd:annotation>
<xsd:documentation xml:lang="en">
Defines a simple underlying asset that is an interest rate index.
Used for specifying benchmark assets in the market environment in
the pricing and risk model.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
Defines a simple underlying asset that is a credit default swap.
Element simpleCreditDefaultSwap is defined by the complex type SimpleCreditDefaultSwap
<xsd:element name="simpleCreditDefaultSwap" type="SimpleCreditDefaultSwap" substitutionGroup="underlyingAsset">
<xsd:annotation>
<xsd:documentation xml:lang="en">
Defines a simple underlying asset that is a credit default swap.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
Defines a simple underlying asset that is a forward rate agreement.
Element simpleFra is defined by the complex type SimpleFra
<xsd:element name="simpleFra" type="SimpleFra" substitutionGroup="underlyingAsset">
<xsd:annotation>
<xsd:documentation xml:lang="en">
Defines a simple underlying asset that is a forward rate
agreement.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
Defines a simple underlying asset that is a swap.
Element simpleIrSwap is defined by the complex type SimpleIRSwap
<xsd:element name="simpleIrSwap" type="SimpleIRSwap" substitutionGroup="underlyingAsset">
<xsd:annotation>
<xsd:documentation xml:lang="en">
Defines a simple underlying asset that is a swap.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
Define the underlying asset when it is a listed security.
Element underlyingAsset is defined by the complex type Asset
<xsd:element name="underlyingAsset" type="Asset" abstract="true">
<xsd:annotation>
<xsd:documentation xml:lang="en">
Define the underlying asset when it is a listed security.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
A group that specifies a name and an identifier for a given basket.
<xsd:group name="BasketIdentifier.model">
<xsd:annotation>
<xsd:documentation xml:lang="en">
A group that specifies a name and an identifier for a given
basket.
</xsd:documentation>
</xsd:annotation>
<xsd:choice>
<xsd:sequence>
<xsd:element name="basketName" type="BasketName">
<xsd:annotation>
<xsd:documentation xml:lang="en">
The name of the basket expressed as a free format string.
FpML does not define usage rules for this element.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="basketId" type="BasketId" minOccurs="0" maxOccurs="unbounded">
<xsd:annotation>
<xsd:documentation xml:lang="en">
A CDS basket identifier
</xsd:documentation>
</xsd:annotation>
</xsd:element>
</xsd:sequence>
<xsd:sequence>
<xsd:element name="basketId" type="BasketId" maxOccurs="unbounded">
<xsd:annotation>
<xsd:documentation xml:lang="en">
A CDS basket identifier
</xsd:documentation>
</xsd:annotation>
</xsd:element>
</xsd:sequence>
</xsd:choice>
</xsd:group>
A group that specifies Bond Calculation elements
paymentFrequency (zero or one occurrence; of the type Interval)
dayCountFraction (zero or one occurrence; of the type DayCountFraction)
<xsd:group name="BondCalculation.model">
<xsd:annotation>
<xsd:documentation xml:lang="en">
A group that specifies Bond Calculation elements
</xsd:documentation>
</xsd:annotation>
<xsd:sequence>
<xsd:element name="paymentFrequency" type="Interval" minOccurs="0">
<xsd:annotation>
<xsd:documentation xml:lang="en">
Specifies the frequency at which the bond pays, e.g. 6M.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="dayCountFraction" type="DayCountFraction" minOccurs="0">
<xsd:annotation>
<xsd:documentation xml:lang="en">
The day count basis for the bond.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
</xsd:sequence>
</xsd:group>
A model group which provides choices between all bond underlyers.
A bond instrument referenced by a contract bond (exactly one occurrence; of the type Bond)
Or
A convertible bond instrument referenced by a contract. convertibleBond (exactly one occurrence; of the type ConvertibleBond)
<xsd:group name="BondChoice.model">
<xsd:annotation>
<xsd:documentation xml:lang="en">
A model group which provides choices between all bond underlyers.
</xsd:documentation>
</xsd:annotation>
<xsd:choice>
<xsd:element ref="bond">
<xsd:annotation>
<xsd:documentation xml:lang="en">
A bond instrument referenced by a contract
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element ref="convertibleBond">
<xsd:annotation>
<xsd:documentation xml:lang="en">
A convertible bond instrument referenced by a contract.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
</xsd:choice>
</xsd:group>
A group that specifies Bond Content elements
issuerName (exactly one occurrence; of the type xsd:string)
Or
issuerPartyReference (exactly one occurrence; of the type PartyReference)
seniority (zero or one occurrence; of the type CreditSeniority)
couponType (zero or one occurrence; of the type CouponType)
couponRate (zero or one occurrence; of the type xsd:decimal)
maturity (zero or one occurrence; of the type xsd:date)
<xsd:group name="BondContent.model">
<xsd:annotation>
<xsd:documentation xml:lang="en">
A group that specifies Bond Content elements
</xsd:documentation>
</xsd:annotation>
<xsd:sequence>
<xsd:choice minOccurs="0">
<xsd:annotation>
<xsd:documentation xml:lang="en">
Specifies the issuer name of a fixed income security or
convertible bond. This name can either be explicitly stated,
or specified as an href into another element of the document,
such as the obligor
</xsd:documentation>
</xsd:annotation>
<xsd:element name="issuerName" type="xsd:string"/>
<xsd:element name="issuerPartyReference" type="PartyReference"/>
</xsd:choice>
<xsd:element name="seniority" type="CreditSeniority" minOccurs="0">
<xsd:annotation>
<xsd:documentation xml:lang="en">
The repayment precedence of a debt instrument.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="couponType" type="CouponType" minOccurs="0">
<xsd:annotation>
<xsd:documentation xml:lang="en">
Specifies if the bond has a variable coupon, step-up/down
coupon or a zero-coupon.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="couponRate" type="xsd:decimal" minOccurs="0">
<xsd:annotation>
<xsd:documentation xml:lang="en">
Specifies the coupon rate (expressed in percentage) of a
fixed income security or convertible bond.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="maturity" type="xsd:date" minOccurs="0">
<xsd:annotation>
<xsd:documentation xml:lang="en">
The date when the principal amount of a security becomes due
and payable.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
</xsd:sequence>
</xsd:group>
An item which has credit characteristics that can be modeled, e.g. a firm, index, or region.
referenceEntity (exactly one occurrence; of the type LegalEntity)
Or
creditEntityReference (exactly one occurrence; of the type LegalEntityReference)
<xsd:group name="CreditEntity.model">
<xsd:annotation>
<xsd:documentation xml:lang="en">
An item which has credit characteristics that can be modeled,
e.g. a firm, index, or region.
</xsd:documentation>
</xsd:annotation>
<xsd:choice>
<xsd:element name="referenceEntity" type="LegalEntity">
<xsd:annotation>
<xsd:documentation xml:lang="en">
The entity for which this is defined.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="creditEntityReference" type="LegalEntityReference">
<xsd:annotation>
<xsd:documentation xml:lang="en">
An XML reference a credit entity defined elsewhere in the
document.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
</xsd:choice>
</xsd:group>
relatedExchangeId (zero or more occurrences; of the type ExchangeId)
optionsExchangeId (zero or more occurrences; of the type ExchangeId)
<xsd:group name="ExchangeIdentifier.model">
<xsd:sequence>
<xsd:element name="relatedExchangeId" type="ExchangeId" minOccurs="0" maxOccurs="unbounded">
<xsd:annotation>
<xsd:documentation xml:lang="en">
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 2002 Equity Derivatives
Definitions.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="optionsExchangeId" type="ExchangeId" minOccurs="0" maxOccurs="unbounded">
<xsd:annotation>
<xsd:documentation xml:lang="en">
A short form unique identifier for an exchange on which the
reference option contract is listed. This is to address the
case where the reference exchange for the future is different
than the one for the option. The options Exchange is
referenced on share options when Merger Elections are
selected as Options Exchange Adjustment.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
</xsd:sequence>
</xsd:group>
Some kind of numerical measure about an asset, eg. its price or NPV, together with characteristics of that measure.
value (zero or one occurrence; of the type xsd:decimal)
measureType (zero or one occurrence; of the type AssetMeasureType)
quoteUnits (zero or one occurrence; of the type PriceQuoteUnits)
side (zero or one occurrence; of the type QuotationSideEnum)
currency (zero or one occurrence; of the type Currency)
timing (zero or one occurrence; of the type QuoteTiming)
businessCenter (exactly one occurrence; of the type BusinessCenter)
Or
exchangeId (exactly one occurrence; of the type ExchangeId)
informationSource (zero or more occurrences; of the type InformationSource)
time (zero or one occurrence; of the type xsd:dateTime)
valuationDate (zero or one occurrence; of the type xsd:date)
expiryTime (zero or one occurrence; of the type xsd:dateTime)
cashFlowType (zero or one occurrence; of the type CashflowType)
<xsd:group name="Quotation.model">
<xsd:annotation>
<xsd:documentation xml:lang="en">
Some kind of numerical measure about an asset, eg. its price or
NPV, together with characteristics of that measure.
