Build Number: 4; Document built: Fri 01/11/2008 14:58:03.28
Copyright (c) 1999 - 2007 by International Swaps and Derivatives Association, Inc.
Financial Products Markup Language is subject to the FpML® Public License.
FpML® is a registered trademark of the International Swaps and Derivatives Association, Inc.
A copy of this license is available at http://www.fpml.org/license/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.
1 Business Process Examples
1.1 Introduction
1.2 General Messages
1.2.1 Example 3 - Portfolio Message
1.2.2 Example 21 - Credit Event Notice
1.2.3 Example 50 - Message Rejected
1.2.4 Example 90 - Trade Execution Date Time
1.3 Allocations
1.3.1 Example 19 - Long-Form Allocation of a Credit Default Swap
1.3.2 Example 20 - Short-Form Allocation of a Credit Default Swap
1.3.3 Example 22 - Allocation Created
1.3.4 Example 23 - Allocation Amendment
1.3.5 Example 24 - Allocation Cancelled
1.3.6 Example 25 - Request Allocation
1.4 Amendments
1.4.1 Example 15 - Credit Default Swap Request Amendment Confirmation
1.5 Cashflow Matching
1.5.1 Example 28 - Simple Cashflow Assertion
1.5.2 Example 29 - Asset Swap Cashflow Assertion
1.5.3 Example 30 - Interest Rate Cashflow Assertion
1.5.4 Example 31 - Interest Rate Match Result - A
1.5.5 Example 32 - Interest Rate Match Result - B
1.5.6 Example 33 - Interest Rate Match Result - C
1.5.7 Example 34 - Credit Default Cashflow Termination
1.5.8 Example 35 - Credit Default Coupon Payment
1.5.9 Example 36 - Credit Default Cash Flow Assertion
1.5.10 Example 37 - Credit Default Cashflow Match Result - A
1.5.11 Example 38 - Credit Default Cashflow Match Result - B
1.5.12 Example 39 - Credit Default Cashflow Match Result - C
1.5.13 Example 40 - Interest Rate Reset
1.5.14 Example 41 - Interest Rate Equity Reset
1.5.15 Example 42 - Interest Rate Equity Dividend Reset
1.5.16 Example 43 - Equity Swap Cashflow Partial Termination
1.5.17 Example 44 - Equity Swap Cashflow Partial Termination Match Results - A
1.5.18 Example 45 - Equity Swap Cashflow Partial Termination Match Results - B
1.5.19 Example 46 - Equity Swap Cashflow Partial Termination Match Results - C
1.5.20 Example 47 - Compounding Swap Cashflow Assertion
1.5.21 Example 48 - Cashflow Assertion: Initial Principal Exchange of a Cross-Currency Swap
1.5.22 Example 49 - Cashflow Assertion: Equity Option Premium
1.6 Confirmations
1.6.1 Example 1 - Request Trade Confirmation
1.6.2 Example 2 - Trade Confirmed
1.6.3 Example 5 - Equity Cash Share Request Confirmation
1.6.4 Example 6 - Equity Index Option Request Confirmation
1.6.5 Example 7 - Equity Physical Share Request Confirmation
1.7 Increases
1.7.1 Example 4 - Equity Option Increase
1.7.2 Example 12 - Credit Default Swap Request Increase Termination
1.8 Novations
1.8.1 Example 26 - Alleged Novation
1.8.2 Example 27 - Request Novation Consent
1.9 Party Roles and Accounts
1.9.1 Example 16 - FX Single Leg with multiple roles and accounts
1.9.2 Example 17 - Two sided swap with multiple roles and accounts
1.9.3 Example 18 - Credit Default Swap Short Form US Corporate with broker role
1.10 Terminations
1.10.1 Example 8 - Equity Option Partial Termination
1.10.2 Example 9 - Equity Option Termination
1.10.3 Example 10 - Equity Swap Partial Termination
1.10.4 Example 11 - Equity Swap Full Termination
1.10.5 Example 13 - Credit Default Swap Full Termination Confirmation
1.10.6 Example 14 - Credit Default Swap Partial Termination Confirmation
1.11 Contract Notifications
1.11.1 Example 51 - Contract Created
1.11.2 Example 52 - Contract Cancelled
1.11.3 Example 53 - Contract Novated
1.11.4 Example 54 - Contract Partial Termination
1.11.5 Example 55 - Contract Full Termination
1.11.6 Example 56 - Contract Increased
1.11.7 Example 91 - Contract Partial Termination Cancelled
1.11.8 Example 92 - Contract Partial Termination Cancelled
1.11.9 Example 93 - Contract Novated Cancelled
1.11.10 Example 94 - Contract Novated Cancelled
1.11.11 Example 95 - Contract Increased Cancelled
1.11.12 Example 96 - Contract Increased Cancelled
1.11.13 Example 97 - Contract Full Termination Cancelled
1.11.14 Example 98 - Contract Full Termination Cancelled
1.12 Portfolio Reconciliation
1.12.1 Scenario: Incremental Update
1.12.1.1 Example 57 - Positions Asserted
1.12.1.2 Example 58 - Positions Acknowledged
1.12.1.3 Example 59 - Positions Match Results
1.12.1.4 Example 60 - Positions Asserted
1.12.1.5 Example 61 - Positions Acknowledged
1.12.1.6 Example 62 - Positions Match Results
1.12.1.7 Example 63 - Positions Asserted
1.12.1.8 Example 64 - Positions Acknowledged
1.12.1.9 Example 65 - Positions Match Results
1.12.1.10 Example 66 - Positions Match Results
1.12.1.11 Example 67 - Positions Asserted
1.12.1.12 Example 68 - Positions Acknowledged
1.12.1.13 Example 69 - Positions Match Results
1.12.1.14 Example 70 - Positions Match Results
1.12.1.15 Example 71 - Positions Asserted
1.12.1.16 Example 72 - Portfolio Request
1.12.1.17 Example 73 - Position Report
1.12.1.18 Example 74 - Position Request
1.12.1.19 Example 75 - Position Report
1.12.2 Scenario: Snapshot
1.12.2.1 Example 76 - Positions Asserted
1.12.2.2 Example 77 - Positions Asserted
1.12.2.3 Example 78 - Positions Match Results
1.12.2.4 Example 79 - Positions Match Results
1.12.2.5 Example 80 - Positions Asserted
1.12.2.6 Example 81 - Positions Match Results
1.12.2.7 Example 82 - Positions Match Results
1.12.3 Scenario: Force Matched
1.12.3.1 Example 83 - Positions Asserted
1.12.3.2 Example 84 - Positions Asserted
1.12.3.3 Example 85 - Positions Match Results
1.12.3.4 Example 86 - Positions Match Results
1.12.3.5 Example 87 - Positions Asserted
1.12.3.6 Example 88 - Positions Match Results
1.12.3.7 Example 89 - Positions Match Results
2 Interest Rate Derivative Examples
2.1 Introduction
2.2 Example 1 - Fixed/Floating Single Currency Interest Rate Swap
2.3 Example 2 - Fixed/Floating Single Currency Interest Rate Swap with Initial Stub Period and Notional Amortization
2.4 Example 3 - Fixed/Floating Single Currency Interest Rate Swap with Compounding, Payment Delay and Final Rate Rounding
