XML Schema "fpml-fx-accruals-5-8.xsd"
Target Namespace:
http://www.fpml.org/FpML-5/confirmation
Version:
$Revision: 11478 $
Defined Components:
elements (4 global + 87 local), complexTypes (24), element groups (5)
Default Namespace-Qualified Form:
Local Elements: qualified; Local Attributes: unqualified
Schema Location:
D:\Tradeheader\trunk\xml\confirmation\fpml-fx-accruals-5-8.xsd; see XML source
Includes Schemas (1):
fpml-fx-complex-5-8.xsd [src]
Included in Schemas (1):
fpml-main-5-8.xsd [src]
All Element Summary
accrualFactor
A multiplier applied to the notional amount per fixing of each currency to specify the amount accrued each time the spot rate fixes within the accrual region.
Type:
Schedule
Content:
complex, 1 attribute, 2 elements
Defined:
locally within FxAccrualRegion complexType; see XML source
accrualProcess (in fxAccrualDigitalOption)
Describes accrual features within the product.
Type:
FxAccrualProcess
Content:
complex, 1 attribute, 3 elements
Defined:
locally within FxAccrualDigitalOption complexType; see XML source
accrualProcess (in fxAccrualForward)
Describes accrual features within the product.
Type:
FxAccrualProcess
Content:
complex, 1 attribute, 3 elements
Defined:
locally within FxAccrualForward complexType; see XML source
accrualProcess (in fxAccrualOption)
Describes accrual features within the product.
Type:
FxAccrualProcess
Content:
complex, 1 attribute, 3 elements
Defined:
locally within FxAccrualOption complexType; see XML source
accrualProcess (in fxRangeAccrual)
Describes accrual process within the product.
Type:
FxAccrualProcess
Content:
complex, 1 attribute, 3 elements
Defined:
locally within FxRangeAccrual complexType; see XML source
accrualRegion
Defines the regions of the spot rate where fixings generate an accumulation of notional.
Type:
FxAccrualRegion
Content:
complex, 10 elements
Defined:
locally within FxAccrualProcess complexType; see XML source
additionalPayment (in fxAccrualForward)
It supports the representation of premiums, fees, etc.
Type:
SimplePayment
Content:
complex, 1 attribute, 6 elements
Defined:
locally within FxAccrualForward complexType; see XML source
adjustedDate (defined in FxAdjustedDateAndDateAdjustments complexType)
List of schedule dates.
Type:
xsd:date
Content:
simple
Defined:
locally within FxAdjustedDateAndDateAdjustments complexType; see XML source
averageRate (in fxAccrualForward)
Average Rate Forward: 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.
Type:
FxAverageRate
Content:
complex, 1 attribute, 4 elements
Defined:
locally within FxAccrualForward complexType; see XML source
averageRate (in fxAccrualOption)
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.
Type:
FxAverageRate
Content:
complex, 1 attribute, 4 elements
Defined:
locally within FxAccrualOption complexType; see XML source
averageStrike (in fxAccrualOption)
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.
Type:
FxAverageStrike
Content:
complex, 1 attribute, 5 elements
Defined:
locally within FxAccrualOption complexType; see XML source
averageStrike (in vanillaPayoffRegion in fxAccrualForward)
Average Strike Forward: 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.
Type:
FxAverageStrike
Content:
complex, 1 attribute, 5 elements
Defined:
locally within FxAccrualVanillaPayoffRegion complexType; see XML source
averageStrikeReference
Reference to an average rate defined within the FX accrual option and forward products.
Type:
FxAverageStrikeReference
Content:
empty, 1 attribute
Defined:
locally within FxAccrualConditionLevel.model group; see XML source
averagingMethod (defined in FxAveragingProcess complexType)
Type:
FxAveragingMethodEnum
Content:
simple
Defined:
locally within FxAveragingProcess complexType; see XML source
cashSettlement (in fxAccrualForward)
Cash settlement currency.
Type:
FxCashSettlementSimple
Content:
complex, 4 elements
Defined:
locally within FxAccrualForward complexType; see XML source
condition (defined in FxAccrualKnockoutBarrier.model group)
"Specifies whether the trigger direction is "AtOrAbove", "AtOrBelow", "Above" or "Below"; that is, that a barrier event occurs if the spot rate is at or above,, at or below, strictly above or strictly below the trigger level during the period of observation.
Type:
ConditionEnum
Content:
simple
Defined:
locally within FxAccrualKnockoutBarrier.model group; see XML source
condition (defined in FxAccrualRegionUpperBound complexType)
AtOrBelow, Below.
Type:
FxRegionUpperBoundDirectionEnum
Content:
simple
Defined:
locally within FxAccrualRegionUpperBound complexType; see XML source
condition (in lowerBound defined in FxAccrualRegionBound.model group)
AtOrAbove, Above.
Type:
FxRegionLowerBoundDirectionEnum
Content:
simple
Defined:
locally within FxAccrualRegionLowerBound complexType; see XML source
condition (in payoffLeverage in vanillaPayoffRegion in fxAccrualForward)
Condition in which leverage applies.
Type:
ConditionEnum
Content:
simple
Defined:
locally within FxAccrualPayoffLeverage complexType; see XML source
counterCurrencyAmount (in accrualRegion)
The opposite currency amount.
Type:
FxCounterCurrencyAmount
Content:
complex, 1 attribute, 4 elements
Defined:
locally within FxAccrualRegion complexType; see XML source
counterCurrencyAmount (in fxAccrualForward)
The opposite currency amount.
Type:
FxCounterCurrencyAmount
Content:
complex, 1 attribute, 4 elements
Defined:
locally within FxAccrualForward complexType; see XML source
counterCurrencyAmount (in fxAccrualOption)
The opposite currency amount the amount which is not always deterministicl.
Type:
FxCounterCurrencyAmount
Content:
complex, 1 attribute, 4 elements
Defined:
locally within FxAccrualOption complexType; see XML source
counterCurrencyAmount (in payoffLeverage in vanillaPayoffRegion in fxAccrualForward)
The opposite currency amount.
Type:
FxCounterCurrencyAmount
Content:
complex, 1 attribute, 4 elements
Defined:
locally within FxAccrualPayoffLeverage complexType; see XML source
currency (defined in FxCurrencyPayment complexType)
The currency of the payment.
Type:
Currency
Content:
simple, 1 attribute
Defined:
locally within FxCurrencyPayment complexType; see XML source
dateAdjustments (defined in FxAdjustedDateAndDateAdjustments complexType)
Date adjustments applied to the adjusted dates including the business day convention and the business centers.
Type:
BusinessDayAdjustments
Content:
complex, 1 attribute, 3 elements
Defined:
locally within FxAdjustedDateAndDateAdjustments complexType; see XML source
endDate (in accrualRegion)
Defines the end date of the observation period for the barrier.
Type:
xsd:date
Content:
simple
Defined:
locally within FxAccrualRegion complexType; see XML source
endDate (in accrualRegion)
Defines the end date of the observation period for the barrier.
Type:
xsd:date
Content:
simple
Defined:
locally within FxAccrualRegion complexType; see XML source
exerciseProcedure (in fxAccrualDigitalOption)
A set of parameters defining procedures associated with the exercise.
Type:
ExerciseProcedure
Content:
complex, 5 elements
Defined:
locally within FxAccrualDigitalOption complexType; see XML source
exerciseProcedure (in fxAccrualOption)
A set of parameters defining procedures associated with the exercise.
Type:
ExerciseProcedure
Content:
complex, 5 elements
Defined:
locally within FxAccrualOption complexType; see XML source
expiryDate (defined in FxExpiryDateOrSchedule.model group)
Defines the expiry of a single period accrual forward FX transaction.
Type:
FxExpiryDate
Content:
complex, 3 elements
Defined:
locally within FxExpiryDateOrSchedule.model group; see XML source
expirySchedule (defined in FxExpiryDateOrSchedule.model group)
The parameters for defining a schedule of expiry periods for a accrual forward FX transaction.
Type:
FxExpirySchedule
Content:
complex, 1 attribute, 11 elements
Defined:
locally within FxExpiryDateOrSchedule.model group; see XML source
expiryTime (in expiryDate defined in FxExpiryDateOrSchedule.model group)
Time of expiration of each expiry date.
Type:
BusinessCenterTime
Content:
complex, 2 elements
Defined:
locally within FxExpiryDate complexType; see XML source
fixingInformationSource (defined in FxRateObservable complexType)
Information source for fixing the exchange rate.
Type:
FxInformationSource
Content:
complex, 4 elements
Defined:
locally within FxRateObservable complexType; see XML source
fixingSchedule (defined in FxAccrualProcess complexType)
Describes a parametrc schedule of fixing dates.
Type:
FxFixingSchedule
Content:
complex, 6 elements
Defined:
locally within FxAccrualProcess complexType; see XML source
fixingSchedule (defined in FxAveragingProcess complexType)
Describes a parametrc schedule of fixing dates.