</xsd:documentation>
</xsd:annotation>
<xsd:sequence>
<xsd:element name="value" type="xsd:decimal" minOccurs="0">
<xsd:annotation>
<xsd:documentation xml:lang="en">
The value of the the quotation.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:group ref="QuotationCharacteristics.model">
<xsd:annotation>
<xsd:documentation xml:lang="en">
The characteristics of the quotation.
</xsd:documentation>
</xsd:annotation>
</xsd:group>
</xsd:sequence>
</xsd:group>
A group collecting a set of characteristics that can be used to describe a quotation.
measureType (zero or one occurrence; of the type AssetMeasureType)
quoteUnits (zero or one occurrence; of the type PriceQuoteUnits)
side (zero or one occurrence; of the type QuotationSideEnum)
currency (zero or one occurrence; of the type Currency)
timing (zero or one occurrence; of the type QuoteTiming)
businessCenter (exactly one occurrence; of the type BusinessCenter)
Or
exchangeId (exactly one occurrence; of the type ExchangeId)
informationSource (zero or more occurrences; of the type InformationSource)
time (zero or one occurrence; of the type xsd:dateTime)
valuationDate (zero or one occurrence; of the type xsd:date)
expiryTime (zero or one occurrence; of the type xsd:dateTime)
cashFlowType (zero or one occurrence; of the type CashflowType)
<xsd:group name="QuotationCharacteristics.model">
<xsd:annotation>
<xsd:documentation xml:lang="en">
A group collecting a set of characteristics that can be used to
describe a quotation.
</xsd:documentation>
</xsd:annotation>
<xsd:sequence>
<xsd:element name="measureType" type="AssetMeasureType" minOccurs="0">
<xsd:annotation>
<xsd:documentation xml:lang="en">
The type of the value that is measured. This could be an NPV,
a cash flow, a clean price, etc.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="quoteUnits" type="PriceQuoteUnits" minOccurs="0">
<xsd:annotation>
<xsd:documentation xml:lang="en">
The optional units that the measure is expressed in. If not
supplied, this is assumed to be a price/value in currency
units.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="side" type="QuotationSideEnum" minOccurs="0">
<xsd:annotation>
<xsd:documentation xml:lang="en">
The side (bid/mid/ask) of the measure.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="currency" type="Currency" minOccurs="0">
<xsd:annotation>
<xsd:documentation xml:lang="en">
The optional currency that the measure is expressed in. If
not supplied, this is defaulted from the reportingCurrency in
the valuationScenarioDefinition.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="timing" type="QuoteTiming" minOccurs="0">
<xsd:annotation>
<xsd:documentation xml:lang="en">
When during a day the quote is for. Typically, if this
element is supplied, the QuoteLocation needs also to be
supplied.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:group ref="QuoteLocation.model" minOccurs="0">
<xsd:annotation>
<xsd:documentation xml:lang="en">
Where the quote is from.
</xsd:documentation>
</xsd:annotation>
</xsd:group>
<xsd:element name="informationSource" type="InformationSource" minOccurs="0" maxOccurs="unbounded">
<xsd:annotation>
<xsd:documentation xml:lang="en">
The information source where a published or displayed market
rate will be obtained, e.g. Telerate Page 3750.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="time" type="xsd:dateTime" minOccurs="0">
<xsd:annotation>
<xsd:documentation xml:lang="en">
When the quote was observed or derived.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="valuationDate" type="xsd:date" minOccurs="0">
<xsd:annotation>
<xsd:documentation xml:lang="en">
When the quote was computed.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="expiryTime" type="xsd:dateTime" minOccurs="0">
<xsd:annotation>
<xsd:documentation xml:lang="en">
When does the quote cease to be valid.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="cashFlowType" type="CashflowType" minOccurs="0">
<xsd:annotation>
<xsd:documentation xml:lang="en">
For cash flows, the type of the cash flows. Examples include:
Coupon payment, Premium Fee, Settlement Fee, Brokerage Fee,
etc.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
</xsd:sequence>
</xsd:group>
A group describing where a quote was or will be obtained, e.g. observed or calculated.
businessCenter (exactly one occurrence; of the type BusinessCenter)
Or
exchangeId (exactly one occurrence; of the type ExchangeId)
<xsd:group name="QuoteLocation.model">
<xsd:annotation>
<xsd:documentation xml:lang="en">
A group describing where a quote was or will be obtained, e.g.
observed or calculated.
</xsd:documentation>
</xsd:annotation>
<xsd:choice>
<xsd:element name="businessCenter" type="BusinessCenter">
<xsd:annotation>
<xsd:documentation xml:lang="en">
A city or other business center.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="exchangeId" type="ExchangeId">
<xsd:annotation>
<xsd:documentation xml:lang="en">
The exchange (e.g. stock or futures exchange) from which the
quote is obtained.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
</xsd:choice>
</xsd:group>
<xsd:schema ecore:nsPrefix="fpml" ecore:package="org.fpml" ecore:documentRoot="FpML" targetNamespace="http://www.fpml.org/2007/FpML-4-3" version="$Revision: 2599 $" attributeFormDefault="unqualified" elementFormDefault="qualified">
<xsd:include schemaLocation="fpml-shared-4-3.xsd"/>
<xsd:complexType name="ActualPrice">
<xsd:sequence>
<xsd:element name="currency" type="Currency" minOccurs="0">
<xsd:annotation>
<xsd:documentation xml:lang="en">
Specifies the currency associated with the net price. This
element is not present if the price is expressed in
percentage terms (as specified through the priceExpression
element).
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="amount" type="xsd:decimal">
<xsd:annotation>
<xsd:documentation xml:lang="en">
Specifies the net price amount. In the case of a fixed
income security or a convertible bond, this price includes
the accrued interests.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="priceExpression" type="PriceExpressionEnum">
<xsd:annotation>
<xsd:documentation xml:lang="en">
Specifies whether the price is expressed in absolute or
relative terms.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
</xsd:sequence>
</xsd:complexType>
<xsd:complexType name="AnyAssetReference">
<xsd:annotation>
<xsd:documentation xml:lang="en">
A reference to an asset, e.g. a portfolio, trade, or reference
instrument..
</xsd:documentation>
</xsd:annotation>
<xsd:complexContent>
<xsd:extension base="Reference">
<xsd:attribute name="href" type="xsd:IDREF" use="required"/>
</xsd:extension>
</xsd:complexContent>
</xsd:complexType>
<xsd:complexType name="Asset" abstract="true">
<xsd:annotation>
<xsd:documentation xml:lang="en">
A generic type describing the basic components of an asset.
</xsd:documentation>
</xsd:annotation>
<xsd:sequence>
<xsd:element name="instrumentId" type="InstrumentId" maxOccurs="unbounded"/>
<xsd:element name="description" type="xsd:string" minOccurs="0">
<xsd:annotation>
<xsd:documentation xml:lang="en">
The long name of a security.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
</xsd:sequence>
<xsd:attribute name="id" type="xsd:ID"/>
</xsd:complexType>
<xsd:complexType name="AssetMeasureType">
<xsd:annotation>
<xsd:documentation xml:lang="en">
A scheme identifying the types of measures that can be used to
describe an asset.