2.5 Example 4 - Fixed/Floating Single Currency Interest Rate Swap with Arrears Reset, Step-Up Coupon and Upfront Fee
2.6 Example 5 - Fixed/Floating Single Currency Interest Rate Swap with Long Initial Stub and Short Final Stub
2.7 Example 6 - Fixed/Floating Cross Currency Interest Rate Swap
2.8 Example 7 - Fixed/Floating Overnight Interest Rate Swap (OIS)
2.9 Example 8 - Forward Rate Agreement
2.10 Example 9 - European Swaption, Physical Settlement, Explicit Underlying Effective Date
2.11 Example 10 - European Swaption, Physical Settlement, Relative Underlying Effective Date
2.12 Example 11 - European Swaption, Physical Settlement, Partial Exercise, Automatic Exercise
2.13 Example 12 - European Swaption, Cash Settlement, Swaption Straddle
2.14 Example 13 - European Swaption, Cash Settled, cashflows included
2.15 Example 14 - Bermuda Swaption, Physical Settlement.
2.16 Example 15 - American Swaption, Physical Settlement.
2.17 Example 16 - Fixed/Floating Single Currency IRS With Mandatory Early Termination.
2.18 Example 17 - Fixed/Floating Single Currency IRS With European Style Optional Early Termination.
2.19 Example 18 - Fixed/Floating Single Currency IRS With Bermuda Style Optional Early Termination, Cashflows + optionalEarlyTerminationAdjustedDates.
2.20 Example 19 - Fixed/Floating Single Currency IRS With American Style Optional Early Termination.
2.21 Example 20 - Fixed/Floating Single Currency IRS With European Cancelable Provision.
2.22 Example 21 - Fixed/Floating Single Currency IRS With European Extendible Provision.
2.23 Example 22 - Interest Rate Cap
2.24 Example 23 - Interest Rate Floor
2.25 Example 24 - Interest Rate Collar
2.26 Example 25 - Fixed/Floating IRS Where The Floating Stream Notional Is Reset Based On Prevailing Spot Exchange Rate
2.27 Example 26 - Example 25 - Fixed/Floating IRS Where The Floating Stream Notional Is Reset Based On Prevailing Spot Exchange Rate - Cashflows.
2.28 Example 27 - Inverse Floater
2.29 Example 28 - Bullet Payments
2.30 Example 29 - Swap with Non-Deliverable Settlement Provision
2.31 Example 30 - Compounding and Averaging Swap with Relative Dates
2.32 Example 31 - Swap with Non-Deliverable Settlement Provision
3 Inflation Swaps Examples
3.1 Introduction
3.2 Example 1 - Year-on-Year
3.3 Example 2 - Year-on-Year with Bond Reference
3.4 Example 3 - Year-on-Year Initial Level
3.5 Example 4 - Year-on-Year with Interpolation
3.6 Example 5 - Zero-Coupon
4 Credit Derivative Examples
4.1 Credit Default Swap
4.1.1 Example 1 - Asian Corporate, Long Form, Fixed Regular Payment Schedule
4.1.2 Example 2 - Asian Corporate, Short Form, Fixed Regular Payment Schedule
4.1.3 Example 3 - Australian Corporate, Long Form, Fixed Regular Payment Schedule
4.1.4 Example 4 - Australian Corporate, Short Form, Fixed Regular Payment Schedule
4.1.5 Example 5 - Emerging Markets Asian Corporate, Long Form, Fixed Regular Payment Schedule
4.1.6 Example 6 - Emerging Markets European Sovereign, Long Form, Fixed Regular Payment Schedule
4.1.7 Example 7 - European Corporate, Long Form, Fixed Regular Payment Schedule
4.1.8 Example 8 - European Corporate, Short Form, Fixed Regular Payment Schedule
4.1.9 Example 9 - European Sovereign, Long Form, Fixed Regular Payment Schedule
4.1.10 Example 10 - US Corporate, Long Form, Fixed Regular Payment Schedule
4.1.11 Example 11 - US Corporate, Short Form, Fixed Regular Payment Schedule
4.1.12 Example 12 - Emerging Markets Asian Sovereign, Long Form, Fixed Regular Payment Schedule
4.1.13 Example 13 - Asia Sovereign, Long Form, Fixed Regular Payment Schedule
4.1.14 Example 14 - Emerging Markets Latin American Corporate, Long Form, Fixed Regular Payment Schedule
4.1.15 Example 15 - Emerging Markets Latin American Sovereign, Long Form, Fixed Regular Payment Schedule
4.2 Credit Default Swap Index
4.2.1 Example 1 - CDX Example
4.2.2 Example 2 - iTraxx Example
4.2.3 Example 3 - iTraxx Contractual Supplement Example
4.2.4 Example 4 - CDS Index Tranche
4.3 Credit Default Swap Basket
4.3.1 Example 1 - CDS Basket
4.3.2 Example 2 - CDS Custom Basket
4.3.3 Example 3 - CDS Basket Tranche
4.4 Mortgage Derivatives
4.4.1 Example 1 - CDS on CMBS
4.4.2 Example 2 - CDS on RMBS
4.5 Loan Derivatives
4.5.1 Example 1 - CDS Loan Secured List
4.5.2 Example 2 - CDS Loan Reference Obligation
4.6 Credit Default Swap Option
4.6.1 Example 1 - CDS Option
4.6.2 Example 2 - CDS Option
4.6.3 Example 3 - CDX Index Option
4.6.4 Example 4 - iTraxx Index Option
4.7 Independent Amount
4.7.1 Example 1 - Independent Amount
4.8 Credit Event Notice
4.8.1 Example 1 - Credit Event Notice
5 Foreign Exchange Examples
5.1 Introduction
5.2 Example 1 - FX Spot
5.3 Example 2 - FX Spot 'Cross' (non-base currency) with Side Rates
5.4 Example 3 - FX Forward
5.5 Example 4 - FX Forward with specific Settlement Instructions
5.6 Example 5 - FX Forward identified as using standard settlement instructions
5.7 Example 6 - FX Forward with split settlement
5.8 Example 7 - Non-deliverable FX Forward
5.9 Example 8 - FX Swap
5.10 Example 9 - FX OTC Option - European exercise
5.11 Example 10 - FX OTC Option - American exercise
5.12 Example 11 - Non-deliverable FX OTC Option
5.13 Example 12 - FX OTC Barrier Option
5.14 Example 13 - FX OTC Double Barrier Option
5.15 Example 14 - FX OTC Digital/Binary Option -- Euro Binary
5.16 Example 15 - FX OTC Digital/Binary Option -- Euro Range Digital
5.17 Example 16 - FX OTC Digital/Binary Option -- One-Touch
5.18 Example 17 - FX OTC Digital/Binary Option -- No-Touch
5.19 Example 18 - FX OTC Digital/Binary Option -- Double One-Touch
5.20 Example 19 - FX OTC Digital/Binary Option -- Double No-Touch
5.21 Example 20 - FX OTC Average Rate Option with Parametric Schedule
5.22 Example 21 - FX OTC Average Rate Option with Specific Date Schedule
5.23 Example 22 - Straddle (sample usage of Strategy)
5.24 Example 23 - Delta Hedge (sample usage of Strategy)
