FpML 4.3 Trial Recommendation

14 December 2007

Bond Options Component Definitions

Version: 4.3

This Version:

http://www.fpml.org/spec/fpml-4-3-9-tr-1

Latest Version:

http://www.fpml.org/spec/fpml-4-3-9-tr-1

Previous Version:

http://www.fpml.org/spec/2007/lcwd-fpml-4-3-2007-10-30/

Errata for this Version:

http://www.fpml.org/spec/fpml-4-3-9-tr-1/html/fpml-4-3-errata.html

Document built: Mon 01/14/2008 12:56:44.15


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.

Contents

Global Simple Types

Global Complex Types
BondOption
BondOptionStrike
MakeWholeAmount
ReferenceSwapCurve
SwapCurveValuation

Global Elements
bondOption

Groups

Schema Listing

Global Simple Types

The schema does not contain any global simple types.

Global Complex Types

BondOption

Description:

A Bond Option

Figure:

Contents:

Inherited element(s): (This definition inherits the content defined by the type OptionBaseExtended)

strike (exactly one occurrence; of the type BondOptionStrike)


There can be one occurance of the following structure; Choice of either

Or


Used by:

Extension of:

Schema Fragment: 

<xsd:complexType name="BondOption">
  <xsd:annotation>
    <xsd:documentation xml:lang="en">
      A Bond Option
    </xsd:documentation>
  </xsd:annotation>
  <xsd:complexContent>
    <xsd:extension base="OptionBaseExtended">
      <xsd:sequence>
        <xsd:element name="strike" type="BondOptionStrike">
          <xsd:annotation>
            <xsd:documentation xml:lang="en">
              Strike of the the Bond Option.
            </xsd:documentation>
          </xsd:annotation>
        </xsd:element>
        <xsd:group ref="BondChoice.model"/>
      </xsd:sequence>
    </xsd:extension>
  </xsd:complexContent>
</xsd:complexType>

BondOptionStrike

Description:

A complex type to specify the strike of a bond or convertible bond option.

Figure:

Contents:


There can be one occurance of the following structure; Choice of either

Or


Used by:

Schema Fragment: 

<xsd:complexType name="BondOptionStrike">
  <xsd:annotation>
    <xsd:documentation xml:lang="en">
      A complex type to specify the strike of a bond or convertible
      bond option.
    </xsd:documentation>
  </xsd:annotation>
  <xsd:choice>
    <xsd:element name="referenceSwapCurve" type="ReferenceSwapCurve">
      <xsd:annotation>
        <xsd:documentation xml:lang="en">
          The strike of an option when expressed by reference to a swap
          curve. (Typically the case for a convertible bond option.)
        </xsd:documentation>
      </xsd:annotation>
    </xsd:element>
    <xsd:element name="price" type="OptionStrike"/>
  </xsd:choice>
</xsd:complexType>

MakeWholeAmount

Description:

A complex type to specify the amount to be paid by the buyer of the option if the option is exercised prior to the Early Call Date (Typically applicable to the convertible bond options).

Figure:

Contents:

Inherited element(s): (This definition inherits the content defined by the type SwapCurveValuation)

interpolationMethod (zero or one occurrence; of the type InterpolationMethod)

earlyCallDate (exactly one occurrence; of the type IdentifiedDate)

Used by:

Extension of:

Schema Fragment: 

<xsd:complexType name="MakeWholeAmount">
  <xsd:annotation>
    <xsd:documentation xml:lang="en">
      A complex type to specify the amount to be paid by the buyer of
      the option if the option is exercised prior to the Early Call
      Date (Typically applicable to the convertible bond options).
    </xsd:documentation>
  </xsd:annotation>
  <xsd:complexContent>
    <xsd:extension base="SwapCurveValuation">
      <xsd:sequence>
        <xsd:element name="interpolationMethod" type="InterpolationMethod" minOccurs="0">
          <xsd:annotation>
            <xsd:documentation xml:lang="en">
              The type of interpolation method that the calculation
              agent reserves the right to use.
            </xsd:documentation>
          </xsd:annotation>
        </xsd:element>
        <xsd:element name="earlyCallDate" type="IdentifiedDate">
          <xsd:annotation>
            <xsd:documentation xml:lang="en">
              Date prior to which the option buyer will have to pay a
              Make Whole Amount to the option seller if he/she
              exercises the option.
            </xsd:documentation>
          </xsd:annotation>
        </xsd:element>
      </xsd:sequence>
    </xsd:extension>
  </xsd:complexContent>
</xsd:complexType>

ReferenceSwapCurve

Description:

A complex type used to specify the option and convertible bond option strike when expressed in reference to a swap curve.

