XML Schema Documentation

Super-types:	None
Sub-types:	None

Name	DeprecatedVariance
Used by (from the same schema document)	Complex Type LegAmount
Abstract	no
Documentation	DEPRECATED This type will be removed in the next FpML major version. A type describing the variance amount of a variance swap.

XML Instance Representation

<...>
Start Choice [1]

<initialLevel> xsd:decimal </initialLevel> [1]

<closingLevel> xsd:boolean </closingLevel> [1]

<expiringLevel> xsd:boolean </expiringLevel> [1]

'If present and true this contract will strike off the default exchange traded contract'

End Choice

<varianceAmount> Money </varianceAmount> [1]

Start Choice [1]

<volatilityStrikePrice> xsd:decimal </volatilityStrikePrice> [1]

<varianceStrikePrice> xsd:decimal </varianceStrikePrice> [1]

End Choice

<expectedN> xsd:integer </expectedN> [0..1]

<varianceCap> xsd:boolean </varianceCap> [0..1]

<unadjustedVarianceCap> xsd:decimal </unadjustedVarianceCap> [0..1]

'For use when varianceCap is applicable. Contains the scaling factor of the Variance Cap that can differ on a trade-by-trade basis in the European market. For example, a Variance Cap of 2.5^2 x Variance Strike Price has an unadjustedVarianceCap of 2.5.'

<exchangeTradedContractNearest> ExchangeTradedContract </exchangeTradedContractNearest> [0..1]

<vegaNotionalAmount> xsd:decimal </vegaNotionalAmount> [0..1]

'Vega Notional represents the approximate gain/loss at maturity for a 1% difference between RVol (realised vol) and KVol (strike vol). It does not necessarily represent the Vega Risk of the trade.'

<fxFeature> FxFeature </fxFeature> [0..1]

'Quanto, Composite, or Cross Currency FX features'

</...>

Schema Component Representation

<xsd:complexType name="DeprecatedVariance" deprecated="true" deprecatedReason="Use new Variance complex type">

<xsd:sequence>

<xsd:choice>

<xsd:element name="initialLevel" type=" xsd:decimal "/>

<xsd:element name="closingLevel" type=" xsd:boolean "/>

<xsd:element name="expiringLevel" type=" xsd:boolean "/>

</xsd:choice>

<xsd:element name="varianceAmount" type=" Money "/>

<xsd:choice>

<xsd:element name="volatilityStrikePrice" type=" xsd:decimal "/>

<xsd:element name="varianceStrikePrice" type=" xsd:decimal "/>

</xsd:choice>

<xsd:element name="expectedN" type=" xsd:integer " minOccurs="0"/>

<xsd:element name="varianceCap" type=" xsd:boolean " minOccurs="0"/>

<xsd:element name="unadjustedVarianceCap" type=" xsd:decimal " minOccurs="0"/>

<xsd:element name="exchangeTradedContractNearest" type=" ExchangeTradedContract " minOccurs="0"/>

<xsd:element name="vegaNotionalAmount" type=" xsd:decimal " minOccurs="0"/>

<xsd:element name="fxFeature" type=" FxFeature " minOccurs="0"/>

</xsd:sequence>

</xsd:complexType>

Generated by <oXygen/> XML Editor using a modified version of xs3p that adds schema diagrams and chunking support.

Complex Type: DeprecatedVariance

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