5.25 Term Deposit Example 1 - Simple Term Deposit
5.26 Term Deposit Example 2 - Term Deposit with Settlement Instructions
6 Equity Options Examples
6.1 Introduction
6.2 Example 1 - American Call Stock Long Form
6.3 Example 2 - Calendar Spread Short Form
6.4 Example 3 - Call or Put Spread Short Form
6.5 Example 4 - European Call Index Long Form
6.6 Example 5 - Asian Option Long Form
6.7 Example 6 - Averaging In Long Form
6.8 Example 7 - Barrier Knockout with Rebate Long Form
6.9 Example 8 - Basket Long Form
6.10 Example 9 - Bermuda Long Form
6.11 Example 10 - Binary Barrier Long Form
6.12 Example 11 - Quanto Long Form
6.13 Example 12 - Vanilla Short Form
6.14 Example 13 - 1996 American Call Stock
6.15 Example 14 - American Call Stock Passthrough Long Form
6.16 Example 15 - Basket Passthrough Long Form
6.17 Example 16 - Equity Option Transaction Supplement
6.18 Example 17 - Equity Option Transaction Supplement Non-Deliverable Share
6.19 Example 18 - Equity Option Transaction Supplement Non-Deliverable Index
6.20 Example 19 - Dividend Adjustment
7 Bond and Convertible Bond Option Examples
7.1 Introduction
7.2 Example 1 - Bond Option
7.3 Example 2 - Convertible Bond Option
7.4 Example 3 - Convertible Bond Option
8 Equity Swaps Examples
8.1 Introduction
8.2 Example 1 - Single Underlyer Execution Swap Long Form
8.3 Example 2 - Composite Basket Swap Long Form
8.4 Example 3 - Index Swap With a Quanto Feature Long Form
8.5 Example 4 - Zero-strike Equity Swap
8.6 Example 5 - Single Underlyer Swap with an Upfront Fee as well as a Brokerage Fee Long Form
8.7 Example 6 - Single Index Long Form
8.8 Example 7 - Single Underlyer Swap with both an Initial and a Final Stub
8.9 Example 8 - Composite basket long form with separate spreads
9 Total Return Swaps Examples
9.1 Introduction
9.2 Example 1 - Equity Basket
9.3 Example 2 - Single Equity
9.4 Example 3 - Single Stock Execution Swap with Fixing Dates and Dividend Payment Date
10 Equity Forwards Examples
10.1 Introduction
10.2 Example 1 - Equity Forward Stock Long Form
11 Variance Derivatives Examples
11.1 Introduction
11.2 Example 1 - Variance Swap Index
11.3 Example 2 - Variance Swap Single Stock
11.4 Example 3 - Conditional Variance Swap
11.5 Example 4 - Variance Swap Option Index
12 Correlation Derivatives Examples
12.1 Introduction
12.2 Example 1 - Correlation Swap
12.3 Example 2 - Correlation Swap Confirmation
12.4 Example 3 - Correlation Swap Confirmation
12.5 Example 4 - Correlation Swap Confirmation
12.6 Example 5 - Correlation Swap Option
13 Dividend Derivatives Examples
13.1 Introduction
13.2 Example 1 - Dividend Swap
13.3 Example 2 - Dividend Swap Collateral
13.4 Example 3 - Dividend Swap Option
14 Loan Examples
14.1 Introduction
14.2 Example 1 - Drawdown Notice
14.3 Example 2 - Drawdown Notice (CITI)
14.4 Example 3 - Drawdown Notice (BoA)
14.5 Example 4 - Interest Payment Notice
14.6 Example 5 - Interest Payment Notice (GS)
14.7 Example 6 - Interest Payment Notice (BoA)
14.8 Example 7 - Repayment Notice
14.9 Example 8 - Repayment Notice (GS)
14.10 Example 9 - Repayment Notice (GS)
15 Pricing and Risk Examples
15.1 Use Cases/Examples
15.1.1 Terminology:
15.1.2 Request/Response scenarios:
15.1.2.1 Scenario 1 – Request Trade Value
15.1.2.1.1 Use Case 1 Description
15.1.2.2 Scenario 2 – Request Portfolio Value/Sensitivity
15.1.2.2.1 Use Case 2A Description
15.1.2.2.2 Use Case 2B Description
15.1.2.3 Scenario 3 – Request Sensitivity Generation
15.1.2.3.1 Use Case 3A Description
15.1.2.3.2 Use Case 3B Description
15.1.2.3.3 Use Case 3C Description
15.1.2.4 Scenario 4 – Request New Trade Impact
15.1.2.5 Scenario 5 – Perform Analyses
15.1.2.5.1 Use Case 5A Description
15.1.2.6 Scenario 6 – Request Pricing Inputs
15.1.3 Notification Scenarios
15.1.3.1 Position Report
15.1.3.2 Use Case 7:
15.1.3.3 Use Case 8:
This section contains example FpML documents for several message types related to different business processes. Each demonstrates how different message exchanges are modeled in FpML.
File: msg-ex21-credit-event-notice.xml
This example shows the representation of a Credit Event Notice as FpML message. This examples is the same as cdcen-ex01-credit-event-notice-message.xml available in the cd folder.
File: msg-ex90-trade-execution-date-time.xml
This example shows the representation of the trade execution date time, which is a requirement for MiFID.
File: msg-ex19-cds-long-form-allocation-accounts.xml
This example shows a "long-form" representation of allocations for a Credit Default Swap. This means that the block and the allocated trades have a full FpML representation.
File: msg-ex20-cds-short-form-allocation.xml
This example shows a "short-form" representation of allocations for a Credit Default Swap. This means that only the block trade has a full FpML representation. The allocated trades are described with parameters (percentage of notional, amount) contained in the allocations element
File: msg-ex22-cds-long-form-allocation-created.xml
This example shows an allocation being created with the AllocationCreated message. It also notes the beginning of a messaging thread between two parties.
File: msg-ex23-cds-long-form-allocation-amended.xml
This example shows a change to the allocation that was created in example 22. The AllocationAmended message continues a thread between two parties.
File: msg-ex24-cds-long-form-allocation-cancelled.xml
This example shows the allocation created in example 22 being cancelled. The message thread between two parties.
File: msg-ex25-cds-request-allocation.xml
This examples shows the usage of the RequestAllocation message and a thread between two parties.
File: msg-ex28-cashflow-assertion-most-simple.xml
This example shows the usage of TradeCashflowsAsserted to describe a simple asserted cashflow. The minimal amount of information is specified: A single payment/currency pair and the buyer/seller party references.