Type:
FxFixingSchedule
Content:
complex, 6 elements
Defined:
locally within FxAveragingProcess complexType; see XML source
fxAccrualDigitalOption
A type defining an accrual digital option FX transaction.
Type:
FxAccrualDigitalOption
Content:
complex, 1 attribute, 19 elements
Subst.Gr:
may substitute for element product
Defined:
globally; see XML source
Used:
never
fxAccrualForward
A structured forward product which consists of a strip of forwards.
Type:
FxAccrualForward
Content:
complex, 1 attribute, 18 elements
Subst.Gr:
may substitute for element product
Defined:
globally; see XML source
Used:
never
fxAccrualOption
A structured option product which consists of a strip of accrual options.
Type:
FxAccrualOption
Content:
complex, 1 attribute, 25 elements
Subst.Gr:
may substitute for element product
Defined:
globally; see XML source
Used:
never
fxRangeAccrual
A type defining an range accrual FX transaction.
Type:
FxRangeAccrual
Content:
complex, 1 attribute, 17 elements
Subst.Gr:
may substitute for element product
Defined:
globally; see XML source
Used:
never
informationSource (defined in FxAccrualKnockoutBarrier.model group)
The information source where a published or displayed market rate will be obtained, e.g.
Type:
InformationSource
Content:
complex, 3 elements
Defined:
locally within FxAccrualKnockoutBarrier.model group; see XML source
informationSource (in trigger in fxAccrualDigitalOption)
The information source where a published or displayed market rate will be obtained, e.g.
Type:
InformationSource
Content:
complex, 3 elements
Defined:
locally within FxAccrualTrigger complexType; see XML source
knockoutBarrier (in fxAccrualDigitalOption)
Defines a knockout barrier conditions where if a barrier event occurs, the accrual process is terminated for the duration of all remainin accrual periods.
Type:
FxAccrualKnockoutBarrier
Content:
complex, 1 attribute, 12 elements
Defined:
locally within FxAccrualDigitalOption complexType; see XML source
knockoutBarrier (in fxAccrualForward)
Defines a knockout barrier conditions where if a barrier event occurs, the accrual process is terminated for the duration of all remainin accrual periods.
Type:
FxAccrualKnockoutBarrier
Content:
complex, 1 attribute, 12 elements
Defined:
locally within FxAccrualForward complexType; see XML source
knockoutBarrier (in fxAccrualOption)
Defines a knockout barrier conditions where if a barrier event occurs, the accrual process is terminated for the duration of all remainin accrual periods.
Type:
FxAccrualKnockoutBarrier
Content:
complex, 1 attribute, 12 elements
Defined:
locally within FxAccrualOption complexType; see XML source
knockoutBarrier (in fxRangeAccrual)
Defines a knockout barrier conditions where if a barrier event occurs, the accrual process is terminated for the duration of all remainin accrual periods.
Type:
FxAccrualKnockoutBarrier
Content:
complex, 1 attribute, 12 elements
Defined:
locally within FxRangeAccrual complexType; see XML source
level (defined in FxAccrualConditionLevel.model group)
Level expressed as a level.
Type:
xsd:decimal
Content:
simple
Defined:
locally within FxAccrualConditionLevel.model group; see XML source
lowerBound (defined in FxAccrualRegionBound.model group)
Defines the lower bound of a payoff region.
Type:
FxAccrualRegionLowerBound
Content:
complex, 5 elements
Defined:
locally within FxAccrualRegionBound.model group; see XML source
notionalAmount (in accrualRegion)
Notional amount Schedule.
Type:
NonNegativeAmountSchedule
Content:
complex, 1 attribute, 3 elements
Defined:
locally within FxAccrualRegion complexType; see XML source
notionalAmount (in fxAccrualDigitalOption)
Notional amount Schedule.
Type:
NonNegativeAmountSchedule
Content:
complex, 1 attribute, 3 elements
Defined:
locally within FxAccrualDigitalOption complexType; see XML source
notionalAmount (in fxAccrualForward)
Notional amount Schedule.
Type:
NonNegativeAmountSchedule
Content:
complex, 1 attribute, 3 elements
Defined:
locally within FxAccrualForward complexType; see XML source
notionalAmount (in fxAccrualOption)
Notional amount Schedule.
Type:
NonNegativeAmountSchedule
Content:
complex, 1 attribute, 3 elements
Defined:
locally within FxAccrualOption complexType; see XML source
notionalAmount (in fxRangeAccrual)
Notional amount Schedule.
Type:
NonNegativeAmountSchedule
Content:
complex, 1 attribute, 3 elements
Defined:
locally within FxRangeAccrual complexType; see XML source
notionalAmount (in payoffLeverage in vanillaPayoffRegion in fxAccrualForward)
Notional amount Schedule.
Type:
NonNegativeAmountSchedule
Content:
complex, 1 attribute, 3 elements
Defined:
locally within FxAccrualPayoffLeverage complexType; see XML source
numberOfFixings
The number of fixing points in the fixing schedule.
Type:
xsd:nonNegativeInteger
Content:
simple
Defined:
locally within FxFixingSchedule complexType; see XML source
observable (defined in FxAccrualProcess complexType)
Type:
FxRateObservable
Content:
complex, 1 attribute, 2 elements
Defined:
locally within FxAccrualProcess complexType; see XML source
observable (defined in FxAveragingProcess complexType)
Type:
FxRateObservable
Content:
complex, 1 attribute, 2 elements
Defined:
locally within FxAveragingProcess complexType; see XML source
observableReference (defined in FxAccrualKnockoutBarrier.model group)
Type:
FxRateObservableReference
Content:
empty, 1 attribute
Defined:
locally within FxAccrualKnockoutBarrier.model group; see XML source
observableReference (in accrualRegion)
Identifies the FX rate used as the basis for the condition (the accrual region).
Type:
FxRateObservableReference
Content:
empty, 1 attribute
Defined:
locally within FxAccrualRegion complexType; see XML source
observationEndDate (defined in FxAccrualKnockoutBarrier.model group)
The date on which the observation period for an american barrier ends.
Type:
xsd:date
Content:
simple
Defined:
locally within FxAccrualKnockoutBarrier.model group; see XML source
observationEndTime (defined in FxAccrualKnockoutBarrier.model group)
The time on the end date at which the observation period for an american barrier ends.
Type:
BusinessCenterTime
Content:
complex, 2 elements
Defined:
locally within FxAccrualKnockoutBarrier.model group; see XML source
observationStartDate (defined in FxAccrualKnockoutBarrier.model group)
The date on which the observation period for an american barrier starts.
Type:
xsd:date
Content:
simple
Defined:
locally within FxAccrualKnockoutBarrier.model group; see XML source
observationStartTime (defined in FxAccrualKnockoutBarrier.model group)
The time on the start date at which the observation period for an american barrier starts.
Type:
BusinessCenterTime
Content:
complex, 2 elements
Defined:
locally within FxAccrualKnockoutBarrier.model group; see XML source
payoffCap (in vanillaPayoffRegion in fxAccrualForward)
The amount of gain on the client upside or firm upside is limited.
Type:
FxPayoffCap
Content:
complex, 3 elements
Defined:
locally within FxAccrualVanillaPayoffRegion complexType; see XML source
payoffLeverage (in vanillaPayoffRegion in fxAccrualForward)
These structures define a leverage multiplier to the payoff amounts at settlement points.
Type:
FxAccrualPayoffLeverage
Content:
complex, 1 attribute, 8 elements
Defined:
locally within FxAccrualVanillaPayoffRegion complexType; see XML source
precision (defined in FxAveragingProcess complexType)
Specifies the rounding precision in terms of a number of decimal places.
Type:
xsd:nonNegativeInteger
Content:
simple
Defined:
locally within FxAveragingProcess complexType; see XML source
premium (in fxAccrualDigitalOption)
Premium amount or premium installment amount for an option.
Type:
FxOptionPremium
Content:
complex, 1 attribute, 8 elements
Defined:
locally within FxAccrualDigitalOption complexType; see XML source
premium (in fxAccrualOption)
Premium amount or premium installment amount for an option.
Type:
FxOptionPremium
Content:
complex, 1 attribute, 8 elements
Defined:
locally within FxAccrualOption complexType; see XML source
premium (in fxRangeAccrual)
Premium amount or premium installment amount for an option.
Type:
FxOptionPremium
Content:
complex, 1 attribute, 8 elements
Defined:
locally within FxRangeAccrual complexType; see XML source
quoteBasis (defined in FxAccrualConditionLevel.model group)
The Quoted Currency Pair that is used accross the product.
Type:
QuoteBasisEnum
Content:
simple
Defined:
locally within FxAccrualConditionLevel.model group; see XML source
quoteBasis (in strike in vanillaPayoffRegion in fxAccrualForward)
The Quoted Currency Pair that is used accross the product.