</xsd:documentation>
</xsd:annotation>
<xsd:simpleContent>
<xsd:extension base="xsd:normalizedString">
<xsd:attribute name="assetMeasureScheme" default="http://www.fpml.org/coding-scheme/asset-measure-5-0" type="xsd:anyURI"/>
</xsd:extension>
</xsd:simpleContent>
</xsd:complexType>
<xsd:complexType name="AssetPool">
<xsd:annotation>
<xsd:documentation xml:lang="en">
Characterise the asset pool behind an asset backed bond.
</xsd:documentation>
</xsd:annotation>
<xsd:sequence>
<xsd:group ref="VersionHistory.model" minOccurs="0"/>
<xsd:element name="initialFactor" type="xsd:decimal">
<xsd:annotation>
<xsd:documentation xml:lang="en">
The part of the mortgage that is outstanding on trade
inception, i.e. has not been repaid yet as principal. It is
expressed as a multiplier factor to the morgage: 1 means
that the whole mortage amount is outstanding, 0.8 means
that 20% has been repaid.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="currentFactor" type="xsd:decimal" minOccurs="0">
<xsd:annotation>
<xsd:documentation xml:lang="en">
The part of the mortgage that is currently outstanding. It
is expressed similarly to the initial factor, as factor
multiplier to the mortgage. This term is formally defined
as part of the "ISDA Standard Terms Supplement for use with
credit derivatives transactions on mortgage-backed security
with pas-as-you-go or physical settlement".
</xsd:documentation>
</xsd:annotation>
</xsd:element>
</xsd:sequence>
</xsd:complexType>
<xsd:complexType name="AssetReference">
<xsd:annotation>
<xsd:documentation xml:lang="en">
Reference to an underlying asset.
</xsd:documentation>
</xsd:annotation>
<xsd:complexContent>
<xsd:extension base="Reference">
<xsd:attribute name="href" type="xsd:IDREF" use="required" ecore:reference="Asset"/>
</xsd:extension>
</xsd:complexContent>
</xsd:complexType>
<xsd:complexType name="BasicQuotation">
<xsd:annotation>
<xsd:documentation xml:lang="en">
Some kind of numerical measure about an asset, eg. its NPV,
together with characteristics of that measure.
</xsd:documentation>
</xsd:annotation>
<xsd:sequence>
<xsd:group ref="Quotation.model"/>
</xsd:sequence>
</xsd:complexType>
<xsd:complexType name="Basket">
<xsd:annotation>
<xsd:documentation xml:lang="en">
A type describing the underlyer features of a basket swap. Each
of the basket constituents are described through an embedded
component, the basketConstituentsType.
</xsd:documentation>
</xsd:annotation>
<xsd:sequence>
<xsd:element name="openUnits" type="xsd:decimal" minOccurs="0">
<xsd:annotation>
<xsd:documentation xml:lang="en">
The number of units (index or securities) that constitute
the underlyer of the swap. In the case of a basket swap,
this element is used to reference both the number of basket
units, and the number of each asset components of the
basket when these are expressed in absolute terms.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="basketConstituent" type="BasketConstituent" maxOccurs="unbounded">
<xsd:annotation>
<xsd:documentation xml:lang="en">
Describes each of the components of the basket.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="basketDivisor" type="xsd:decimal" minOccurs="0">
<xsd:annotation>
<xsd:documentation xml:lang="en">
Specifies the basket divisor amount. This value is normally
used to adjust the constituent weight for pricing or to
adjust for dividends, or other corporate actions.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:group ref="BasketIdentifier.model" minOccurs="0">
<xsd:annotation>
<xsd:documentation xml:lang="en">
Reuses the group that specifies a name and an identifier
for a given basket.
</xsd:documentation>
</xsd:annotation>
</xsd:group>
<xsd:element name="basketCurrency" type="Currency" minOccurs="0">
<xsd:annotation>
<xsd:documentation xml:lang="en">
Specifies the currency for this basket.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
</xsd:sequence>
<xsd:attribute name="id" type="xsd:ID" use="optional"/>
</xsd:complexType>
<xsd:complexType name="BasketConstituent">
<xsd:annotation>
<xsd:documentation xml:lang="en">
A type describing each of the constituents of a basket.
</xsd:documentation>
</xsd:annotation>
<xsd:sequence>
<xsd:element ref="underlyingAsset"/>
<xsd:element name="constituentWeight" type="ConstituentWeight" minOccurs="0">
<xsd:annotation>
<xsd:documentation xml:lang="en">
Specifies the weight of each of the underlyer constituent
within the basket, either in absolute or relative terms.
This is an optional component, as certain swaps do not
specify a specific weight for each of their basket
constituents.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="dividendPayout" type="DividendPayout" minOccurs="0">
<xsd:annotation>
<xsd:documentation xml:lang="en">
Specifies the dividend payout ratio associated with an
equity underlyer. A basket swap can have different payout
ratios across the various underlying constituents. In
certain cases the actual ratio is not known on trade
inception, and only general conditions are then specified.
Users should note that FpML makes a distinction between the
derivative contract and the underlyer of the contract. It
would be better if the agreed dividend payout on a
derivative contract was modelled at the level of the
derivative contract, an approach which may be adopted in
the next major version of FpML.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="underlyerPrice" type="Price" minOccurs="0">
<xsd:annotation>
<xsd:documentation xml:lang="en">
Specifies the price that is associated with each of the
basket constituents. This component is optional, as it is
not absolutely required to accurately describe the
economics of the trade, considering the price that
characterizes the equity swap is associated to the leg of
the trade.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="underlyerNotional" type="Money" minOccurs="0">
<xsd:annotation>
<xsd:documentation xml:lang="en">
Specifies the notional (i.e. price * quantity) that is
associated with each of the basket constituents. This
component is optional, as it is not absolutely required to
accurately describe the economics of the trade, considering
the notional that characterizes the equity swap is
associated to the leg of the trade.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="underlyerSpread" type="SpreadScheduleReference" minOccurs="0">
<xsd:annotation>
<xsd:documentation xml:lang="en">
Provides a link to the spread schedule used for this
underlyer.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="couponPayment" type="PendingPayment" minOccurs="0">
<xsd:annotation>
<xsd:documentation xml:lang="en">
The next upcoming coupon payment.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
</xsd:sequence>
<xsd:attribute name="id" type="xsd:ID" use="optional"/>
</xsd:complexType>
<xsd:complexType name="BasketId">
<xsd:simpleContent>
<xsd:extension base="xsd:normalizedString">
<xsd:attribute name="basketIdScheme" type="xsd:anyURI"/>
</xsd:extension>
</xsd:simpleContent>
</xsd:complexType>
<xsd:complexType name="BasketName">
<xsd:simpleContent>
<xsd:extension base="xsd:normalizedString">
<xsd:attribute name="basketNameScheme" type="xsd:anyURI"/>
</xsd:extension>
</xsd:simpleContent>
</xsd:complexType>
<xsd:complexType name="Bond">
<xsd:complexContent>
<xsd:extension base="ExchangeTraded">
<xsd:sequence>
<xsd:group ref="BondContent.model"/>
<xsd:element name="parValue" type="xsd:decimal" minOccurs="0">
<xsd:annotation>
<xsd:documentation xml:lang="en">
Specifies the nominal amount of a fixed income security
or convertible bond.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="faceAmount" type="xsd:decimal" minOccurs="0">
<xsd:annotation>
<xsd:documentation xml:lang="en">
Specifies the total amount of the issue. Corresponds to
the par value multiplied by the number of issued
security.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:group ref="BondCalculation.model"/>
</xsd:sequence>
</xsd:extension>
</xsd:complexContent>
</xsd:complexType>
<xsd:complexType name="Cash">
<xsd:complexContent>
<xsd:extension base="Asset">
<xsd:sequence>
<xsd:element name="currency" type="Currency">
<xsd:annotation>
<xsd:documentation xml:lang="en">
The currency in which an amount is denominated.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
</xsd:sequence>
</xsd:extension>
</xsd:complexContent>
</xsd:complexType>
<xsd:complexType name="Commission">
<xsd:annotation>
<xsd:documentation xml:lang="en">
A type describing the commission that will be charged for each
of the hedge transactions.