Figure:

Contents:

swapUnwindValue (exactly one occurrence; of the type SwapCurveValuation)

makeWholeAmount (zero or one occurrence; of the type MakeWholeAmount)

Used by:

Schema Fragment: 

<xsd:complexType name="ReferenceSwapCurve">
  <xsd:annotation>
    <xsd:documentation xml:lang="en">
      A complex type used to specify the option and convertible bond
      option strike when expressed in reference to a swap curve.
    </xsd:documentation>
  </xsd:annotation>
  <xsd:sequence>
    <xsd:element name="swapUnwindValue" type="SwapCurveValuation"/>
    <xsd:element name="makeWholeAmount" type="MakeWholeAmount" minOccurs="0">
      <xsd:annotation>
        <xsd:documentation xml:lang="en">
          Amount to be paid by the buyer of the option if the option is
          exercised prior to the Early Call Date. (The market practice
          in the convertible bond option space being that the buyer
          should be penalized if he/she exercises the option early on.)
        </xsd:documentation>
      </xsd:annotation>
    </xsd:element>
  </xsd:sequence>
</xsd:complexType>

SwapCurveValuation

Description:

A complex type to specify a valuation swap curve, which is used as part of the strike construct for the bond and convertible bond options.

Figure:

Contents:

floatingRateIndex (exactly one occurrence; of the type FloatingRateIndex)

indexTenor (zero or one occurrence; of the type Interval)

spread (exactly one occurrence; of the type xsd:decimal)

side (zero or one occurrence; of the type QuotationSideEnum)

Used by:

Derived Types:

Schema Fragment: 

<xsd:complexType name="SwapCurveValuation">
  <xsd:annotation>
    <xsd:documentation xml:lang="en">
      A complex type to specify a valuation swap curve, which is used
      as part of the strike construct for the bond and convertible bond
      options.
    </xsd:documentation>
  </xsd:annotation>
  <xsd:sequence>
    <xsd:group ref="FloatingRateIndex.model">
      <xsd:annotation>
        <xsd:documentation xml:lang="en">
          Defines the benchmark floating rate index and the ISDA
          Designated Maturity, i.e. the tenor of the floating rate.
        </xsd:documentation>
      </xsd:annotation>
    </xsd:group>
    <xsd:element name="spread" type="xsd:decimal">
      <xsd:annotation>
        <xsd:documentation xml:lang="en">
          Spread in basis points over the floating rate index.
        </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:sequence>
</xsd:complexType>

Global Elements

bondOption

Description:

A component describing a Bond Option product.

Figure:

Contents:

Element bondOption is defined by the complex type BondOption

Used by:

Schema Fragment: 

<xsd:element name="bondOption" type="BondOption" substitutionGroup="product">
  <xsd:annotation>
    <xsd:documentation xml:lang="en">
      A component describing a Bond Option product.
    </xsd:documentation>
  </xsd:annotation>
</xsd:element>

Groups

The schema does not contain any groups.