File: msg-ex29-cashflow-assertion-assetSwap.xml
Example of a cashflow assertion related to an asset swap. Features of this example include 3 underlyer references: The fixed rate, the float rate and the bond reference.
File: msg-ex30-cashflow-assertion-ird.xml
Example of a cashflow assertion related to an interest rate swap with vanilla fixed vs. float terms.
File: msg-ex31-cashflow-match-result-ird-01.xml
Example of a payment exposed cashflow match result message related to an interest rate swap with vanilla fixed vs. float terms.
File: msg-ex32-cashflow-match-result-ird-02.xml
Example of a mismatched cashflow match result message related to an interest rate swap with vanilla fixed vs. float terms.
File: msg-ex33-cashflow-match-result-ird-03.xml
Example of an unmatched cashflow match result message related to an interest rate swap with vanilla fixed vs. float terms.
File: msg-ex34-cashflow-assertion-cds-Termination.xml
Example of a cashflow assertion related to the termination of a single name credit default swap. No calculation details are provided to explain how the termination fee has been calculated, as the market practice is to have it agreed on by the respective desks.
File: msg-ex35-cashflow-assertion-cds-Coupon.xml
Example of a cashflow assertion related to a single name credit default swap, with a fee leg reset cahflow.
File: msg-ex36-cashflow-assertion-cds2.xml
Example of a cashflow assertion related to the standard quarterly payment on a single name credit default swap.
File: msg-ex37-cashflow-match-result-cds2-01.xml
Example of a sucessful cashflow match result message related to the standard quarterly payment on a single name credit default swap.
File: msg-ex38-cashflow-match-result-cds2-02.xml
Example of an erroneous cashflow match result message related to the standard quarterly payment on a single name credit default swap.
File: msg-ex39-cashflow-match-result-cds2-03.xml
Example of an unmatched cashflow match result message related to the standard quarterly payment on a single name credit default swap.
File: msg-ex40-cashflow-assertion-eqs-InterestReset.xml
Example of a cashflow assertion related to a single stock equity swap, with a net payment that has only one gross component: an interest reset.
File: msg-ex41-cashflow-assertion-eqs-InterestEquityReset.xml
Example of a cashflow assertion related to a single stock equity swap, with a net payment that has only two gross components: an equity rest and an interest reset.
File: msg-ex42-cashflow-assertion-eqs-InterestEquityDividendReset.xml
Example of a cashflow assertion related to a single stock equity swap, with a net payment that has three gross components: an equity reset, an interest reset and a dividend component.
In the case of the equity reset component of the combined reset, the calculation elements are limited to the number of units. The notional of the trade that has been used as a calculation basis for the accrual, i.e. the number of units (19,000) multiplied by the previous strike price (CAD 7.87).
File: msg-ex43-cashflow-assertion-eqs-PartialTermination.xml
Example of a cashflow assertion related to the partial termination of an equity swap that leads to a cashflow that has an equity, an interest rate and a dividend component. The notional stated here is the notional resulting from the partial termination.
The calculation details sections represent the equity PnL and the funding cost related to thier potioned shares.
As part of these transactions, 6,948 shares were sold at a price of USD 42.6481, generating a cashflow that needs to be broken down across each of the purchased transactions in order to provide an appropriate explanation of the equity and funding PnL.
The approach consisted in having 7 calculation details sections: one for each equity and funding component, and one for the dividend component.
File: msg-ex44-cashflow-match-result-eqs-PartialTermination-01.xml
Example of a cashflow match result message related to an interest rate swap with vanilla fixed vs. float terms.
File: msg-ex45-cashflow-match-result-eqs-PartialTermination-02.xml
Example of a cashflow match result message related to an interest rate swap with vanilla fixed vs. float terms.
File: msg-ex46-cashflow-match-result-eqs-PartialTermination-03.xml
Example of a cashflow match result message related to an interest rate swap with vanilla fixed vs. float terms.
File: msg-ex47-cashflow-assertion-CompoundingSwap.xml
Example of a cashflow assertion related to an interest rate swap with compounding interests on one of the legs. In this example, the fixed leg resets semi-annually.
File: msg-ex48-cashflow-assertion-XCcy-PrincipalExchange.xml
Example of a cashflow assertion related to the initial principal exchange of a cross-currency swap.
File: msg-ex49-cashflow-assertion-EquityOption.xml
Example of a cashflow assertion related to an equity option premium.
File: msg-ex26-alleged-novation.xml
This example shows the usage of the NovationAlleged message and a thread between two parties. The previous trade is a reference Credit Default Swap and the payment is a closeout between the outgoing and incoming parties.
File: msg-ex27-request-consent-novation.xml
This example shows the usage of the NovationConsentRequest message and a thread between the two parties in example 26. The entire CDS transaction being novated is exposed while the payment between the incoming and outgoing parties is removed.
File: msg-ex17-two-sided-swap-roles-accounts.xml
This example shows a RequestTradeConfirmation message of a two sided swap trade with multiple roles and accounts.
File: msg-ex18-cds-2003-short-us-corp-broker-role.xml
This example shows how to model a TradeConfirmed message of a trade with broker parties using the tradeSide structure instead of using the brokerPartyReference element.
Examples to show the notification of contracts and post-trade events between asset managers and custodians.
Examples to show the set of messages for portfolio reconciliation.
1. ABC sends a single FX forward position to RECSERV, for new portfolio "fundPortfolio1".
2. RECSERV acknowledges the position.
3. RECSERV reports that the position is Unmatched, as there is no corresponding position from the other side.
4. ABC sends a second position, a FRA, to RECSERV, for the same portfolio, and says that submissions are complete.
5. RECSERV acknowledges the position
6. RECSERV reports that the position is Unmatched, as there is no corresponding position from the other side.
7. HEDGECO sends a single FX forward position to RECSERV, for new portfolio (from its point of view) "fundPortfolio1", and says that submissions are complete.
8. RECSERV acknowledges the position
9. RECSERV reports that the FX position is Mismatched and the FRA position is Unmatched to ABC, and identifies a proposed match and differences for the FX position.
10. RECSERV reports that the FX position is Mismatched to HEDGECO, and identifies the proposed match and differences. It also reports that the FRA position is Alleged.
11. ABC corrects the FX forward position to match that of HEDGECO, and removes the FRA.
12. RECSERV acknowledges the updates to ABC.
13. RECSERV notifies ABC of the updated matching status.
14. RECSERV notifies HEDGECO of the updated matching status.
15. ABC reports a new valuation for the FX forward position on the next day.
16. ABC requests a portfolio listing
17. RECSERV reports fundPortfolio1 for 2006-04-26, which has 1 FX position.
18. ABC requests a position report with a listing of FX Spot/Forward involving GBP.
19. RECSERV reports GPB FX Spot/Forwards for 2006-04-26, which has 1 FX position.
1. HEDGECO sends a snapshot of positions (3), including a single FX forward position, FRA, and bullet Payment to RECSERV, for new portfolio "fundPortfolio33".
2. ABC sends a snapshot of positions (2), including a single FX forward position and a FRA to RECSERV, for a new portfolio "Portfolio99".