</xsd:documentation>
</xsd:annotation>
<xsd:sequence>
<xsd:element name="commissionDenomination" type="CommissionDenominationEnum">
<xsd:annotation>
<xsd:documentation xml:lang="en">
The type of units used to express a commission.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="commissionAmount" type="xsd:decimal">
<xsd:annotation>
<xsd:documentation xml:lang="en">
The commission amount, expressed in the way indicated by
the commissionType element.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="currency" type="Currency" minOccurs="0">
<xsd:annotation>
<xsd:documentation xml:lang="en">
The currency in which an amount is denominated.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="commissionPerTrade" type="xsd:decimal" minOccurs="0">
<xsd:annotation>
<xsd:documentation xml:lang="en">
The total commission per trade.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="fxRate" type="FxRate" minOccurs="0" maxOccurs="unbounded">
<xsd:annotation>
<xsd:documentation xml:lang="en">
FX Rates that have been used to convert commissions to a
single currency.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
</xsd:sequence>
</xsd:complexType>
<xsd:complexType name="ConstituentWeight">
<xsd:annotation>
<xsd:documentation xml:lang="en">
A type describing the weight of each of the underlyer
constituent within the basket, either in absolute or relative
terms.
</xsd:documentation>
</xsd:annotation>
<xsd:choice>
<xsd:element name="openUnits" type="xsd:decimal">
<xsd:annotation>
<xsd:documentation xml:lang="en">
The number of units (index or securities) that constitute
the underlyer of the swap. In the case of a basket swap,
this element is used to reference both the number of basket
units, and the number of each asset components of the
basket when these are expressed in absolute terms.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="basketPercentage" type="RestrictedPercentage">
<xsd:annotation>
<xsd:documentation xml:lang="en">
The relative weight of each respective basket constituent,
expressed in percentage. A basket percentage of 5% would be
represented as 0.05.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="basketAmount" type="Money">
<xsd:annotation>
<xsd:documentation xml:lang="en">
The relative weight of each respective basket constituent,
expressed as a monetary amount.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
</xsd:choice>
</xsd:complexType>
<xsd:complexType name="ConvertibleBond">
<xsd:complexContent>
<xsd:extension base="Bond">
<xsd:sequence>
<xsd:element name="underlyingEquity" type="EquityAsset" minOccurs="0">
<xsd:annotation>
<xsd:documentation xml:lang="en">
Specifies the equity in which the convertible bond can
be converted.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="redemptionDate" type="xsd:date" minOccurs="0">
<xsd:annotation>
<xsd:documentation xml:lang="en">
Earlier date between the convertible bond put dates and
its maturity date.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
</xsd:sequence>
</xsd:extension>
</xsd:complexContent>
</xsd:complexType>
<xsd:complexType name="CouponType">
<xsd:annotation>
<xsd:documentation xml:lang="en">
Defines a scheme of values for specifiying if the bond has a
variable coupon, step-up/down coupon or a zero-coupon.
</xsd:documentation>
</xsd:annotation>
<xsd:simpleContent>
<xsd:extension base="xsd:normalizedString">
<xsd:attribute name="couponTypeScheme" type="xsd:anyURI" default="http://www.fpml.org/coding-scheme/coupon-type-1-0"/>
</xsd:extension>
</xsd:simpleContent>
</xsd:complexType>
<xsd:complexType name="Deposit">
<xsd:complexContent>
<xsd:extension base="UnderlyingAsset">
<xsd:sequence>
<xsd:element name="term" type="Interval">
<xsd:annotation>
<xsd:documentation xml:lang="en">
Specifies the term of the deposit, e.g. 5Y.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="paymentFrequency" type="Interval" minOccurs="0">
<xsd:annotation>
<xsd:documentation xml:lang="en">
Specifies the frequency at which the deposit pays, e.g.
6M.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="dayCountFraction" type="DayCountFraction" minOccurs="0">
<xsd:annotation>
<xsd:documentation xml:lang="en">
The day count basis for the deposit.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
</xsd:sequence>
</xsd:extension>
</xsd:complexContent>
</xsd:complexType>
<xsd:complexType name="DividendPayout">
<xsd:annotation>
<xsd:documentation xml:lang="en">
A type describing the dividend payout ratio associated with an
equity underlyer. In certain cases the actual ratio is not
known on trade inception, and only general conditions are then
specified.
</xsd:documentation>
</xsd:annotation>
<xsd:sequence>
<xsd:choice>
<xsd:element name="dividendPayoutRatio" type="xsd:decimal">
<xsd:annotation>
<xsd:documentation xml:lang="en">
Specifies the actual dividend payout ratio associated
with the equity underlyer.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="dividendPayoutConditions" type="xsd:string">
<xsd:annotation>
<xsd:documentation xml:lang="en">
Specifies the dividend payout conditions that will be
applied in the case where the actual ratio is not known,
typically because of regulatory or legal uncertainties.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
</xsd:choice>
<xsd:element name="dividendPayment" type="PendingPayment" minOccurs="0" maxOccurs="unbounded">
<xsd:annotation>
<xsd:documentation xml:lang="en">
The next upcoming dividend payment or payments.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
</xsd:sequence>
</xsd:complexType>
<xsd:complexType name="EquityAsset">
<xsd:complexContent>
<xsd:extension base="ExchangeTraded"/>
</xsd:complexContent>
</xsd:complexType>
<xsd:complexType name="ExchangeTraded" abstract="true">
<xsd:complexContent>
<xsd:extension base="UnderlyingAsset">
<xsd:sequence>
<xsd:group ref="ExchangeIdentifier.model"/>
</xsd:sequence>
</xsd:extension>
</xsd:complexContent>
</xsd:complexType>
<xsd:complexType name="ExchangeTradedContract">
<xsd:annotation>
<xsd:documentation xml:lang="en">
A type an Exchange Traded Contract
</xsd:documentation>
</xsd:annotation>
<xsd:complexContent>
<xsd:extension base="ExchangeTraded">
<xsd:sequence>
<xsd:element name="multiplier" type="xsd:positiveInteger" minOccurs="0">
<xsd:annotation>
<xsd:documentation xml:lang="en">
Specifies the contract multiplier that can be
associated with the number of units.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="contractReference" type="xsd:string" minOccurs="0">
<xsd:annotation>
<xsd:documentation xml:lang="en">
Specifies the contract that can be referenced, besides
the undelyer type.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="expirationDate" type="AdjustableOrRelativeDate" minOccurs="0">
<xsd:annotation>
<xsd:documentation xml:lang="en">
The date when the contract expires.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
</xsd:sequence>
</xsd:extension>
</xsd:complexContent>
</xsd:complexType>
<xsd:complexType name="ExchangeTradedFund">
<xsd:complexContent>
<xsd:extension base="ExchangeTraded">
<xsd:sequence>
<xsd:element name="fundManager" type="xsd:string" minOccurs="0">
<xsd:annotation>
<xsd:documentation xml:lang="en">
Specifies the fund manager that is in charge of the
fund.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
</xsd:sequence>
</xsd:extension>
</xsd:complexContent>
</xsd:complexType>
<xsd:complexType name="FacilityType">
<xsd:annotation>
<xsd:documentation xml:lang="en">
A type describing the type of loan facility.
</xsd:documentation>
</xsd:annotation>
<xsd:simpleContent>
<xsd:extension base="xsd:token">
<xsd:attribute name="facilityTypeScheme" type="xsd:anyURI" default="http://www.fpml.org/coding-scheme/facility-type-1-0"/>
</xsd:extension>
</xsd:simpleContent>
</xsd:complexType>
<xsd:complexType name="Future">
<xsd:complexContent>
<xsd:extension base="ExchangeTraded">
<xsd:sequence>
<xsd:element name="multiplier" type="xsd:positiveInteger" minOccurs="0">
<xsd:annotation>
<xsd:documentation xml:lang="en">
Specifies the contract multiplier that can be
associated with the number of units.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="futureContractReference" type="xsd:string" minOccurs="0">
<xsd:annotation>
<xsd:documentation xml:lang="en">
Specifies the future contract that can be referenced,
besides the equity or index reference defined as part
of the UnderlyerAsset type.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="maturity" type="xsd:date" minOccurs="0">
<xsd:annotation>
<xsd:documentation xml:lang="en">
The date when the future contract expires.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
</xsd:sequence>
</xsd:extension>
</xsd:complexContent>
</xsd:complexType>
<xsd:complexType name="FutureId">
<xsd:annotation>
<xsd:documentation xml:lang="en">
A type defining a short form unique identifier for a future
contract.