Type:
QuoteBasisEnum
Content:
simple
Defined:
locally within FxForwardStrikePrice complexType; see XML source
quotedCurrencyPair (defined in FxAccrualKnockoutBarrier.model group)
Defines the two currencies for an FX trade and the quotation relationship between the two currencies.
Type:
QuotedCurrencyPair
Content:
complex, 3 elements
Defined:
locally within FxAccrualKnockoutBarrier.model group; see XML source
quotedCurrencyPair (defined in FxRateObservable complexType)
FX rate to be observed.
Type:
QuotedCurrencyPair
Content:
complex, 3 elements
Defined:
locally within FxRateObservable complexType; see XML source
rate (in strike in vanillaPayoffRegion in fxAccrualForward)
The rate of exchange between the two currencies of the leg of a deal.
Type:
PositiveDecimal
Content:
simple
Defined:
locally within FxForwardStrikePrice complexType; see XML source
ratio (in payoffLeverage in vanillaPayoffRegion in fxAccrualForward)
Leverage rate with optional steps.
Type:
Schedule
Content:
complex, 1 attribute, 2 elements
Defined:
locally within FxAccrualPayoffLeverage complexType; see XML source
settlementDate (defined in FxSettlementDateOrSchedule.model group)
The date on which settlement takes place for a settlement period.
Type:
FxAdjustedDateAndDateAdjustments
Content:
complex, 2 elements
Defined:
locally within FxSettlementDateOrSchedule.model group; see XML source
settlementSchedule (defined in FxSettlementDateOrSchedule.model group)
The parameters for defining a schedule of settlement periods for a accrual forward FX transaction.
Type:
FxSettlementSchedule
Content:
complex, 1 attribute, 10 elements
Defined:
locally within FxSettlementDateOrSchedule.model group; see XML source
spotRate (in fxAccrualForward)
An optional element used for FX forwards and certain types of FX OTC options.
Type:
PositiveDecimal
Content:
simple
Defined:
locally within FxAccrualForward complexType; see XML source
spotRate (in fxAccrualOption)
An optional element used for FX forwards and certain types of FX OTC options.
Type:
PositiveDecimal
Content:
simple
Defined:
locally within FxAccrualOption complexType; see XML source
startDate (in accrualRegion)
Defines the start date of the observation period for the barrier.
Type:
xsd:date
Content:
simple
Defined:
locally within FxAccrualRegion complexType; see XML source
strike (in fxAccrualOption)
Defines the option strike price.
Type:
FxStrikePrice
Content:
complex, 2 elements
Defined:
locally within FxAccrualOption complexType; see XML source
strike (in vanillaPayoffRegion in fxAccrualForward)
The rate of exchange between the two currencies.
Type:
FxForwardStrikePrice
Content:
complex, 1 attribute, 2 elements
Defined:
locally within FxAccrualVanillaPayoffRegion complexType; see XML source
strikeAdjustment
A layer an Adjustment on the top of the average of the fixings across the schedule.
Type:
xsd:decimal
Content:
simple
Defined:
locally within FxAverageStrike complexType; see XML source
strikeReference (defined in FxAccrualConditionLevel.model group)
Reference to a strike defined within the FX product.
Type:
FxForwardStrikePriceReference
Content:
empty, 1 attribute
Defined:
locally within FxAccrualConditionLevel.model group; see XML source
style (defined in FxAccrualKnockoutBarrier complexType)
Whether it is an European or American knock out.
Type:
FxBarrierStyleEnum
Content:
simple
Defined:
locally within FxAccrualKnockoutBarrier complexType; see XML source
trigger (in fxAccrualDigitalOption)
Defines one or more conditions underwhich the option will payout if exercisable.
Type:
FxAccrualTrigger
Content:
complex, 5 elements
Defined:
locally within FxAccrualDigitalOption complexType; see XML source
triggerRate (defined in FxAccrualKnockoutBarrier.model group)
The market rate is observed relative to the trigger rate, and if it is found to be on the predefined side of (above or below) the trigger rate, a barrier event is deemed to have occurred.
Type:
Schedule
Content:
complex, 1 attribute, 2 elements
Defined:
locally within FxAccrualKnockoutBarrier.model group; see XML source
triggerRate (defined in FxAccrualKnockoutBarrier.model group)
The market rate is observed relative to the trigger rate, and if it is found to be on the predefined side of (above or below) the trigger rate, a barrier event is deemed to have occurred.
Type:
Schedule
Content:
complex, 1 attribute, 2 elements
Defined:
locally within FxAccrualKnockoutBarrier.model group; see XML source
type (defined in FxAccrualKnockoutBarrier complexType)
"Keep" means that the parties retain settlement rights at the end of the current accrual period fixed at the prevailing accrued notional and settlement rights for all other accrual periods are extinguished.
Type:
FxAccrualKnockoutBarrierTypeEnum
Content:
simple
Defined:
locally within FxAccrualKnockoutBarrier complexType; see XML source
upperBound (defined in FxAccrualRegionBound.model group)
Defines the upper bound of a payoff region.
Type:
FxAccrualRegionUpperBound
Content:
complex, 5 elements
Defined:
locally within FxAccrualRegionBound.model group; see XML source
upperBound (defined in FxAccrualRegionBound.model group)
Defines the upper bound of a payoff region.
Type:
FxAccrualRegionUpperBound
Content:
complex, 5 elements
Defined:
locally within FxAccrualRegionBound.model group; see XML source
vanillaPayoffRegion (in fxAccrualForward)
A region in which a vanilla payoff occurs.
Type:
FxAccrualVanillaPayoffRegion
Content:
complex, 9 elements
Defined:
locally within FxAccrualForward complexType; see XML source
Complex Type Summary
FxAccrualDigitalOption
An FX Accrual Digital Option product The product defines a list of fixing (or observation) dates.
Content:
complex, 1 attribute, 19 elements
Defined:
globally; see XML source
Includes:
definitions of 6 elements
Used:
at 1 location
FxAccrualForward
The product defines a list of fixing (or observation) dates.
Content:
complex, 1 attribute, 18 elements
Defined:
globally; see XML source
Includes:
definitions of 9 elements
Used:
at 1 location
FxAccrualKnockoutBarrier
Content:
complex, 1 attribute, 12 elements
Defined:
globally; see XML source
Includes:
definitions of 2 elements
Used:
at 4 locations
FxAccrualOption
An FX Accrual Option product The product defines a list of fixing (or observation) dates.
Content:
complex, 1 attribute, 25 elements
Defined:
globally; see XML source
Includes:
definitions of 10 elements
Used:
at 1 location
FxAccrualPayoffLeverage
Content:
complex, 1 attribute, 8 elements
Defined:
globally; see XML source
Includes:
definitions of 1 attribute, 4 elements
Used:
at 1 location
FxAccrualProcess
Accrual calculation process.
Content:
complex, 1 attribute, 3 elements
Defined:
globally; see XML source
Includes:
definitions of 1 attribute, 3 elements
Used:
at 4 locations
FxAccrualRegion
Defines a region of spot rate where the notional for the settlement period accrues by the accrued amount per fixing each time the spot rate fixes withing the region.
Content:
complex, 10 elements
Defined:
globally; see XML source
Includes:
definitions of 7 elements
Used:
at 1 location
FxAccrualRegionLowerBound
Content:
complex, 5 elements
Defined:
globally; see XML source
Includes:
definition of 1 element
Used:
at 1 location
FxAccrualRegionUpperBound
Content:
complex, 5 elements
Defined:
globally; see XML source
Includes:
definition of 1 element
Used:
at 2 locations
FxAccrualTrigger
Describes a european trigger applied to an FX digtal option.
Content:
complex, 5 elements
Defined:
globally; see XML source
Includes:
definition of 1 element
Used:
at 1 location
FxAccrualVanillaPayoffRegion
A region in which a vanilla payoff occurs.
Content:
complex, 9 elements
Defined:
globally; see XML source
Includes:
definitions of 4 elements
Used:
at 1 location
FxAdjustedDateAndDateAdjustments
Defines the expiry/observation schedule of the target.
Content:
complex, 2 elements
Defined:
globally; see XML source
Includes:
definitions of 2 elements
Used:
at 2 locations
FxAverageRate
Content:
complex, 1 attribute, 4 elements
Defined:
globally; see XML source
Includes:
definition of 1 attribute
Used:
at 2 locations
FxAverageStrike
Content:
complex, 1 attribute, 5 elements
Defined:
globally; see XML source
Includes:
definitions of 1 attribute, 1 element
Used:
at 2 locations
FxAverageStrikeReference
Reference to an average rate structure.
Content:
empty, 1 attribute
Defined:
globally; see XML source
Includes:
definition of 1 attribute
Used:
at 1 location
FxAveragingProcess
Accrual calculation process.
Content:
complex, 4 elements
Defined:
globally; see XML source
Includes:
definitions of 4 elements
Used:
at 2 locations
FxCurrencyPayment
A type for defining the payment of an undefined amount of currency in an FX transaction.
