FpML 4.3 Trial Recommendation

14 December 2007

Variance Swap 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 12:56:36.62


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
VarianceAmount
VarianceLeg
VarianceSwap

Global Elements
varianceSwap

Groups

Schema Listing

Global Simple Types

The schema does not contain any global simple types.

Global Complex Types

VarianceAmount

Description:

Calculation of a Variance Amount.

Figure:

Contents:

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

variance (exactly one occurrence; of the type Variance)

Used by:

Extension of:

Schema Fragment: 

<xsd:complexType name="VarianceAmount">
  <xsd:annotation>
    <xsd:documentation xml:lang="en">
      Calculation of a Variance Amount.
    </xsd:documentation>
  </xsd:annotation>
  <xsd:complexContent>
    <xsd:extension base="CalculatedAmount">
      <xsd:sequence>
        <xsd:element name="variance" type="Variance">
          <xsd:annotation>
            <xsd:documentation xml:lang="en">
              Specifies Variance.
            </xsd:documentation>
          </xsd:annotation>
        </xsd:element>
      </xsd:sequence>
    </xsd:extension>
  </xsd:complexContent>
</xsd:complexType>

VarianceLeg

Description:

A type describing return which is driven by a Variance Calculation.

Figure:

Contents:

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

amount (exactly one occurrence; of the type VarianceAmount)

Used by:

Extension of:

Schema Fragment: 

<xsd:complexType name="VarianceLeg">
  <xsd:annotation>
    <xsd:documentation xml:lang="en">
      A type describing return which is driven by a Variance
      Calculation.
    </xsd:documentation>
  </xsd:annotation>
  <xsd:complexContent>
    <xsd:extension base="DirectionalLegUnderlyerValuation">
      <xsd:sequence>
        <xsd:element name="amount" type="VarianceAmount">
          <xsd:annotation>
            <xsd:documentation xml:lang="en">
              Specifies, in relation to each Equity Payment Date, the
              amount to which the Equity Payment Date relates. Unless
              otherwise specified, this term has the meaning defined in
              the ISDA 2002 Equity Derivatives Definitions.
            </xsd:documentation>
          </xsd:annotation>
        </xsd:element>
      </xsd:sequence>
    </xsd:extension>
  </xsd:complexContent>
</xsd:complexType>

VarianceSwap

Description:

A Variance Swap modelled using a single netted leg.

Figure:

Contents:

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

varianceLeg (exactly one occurrence; of the type VarianceLeg)

Used by:

Extension of:

Schema Fragment: 

<xsd:complexType name="VarianceSwap">
  <xsd:annotation>
    <xsd:documentation xml:lang="en">
      A Variance Swap modelled using a single netted leg.
    </xsd:documentation>
  </xsd:annotation>
  <xsd:complexContent>
    <xsd:extension base="NettedSwapBase">
      <xsd:sequence>
        <xsd:element name="varianceLeg" type="VarianceLeg">
          <xsd:annotation>
            <xsd:documentation xml:lang="en">
              Variance Leg.
            </xsd:documentation>
          </xsd:annotation>
        </xsd:element>
      </xsd:sequence>
    </xsd:extension>
  </xsd:complexContent>
</xsd:complexType>

Global Elements

varianceSwap

Description:

Specifies the structure of a variance swap.

Figure:

Contents:

Element varianceSwap is defined by the complex type VarianceSwap

Used by:

Schema Fragment: 

<xsd:element name="varianceSwap" type="VarianceSwap" substitutionGroup="product">
  <xsd:annotation>
    <xsd:documentation xml:lang="en">
      Specifies the structure of a variance swap.
    </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: 2528 $" attributeFormDefault="unqualified" elementFormDefault="qualified">
  <xsd:include schemaLocation="fpml-eq-shared-4-3.xsd"/>
  <xsd:complexType name="VarianceAmount">
    <xsd:annotation>
      <xsd:documentation xml:lang="en">
        Calculation of a Variance Amount.
      </xsd:documentation>
    </xsd:annotation>
    <xsd:complexContent>
      <xsd:extension base="CalculatedAmount">
        <xsd:sequence>
          <xsd:element name="variance" type="Variance">
            <xsd:annotation>
              <xsd:documentation xml:lang="en">
                Specifies Variance.
              </xsd:documentation>
            </xsd:annotation>
          </xsd:element>
        </xsd:sequence>
      </xsd:extension>
    </xsd:complexContent>
  </xsd:complexType>
  <xsd:complexType name="VarianceLeg">
    <xsd:annotation>
      <xsd:documentation xml:lang="en">
        A type describing return which is driven by a Variance
        Calculation.
      </xsd:documentation>
    </xsd:annotation>
    <xsd:complexContent>
      <xsd:extension base="DirectionalLegUnderlyerValuation">
        <xsd:sequence>
          <xsd:element name="amount" type="VarianceAmount">
            <xsd:annotation>
              <xsd:documentation xml:lang="en">
                Specifies, in relation to each Equity Payment Date, the
                amount to which the Equity Payment Date relates. Unless
                otherwise specified, this term has the meaning defined
                in the ISDA 2002 Equity Derivatives Definitions.
              </xsd:documentation>
            </xsd:annotation>
          </xsd:element>
        </xsd:sequence>
      </xsd:extension>
    </xsd:complexContent>
  </xsd:complexType>
  <xsd:complexType name="VarianceSwap">
    <xsd:annotation>
      <xsd:documentation xml:lang="en">
        A Variance Swap modelled using a single netted leg.
      </xsd:documentation>
    </xsd:annotation>
    <xsd:complexContent>
      <xsd:extension base="NettedSwapBase">
        <xsd:sequence>
          <xsd:element name="varianceLeg" type="VarianceLeg">
            <xsd:annotation>
              <xsd:documentation xml:lang="en">
                Variance Leg.
              </xsd:documentation>
            </xsd:annotation>
          </xsd:element>
        </xsd:sequence>
      </xsd:extension>
    </xsd:complexContent>
  </xsd:complexType>
  <xsd:element name="varianceSwap" type="VarianceSwap" substitutionGroup="product">
    <xsd:annotation>
      <xsd:documentation xml:lang="en">
        Specifies the structure of a variance swap.
      </xsd:documentation>
    </xsd:annotation>
  </xsd:element>
</xsd:schema>