</xsd:documentation>
</xsd:annotation>
<xsd:simpleContent>
<xsd:extension base="xsd:normalizedString">
<xsd:attribute name="futureIdScheme" type="xsd:anyURI"/>
</xsd:extension>
</xsd:simpleContent>
</xsd:complexType>
<xsd:complexType name="FxConversion">
<xsd:choice>
<xsd:element name="amountRelativeTo" type="AmountReference"/>
<xsd:element name="fxRate" type="FxRate" maxOccurs="unbounded">
<xsd:annotation>
<xsd:documentation xml:lang="en">
Specifies a currency conversion rate.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
</xsd:choice>
</xsd:complexType>
<xsd:complexType name="FxRateAsset">
<xsd:complexContent>
<xsd:extension base="UnderlyingAsset">
<xsd:sequence>
<xsd:element name="quotedCurrencyPair" type="QuotedCurrencyPair">
<xsd:annotation>
<xsd:documentation xml:lang="en">
Defines the two currencies for an FX trade and the
quotation relationship between the two currencies.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="rateSource" type="FxSpotRateSource" minOccurs="0">
<xsd:annotation>
<xsd:documentation xml:lang="en">
Defines the source of the FX rate.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
</xsd:sequence>
</xsd:extension>
</xsd:complexContent>
</xsd:complexType>
<xsd:complexType name="Index">
<xsd:complexContent>
<xsd:extension base="ExchangeTraded">
<xsd:sequence>
<xsd:element name="futureId" type="FutureId" minOccurs="0">
<xsd:annotation>
<xsd:documentation xml:lang="en">
A short form unique identifier for the reference future
contract in the case of an index underlyer.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
</xsd:sequence>
</xsd:extension>
</xsd:complexContent>
</xsd:complexType>
<xsd:complexType name="Lien">
<xsd:annotation>
<xsd:documentation xml:lang="en">
A type describing the liens associated with a loan facility.
</xsd:documentation>
</xsd:annotation>
<xsd:simpleContent>
<xsd:extension base="xsd:normalizedString">
<xsd:attribute name="lienScheme" type="xsd:anyURI" default="http://www.fpml.org/coding-scheme/designated-priority-1-0"/>
</xsd:extension>
</xsd:simpleContent>
</xsd:complexType>
<xsd:complexType name="Loan">
<xsd:annotation>
<xsd:documentation xml:lang="en">
A type describing a loan underlying asset.
</xsd:documentation>
</xsd:annotation>
<xsd:complexContent>
<xsd:extension base="UnderlyingAsset">
<xsd:sequence>
<xsd:choice minOccurs="0" maxOccurs="unbounded">
<xsd:annotation>
<xsd:documentation xml:lang="en">
Specifies the borrower. There can be more than one
borrower. It is meant to be used in the event that
there is no Bloomberg Id or the Secured List isn't
applicable.
</xsd:documentation>
</xsd:annotation>
<xsd:element name="borrower" type="LegalEntity"/>
<xsd:element name="borrowerReference" type="LegalEntityReference"/>
</xsd:choice>
<xsd:element name="lien" type="Lien" minOccurs="0">
<xsd:annotation>
<xsd:documentation xml:lang="en">
Specifies the seniority level of the lien.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="facilityType" type="FacilityType" minOccurs="0">
<xsd:annotation>
<xsd:documentation xml:lang="en">
The type of loan facility (letter of credit, revolving,
...).
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="maturity" type="xsd:date" minOccurs="0">
<xsd:annotation>
<xsd:documentation xml:lang="en">
The date when the principal amount of the loan becomes
due and payable.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="creditAgreementDate" type="xsd:date" minOccurs="0">
<xsd:annotation>
<xsd:documentation xml:lang="en">
The credit agreement date is the closing date (the date
where the agreement has been signed) for the loans in
the credit agreement. Funding of the facilities occurs
on (or sometimes a little after) the Credit Agreement
date. This underlyer attribute is used to help identify
which of the company's outstanding loans are being
referenced by knowing to which credit agreement it
belongs. ISDA Standards Terms Supplement term: Date of
Original Credit Agreement.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="tranche" type="UnderlyingAssetTranche" minOccurs="0">
<xsd:annotation>
<xsd:documentation xml:lang="en">
The loan tranche that is subject to the derivative
transaction. It will typically be referenced as the
Bloomberg tranche number. ISDA Standards Terms
Supplement term: Bloomberg Tranche Number.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
</xsd:sequence>
</xsd:extension>
</xsd:complexContent>
</xsd:complexType>
<xsd:complexType name="Mortgage">
<xsd:annotation>
<xsd:documentation xml:lang="en">
A type describing a mortgage asset.
</xsd:documentation>
</xsd:annotation>
<xsd:complexContent>
<xsd:extension base="UnderlyingAsset">
<xsd:sequence>
<xsd:choice minOccurs="0">
<xsd:annotation>
<xsd:documentation>
Applicable to the case of default swaps on MBS terms.
For specifying the insurer name, when applicable (when
the element is not present, it signifies that the
insurer is Not Applicable)
</xsd:documentation>
</xsd:annotation>
<xsd:element name="insurer" type="LegalEntity"/>
<xsd:element name="insurerReference" type="LegalEntityReference"/>
</xsd:choice>
<xsd:group ref="BondContent.model"/>
<xsd:group ref="BondCalculation.model"/>
<xsd:element name="originalPrincipalAmount" type="xsd:decimal" minOccurs="0">
<xsd:annotation>
<xsd:documentation xml:lang="en">
The initial issued amount of the mortgage obligation.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="pool" type="AssetPool" minOccurs="0">
<xsd:annotation>
<xsd:documentation xml:lang="en">
The morgage pool that is underneath the mortgage
obligation.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="sector" type="MortgageSector" minOccurs="0">
<xsd:annotation>
<xsd:documentation xml:lang="en">
The sector classification of the mortgage obligation.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="tranche" type="xsd:token" minOccurs="0">
<xsd:annotation>
<xsd:documentation xml:lang="en">
The mortgage obligation tranche that is subject to the
derivative transaction.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
</xsd:sequence>
</xsd:extension>
</xsd:complexContent>
</xsd:complexType>
<xsd:complexType name="MortgageSector">
<xsd:annotation>
<xsd:documentation xml:lang="en">
A type describing the typology of mortgage obligations.
</xsd:documentation>
</xsd:annotation>
<xsd:simpleContent>
<xsd:extension base="xsd:normalizedString">
<xsd:attribute name="mortgageSectorScheme" type="xsd:anyURI" default="http://www.fpml.org/coding-scheme/mortgage-sector-1-0"/>
</xsd:extension>
</xsd:simpleContent>
</xsd:complexType>
<xsd:complexType name="MutualFund">
<xsd:complexContent>
<xsd:extension base="UnderlyingAsset">
<xsd:sequence>
<xsd:element name="openEndedFund" type="xsd:boolean" minOccurs="0">
<xsd:annotation>
<xsd:documentation xml:lang="en">
Boolean indicator to specify whether the mutual fund is
an open-ended mutual fund.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="fundManager" type="xsd:string" minOccurs="0">
<xsd:annotation>
<xsd:documentation xml:lang="en">
Specifies the fund manager that is in charge of the
fund.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
</xsd:sequence>
</xsd:extension>
</xsd:complexContent>
</xsd:complexType>
<xsd:complexType name="PendingPayment">
<xsd:annotation>
<xsd:documentation>
A structure representing a pending dividend or coupon payment.