Content:
complex, 5 elements
Defined:
globally; see XML source
Includes:
definition of 1 element
Used:
never
FxExpiryDate
Defines the expiry/observation schedule of the accrual.
Content:
complex, 3 elements
Defined:
globally; see XML source
Includes:
definition of 1 element
Used:
at 1 location
FxFixingSchedule
Describes a parametric schedule of fixing dates.
Content:
complex, 6 elements
Defined:
globally; see XML source
Includes:
definition of 1 element
Used:
at 2 locations
FxForwardStrikePrice
A type that describes the rate of exchange at which the option has been struck.
Content:
complex, 1 attribute, 2 elements
Defined:
globally; see XML source
Includes:
definitions of 1 attribute, 2 elements
Used:
at 1 location
FxForwardStrikePriceReference
Reference to a strike structure in Accruals products.
Content:
empty, 1 attribute
Defined:
globally; see XML source
Includes:
definition of 1 attribute
Used:
at 1 location
FxRangeAccrual
An FX Range Accrual product.
Content:
complex, 1 attribute, 17 elements
Defined:
globally; see XML source
Includes:
definitions of 4 elements
Used:
at 1 location
FxRateObservable
Content:
complex, 1 attribute, 2 elements
Defined:
globally; see XML source
Includes:
definitions of 1 attribute, 2 elements
Used:
at 2 locations
FxRateObservableReference
Reference to an "FxRateObservable" structure.
Content:
empty, 1 attribute
Defined:
globally; see XML source
Includes:
definition of 1 attribute
Used:
at 2 locations
Element Group Summary
FxAccrualConditionLevel.model
Conditions can be expressed in different ways: as a specific level, as strike, pivot, or barrier.
Content:
4 elements
Defined:
globally; see XML source
Includes:
definitions of 4 elements
Used:
at 3 locations
FxAccrualKnockoutBarrier.model
Content:
10 elements
Defined:
globally; see XML source
Includes:
definitions of 10 elements
Used:
at 1 location
FxAccrualRegionBound.model
Content:
3 elements
Defined:
globally; see XML source
Includes:
definitions of 3 elements
Used:
at 2 locations
FxExpiryDateOrSchedule.model
Content:
2 elements
Defined:
globally; see XML source
Includes:
definitions of 2 elements
Used:
at 4 locations
FxSettlementDateOrSchedule.model
Content:
2 elements
Defined:
globally; see XML source
Includes:
definitions of 2 elements
Used:
at 4 locations
XML Source
<?xml version="1.0" encoding="utf-8"?>
<!--
== Copyright (c) 2002- All rights reserved.
== Financial Products Markup Language is subject to the FpML public license.
== A copy of this license is available at http://www.fpml.org/license/license.html
-->
<xsd:schema attributeFormDefault="unqualified" ecore:documentRoot="FpML" ecore:nsPrefix="conf" ecore:package="org.fpml.confirmation" elementFormDefault="qualified" targetNamespace="http://www.fpml.org/FpML-5/confirmation" version="$Revision: 11478 $" xmlns="http://www.fpml.org/FpML-5/confirmation" xmlns:ecore="http://www.eclipse.org/emf/2002/Ecore" xmlns:fpml-annotation="http://www.fpml.org/annotation" xmlns:xsd="http://www.w3.org/2001/XMLSchema">
<xsd:include schemaLocation="fpml-fx-complex-5-8.xsd"/>
<!--
================
complexTypes
================
-->
<xsd:complexType name="FxAccrualDigitalOption">
<xsd:annotation>
<xsd:documentation xml:lang="en">
An FX Accrual Digital 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.
</xsd:documentation>
</xsd:annotation>
<xsd:complexContent>
<xsd:extension base="Option">
<xsd:sequence>
<xsd:sequence>
<!--2015-2-05: FpML FX WG: agreed to remove "effectiveDate" of type "AdjustableOrRelativeDate" and "tenorPeriod" of type "Period". Rationale: it is not clear where you need this information. We could always add it back when we see the requirements.-->
<!--2015-2-05: FpML FX WG: agreed to replace "notionalAmount" type with "NonNegativeAmountSchedule" type to support Strips, contract with multiple notionals -->
<xsd:element name="notionalAmount" type="NonNegativeAmountSchedule">
<xsd:annotation>
<xsd:documentation xml:lang="en">
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.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:annotation>
<xsd:documentation xml:lang="en">
Defines the expiry/observation date or schedule of the accrual product. The default dates' adjustments are as specified in the definitions.
</xsd:documentation>
</xsd:annotation>
</xsd:group>
<xsd:annotation>
<xsd:documentation xml:lang="en">
Defines the settlement/payment date or schedule of the accrual product. The default dates' adjustments are as specified in the definitions.
</xsd:documentation>
</xsd:annotation>
</xsd:group>
<xsd:element minOccurs="0" name="exerciseProcedure" type="ExerciseProcedure">
<xsd:annotation>
<xsd:documentation xml:lang="en">
A set of parameters defining procedures associated with the exercise.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="trigger" type="FxAccrualTrigger">
<xsd:annotation>
<xsd:documentation xml:lang="en">
Defines one or more conditions underwhich the option will payout if exercisable.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="accrualProcess" type="FxAccrualProcess">
<xsd:annotation>
<xsd:documentation xml:lang="en">Describes accrual features within the product.</xsd:documentation>
</xsd:annotation>
</xsd:element>
<!--2015-02-05:FpML FX WG: agreed to rename "accrualKnockoutBarrier" to "knockoutBarrier" -->
<xsd:element maxOccurs="unbounded" minOccurs="0" name="knockoutBarrier" type="FxAccrualKnockoutBarrier">
<xsd:annotation>
<xsd:documentation xml:lang="en">
Defines a knockout barrier conditions where if a barrier event occurs, the accrual process is terminated for the duration of all remainin accrual periods. Settlement rights for the next settlement are either retained or extinguished.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element maxOccurs="unbounded" minOccurs="0" name="premium" type="FxOptionPremium">
<xsd:annotation>
<xsd:documentation xml:lang="en">
Premium amount or premium installment amount for an option.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
</xsd:sequence>
</xsd:sequence>
</xsd:extension>
</xsd:complexContent>
</xsd:complexType>
<!--2015-01-08: FpML FX WG added FxCurrencyPayment component for FX Accrual Forward product-->
<xsd:complexType name="FxAccrualForward">
<xsd:annotation>
<xsd:documentation xml:lang="en">
The product defines a list of fixing (or observation) dates. There are m total fixings. In this Strategy, one accumulates a fixed proportion of Notional for every business day (or chosen frequency) that spot fixes within the pre-defined limits. If spot breaks the limits, the Notional stops accumulating during the fixings outside the limits, but continues accruing once spot comes back to the accruing region. At expiry, one buys the accrued Notional at the pre-agreed hedge rate. Payout can be cash or physical.
</xsd:documentation>
</xsd:annotation>
<xsd:complexContent>
<xsd:extension base="Product">
<xsd:sequence>
<!--2015-02-05: FpML FX WG: agreed to move "exchangedCurrency1" ofType "FxCurrencyPayment" and "exchangedCurrency2" ofType "FxCurrencyPayment" inside "vanillaPayoffRegion" component-->
<!--2015-02-05: FpML FX WG: agreed not to include "quotedCurrencyPair" component-->
<!--2015-02-05: FpML FX WG: agreed to remove "effectiveDate" of type "AdjustableOrRelativeDate" and "tenorPeriod" of type "Period". Rationale: it is not clear where you need this information. We could always add it back when we see the requirements.-->
<!--2015-02-05: FpML FX WG: agreed to replace "notionalAmount" element's "NonNegativeMoney" type with "NonNegativeAmountSchedule" type to support Strips, contract with multiple notionals -->
<xsd:sequence>
<xsd:element name="notionalAmount" type="NonNegativeAmountSchedule">
<xsd:annotation>
<xsd:documentation xml:lang="en">
Notional amount Schedule. The notional value of the product per settlement period. 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.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<!--2015-02-05: FpML FX WG: agreed to replace "counterCurrencyAmount" element's "NonNegativeMoney" type with "NonNegativeAmountSchedule" type to support Strips, contract with multiple notionals -->
<!--2015-01-29: FpML FX WG: made element optional to support Average Strike Accrual Option-->
<xsd:element maxOccurs="unbounded" minOccurs="0" name="counterCurrencyAmount" type="FxCounterCurrencyAmount">
<xsd:annotation>
<xsd:documentation xml:lang="en">
The opposite currency amount. The counterCurrencyAmount element is only optional if averageStrike component is present, in all other cases this element must be populated.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
</xsd:sequence>
<!--2015-01-13: GFXD: agreed to call the end of accrual period - expiryDate - for accrual forward as well-->
<xsd:annotation>
<xsd:documentation xml:lang="en">
Defines the expiry/observation date or schedule of the accrual product.
</xsd:documentation>
</xsd:annotation>
</xsd:group>
<xsd:annotation>
<xsd:documentation xml:lang="en">
Defines the settlement/payment date or schedule of the accrual product.