3. RECSERV sends matching results to HEDGECO stating that the FX forward position is matched, the FRA position is mismatched (identifying a potential match and differences), and the bullet payment position is unmatched (or pending unmatched) since the other side hasn't submitted this position yet.
4. RECSERV sends matching results to ABC stating that the FX forward position is matched, the FRA position is mismatched (identifying a potential match and differences), and that there is an alleged bullet payment position from HEDGECO.
5. ABC sends an updated snapshot of positions (3), including a single FX forward position, FRA, and bullet payment to RECSERV, for an existing portfolio "Portfolio99".
6. RECSERV sends matching results to HEDGECO stating that all positions are matched.
7. RECSERV sends matching results to ABC stating that all positions are matched.
1. HEDGECO sends a snapshot of positions (2), including a single FX forward position and FRA to RECSERV, for new portfolio "fundPortfolio33".
2. ABC sends a snapshot of positions (2), including a single FX forward position and a FRA to RECSERV, for a new portfolio "Portfolio99".
3. RECSERV sends matching results to HEDGECO stating that the FX forward position is matched, the FRA position is mismatched (identifying a potential match and differences).
4. RECSERV sends matching results to ABC stating that the FX forward position is matched, the FRA position is mismatched (identifying a potential match and differences).
5. ABC sends the same snapshot of positions (2), including a single FX forward position and a FRA for an existing portfolio "Portfolio99". However, it indicates that the FRA position is a "force" match.
6. RECSERV sends matching results to HEDGECO stating that the FX forward is matched, the FRA is "force" matched.
7. RECSERV sends matching results to ABC stating that the FX forward is matched, the FRA is "force" matched.
This section contains twenty eight example FpML trades. Each example illustrates how different product features are modeled in FpML.
Example 5 shows the defaulted 'type' attributes as part of the sample document. This illustrates the additional content model information available to a validating parser when processing an FpML document.
The sample xml document are available for download from the fpml.org website.
File: ird-ex01-vanilla-swap.xml
On 12 December, 1994 Chase New York and Barclays Bank London enter into an ISDA swap agreement with each other. The terms of the contract are:
Note the following:
File: ird-ex02-stub-amort-swap.xml
The swap contract is identical to Example 1 except that there is an initial stub period and the notional amortizes.
The rate for the stub period is the linear interpolation between the 4-month and 5-month EUR-LIBOR-BBA rates.
The stub period on the floating stream runs from 16 January, 1995 to 14 June, 1995, and on the fixed stream from 16 January, 1995 to 14 December, 1995.
The notional amount is decreased by EUR 10,000,000 each year.
Note the following:
File: ird-ex03-compound-swap.xml
On 25 April, 2000 Morgan Stanley Dean Witter and JPMorgan enter into an ISDA swap agreement with each other. The terms of the contract are:
Note the following:
File: ird-ex04-arrears-stepup-fee-swap.xml
On 25 April, 2000 Morgan Stanley Dean Witter and JPMorgan enter into an ISDA swap agreement with each other. The terms of the contract are:
Note the following:
File: ird-ex05-long-stub-swap.xml
On 3 April, 2000 Chase and UBS Warburg enter into an ISDA swap agreement with each other. The terms of the contract are:
Note the following:
File: ird-ex06-xccy-swap.xml
On 12 December, 1994 Chase New York and Barclays Bank London enter into an ISDA cross-currency swap agreement with each other. The terms of the contract are:
Note the following:
File: ird-ex07-ois-swap.xml
On 25 January, 2001 Citibank and Mizuho Capital enter into an ISDA swap agreement with each other. The terms of the contract are:
Note the following:
File: ird-ex08-fra.xml
On 14 May, 1991 ABN AMRO Bank and Midland Bank enter a Forward Rate Agreement in which ABN AMRO is the seller of the notional contract amount and Midland the buyer. The terms of the contract are:
Note the following:
File: ird-ex09-euro-swaption-explicit.xml
On 30 August, 2000 Party buys from PartyB an option to exercise into an underlying ISDA swap. The terms of the contract are:
Note the following:
File: ird-ex10-euro-swaption-relative.xml
On 30 August, 2000 Party buys from PartyB an option to exercise into an underlying ISDA swap. The terms of the contract are:
File: example11-euro-swaption-partial-auto-ex.xml
On 30 August, 2000 Party buys from PartyB an option to exercise into an underlying ISDA swap. The terms of the contract are:
File: ird-ex12-euro-swaption-straddle-cash.xml
On 30 August, 2000 Party buys from PartyB an option to exercise into an underlying ISDA swap. The terms of the contract are:
File: ird-ex13-euro-swaption-cash-with-cfs.xml
On 30 August, 2000 Party buys from PartyB an option to exercise into an underlying ISDA swap. The terms of the contract are:
Note the following:
File: ird-ex14-berm-swaption.xml
On 30 August, 2000 Party buys from PartyB an option to exercise into an underlying ISDA swap. The terms of the contract are:
Note the following:
File: ird-ex15-amer-swaption.xml
On 30 August, 2000 Party buys from PartyB an option to exercise into an underlying ISDA swap. The terms of the contract are:
Note the following:
File: ird-ex16-mand-term-swap.xml
On 30 August, 2000 PartyA and PartyB agree to enter into an ISDA swap with early termination provision. The terms of the contract are:
Note the following:
File: ird-ex17-opt-euro-term-swap.xml
On 30 August, 2000 PartyA and PartyB agree to enter into an ISDA swap with early termination provision. The terms of the contract are:
File: ird-ex18-opt-berm-term-swap.xml
On 30 August, 2000 PartyA and PartyB agree to enter into an ISDA swap with early termination provision. The terms of the contract are:
Note the following:
File: ird-ex19-opt-amer-term-swap.xml
On 30 August, 2000 PartyA and PartyB agree to enter into an ISDA swap with early termination provision. The terms of the contract are:
File: ird-ex20-euro-cancel-swap.xml
On 30 August, 2000 PartyA and PartyB agree to enter into an ISDA swap with Cancelable provision. The terms of the contract are:
File: ird-ex21-euro-extend-swap.xml
On 30 August, 2000 PartyA and PartyB agree to enter into an ISDA swap with Extendible provision. The terms of the contract are:
File: ird-ex22-cap.xml
On 29 April, 2001 PartyA sells to PartyB an interest rate cap. The terms of the contract are:
Note the following:
File: ird-ex23-floor.xml
On 29 April, 2001 PartyA sells to PartyB an interest rate floor. The terms of the contract are:
Note the following:
File: ird-ex24-collar.xml
On 29 April, 2001 PartyB sells to PartyA an interest rate collar (PartyA buys a cap and sells a floor). The terms of the contract are:
Note the following:
File: ird-ex25-fxnotional-swap.xml
On 9 January, 2001 PartyA and PartyB agree to enter into an FX Reseting interest rate swap. The terms of the contract are:
File: ird-ex26-fsnotional-swap-with-cfs.xml
On 9 January, 2001 PartyA and PartyB agree to enter into a forward starting FX Reseting interest rate swap. The terms of the contract are:
Things to note:
File: ird-ex27-inverse-floater.xml
On 30 August, 2000 PartyA and PartyB agree to enter into an ISDA. The terms of the contract are:
Things to note:
File: ird-ex28-bullet-payments.xml
On 29 April, 2000 PartyA agrees the payment of a single cashlow to PartyB. The terms of the contract are:
File: ird-ex29-non-deliverable-settlement-swap.xml
Example that shows non-deliverable terms of an interest rate swap.
