complexType "FxAccrualOption"
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Content: |
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XML Representation Summary |
<... |
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> |
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Content: |
( primaryAssetClass, secondaryAssetClass*, (( productType+, productId*) | productId+), embeddedOptionType[0..2])?, buyerPartyReference, buyerAccountReference?, sellerPartyReference, sellerAccountReference?, putCurrency, callCurrency, notionalAmount, accrual, ( expiryDate | expirySchedule), ( settlementDate | settlementSchedule), exerciseProcedure?, spotRate?, (( strike, counterCurrencyAmount?) | averageStrike), averageRate?, barrier*, premium+ |
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</...> |
Content Model Elements (26):
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All Direct / Indirect Based Elements (1):
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Annotation
An FX Accrual Option product The product defines a list of fixing (or observation) dates. There are m total fixings. At the expiry date of the product, the buyer of the option has the right to an FX settlement with n/m * Notional. Payout can be cash or physical.
Type Derivation Tree
FxAccrualOption
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XML Source (w/o annotations (14); see within schema source)
<xsd:complexContent>
<xsd:extension base="Option">
<xsd:sequence>
</xsd:sequence>
</xsd:extension>
</xsd:complexContent>
</xsd:complexType>
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Content Element Detail (all declarations; defined within this component only; 10/26)
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Describes accrual features within the product.
XML Source (w/o annotations (1); see within schema source)
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Average Rate: means the average of the Reference Spot Rate on each Business Day from and including the Calculation Start Date up to and including the Calculation End Date rounded to the precision decimal places.
XML Source (w/o annotations (1); see within schema source)
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Average Strike: means the average of the Reference Spot Rate on each Business Day from and including the Calculation Start Date up to and including the Calculation End Date rounded to the precision decimal places.
XML Source (w/o annotations (1); see within schema source)
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Defines a knockout barrier conditions where if a barrier event occurs, the accrual process is terminated for the duration of all remaining accrual periods. Settlement rights for the next settlement are either retained or extinguished.
XML Source (w/o annotations (1); see within schema source)
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The opposite currency amount the amount which is not always deterministic.
XML Source (w/o annotations (1); see within schema source)
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A set of parameters defining procedures associated with the exercise.
XML Source (w/o annotations (1); see within schema source)
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Notional amount Schedule. The notional value of the product. This number divided by the total number of fixings in the fixing schedule is the amount that is accrued at each fixing if the accrual factor is one.
XML Source (w/o annotations (1); see within schema source)
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Premium amount or premium installment amount for an option.
XML Source (w/o annotations (1); see within schema source)
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An optional element used for FX forwards and certain types of FX OTC options. For deals consummated in the FX Forwards Market, this represents the current market rate for a particular currency pair. For barrier and digital/binary options, it can be useful to include the spot rate at the time the option was executed to make it easier to know whether the option needs to move "up" or "down" to be triggered.
Simple Content
XML Source (w/o annotations (1); see within schema source)
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Defines the option strike price.
XML Source (w/o annotations (1); see within schema source)