</xsd:documentation>
</xsd:annotation>
</xsd:group>
<!--2015-02-02: Removed exerciseProcedure: not relevant for forward-->
<!--2015-02-05: FpML FX WG: agreed to move "strike" ofType "FxForwardStrikePrice" and "averageStrike" ofType="FxAverageStrike" inside "vanillaPayoffRegion" component-->
<!--2015-01-29:FpML FX WG: agreed to add support for averageStrike/averageRate product component-->
<!--2015-02-05: renamed back to spotRate to align all FX products-->
<!--2015-02-02: renamed from spotRate to align with Target product-->
<xsd:element minOccurs="0" name="spotRate" type="PositiveDecimal">
<xsd:annotation>
<xsd:documentation xml:lang="en">
An optional element used for FX forwards and certain types of FX OTC options. For deals consumated 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.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:sequence>
<!--2015-01-29: FpML FX WG: propose payoffRegion to support collar -->
<xsd:element maxOccurs="unbounded" name="vanillaPayoffRegion" type="FxAccrualVanillaPayoffRegion">
<xsd:annotation>
<xsd:documentation xml:lang="en">A region in which a vanilla payoff occurs.</xsd:documentation>
</xsd:annotation>
</xsd:element>
<!--2015-01-29: FpML FX WG: added support for Average Rate Accrual Forward.
- This is a property you would calculate for the product as a whole at maturity and
which you would then use with a relevant payoff region to establish the payoff -->
<xsd:element minOccurs="0" name="averageRate" type="FxAverageRate">
<xsd:annotation>
<xsd:documentation xml:lang="en">
Average Rate Forward: 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.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
</xsd:sequence>
<xsd:element name="accrualProcess" type="FxAccrualProcess">
<xsd:annotation>
<xsd:documentation xml:lang="en">Describes accrual features within the product.</xsd:documentation>
</xsd:annotation>
</xsd:element>
<!--2015-02-05:FpML FX WG: agreed to rename "accrualKnockoutBarrier" to "knockoutBarrier" -->
<xsd:element maxOccurs="unbounded" minOccurs="0" name="knockoutBarrier" type="FxAccrualKnockoutBarrier">
<xsd:annotation>
<xsd:documentation xml:lang="en">
Defines a knockout barrier conditions where if a barrier event occurs, the accrual process is terminated for the duration of all remainin accrual periods. Settlement rights for the next settlement are either retained or extinguished.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<!--2015-02-05: FpML FX WG: agreed to move "payoffLeverage" ofType "FxAccrualPayoffLeverage" inside "vanillaPayoffRegion" component-->
<xsd:element minOccurs="0" name="cashSettlement" type="FxCashSettlementSimple">
<xsd:annotation>
<xsd:documentation xml:lang="en">Cash settlement currency.</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element maxOccurs="unbounded" minOccurs="0" name="additionalPayment" type="SimplePayment">
<xsd:annotation>
<xsd:documentation xml:lang="en">
It supports the representation of premiums, fees, etc.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
</xsd:sequence>
</xsd:extension>
</xsd:complexContent>
</xsd:complexType>
<xsd:complexType name="FxAccrualKnockoutBarrier">
<xsd:complexContent>
<xsd:extension base="FxBarrier">
<xsd:sequence>
<xsd:element name="style" type="FxBarrierStyleEnum">
<xsd:annotation>
<xsd:documentation xml:lang="en">Whether it is an European or American knock out.</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="type" type="FxAccrualKnockoutBarrierTypeEnum">
<xsd:annotation>
<xsd:documentation xml:lang="en">
"Keep" means that the parties retain settlement rights at the end of the current accrual period fixed at the prevailing accrued notional and settlement rights for all other accrual periods are extinguished. "Lose" means settlement rights for all accrual periods are extinguished and the product is effectively extinguished.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:annotation>
<xsd:documentation>
Defines a knockout barrier where if a barrier event occurs, the accrual process is terminated for the duration of all remainin accrual periods. Settlement rights for the next settlement are either retained or extinguished.
</xsd:documentation>
</xsd:annotation>
</xsd:group>
</xsd:sequence>
</xsd:extension>
</xsd:complexContent>
</xsd:complexType>
<xsd:complexType name="FxAccrualOption">
<xsd:annotation>
<xsd:documentation xml:lang="en">
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.
</xsd:documentation>
</xsd:annotation>
<xsd:complexContent>
<xsd:extension base="Option">
<xsd:sequence>
<!--2015-02-05: FpML FX WG: agreed to remove "effectiveDate" of type "AdjustableOrRelativeDate" and "tenorPeriod" of type "Period". Rationale: it is not clear where you need this information. We could always add it back when we see the requirements.-->
<!--What defines the underlying product that is going to be paid-->
<xsd:group ref="PutCallCurrency.model">
<xsd:annotation>
<xsd:documentation xml:lang="en">
A model defining the currencies exchanged by the parties to an option.
</xsd:documentation>
</xsd:annotation>
</xsd:group>
<xsd:sequence>
<!--2015-02-05: FpML FX WG: agreed to replace "notionalAmount" element's "NonNegativeMoney" type with "NonNegativeAmountSchedule" type to support Strips, contract with multiple notionals -->
<xsd:element name="notionalAmount" type="NonNegativeAmountSchedule">
<xsd:annotation>
<xsd:documentation xml:lang="en">
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.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<!--2015-02-05: FpML FX WG: agreed to replace "counterCurrencyAmount" element's "NonNegativeMoney" type with "NonNegativeAmountSchedule" type to support Strips, contract with multiple notionals -->
<!--2015-01-15:FpML FX WG: the counterCurrencyAmount element should not be unbounded-->
<xsd:element minOccurs="0" name="counterCurrencyAmount" type="FxCounterCurrencyAmount">
<xsd:annotation>
<xsd:documentation xml:lang="en">
The opposite currency amount the amount which is not always deterministicl.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
</xsd:sequence>
<xsd:annotation>
<xsd:documentation xml:lang="en">
Defines the expiry/observation date or schedule of the accrual product.
</xsd:documentation>
</xsd:annotation>
</xsd:group>
<xsd:annotation>
<xsd:documentation xml:lang="en">
Defines the settlement/payment date or schedule of the accrual product.
</xsd:documentation>
</xsd:annotation>
</xsd:group>
<xsd:element minOccurs="0" name="exerciseProcedure" type="ExerciseProcedure">
<xsd:annotation>
<xsd:documentation xml:lang="en">
A set of parameters defining procedures associated with the exercise.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<!--2015-02-05: renamed back to spotRate to align all FX products-->
<!--2015-02-02: renamed from spotRate-->
<xsd:element minOccurs="0" name="spotRate" type="PositiveDecimal">
<xsd:annotation>
<xsd:documentation xml:lang="en">
An optional element used for FX forwards and certain types of FX OTC options. For deals consumated 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.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:choice>
<xsd:element name="strike" type="FxStrikePrice">
<xsd:annotation>
<xsd:documentation xml:lang="en">Defines the option strike price.</xsd:documentation>
</xsd:annotation>
</xsd:element>
<!--2015-01-29: FpML FX WG: added support for Average Strike Accrual Option-->
<xsd:element name="averageStrike" type="FxAverageStrike">
<xsd:annotation>
<xsd:documentation xml:lang="en">
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.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
</xsd:choice>
<!--2015-01-29: FpML FX WG: added support for Average Rate Accrual Option-->
<xsd:element minOccurs="0" name="averageRate" type="FxAverageRate">
<xsd:annotation>
<xsd:documentation xml:lang="en">
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.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="accrualProcess" type="FxAccrualProcess">
<xsd:annotation>
<xsd:documentation xml:lang="en">Describes accrual features within the product.</xsd:documentation>
</xsd:annotation>
</xsd:element>
<!--2015-02-05:FpML FX WG: agreed to rename "accrualKnockoutBarrier" to "knockoutBarrier" -->
<xsd:element maxOccurs="unbounded" minOccurs="0" name="knockoutBarrier" type="FxAccrualKnockoutBarrier">
<xsd:annotation>
<xsd:documentation xml:lang="en">
Defines a knockout barrier conditions where if a barrier event occurs, the accrual process is terminated for the duration of all remainin accrual periods. Settlement rights for the next settlement are either retained or extinguished.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element maxOccurs="unbounded" minOccurs="0" name="premium" type="FxOptionPremium">
<xsd:annotation>
<xsd:documentation xml:lang="en">
Premium amount or premium installment amount for an option.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
</xsd:sequence>
</xsd:extension>
</xsd:complexContent>
</xsd:complexType>
<!--2015-01-15: FpML FX WG: Add leverage - Condition, Level, Choice of ratio or notionalAmount-->
<xsd:complexType name="FxAccrualPayoffLeverage">
<xsd:sequence>
<xsd:element name="condition" type="ConditionEnum">
<xsd:annotation>
<xsd:documentation xml:lang="en">Condition in which leverage applies.</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:choice>
<xsd:element name="ratio" type="Schedule">
<xsd:annotation>
<xsd:documentation xml:lang="en">
Leverage rate with optional steps. Format is 2 for 200%.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:sequence>
<xsd:element name="notionalAmount" type="NonNegativeAmountSchedule">
<xsd:annotation>
<xsd:documentation xml:lang="en">
Notional amount Schedule. The notional value of the product per settlement period. 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.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<!--2015-02-05: FpML FX WG: agreed to replace "counterCurrencyAmount" element's "NonNegativeMoney" type with "NonNegativeAmountSchedule" type to support Strips, contract with multiple notionals -->
<!--2015-01-29: FpML FX WG: made element optional to support Average Strike Accrual Option-->
<xsd:element minOccurs="0" name="counterCurrencyAmount" type="FxCounterCurrencyAmount">
<xsd:annotation>
<xsd:documentation xml:lang="en">
The opposite currency amount. The counterCurrencyAmount element is only optional if averageStrike component is present, in all other cases this element must be populated.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
</xsd:sequence>
</xsd:choice>
</xsd:sequence>
<xsd:attribute name="id" type="xsd:ID"/>
</xsd:complexType>
<xsd:complexType name="FxAccrualProcess">
<xsd:annotation>
<xsd:documentation xml:lang="en">Accrual calculation process.</xsd:documentation>
</xsd:annotation>
<xsd:sequence>
<xsd:element maxOccurs="unbounded" minOccurs="1" name="observable" type="FxRateObservable"/>
<xsd:element maxOccurs="unbounded" name="accrualRegion" type="FxAccrualRegion">
<xsd:annotation>
<xsd:documentation xml:lang="en">
Defines the regions of the spot rate where fixings generate an accumulation of notional.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="fixingSchedule" type="FxFixingSchedule">
<xsd:annotation>
<xsd:documentation xml:lang="en">Describes a parametrc schedule of fixing dates.</xsd:documentation>
</xsd:annotation>
</xsd:element>
</xsd:sequence>
<xsd:attribute name="id" type="xsd:ID" use="optional"/>
</xsd:complexType>
<xsd:complexType name="FxAccrualRegion">
<xsd:annotation>
<xsd:documentation xml:lang="en">
Defines a region of spot rate where the notional for the settlement period accrues by the accrued amount per fixing each time the spot rate fixes withing the region.