</xsd:documentation>
</xsd:annotation>
<xsd:sequence>
<xsd:element name="paymentDate" type="xsd:date">
<xsd:annotation>
<xsd:documentation xml:lang="en">
The date that the dividend or coupon is due.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="amount" type="Money">
<xsd:annotation>
<xsd:documentation xml:lang="en">
The amount of the dividend or coupon payment. Value of
dividends or coupon between ex and pay date. Stock: if we
are between ex-date and pay-date and the dividend is
payable under the swap, then this should be the ex-div
amount * # of securities. Bond: regardless of where we are
vis-a-vis resets: (coupon % * face of bonds on swap * (bond
day count fraction using days last coupon pay date of the
bond through today).
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="accruedInterest" type="Money" minOccurs="0">
<xsd:annotation>
<xsd:documentation xml:lang="en">
Accrued interest on the dividend or coupon payment. When
the TRS is structured to pay a dividend or coupon on reset
after payable date, you may earn interest on these amounts.
This field indicates the interest accrued on
dividend/coupon from pay date to statement date. This will
only apply to a handful of agreements where dividendss are
held to the next reset AND you receive/pay interest on
unpaid amounts.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
</xsd:sequence>
</xsd:complexType>
<xsd:complexType name="Price">
<xsd:annotation>
<xsd:documentation xml:lang="en">
A type describing the strike price.
</xsd:documentation>
</xsd:annotation>
<xsd:sequence>
<xsd:element name="commission" type="Commission" minOccurs="0">
<xsd:annotation>
<xsd:documentation xml:lang="en">
This optional component specifies the commission to be
charged for executing the hedge transactions.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:choice>
<xsd:element name="determinationMethod" type="DeterminationMethod">
<xsd:annotation>
<xsd:documentation xml:lang="en">
Specifies the method according to which an amount or a
date is determined.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="amountRelativeTo" type="AmountReference">
<xsd:annotation>
<xsd:documentation xml:lang="en">
The href attribute value will be a pointer style
reference to the element or component elsewhere in the
document where the anchor amount is defined.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:sequence>
<xsd:element name="grossPrice" type="ActualPrice" minOccurs="0">
<xsd:annotation>
<xsd:documentation xml:lang="en">
Specifies the price of the underlyer, before
commissions.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="netPrice" type="ActualPrice">
<xsd:annotation>
<xsd:documentation xml:lang="en">
Specifies the price of the underlyer, net of
commissions.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="accruedInterestPrice" type="xsd:decimal" minOccurs="0">
<xsd:annotation>
<xsd:documentation xml:lang="en">
Specifies the accrued interest that are part of the
dirty price in the case of a fixed income security or a
convertible bond. Expressed in percentage of the
notional.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="fxConversion" type="FxConversion" minOccurs="0">
<xsd:annotation>
<xsd:documentation xml:lang="en">
Specifies the currency conversion rate that applies to
an amount. This rate can either be defined elsewhere in
the document (case of a quanto swap), or explicitly
described through this component.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
</xsd:sequence>
</xsd:choice>
<xsd:element name="cleanNetPrice" type="xsd:decimal" minOccurs="0">
<xsd:annotation>
<xsd:documentation xml:lang="en">
The net price excluding accrued interest. The "Dirty Price"
for bonds is put in the "netPrice" element, which includes
accrued interest. Thus netPrice - cleanNetPrice =
accruedInterest. The currency and price expression for this
field are the same as those for the (dirty) netPrice.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="quotationCharacteristics" type="QuotationCharacteristics" minOccurs="0">
<xsd:annotation>
<xsd:documentation>
Allows information about how the price was quoted to be
provided.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
</xsd:sequence>
</xsd:complexType>
<xsd:complexType name="PriceQuoteUnits">
<xsd:annotation>
<xsd:documentation source="http://www.FpML.org" xml:lang="en">
The units in which a price is quoted.
</xsd:documentation>
</xsd:annotation>
<xsd:simpleContent>
<xsd:extension base="xsd:normalizedString">
<xsd:attribute name="priceQuoteUnitsScheme" type="xsd:anyURI" default="http://www.fpml.org/coding-scheme/price-quote-units-1-1"/>
</xsd:extension>
</xsd:simpleContent>
</xsd:complexType>
<xsd:complexType name="QuotationCharacteristics">
<xsd:annotation>
<xsd:documentation xml:lang="en">
A type representing a set of characteristics that describe a
quotation.
</xsd:documentation>
</xsd:annotation>
<xsd:sequence>
<xsd:group ref="QuotationCharacteristics.model"/>
</xsd:sequence>
</xsd:complexType>
<xsd:complexType name="QuoteTiming">
<xsd:annotation>
<xsd:documentation source="http://www.FpML.org" xml:lang="en">
The type of the time of the quote.
</xsd:documentation>
</xsd:annotation>
<xsd:simpleContent>
<xsd:extension base="xsd:normalizedString">
<xsd:attribute name="quoteTimingScheme" type="xsd:anyURI" default="http://www.fpml.org/coding-scheme/quote-timing-1-0"/>
</xsd:extension>
</xsd:simpleContent>
</xsd:complexType>
<xsd:complexType name="RateIndex">
<xsd:complexContent>
<xsd:extension base="UnderlyingAsset">
<xsd:sequence>
<xsd:element name="floatingRateIndex" type="FloatingRateIndex"/>
<xsd:element name="term" type="Interval">
<xsd:annotation>
<xsd:documentation xml:lang="en">
Specifies the term of the simple swap, e.g. 5Y.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="paymentFrequency" type="Interval" minOccurs="0">
<xsd:annotation>
<xsd:documentation xml:lang="en">
Specifies the frequency at which the index pays, e.g.
6M.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="dayCountFraction" type="DayCountFraction" minOccurs="0">
<xsd:annotation>
<xsd:documentation xml:lang="en">
The day count basis for the index.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
</xsd:sequence>
</xsd:extension>
</xsd:complexContent>
</xsd:complexType>
<xsd:complexType name="SimpleCreditDefaultSwap">
<xsd:complexContent>
<xsd:extension base="UnderlyingAsset">
<xsd:sequence>
<xsd:group ref="CreditEntity.model">
<xsd:annotation>
<xsd:documentation xml:lang="en">
The reference entity, index, etc. upon which the CDS is
based.
</xsd:documentation>
</xsd:annotation>
</xsd:group>
<xsd:element name="term" type="Interval">
<xsd:annotation>
<xsd:documentation xml:lang="en">
Specifies the term of the simple CD swap, e.g. 5Y.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="paymentFrequency" type="Interval" minOccurs="0">
<xsd:annotation>
<xsd:documentation xml:lang="en">
Specifies the frequency at which the swap pays, e.g.
6M.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
</xsd:sequence>
</xsd:extension>
</xsd:complexContent>
</xsd:complexType>
<xsd:complexType name="SimpleFra">
<xsd:complexContent>
<xsd:extension base="UnderlyingAsset">
<xsd:sequence>
<xsd:element name="startTerm" type="Interval">
<xsd:annotation>
<xsd:documentation xml:lang="en">
Specifies the start term of the simple fra, e.g. 3M.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="endTerm" type="Interval">
<xsd:annotation>
<xsd:documentation xml:lang="en">
Specifies the end term of the simple fra, e.g. 9M.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="dayCountFraction" type="DayCountFraction" minOccurs="0">
<xsd:annotation>
<xsd:documentation xml:lang="en">
The day count basis for the FRA.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
</xsd:sequence>
</xsd:extension>
</xsd:complexContent>
</xsd:complexType>
<xsd:complexType name="SimpleIRSwap">
<xsd:complexContent>
<xsd:extension base="UnderlyingAsset">
<xsd:sequence>
<xsd:element name="term" type="Interval">
<xsd:annotation>
<xsd:documentation xml:lang="en">
Specifies the term of the simple swap, e.g. 5Y.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="paymentFrequency" type="Interval" minOccurs="0">
<xsd:annotation>
<xsd:documentation xml:lang="en">
Specifies the frequency at which the swap pays, e.g.