Full XML Schema 

<xsd:schema ecore:nsPrefix="fpml" ecore:package="org.fpml" ecore:documentRoot="FpML" targetNamespace="http://www.fpml.org/2007/FpML-4-3" version="$Revision: 2351 $" attributeFormDefault="unqualified" elementFormDefault="qualified">
  <xsd:include schemaLocation="fpml-option-shared-4-3.xsd"/>
  <xsd:include schemaLocation="fpml-mktenv-4-3.xsd"/>
  <xsd:complexType name="BondOption">
    <xsd:annotation>
      <xsd:documentation xml:lang="en">
        A Bond Option
      </xsd:documentation>
    </xsd:annotation>
    <xsd:complexContent>
      <xsd:extension base="OptionBaseExtended">
        <xsd:sequence>
          <xsd:element name="strike" type="BondOptionStrike">
            <xsd:annotation>
              <xsd:documentation xml:lang="en">
                Strike of the the Bond Option.
              </xsd:documentation>
            </xsd:annotation>
          </xsd:element>
          <xsd:group ref="BondChoice.model"/>
        </xsd:sequence>
      </xsd:extension>
    </xsd:complexContent>
  </xsd:complexType>
  <xsd:complexType name="BondOptionStrike">
    <xsd:annotation>
      <xsd:documentation xml:lang="en">
        A complex type to specify the strike of a bond or convertible
        bond option.
      </xsd:documentation>
    </xsd:annotation>
    <xsd:choice>
      <xsd:element name="referenceSwapCurve" type="ReferenceSwapCurve">
        <xsd:annotation>
          <xsd:documentation xml:lang="en">
            The strike of an option when expressed by reference to a
            swap curve. (Typically the case for a convertible bond
            option.)
          </xsd:documentation>
        </xsd:annotation>
      </xsd:element>
      <xsd:element name="price" type="OptionStrike"/>
    </xsd:choice>
  </xsd:complexType>
  <xsd:complexType name="MakeWholeAmount">
    <xsd:annotation>
      <xsd:documentation xml:lang="en">
        A complex type to specify the amount to be paid by the buyer of
        the option if the option is exercised prior to the Early Call
        Date (Typically applicable to the convertible bond options).
      </xsd:documentation>
    </xsd:annotation>
    <xsd:complexContent>
      <xsd:extension base="SwapCurveValuation">
        <xsd:sequence>
          <xsd:element name="interpolationMethod" type="InterpolationMethod" minOccurs="0">
            <xsd:annotation>
              <xsd:documentation xml:lang="en">
                The type of interpolation method that the calculation
                agent reserves the right to use.
              </xsd:documentation>
            </xsd:annotation>
          </xsd:element>
          <xsd:element name="earlyCallDate" type="IdentifiedDate">
            <xsd:annotation>
              <xsd:documentation xml:lang="en">
                Date prior to which the option buyer will have to pay a
                Make Whole Amount to the option seller if he/she
                exercises the option.
              </xsd:documentation>
            </xsd:annotation>
          </xsd:element>
        </xsd:sequence>
      </xsd:extension>
    </xsd:complexContent>
  </xsd:complexType>
  <xsd:complexType name="ReferenceSwapCurve">
    <xsd:annotation>
      <xsd:documentation xml:lang="en">
        A complex type used to specify the option and convertible bond
        option strike when expressed in reference to a swap curve.
      </xsd:documentation>
    </xsd:annotation>
    <xsd:sequence>
      <xsd:element name="swapUnwindValue" type="SwapCurveValuation"/>
      <xsd:element name="makeWholeAmount" type="MakeWholeAmount" minOccurs="0">
        <xsd:annotation>
          <xsd:documentation xml:lang="en">
            Amount to be paid by the buyer of the option if the option
            is exercised prior to the Early Call Date. (The market
            practice in the convertible bond option space being that
            the buyer should be penalized if he/she exercises the
            option early on.)
          </xsd:documentation>
        </xsd:annotation>
      </xsd:element>
    </xsd:sequence>
  </xsd:complexType>
  <xsd:complexType name="SwapCurveValuation">
    <xsd:annotation>
      <xsd:documentation xml:lang="en">
        A complex type to specify a valuation swap curve, which is used
        as part of the strike construct for the bond and convertible
        bond options.
      </xsd:documentation>
    </xsd:annotation>
    <xsd:sequence>
      <xsd:group ref="FloatingRateIndex.model">
        <xsd:annotation>
          <xsd:documentation xml:lang="en">
            Defines the benchmark floating rate index and the ISDA
            Designated Maturity, i.e. the tenor of the floating rate.
          </xsd:documentation>
        </xsd:annotation>
      </xsd:group>
      <xsd:element name="spread" type="xsd:decimal">
        <xsd:annotation>
          <xsd:documentation xml:lang="en">
            Spread in basis points over the floating rate index.
          </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:sequence>
  </xsd:complexType>
  <xsd:element name="bondOption" type="BondOption" substitutionGroup="product">
    <xsd:annotation>
      <xsd:documentation xml:lang="en">
        A component describing a Bond Option product.
      </xsd:documentation>
    </xsd:annotation>
  </xsd:element>
</xsd:schema>