</xsd:documentation>
</xsd:annotation>
<xsd:sequence>
<!--2015-01-08: FpML FX WG: Added an observableReference inside the accrualRegion -->
<xsd:annotation>
<xsd:documentation xml:lang="en">
Identifies the FX rate used as the basis for the condition (the accrual region).
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<!--2015-01-08: FpML FX WG: Added an observableTime inside the accrualRegion -->
<xsd:group ref="FxAccrualRegionBound.model">
<xsd:annotation>
<xsd:documentation xml:lang="en">
Defines the boundaries of the accrual region. If an upper or lower barrier is not defined then it is understood that if the barrier is missing in the direction facing the strike then the region is bounded by the strike but excludes the strike; if the barrier is missing in the direction facing away from the strike then the accrual region is unbounded in that direction. If the region is bounded by the strike then a barrier should be included to define whether the region includes or excludes the strike. If accrual regions overlap, it is understood that if one is nested within another wider region, the nested region takes precedence over the spot range that it applies. If there is an overlap but no nesting then this is invalid and barriers must be used to unequivocally define the regions.
</xsd:documentation>
</xsd:annotation>
</xsd:group>
<!--2015-01-08: FpML FX WG: Added an optional startDate and endDate in the accrualRegion.-->
<xsd:choice minOccurs="0">
<xsd:sequence>
<xsd:element name="startDate" type="xsd:date">
<xsd:annotation>
<xsd:documentation xml:lang="en">
Defines the start date of the observation period for the barrier. If ommitted, the first barrier observation point is understood to be the first fixing date in the fxing schedule.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element minOccurs="0" name="endDate" type="xsd:date">
<xsd:annotation>
<xsd:documentation xml:lang="en">
Defines the end date of the observation period for the barrier. If ommitted, the last barrier observation point is understood to be the last fixing date in the fixing schedule.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
</xsd:sequence>
<xsd:element name="endDate" type="xsd:date">
<xsd:annotation>
<xsd:documentation xml:lang="en">
Defines the end date of the observation period for the barrier. If ommitted, the last barrier observation point is understood to be the last fixing date in the fixing schedule.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
</xsd:choice>
<xsd:choice minOccurs="0">
<!--2015-01-08: FpML FX WG: need to know the difference with accrualFactor before adding an optional multiplier in the accrualRegion-->
<!--<xsd:element name="accrualFactor" type="xsd:decimal" minOccurs="0">
<xsd:annotation>
<xsd:documentation xml:lang="en">A multiplier applied to the notional amount per fixing of each currency to specify the amount accrued each time the spot rate fixes within the accrual region. If the accrualFactor is omitted, the factor is one.</xsd:documentation>
</xsd:annotation>
</xsd:element>-->
<xsd:element name="accrualFactor" type="Schedule">
<xsd:annotation>
<xsd:documentation xml:lang="en">
A multiplier applied to the notional amount per fixing of each currency to specify the amount accrued each time the spot rate fixes within the accrual region. If the accrualFactor is omitted, the factor is one.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:sequence>
<xsd:element name="notionalAmount" type="NonNegativeAmountSchedule">
<xsd:annotation>
<xsd:documentation xml:lang="en">
Notional amount Schedule. The notional value of the product per settlement period. 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.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<!--2015-02-05: FpML FX WG: agreed to replace "counterCurrencyAmount" element's "NonNegativeMoney" type with "NonNegativeAmountSchedule" type to support Strips, contract with multiple notionals -->
<!--2015-01-29: FpML FX WG: made element optional to support Average Strike Accrual Option-->
<xsd:element minOccurs="0" name="counterCurrencyAmount" type="FxCounterCurrencyAmount">
<xsd:annotation>
<xsd:documentation xml:lang="en">
The opposite currency amount. The counterCurrencyAmount element is only optional if averageStrike component is present, in all other cases this element must be populated.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
</xsd:sequence>
</xsd:choice>
</xsd:sequence>
</xsd:complexType>
<!--2015-01-29:FpML FX WG: added FxAccrualRegionBound.model to segregate from Target references that ae not applicable to Accruals -->
<xsd:complexType name="FxAccrualRegionLowerBound">
<xsd:sequence>
<xsd:element name="condition" type="FxRegionLowerBoundDirectionEnum">
<xsd:annotation>
<xsd:documentation xml:lang="en">AtOrAbove, Above.</xsd:documentation>
</xsd:annotation>
</xsd:element>
</xsd:sequence>
</xsd:complexType>
<!--2015-01-29:FpML FX WG: added FxAccrualRegionBound.model to segregate from Target references that ae not applicable to Accruals -->
<xsd:complexType name="FxAccrualRegionUpperBound">
<xsd:sequence>
<xsd:element name="condition" type="FxRegionUpperBoundDirectionEnum">
<xsd:annotation>
<xsd:documentation xml:lang="en">AtOrBelow, Below.</xsd:documentation>
</xsd:annotation>
</xsd:element>
</xsd:sequence>
</xsd:complexType>
<xsd:complexType name="FxAccrualTrigger">
<xsd:annotation>
<xsd:documentation xml:lang="en">
Describes a european trigger applied to an FX digtal option.
</xsd:documentation>
</xsd:annotation>
<xsd:complexContent>
<xsd:extension base="FxTriggerBase">
<xsd:sequence>
<xsd:element maxOccurs="unbounded" minOccurs="0" name="informationSource" type="InformationSource">
<xsd:annotation>
<xsd:documentation xml:lang="en">
The information source where a published or displayed market rate will be obtained, e.g. Telerate Page 3750.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
</xsd:sequence>
</xsd:extension>
</xsd:complexContent>
</xsd:complexType>
<xsd:complexType name="FxAccrualVanillaPayoffRegion">
<xsd:annotation>
<xsd:documentation xml:lang="en">A region in which a vanilla payoff occurs.</xsd:documentation>
</xsd:annotation>
<xsd:sequence>
<xsd:group ref="FxExchangedCurrency.model"/>
<!--2015-02-03: IY: Check why exchangedCurrency2 was optional-->
<!--<xsd:element name="exchangedCurrency1" type="FxCurrencyPayment">
<xsd:annotation>
<xsd:documentation xml:lang="en">The first of two currencies that define each foreign exchange transaction within the structure.</xsd:documentation>
<xsd:appinfo>
<view:override view="transparency" minOccurs="1"/>
<view:override view="recordkeeping" minOccurs="1"/>
</xsd:appinfo>
</xsd:annotation>
</xsd:element>
<xsd:element name="exchangedCurrency2" type="FxCurrencyPayment" minOccurs="0">
<xsd:annotation>
<xsd:documentation xml:lang="en">The second of two currencies that define each foreign exchange transaction within the structure.</xsd:documentation>
<xsd:appinfo>
<view:override view="transparency" minOccurs="1"/>
<view:override view="recordkeeping" minOccurs="1"/>
</xsd:appinfo>
</xsd:annotation>
</xsd:element>-->
<xsd:choice>
<xsd:element name="strike" type="FxForwardStrikePrice">
<xsd:annotation>
<xsd:documentation xml:lang="en">The rate of exchange between the two currencies.</xsd:documentation>
</xsd:annotation>
</xsd:element>
<!--2015-01-29: FpML FX WG: added support for Average Strike Accrual Forward.