6M.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="dayCountFraction" type="DayCountFraction" minOccurs="0">
<xsd:annotation>
<xsd:documentation xml:lang="en">
The day count basis for the swap.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
</xsd:sequence>
</xsd:extension>
</xsd:complexContent>
</xsd:complexType>
<xsd:complexType name="SingleUnderlyer">
<xsd:annotation>
<xsd:documentation xml:lang="en">
A type describing a single underlyer
</xsd:documentation>
</xsd:annotation>
<xsd:sequence>
<xsd:element ref="underlyingAsset"/>
<xsd:element name="openUnits" type="xsd:decimal" minOccurs="0">
<xsd:annotation>
<xsd:documentation xml:lang="en">
The number of units (index or securities) that constitute
the underlyer of the swap. In the case of a basket swap,
this element is used to reference both the number of basket
units, and the number of each asset components of the
basket when these are expressed in absolute terms.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="dividendPayout" type="DividendPayout" minOccurs="0">
<xsd:annotation>
<xsd:documentation xml:lang="en">
Specifies the dividend payout ratio associated with an
equity underlyer. A basket swap can have different payout
ratios across the various underlying constituents. In
certain cases the actual ratio is not known on trade
inception, and only general conditions are then specified.
Users should note that FpML makes a distinction between the
derivative contract and the underlyer of the contract. It
would be better if the agreed dividend payout on a
derivative contract was modelled at the level of the
derivative contract, an approach which may be adopted in
the next major version of FpML.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="couponPayment" type="PendingPayment" minOccurs="0">
<xsd:annotation>
<xsd:documentation xml:lang="en">
The next upcoming coupon payment.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
</xsd:sequence>
</xsd:complexType>
<xsd:complexType name="Underlyer">
<xsd:annotation>
<xsd:documentation xml:lang="en">
A type describing the whole set of possible underlyers: single
underlyers or multiple underlyers, each of these having either
security or index components.
</xsd:documentation>
</xsd:annotation>
<xsd:choice>
<xsd:element name="singleUnderlyer" type="SingleUnderlyer">
<xsd:annotation>
<xsd:documentation xml:lang="en">
Describes the swap's underlyer when it has only one asset
component.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="basket" type="Basket">
<xsd:annotation>
<xsd:documentation xml:lang="en">
Describes the swap's underlyer when it has multiple asset
components.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
</xsd:choice>
</xsd:complexType>
<xsd:complexType name="UnderlyingAsset" abstract="true">
<xsd:annotation>
<xsd:documentation xml:lang="en">
A type describing the basic components of a security of index
underlyer.
</xsd:documentation>
</xsd:annotation>
<xsd:complexContent>
<xsd:extension base="Asset">
<xsd:sequence>
<xsd:element name="currency" type="Currency" minOccurs="0">
<xsd:annotation>
<xsd:documentation xml:lang="en">
The currency in which an amount is denominated.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="exchangeId" type="ExchangeId" minOccurs="0"/>
<xsd:element name="clearanceSystem" type="ClearanceSystem" minOccurs="0"/>
<xsd:element name="definition" type="ProductReference" minOccurs="0">
<xsd:annotation>
<xsd:documentation xml:lang="en">
An optional reference to a full FpML product that
defines the simple product in greater detail. In case
of inconsistency between the terms of the simple
product and those of the detailed definition, the
values in the simple product override those in the
detailed definition.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
</xsd:sequence>
</xsd:extension>
</xsd:complexContent>
</xsd:complexType>
<xsd:complexType name="UnderlyingAssetTranche">
<xsd:simpleContent>
<xsd:extension base="xsd:token">
<xsd:attribute name="loanTrancheScheme" type="xsd:anyURI" default="http://www.fpml.org/coding-scheme/underlying-asset-tranche"/>
</xsd:extension>
</xsd:simpleContent>
</xsd:complexType>
<xsd:element name="bond" type="Bond" substitutionGroup="underlyingAsset">
<xsd:annotation>
<xsd:documentation xml:lang="en">
Defines the underlying asset when it is a bond.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="cash" type="Cash" substitutionGroup="underlyingAsset">
<xsd:annotation>
<xsd:documentation xml:lang="en">
Defines a simple underlying asset type that is a cash payment.
Used for specifying discounting factors for future cash flows
in the pricing and risk model.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="convertibleBond" type="ConvertibleBond" substitutionGroup="underlyingAsset">
<xsd:annotation>
<xsd:documentation xml:lang="en">
Defines the underlying asset when it is a convertible bond.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="deposit" type="Deposit" substitutionGroup="underlyingAsset">
<xsd:annotation>
<xsd:documentation xml:lang="en">
Defines a simple underlying asset that is a term deposit.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="equity" type="EquityAsset" substitutionGroup="underlyingAsset">
<xsd:annotation>
<xsd:documentation xml:lang="en">
Defines the underlying asset when it is a listed equity.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="exchangeTradedFund" type="ExchangeTradedFund" substitutionGroup="underlyingAsset">
<xsd:annotation>
<xsd:documentation xml:lang="en">
Defines the underlying asset when it is an exchange-traded
fund.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="future" type="Future" substitutionGroup="underlyingAsset">
<xsd:annotation>
<xsd:documentation xml:lang="en">
Defines the underlying asset when it is a listed future
contract.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="fxRate" type="FxRateAsset" substitutionGroup="underlyingAsset">
<xsd:annotation>
<xsd:documentation xml:lang="en">
Defines a simple underlying asset type that is an FX rate. Used
for specifying FX rates in the pricing and risk model.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="index" type="Index" substitutionGroup="underlyingAsset">
<xsd:annotation>
<xsd:documentation xml:lang="en">
Defines the underlying asset when it is a financial index.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="loan" type="Loan" substitutionGroup="underlyingAsset">
<xsd:annotation>
<xsd:documentation xml:lang="en">
Defines a simple underlying asset that is a loan.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="mortgage" type="Mortgage" substitutionGroup="underlyingAsset">
<xsd:annotation>
<xsd:documentation xml:lang="en">
Defines an underlying asset that is a mortgage.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="mutualFund" type="MutualFund" substitutionGroup="underlyingAsset">
<xsd:annotation>
<xsd:documentation xml:lang="en">
Defines the underlying asset when it is a mutual fund.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="rateIndex" type="RateIndex" substitutionGroup="underlyingAsset">
<xsd:annotation>
<xsd:documentation xml:lang="en">
Defines a simple underlying asset that is an interest rate
index. Used for specifying benchmark assets in the market
environment in the pricing and risk model.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="simpleCreditDefaultSwap" type="SimpleCreditDefaultSwap" substitutionGroup="underlyingAsset">
<xsd:annotation>
<xsd:documentation xml:lang="en">
Defines a simple underlying asset that is a credit default
swap.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="simpleFra" type="SimpleFra" substitutionGroup="underlyingAsset">
<xsd:annotation>
<xsd:documentation xml:lang="en">
Defines a simple underlying asset that is a forward rate
agreement.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="simpleIrSwap" type="SimpleIRSwap" substitutionGroup="underlyingAsset">
<xsd:annotation>
<xsd:documentation xml:lang="en">
Defines a simple underlying asset that is a swap.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="underlyingAsset" type="Asset" abstract="true">
<xsd:annotation>
<xsd:documentation xml:lang="en">
Define the underlying asset when it is a listed security.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:group name="BasketIdentifier.model">
<xsd:annotation>
<xsd:documentation xml:lang="en">
A group that specifies a name and an identifier for a given
basket.
</xsd:documentation>
</xsd:annotation>
<xsd:choice>
<xsd:sequence>
<xsd:element name="basketName" type="BasketName">
<xsd:annotation>
<xsd:documentation xml:lang="en">
The name of the basket expressed as a free format string.