These non-deliverable terms specify the conditions under which the cashflows will be made in a different currency (the "settlement currency") than the currency in which a given leg is denominated (the "reference currency").
File: ird-ex30-swap-comp-avg-relative-date.xml
Compounding and averaging interest rate swap with relative effective dates and relative termination dates.
Effective dates equal the trade date plus two London business days. The resulting date is adjusted using the London and New York calendars and the modified following rule.
Termination dates equal the effective date plus two years. The resulting date is adjusted using the London and New York calendars and the modified following rule.
File: ird-ex31-non-deliverable-settlement-swap.xml
Example that shows within the non-deliverable terms the procedure to get a new quote when the primary settlement rate option is disrupted.
This section contains example FpML trades for Inflation Swaps. Each example illustrates how different product features are modeled in FpML.
The sample xml documents are available for download from the fpml.org website.
This section contains example credit default swap trades expressed in FpML. These examples cover typical trades in the various regions and sectors that constitute the global credit default swap market.
Each example is fully described by the ISDA confirm which accompanies it. Note that the ISDA confirms represent example transactions documented under the 1999 ISDA Credit Derivatives Definitions. For the short form examples 2, 8 and 11 and the long form examples 7 and 10 additional FpML example files have been included illustrating how the deal would typically be documented under the 2003 ISDA Credit Derivatives Definitions.
The name of each example consists of three components:
In some cases there is an example that uses the 2003 ISDA definitions.
FpML File: cd-ex01-long-asia-corp-fixreg.xml
ISDA Confirm: cd-ex01-long-asia-corp-fixreg.pdf
FpML File: cd-ex02-short-asia-corp-fixreg.xml
FpML File (2003 version): cd-ex02-2003-short-asia-corp-fixreg.xml
ISDA Confirm: cd-ex02-short-asia-corp-fixreg.pdf
File: cd-ex03-long-aussie-corp-fixreg.xml
ISDA Confirm: cd-ex03-long-aussie-corp-fixreg.pdf
File: cd-ex04-short-aussie-corp-fixreg.xml
ISDA Confirm: cd-ex04-short-aussie-corp-fixreg.pdf
File: cd-ex05-long-emasia-corp-fixreg.xml
ISDA Confirm: cd-ex05-long-emasia-corp-fixreg.pdf
File: cd-ex06-long-emeur-sov-fixreg.xml
ISDA Confirm: cd-ex06-long-emeur-sov-fixreg.pdf
File: cd-ex07-long-euro-corp-fixreg.xml
File (2003 version): cd-ex07-2003-long-euro-corp-fixreg.xml
ISDA Confirm: cd-ex07-long-euro-corp-fixreg.pdf
File: cd-ex08-short-euro-corp-fixreg.xml
File (2003 version): cd-ex08-2003-short-euro-corp-fixreg.xml
ISDA Confirm: cd-ex08-short-euro-corp-fixreg.pdf
File: cd-ex09-long-euro-sov-fixreg.xml
ISDA Confirm: cd-ex09-long-euro-sov-fixreg.pdf
File: cd-ex10-long-us-corp-fixreg.xml
File (2003 version): cd-ex10-2003-long-us-corp-fixreg.xml
ISDA Confirm: cd-ex10-long-us-corp-fixreg.pdf
File: cd-ex11-short-us-corp-fixreg.xml
File (2003 version): cd-ex11-2003-short-us-corp-fixreg.xml
ISDA Confirm: cd-ex11-short-us-corp-fixreg.pdf
File: cd-ex12-long-emasia-sov-fixreg.xml
ISDA Confirm: cd-ex12-long-emasia-sov-fixreg.pdf
File: cd-ex13-long-asia-sov-fixreg.xml
ISDA Confirm: cd-ex13-long-asia-sov-fixreg.pdf
Transaction Supplement: cd-CDX-iTraxx-example-trades.pdf
File: cdindex-ex01-cdx.xml
Transaction Supplement: cd-CDX-iTraxx-example-trades.pdf
File: cdindex-ex02-iTraxx.xml
Transaction Supplement: cd-non-dealer-untranched-short-confirm.pdf
The independent amount structure is in the Trade level. This example shows the use of independent amount in the context of a credit default swap.
This section contains twenty three example FpML trades related to FX and FX OTC options. Each example illustrates how different product features are modeled in FpML.
The sample xml documents are available for download from the fpml.org website.
File: fx-ex01-fx-spot.xml
On 23 October, 2001, Citibank New York and Barclay's London agree to a foreign exchange trade. The terms of the contract are:
Matching Service sends a TradeConfirmed message to CITI with the details of the confirmation.
File: fx-ex02-spot-cross-w-side-rates.xml
On 23 October, 2001, Chase New York and CSFB New York agree to a foreign exchange trade. The terms of the contract are similar to Example 1, but in this case, the currencies exchanged are EUR and GBP. Both of these institutions are USD-based, so rates against the base currency (USD) have been captured as well. The terms of the contract are:
Chase sends a RequestTradeConfirmation message to Matching Service with the details of the confirmation.
File: fx-ex03-fx-fwd.xml
On 19 November, 2001, ABN Amro and DeutscheBank agree to a one-month forward foreign exchange contract. The terms of the contract are:
ABN sends a RequestTradeConfirmation message to Matching Service with the details of the confirmation.
File: fx-ex04-fx-fwd-w-settlement.xml
On 12 November, 2001, UBS Zurich and Citibank New York agree to a foreign exchange contract. The terms of the contract are:
Matching Service sends a TradeConfirmed message to CITI with the details of the confirmation.
Settlement is highlighted in this example. In this case, UBS pays the GBP from their account at UBS London to Citi's GBP account at Citi London, with the ultimate beneficiary being Citi New York.
For the USD, Citi pays the USD to ultimate beneficiary UBS Zurich, but in this case, UBS Zurich holds its USD at Citibank, and therefore UBS' account as Citibank is credited.
File: fx-ex05-fx-fwd-w-ssi.xml
This is identical to Example 3, but the standard settlement scheme is used to highlight that this trade will be paid using standard, pre-agreed settlement instructions.
ABN sends a RequestTradeConfirmation message to Matching Service with the details of the confirmation.
File: fx-ex06-fx-fwd-w-splits.xml
On 12 November, 2001, DeutscheBank Frankfurt and ABN Amro Amsterdam agree to a forward foreign exchange contract. The terms of the contract are:
Deutsche Bank sends a TradeConfirmed message to ABN Amro with the details of the confirmation.
In this example, the exchange rate has been quoted as an "inverted" rate.