averageStrike is a property of a payoff region in a choice with strike-->
<xsd:element name="averageStrike" type="FxAverageStrike">
<xsd:annotation>
<xsd:documentation xml:lang="en">
Average Strike Forward: 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.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
</xsd:choice>
<!--upperBound and lowerBound are both optional - as in the target, where there is only one vanillaPayoffRegion, neither would be used-->
<xsd:group minOccurs="0" ref="FxAccrualRegionBound.model"/>
<!--<xsd:element name="leverage" type="FxLeverage" minOccurs="0">
<xsd:annotation>
<xsd:documentation xml:lang="en">Notional leverage.</xsd:documentation>
</xsd:annotation>
</xsd:element>-->
<!--2015-01-15: FpML FX WG: moved after "accrualKnockoutBarrier"; renamed from "leverage"; changed cardinality from [0..unbounded]-->
<!--2015-01-15: FpML FX WG: Add leverage - Condition, Level, Choice of ratio or notionalAmount-->
<xsd:element minOccurs="0" name="payoffLeverage" type="FxAccrualPayoffLeverage">
<xsd:annotation>
<xsd:documentation xml:lang="en">
These structures define a leverage multiplier to the payoff amounts at settlement points.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element maxOccurs="unbounded" minOccurs="0" name="payoffCap" type="FxPayoffCap">
<xsd:annotation>
<xsd:documentation xml:lang="en">
The amount of gain on the client upside or firm upside is limited. If spot settles above the cap, or below the floor, the payout is adjusted to limit the gain. The adjustment may be made by varying the strike, or by maintaining the strike, but varying the payout notionals.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
</xsd:sequence>
</xsd:complexType>
<xsd:complexType name="FxAdjustedDateAndDateAdjustments">
<xsd:annotation>
<xsd:documentation xml:lang="en">
Defines the expiry/observation schedule of the target.
</xsd:documentation>
</xsd:annotation>
<xsd:sequence>
<xsd:sequence>
<xsd:element minOccurs="0" name="dateAdjustments" type="BusinessDayAdjustments">
<xsd:annotation>
<xsd:documentation xml:lang="en">
Date adjustments applied to the adjusted dates including the business day convention and the business centers. The date adjustments are as specified in the definitions.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="adjustedDate" type="xsd:date">
<xsd:annotation>
<xsd:documentation xml:lang="en">
List of schedule dates. These dates have been subject to adjustments based on the dateAdjustments structure.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
</xsd:sequence>
</xsd:sequence>
</xsd:complexType>
<xsd:complexType name="FxAverageRate">
<xsd:complexContent>
<xsd:extension base="FxAveragingProcess">
<xsd:attribute name="id" type="xsd:ID" use="optional"/>
</xsd:extension>
</xsd:complexContent>
</xsd:complexType>
<!--2015-01-29:FpML FX WG: added suport for AverageRate/Strike -->
<!--<xsd:complexType name="FxAverageRateReference">
<xsd:annotation>
<xsd:documentation xml:lang="en">Reference to an average rate structure.</xsd:documentation>
</xsd:annotation>
<xsd:complexContent>
<xsd:extension base="Reference">
<xsd:attribute name="href" type="xsd:IDREF" use="required" ecore:reference="FxAverageRate"/>
</xsd:extension>
</xsd:complexContent>
</xsd:complexType>-->
<xsd:complexType name="FxAverageStrike">
<xsd:complexContent>
<xsd:extension base="FxAveragingProcess">
<xsd:sequence>
<xsd:element name="strikeAdjustment" type="xsd:decimal">
<xsd:annotation>
<xsd:documentation xml:lang="en">
A layer an Adjustment on the top of the average of the fixings across the schedule.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
</xsd:sequence>
<xsd:attribute name="id" type="xsd:ID" use="optional"/>
</xsd:extension>
</xsd:complexContent>
</xsd:complexType>
<!--2015-01-29:FpML FX WG: added suport for AverageRate/Strike -->
<xsd:complexType name="FxAverageStrikeReference">
<xsd:annotation>
<xsd:documentation xml:lang="en">Reference to an average rate structure.</xsd:documentation>
</xsd:annotation>
<xsd:complexContent>
<xsd:extension base="Reference">
<xsd:attribute ecore:reference="FxAverageStrike" name="href" type="xsd:IDREF" use="required"/>
</xsd:extension>
</xsd:complexContent>
</xsd:complexType>
<xsd:complexType name="FxAveragingProcess">
<xsd:annotation>
<xsd:documentation xml:lang="en">Accrual calculation process.</xsd:documentation>
</xsd:annotation>
<xsd:sequence>
<xsd:element maxOccurs="unbounded" minOccurs="1" name="observable" type="FxRateObservable"/>
<xsd:element name="fixingSchedule" type="FxFixingSchedule">
<xsd:annotation>
<xsd:documentation xml:lang="en">Describes a parametrc schedule of fixing dates.</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="averagingMethod" type="FxAveragingMethodEnum"/>
<xsd:element minOccurs="0" name="precision" type="xsd:nonNegativeInteger">
<xsd:annotation>
<xsd:documentation xml:lang="en">
Specifies the rounding precision in terms of a number of decimal places. Note how a percentage rate rounding of 5 decimal places is expressed as a rounding precision of 7 in the FpML document since the percentage is expressed as a decimal, e.g. 9.876543% (or 0.09876543) being rounded to the nearest 5 decimal places is 9.87654% (or 0.0987654).
</xsd:documentation>
</xsd:annotation>
</xsd:element>
</xsd:sequence>
</xsd:complexType>
<!--2015-02-02: Created a specific accrual type. it cannot reused "FxStrike"-->
<xsd:complexType name="FxForwardStrikePriceReference">
<xsd:annotation>
<xsd:documentation xml:lang="en">
Reference to a strike structure in Accruals products.
</xsd:documentation>
</xsd:annotation>
<xsd:complexContent>
<xsd:extension base="Reference">
<xsd:attribute ecore:reference="FxForwardStrikePrice" name="href" type="xsd:IDREF" use="required"/>
</xsd:extension>
</xsd:complexContent>
</xsd:complexType>
<xsd:complexType name="FxCurrencyPayment">
<xsd:annotation>
<xsd:documentation xml:lang="en">
A type for defining the payment of an undefined amount of currency in an FX transaction.
</xsd:documentation>
</xsd:annotation>
<xsd:sequence>
<xsd:group ref="PayerReceiver.model"/>
<xsd:element name="currency" type="Currency">
<xsd:annotation>
<xsd:documentation xml:lang="en">The currency of the payment.</xsd:documentation>
</xsd:annotation>
</xsd:element>
</xsd:sequence>
</xsd:complexType>
<xsd:complexType name="FxExpiryDate">
<xsd:annotation>
<xsd:documentation xml:lang="en">
Defines the expiry/observation schedule of the accrual.
</xsd:documentation>
</xsd:annotation>
<xsd:complexContent>
<xsd:extension base="FxAdjustedDateAndDateAdjustments">
<xsd:sequence>
<xsd:element minOccurs="0" name="expiryTime" type="BusinessCenterTime">
<xsd:annotation>
<xsd:documentation xml:lang="en">Time of expiration of each expiry date.</xsd:documentation>
</xsd:annotation>
</xsd:element>
</xsd:sequence>
</xsd:extension>
</xsd:complexContent>
</xsd:complexType>
<xsd:complexType name="FxFixingSchedule">
<xsd:annotation>
<xsd:documentation xml:lang="en">Describes a parametric schedule of fixing dates.</xsd:documentation>
</xsd:annotation>
<xsd:sequence>
<xsd:group ref="ParametricSchedule.model">
<xsd:annotation>
<xsd:documentation xml:lang="en">
A parametric description of a schedule of fixing dates.
</xsd:documentation>
</xsd:annotation>
</xsd:group>
<xsd:element minOccurs="0" name="numberOfFixings" type="xsd:nonNegativeInteger">
<xsd:annotation>
<xsd:documentation xml:lang="en">
The number of fixing points in the fixing schedule.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
</xsd:sequence>
</xsd:complexType>
<!--2015-02-02: added attribute id-->
<xsd:complexType name="FxForwardStrikePrice">
<xsd:annotation>
<xsd:documentation xml:lang="en">
A type that describes the rate of exchange at which the option has been struck.