FpML does not define usage rules for this element.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="basketId" type="BasketId" minOccurs="0" maxOccurs="unbounded">
<xsd:annotation>
<xsd:documentation xml:lang="en">
A CDS basket identifier
</xsd:documentation>
</xsd:annotation>
</xsd:element>
</xsd:sequence>
<xsd:sequence>
<xsd:element name="basketId" type="BasketId" maxOccurs="unbounded">
<xsd:annotation>
<xsd:documentation xml:lang="en">
A CDS basket identifier
</xsd:documentation>
</xsd:annotation>
</xsd:element>
</xsd:sequence>
</xsd:choice>
</xsd:group>
<xsd:group name="BondCalculation.model">
<xsd:annotation>
<xsd:documentation xml:lang="en">
A group that specifies Bond Calculation elements
</xsd:documentation>
</xsd:annotation>
<xsd:sequence>
<xsd:element name="paymentFrequency" type="Interval" minOccurs="0">
<xsd:annotation>
<xsd:documentation xml:lang="en">
Specifies the frequency at which the bond pays, e.g. 6M.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="dayCountFraction" type="DayCountFraction" minOccurs="0">
<xsd:annotation>
<xsd:documentation xml:lang="en">
The day count basis for the bond.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
</xsd:sequence>
</xsd:group>
<xsd:group name="BondChoice.model">
<xsd:annotation>
<xsd:documentation xml:lang="en">
A model group which provides choices between all bond
underlyers.
</xsd:documentation>
</xsd:annotation>
<xsd:choice>
<xsd:element ref="bond">
<xsd:annotation>
<xsd:documentation xml:lang="en">
A bond instrument referenced by a contract
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element ref="convertibleBond">
<xsd:annotation>
<xsd:documentation xml:lang="en">
A convertible bond instrument referenced by a contract.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
</xsd:choice>
</xsd:group>
<xsd:group name="BondContent.model">
<xsd:annotation>
<xsd:documentation xml:lang="en">
A group that specifies Bond Content elements
</xsd:documentation>
</xsd:annotation>
<xsd:sequence>
<xsd:choice minOccurs="0">
<xsd:annotation>
<xsd:documentation xml:lang="en">
Specifies the issuer name of a fixed income security or
convertible bond. This name can either be explicitly
stated, or specified as an href into another element of the
document, such as the obligor
</xsd:documentation>
</xsd:annotation>
<xsd:element name="issuerName" type="xsd:string"/>
<xsd:element name="issuerPartyReference" type="PartyReference"/>
</xsd:choice>
<xsd:element name="seniority" type="CreditSeniority" minOccurs="0">
<xsd:annotation>
<xsd:documentation xml:lang="en">
The repayment precedence of a debt instrument.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="couponType" type="CouponType" minOccurs="0">
<xsd:annotation>
<xsd:documentation xml:lang="en">
Specifies if the bond has a variable coupon, step-up/down
coupon or a zero-coupon.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="couponRate" type="xsd:decimal" minOccurs="0">
<xsd:annotation>
<xsd:documentation xml:lang="en">
Specifies the coupon rate (expressed in percentage) of a
fixed income security or convertible bond.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="maturity" type="xsd:date" minOccurs="0">
<xsd:annotation>
<xsd:documentation xml:lang="en">
The date when the principal amount of a security becomes
due and payable.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
</xsd:sequence>
</xsd:group>
<xsd:group name="CreditEntity.model">
<xsd:annotation>
<xsd:documentation xml:lang="en">
An item which has credit characteristics that can be modeled,
e.g. a firm, index, or region.
</xsd:documentation>
</xsd:annotation>
<xsd:choice>
<xsd:element name="referenceEntity" type="LegalEntity">
<xsd:annotation>
<xsd:documentation xml:lang="en">
The entity for which this is defined.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="creditEntityReference" type="LegalEntityReference">
<xsd:annotation>
<xsd:documentation xml:lang="en">
An XML reference a credit entity defined elsewhere in the
document.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
</xsd:choice>
</xsd:group>
<xsd:group name="ExchangeIdentifier.model">
<xsd:sequence>
<xsd:element name="relatedExchangeId" type="ExchangeId" minOccurs="0" maxOccurs="unbounded">
<xsd:annotation>
<xsd:documentation xml:lang="en">
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 2002 Equity
Derivatives Definitions.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="optionsExchangeId" type="ExchangeId" minOccurs="0" maxOccurs="unbounded">
<xsd:annotation>
<xsd:documentation xml:lang="en">
A short form unique identifier for an exchange on which the
reference option contract is listed. This is to address the
case where the reference exchange for the future is
different than the one for the option. The options Exchange
is referenced on share options when Merger Elections are
selected as Options Exchange Adjustment.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
</xsd:sequence>
</xsd:group>
<xsd:group name="Quotation.model">
<xsd:annotation>
<xsd:documentation xml:lang="en">
Some kind of numerical measure about an asset, eg. its price or
NPV, together with characteristics of that measure.
</xsd:documentation>
</xsd:annotation>
<xsd:sequence>
<xsd:element name="value" type="xsd:decimal" minOccurs="0">
<xsd:annotation>
<xsd:documentation xml:lang="en">
The value of the the quotation.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:group ref="QuotationCharacteristics.model">
<xsd:annotation>
<xsd:documentation xml:lang="en">
The characteristics of the quotation.
</xsd:documentation>
</xsd:annotation>
</xsd:group>
</xsd:sequence>
</xsd:group>
<xsd:group name="QuotationCharacteristics.model">
<xsd:annotation>
<xsd:documentation xml:lang="en">
A group collecting a set of characteristics that can be used to
describe a quotation.
</xsd:documentation>
</xsd:annotation>
<xsd:sequence>
<xsd:element name="measureType" type="AssetMeasureType" minOccurs="0">
<xsd:annotation>
<xsd:documentation xml:lang="en">
The type of the value that is measured. This could be an
NPV, a cash flow, a clean price, etc.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="quoteUnits" type="PriceQuoteUnits" minOccurs="0">
<xsd:annotation>
<xsd:documentation xml:lang="en">
The optional units that the measure is expressed in. If not
supplied, this is assumed to be a price/value in currency
units.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="side" type="QuotationSideEnum" minOccurs="0">
<xsd:annotation>
<xsd:documentation xml:lang="en">
The side (bid/mid/ask) of the measure.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="currency" type="Currency" minOccurs="0">
<xsd:annotation>
<xsd:documentation xml:lang="en">
The optional currency that the measure is expressed in. If
not supplied, this is defaulted from the reportingCurrency
in the valuationScenarioDefinition.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="timing" type="QuoteTiming" minOccurs="0">
<xsd:annotation>
<xsd:documentation xml:lang="en">
When during a day the quote is for. Typically, if this
element is supplied, the QuoteLocation needs also to be
supplied.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:group ref="QuoteLocation.model" minOccurs="0">
<xsd:annotation>
<xsd:documentation xml:lang="en">
Where the quote is from.
</xsd:documentation>
</xsd:annotation>
</xsd:group>
<xsd:element name="informationSource" type="InformationSource" minOccurs="0" maxOccurs="unbounded">
<xsd:annotation>
<xsd:documentation xml:lang="en">
The information source where a published or displayed
market rate will be obtained, e.g. Telerate Page 3750.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="time" type="xsd:dateTime" minOccurs="0">
<xsd:annotation>
<xsd:documentation xml:lang="en">
When the quote was observed or derived.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="valuationDate" type="xsd:date" minOccurs="0">
<xsd:annotation>
<xsd:documentation xml:lang="en">
When the quote was computed.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="expiryTime" type="xsd:dateTime" minOccurs="0">
<xsd:annotation>
<xsd:documentation xml:lang="en">
When does the quote cease to be valid.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="cashFlowType" type="CashflowType" minOccurs="0">
<xsd:annotation>
<xsd:documentation xml:lang="en">
For cash flows, the type of the cash flows. Examples
include: Coupon payment, Premium Fee, Settlement Fee,
Brokerage Fee, etc.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
</xsd:sequence>
</xsd:group>
<xsd:group name="QuoteLocation.model">
<xsd:annotation>
<xsd:documentation xml:lang="en">
A group describing where a quote was or will be obtained, e.g.
observed or calculated.
</xsd:documentation>
</xsd:annotation>
<xsd:choice>
<xsd:element name="businessCenter" type="BusinessCenter">
<xsd:annotation>
<xsd:documentation xml:lang="en">
A city or other business center.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="exchangeId" type="ExchangeId">
<xsd:annotation>
<xsd:documentation xml:lang="en">
The exchange (e.g. stock or futures exchange) from which
the quote is obtained.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
</xsd:choice>
</xsd:group>
</xsd:schema>