Split settlement is highlighted in this example in the payment of the USD. Here, the following has been specified:
The ultimate beneficiary is ABNANL2A for all USD payments, but 3 different accounts have been specified for settlement.
For the EUR, ABN pays all EUR to Deutsche, but specifies settlement of the EUR via a debit of ABN's account in EUR with Deutsche.
File: fx-ex07-non-deliverable-forward.xml
On 09 January, 2002, Chase New York and CSFB New York agree to a FX non-deliverable forward contract. The terms of the contract are:
Chase sends a RequestTradeConfirmation message to CSFB with the details of the confirmation.
File: fx-ex08-fx-swap.xml
On 23 January, 2002, Chase New York and Deutsche Frankfurt agree to an FX swap contract. The terms of the contract are:
Deutsche Bank sends a TradeConfirmed message to Chase with the details of the confirmation.
File: fx-ex09-euro-opt.xml
On 4 December, 2001, Chase agrees to purchase a standard FX OTC option from ABN Amro. The terms of the contract are:
ABN Amro sends a RequestTradeConfirmation message to Chase with the details of the confirmation.
File: fx-ex10-amer-opt.xml
On 4 December, 2001, Chase agrees to purchase a standard FX OTC option from ABN Amro. The terms of the contract are:
ABN Amro sends a TradeConfirmed message to Chase with the details of the confirmation.
File: fx-ex11-non-deliverable-option.xml
On 15 January, 2001, Chase agrees to purchase a non-deliverable FX OTC USD / VEB option from ABN Amro. The terms of the contract are:
ABN Amro sends a TradeConfirmed message to Chase with the details of the confirmation.
File: fx-ex12-fx-barrier-option.xml
On 16 August, 2001, DB agrees to purchase a EUR call against USD put barrier option with a knock-in
Chase sends a RequestTradeConfirmation message to DB with the details of the confirmation.
File: fx-ex13-fx-dbl-barrier-option.xml
On 3 January, 2001, DB agrees to purchase a 2-month double knockout FX OTC JPY put / USD call option from Chase The terms of the contract are:
DB sends a RequestTradeConfirmation message to Chase with the details of the confirmation.
File: fx-ex14-euro-digital-option.xml
On 12 November, 2001, UBS agrees to purchase a two-week GBP/USD European binary option and pays a premium. At expiry, if the spot rate is above the trigger rate, UBS receives a payout.
CITI sends a TradeConfirmed message to UBS with the details of the confirmation.
File: fx-ex15-euro-range-digital-option.xml
On 12 November, 2001, UBS agrees to purchase a two-week GBP/USD European range binary option and pays a premium. At expiry, if below the higher trigger rate and above the lower trigger rate, UBS receives a payout.
CITI sends a RequestTradeConfirmation message to UBS with the details of the confirmation.
File: fx-ex16-one-touch-option.xml
On 12 November, 2001, UBS agrees to purchase a two-week GBP/USD one-touch option and pays a premium. At any time before expiry, if the spot rate is above the trigger rate, UBS receives a payout, but this payout is deferred until the value date of the option.
CITI sends a TradeConfirmed message to UBS with the details of the confirmation.
File: fx-ex17-no-touch-option.xml
On 12 November, 2001, UBS agrees to purchase a two-week GBP/USD no-touch option and pays a premium. If the spot rate remains below the trigger rate at all times until expiry, UBS receives a payout.
CITI sends a TradeConfirmed message to UBS with the details of the confirmation.
File: fx-ex18-double-one-touch-option.xml
On 12 November, 2001, UBS agrees to purchase a two-week GBP/USD double one-touch option and pays a premium. UBS receives a payout at maturity if the spot rate has crossed either trigger rate at some time during the lifetime of the option.
UBS sends a RequestTradeConfirmation message to Citi with the details of the confirmation.
File: fx-ex19-double-no-touch-option.xml
On 12 November, 2001, UBS agrees to purchase a two-week GBP/USD double no-touch option and pays a premium. If the spot rate remains below the upper trigger rate and above the lower trigger rate at all times until expiry, UBS receives a payout.
Chase sends a RequestTradeConfirmation message to DB with the details of the confirmation.
File: fx-ex20-avg-rate-option-parametric.xml
On 16 August, 2001, DB agrees to purchase an average rate option from Chase and pays a premium. The terms of the contract are:
Chase sends a TradeConfirmed message to DB with the details of the confirmation.
File: fx-ex21-avg-rate-option-specific.xml
This example is identical to Example 20. Instead of using a parametric frequency (e.g., daily), each specific observation date has been specified. All weighting factors are 1.0, since all rates would be weighted evenly when the average rate is computed upon expiry.
Chase sends a RequestTradeConfirmation message to DB with the details of the confirmation.
File: fx-ex22-straddle.xml
On 20 November 2001, Chase agrees to purchase a straddle from ABN Amro. A straddle consists of buying a call and a put for the same currency pair, at the same strike price.
This contains two instances of the fxSimpleOption structure within strategy. Note that this is used when a single trade reference number is desired.
ABN Amro sends a RequestTradeConfirmation message to Chase with the details of the confirmation.
File: fx-ex23-delta-hedge.xml
On 4 December, 2001, Chase agrees to purchase an FX OTC European option from ABN Amro. At the same time, they agree to hedge their FX spot risk by doing a FX spot transaction. This is all part of a single trade strategy.
ABN Amro sends a TradeConfirmed message to Chase with the details of the confirmation.
File: td-ex01-simple-term-deposit.xml
ABN Amro pays 4% CHF fixed rate loan on ACT/360 basis a for 25 million Deposit from Midland starting February 14, 2002 and maturing February 15, 2002.
ABN Amro sends a TradeConfirmed message to Midland with the details of the confirmation.
File: td-ex02-term-deposit-w-settlement-etc.xml
ABN Amro pays 4% CHF fixed rate loan on ACT/360 basis a for 25 million Deposit from Midland starting February 14, 2002 and maturing February 15, 2002. This example also demonstrates setting explicit settlement instructions for each cash flow.
ABN Amro sends a TradeConfirmed message to Midland with the details of the confirmation.
This section contains examples of FpML trades for Equity Options products. Each example illustrates how different product features are modeled in FpML.
The sample xml documents are available for download from the fpml.org website.
File: eqd-ex01-american-call-stock-long-form.xml
On 13 July, 2001, Party A and Party B agree to an equity option trade. The terms of the contract are:
File: eqd-ex02-calendar-spread-short-form.xml
On 13 July, 2001, Party A and Party B agree to an equity option trade. The terms of the contract are:
File: eqd-ex04-european-call-index-long-form.xml
On 4 September, 2001, Party A and Party B agree to an equity option trade. The terms of the contract are:
File: eqd-ex05-asian-long-form.xml
On 28 June, 2000, Party A and Party B agree to an equity option trade. The terms of the contract are:
This example shows a RequestTradeConfirmation message of this trade sent by Party A to Party B.
File: eqd-ex06-averaging-in-long-form.xml
A RequestTradeConfirmation message of an averaging long form equity option.
File: eqd-ex07-barrier-knockout-rebate-long-form.xml
A TradeConfirmed message of an European Call on Eurostoxx 50 Index traded on 1 July 2002.
File: eqd-ex08-basket-long-form.xml
A RequestTradeConfirmation message of an European call option on a basket of stocks.
File: eqd-ex09-bermuda-long-form.xml
This example shows a TradeConfirmed message of a bermuda long form equity option trade.
File: eqd-ex10-binary-barrier-long-form.xml
This example shows a RequestTradeConfirmation message of a binary barrier long form equity option trade.
A European Call on S&P500 Index trade 25 March 2002:
This section contains examples of FpML trades for Bond and Convertible Bond products. Each example illustrates how different product features are modeled in FpML.
The sample xml documents are available for download from the fpml.org website.
This section contains example FpML trades for Equity Swaps. Each example illustrates how different product features are modeled in FpML.
The sample xml documents are available for download from the fpml.org website.
File: eqs-ex01-single-underlyer-execution-long-form.xml
On 24th September, 2002, Party A and Party B agree to an equity swap trade. The terms of the contract are:
Party A sends a RequestTradeConfirmation message to Party B with the details of the agreement.
File: eqs-ex02-composite-basket-long-form.xml
On 17th July, 2002, Party A and Party B agree to an equity swap trade. The terms of the contract are:
Party A sends a TradeConfirmed message to Party B with the details of the agreement.
File: eqs-ex03-index-quanto-long-form.xml
On 19th July, 2002, Party A and Party B agree to an equity swap trade. The terms of the contract are:
Party A sends a RequestTradeConfirmation message to Party B with the details of the agreement.
File: eqs-ex04-zero-strike-long-form.xml
On 17th October, 2002, Party A and Party B agree to an equity swap trade. The terms of the contract are:
Party A sends a TradeConfirmed message to Party B with the details of the agreement.
File: eqs-ex05-single-stock-plus-fee-long-form.xml
On 10th September, 2002, Party A and Party B agree to an equity swap trade. The terms of the contract are:
Party A sends a RequestTradeConfirmation message to Party B with the details of the agreement.
File: eqs-ex06-single-index-long-form.xml
Party A sends a TradeConfirmed message to Party B with the details of the agreement.
File: eqs-ex07-long-form-with-stub.xml
On 17th July, 2002, Party A and Party B agree to an equity swap trade. The terms of the contract are:
Party A sends a TradeConfirmed message to Party B with the details of the agreement.
File: eqs-ex08-composite-basket-long-separate-spreads.xml
Party A sends a RequestTradeConfirmation message to Party B with the details of the agreement.
This section contains example FpML trades for Total Return Swaps. Each example illustrates how different product features are modeled in FpML.
The sample xml documents are available for download from the fpml.org website.
This section contains example FpML trades for Equity Forwards. Each example illustrates how different product features are modeled in FpML.
The sample xml documents are available for download from the fpml.org website.
File: eqf-ex01-forward-stock-long-form.xml
TradeCancelled message of an Equity Forward Stock Long Form trade.
This section contains example FpML transactions for Variance Swaps and Options. Each example illustrates how different product features are modeled in FpML.
The sample xml documents are available for download from the fpml.org website.
File: eqvs-ex01-variance-swap-index.xml - This example uses distinct product type rather than deprecated variance leg within return swap.
File: eqvs-ex01-variance-swap-index-deprecated.xml- This example uses deprecated variance leg within return swap.
File: eqvs-ex02-variance-swap-single-stock.xml -This example uses distinct product type rather than deprecated variance leg within return swap.
File: eqvs-ex02-variance-swap-single-stock-deprecated.xml - This example uses deprecated variance leg within return swap.
This section contains example FpML trades for Correlation Swaps and Correlation Swaps Options. Each example illustrates how different product features are modeled in FpML.
The sample xml documents are available for download from the fpml.org website.
This section contains examples of FpML transactions for Dividend Swap and Dividend Swap Option products. Each example illustrates how different product features are modeled in FpML.
The sample xml documents are available for download from the fpml.org website.
This section contains example for Loan. Each example illustrates how different product features are modeled in FpML.
The sample xml documents are available for download from the fpml.org website.
This section identifies scenarios intended to be supported by this specification:
In these scenarios one party to a deal requests a report from either a counterparty, third party service, or another application or department within the same firm.
A client wants to request a price quote for a proposed trade from a provider (or set of providers). The provider might be anonymous to the client. Typically the provider would be some sort of dealer. The client may be another dealer or an electronic trading service.
Client submits a request, including:
Provider returns a basic valuation report, including:
A buy-side client wants to request a valuation from a dealer for a deal or portfolio of deals that it has done with that dealer. This request may be also be all deals of a specific type (IR Swaps, CD Swaps, Equity Swaps, FX options, etc.)
Variations on Scenario 2:
Client submits a request, including:
Provider returns a basic valuation report, including:
Client submits a request, including:
Provider returns a basic valuation report, including:
A relatively sophisticated client wants to calculate risk sensitivities and/or scenario valuations for a portfolio of deals that it can price, but either doesn’t have the tools or the compute power for sensitivity or scenario calculation.
Provider doesn’t need to provide market data back
Variations on Scenario 3:
Client submits a request, including:
Provider returns a detailed valuation report, including:
Client submits a request, including:
Provider returns a detailed valuation report, including:
Client submits a request, including:
Provider returns a detailed valuation report, including:
A buy-side client wants to understand the impact on valuation and risk exposure that a proposed deal would have on an existing portfolio. The provider may be the dealer that is proposing the trade.
This use case is implemented by the client requesting the result twice. The first request includes the original portfolio only, and the second includes the new trade.The requesting party should combine the two results.
For all additive valuations and risk measures, the second call can include only the new trade. For results which are not additive, e g value at risk, the second request includes also the original portfolio.
A trader or marketer oriented spreadsheet client wants to value and calculate risk for a trade or set of trades. The valuation provider is an internal valuation service.
Client submits a request, including:
Service returns a detailed valuation report, including:
The use cases in this scenario are out of scope for this working draft, but are expected to be covered in an upcoming draft. This means that there is no schema support for these requests and responses, and there are no examples provided. The use case descriptions are provided as an indication of the functionality that is intended to be supported in the future.
A party is requesting a curve of a specific type (IR, Credit, Asset, etc.) Most likely this would be an internal request between applications within the same firm.
Client submits a market input request, including:
Service returns a market environment, including:
In these scenarios a party, service or internal system sends out reports without being first solicited to do so. Parameters that should be agreed upon between the sending and receiving parties should include: counterparty, deal types, when the report is sent, supporting information such as FX rates, risk sensitivities, etc.. Parties should also agree what, if any acknowledgement of receipt should be sent by the receiving party.
Supports the DSWG Position Report representation:
An internal middle or back office system needs a feed of valuation (and perhaps risk sensitivities) from a variety of systems, in the form of valuation reports.
A service or broker may provide a feed of valuation (and perhaps risk sensitivities) to their clients on a regularly scheduled basis.