</xsd:documentation>
</xsd:annotation>
<xsd:sequence>
<xsd:element name="rate" type="PositiveDecimal">
<xsd:annotation>
<xsd:documentation xml:lang="en">
The rate of exchange between the two currencies of the leg of a deal.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<!--2015-01-13:GFXD: Agreed to keep separately the option strike model from the forward strike model (for accrual forwards).
Remove quotedCurrencyPair component, use QuoteBasisEnum directly -->
<xsd:element name="quoteBasis" type="QuoteBasisEnum">
<xsd:annotation>
<xsd:documentation xml:lang="en">
The Quoted Currency Pair that is used accross the product.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
</xsd:sequence>
<xsd:attribute name="id" type="xsd:ID" use="optional"/>
</xsd:complexType>
<xsd:complexType name="FxRangeAccrual">
<xsd:annotation>
<xsd:documentation xml:lang="en">
An FX Range Accrual product. A strip of Digital Options product The product defines a list of fixing (or observation) dates. There are m total fixings. On the relevant Settlement Date, the Option Seller shall pay to the Option Buyer an amount, in the Settlement Currency, calculated according to the following formula: Accrual Currency and Notional Amount x (the total number of Accrual Days / Total Number of Calendar Days in the Accrual Period). Payout can be cash.
</xsd:documentation>
</xsd:annotation>
<xsd:complexContent>
<xsd:extension base="Product">
<xsd:sequence>
<xsd:sequence>
<xsd:group ref="PayerReceiver.model"/>
<!--2015-2-05: FpML FX WG: agreed to remove "effectiveDate" of type "AdjustableOrRelativeDate" and "tenorPeriod" of type "Period". Rationale: it is not clear where you need this information. We could always add it back when we see the requirements.-->
<!--2015-2-05: FpML FX WG: agreed to replace "notionalAmount" type with "NonNegativeAmountSchedule" type to support Strips, contract with multiple notionals -->
<xsd:element name="notionalAmount" type="NonNegativeAmountSchedule">
<xsd:annotation>
<xsd:documentation xml:lang="en">
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.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:annotation>
<xsd:documentation xml:lang="en">
Defines the expiry/observation date or schedule of the accrual product.
</xsd:documentation>
</xsd:annotation>
</xsd:group>
<xsd:annotation>
<xsd:documentation xml:lang="en">
Defines the settlement/payment date or schedule of the accrual product.
</xsd:documentation>
</xsd:annotation>
</xsd:group>
<xsd:element name="accrualProcess" type="FxAccrualProcess">
<xsd:annotation>
<xsd:documentation xml:lang="en">Describes accrual process within the product.</xsd:documentation>
</xsd:annotation>
</xsd:element>
<!--2015-02-05:FpML FX WG: agreed to rename "accrualKnockoutBarrier" to "knockoutBarrier" -->
<xsd:element maxOccurs="unbounded" minOccurs="0" name="knockoutBarrier" type="FxAccrualKnockoutBarrier">
<xsd:annotation>
<xsd:documentation xml:lang="en">
Defines a knockout barrier conditions where if a barrier event occurs, the accrual process is terminated for the duration of all remainin accrual periods. Settlement rights for the next settlement are either retained or extinguished.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element maxOccurs="unbounded" minOccurs="0" name="premium" type="FxOptionPremium">
<xsd:annotation>
<xsd:documentation xml:lang="en">
Premium amount or premium installment amount for an option.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
</xsd:sequence>
</xsd:sequence>
</xsd:extension>
</xsd:complexContent>
</xsd:complexType>
<xsd:complexType name="FxRateObservable">
<xsd:sequence>
<xsd:element name="quotedCurrencyPair" type="QuotedCurrencyPair">
<xsd:annotation>
<xsd:documentation xml:lang="en">
FX rate to be observed. The Quoted Currency Pair that is used accross the product.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="fixingInformationSource" type="FxInformationSource">
<xsd:annotation>
<xsd:documentation xml:lang="en">
Information source for fixing the exchange rate. It is the same for all fixing periods.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
</xsd:sequence>
<xsd:attribute name="id" type="xsd:ID"/>
</xsd:complexType>
<xsd:complexType name="FxRateObservableReference">
<xsd:annotation>
<xsd:documentation xml:lang="en">Reference to an "FxRateObservable" structure.</xsd:documentation>
</xsd:annotation>
<xsd:complexContent>
<xsd:extension base="Reference">
<xsd:attribute ecore:reference="FxRateObservable" name="href" type="xsd:IDREF" use="required"/>
</xsd:extension>
</xsd:complexContent>
</xsd:complexType>
<!--
================
elements
================
-->
<xsd:element name="fxAccrualDigitalOption" substitutionGroup="product" type="FxAccrualDigitalOption">
<xsd:annotation>
<xsd:documentation xml:lang="en">
A type defining an accrual digital option FX transaction.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="fxAccrualForward" substitutionGroup="product" type="FxAccrualForward">
<xsd:annotation>
<xsd:documentation xml:lang="en">
A structured forward product which consists of a strip of forwards. Each forward may be settled as an exchange of currencies or cash settled. At each settlement, the amount of gain that one party achieves is measured. The product has a target level of gain. Once the accumulated gain exceeds the target level, the product terminates and there are no further settlements.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="fxAccrualOption" substitutionGroup="product" type="FxAccrualOption">
<xsd:annotation>
<xsd:documentation xml:lang="en">
A structured option product which consists of a strip of accrual options. Each Option may be settled as an exchange of currencies or cash settled. At each settlement, the amount of gain that one party achieves is measured. The product has a target level of gain. Once the accumulated gain exceeds the target level, the product terminates and there are no further settlements.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="fxRangeAccrual" substitutionGroup="product" type="FxRangeAccrual">
<xsd:annotation>
<xsd:documentation xml:lang="en">A type defining an range accrual FX transaction.</xsd:documentation>
</xsd:annotation>
</xsd:element>
<!--
================
groups
================
-->
<!--2015-01-29:FpML FX WG: added FxAccrualConditionLevel.model to segregate from Target references that ae not applicable to Accruals -->
<xsd:annotation>
<xsd:documentation xml:lang="en">
Conditions can be expressed in different ways: as a specific level, as strike, pivot, or barrier.
</xsd:documentation>
</xsd:annotation>
<xsd:choice>
<xsd:sequence>
<xsd:element name="level" type="xsd:decimal">
<xsd:annotation>
<xsd:documentation xml:lang="en">Level expressed as a level.</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element minOccurs="0" name="quoteBasis" type="QuoteBasisEnum">
<xsd:annotation>
<xsd:documentation xml:lang="en">
The Quoted Currency Pair that is used accross the product.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
</xsd:sequence>
<xsd:annotation>
<xsd:documentation xml:lang="en">
Reference to a strike defined within the FX product.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:annotation>
<xsd:documentation xml:lang="en">
Reference to an average rate defined within the FX accrual option and forward products.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
</xsd:choice>
</xsd:group>
<xsd:sequence>
<xsd:element name="condition" type="ConditionEnum">
<xsd:annotation>
<xsd:documentation xml:lang="en">
"Specifies whether the trigger direction is "AtOrAbove", "AtOrBelow", "Above" or "Below"; that is, that a barrier event occurs if the spot rate is at or above,, at or below, strictly above or strictly below the trigger level during the period of observation.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<!--2015-01-08: FpML FX WG: add choice of [triggerRate+optional informationSource] / observableReference-->
<xsd:choice>
<xsd:sequence>
<xsd:element name="observableReference" type="FxRateObservableReference"/>
<!--2015-02-02: Added triggerRate, as it applies to both cases -->
<xsd:element name="triggerRate" type="Schedule">
<xsd:annotation>
<xsd:documentation xml:lang="en">
The market rate is observed relative to the trigger rate, and if it is found to be on the predefined side of (above or below) the trigger rate, a barrier event is deemed to have occurred.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
</xsd:sequence>
<xsd:sequence>
<!--2015-01-06:GFXD: Added for Accruals (TBD with FpML FX WG)-->
<xsd:element minOccurs="0" name="quotedCurrencyPair" type="QuotedCurrencyPair">
<xsd:annotation>
<xsd:documentation xml:lang="en">
Defines the two currencies for an FX trade and the quotation relationship between the two currencies.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="triggerRate" type="Schedule">
<xsd:annotation>
<xsd:documentation xml:lang="en">
The market rate is observed relative to the trigger rate, and if it is found to be on the predefined side of (above or below) the trigger rate, a barrier event is deemed to have occurred.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<!--2015-01-06:GFXD: Added for Accruals (TBD with FpML FX WG)-->
<xsd:element maxOccurs="unbounded" minOccurs="0" name="informationSource" type="InformationSource">
<xsd:annotation>
<xsd:documentation xml:lang="en">
The information source where a published or displayed market rate will be obtained, e.g. Telerate Page 3750.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
</xsd:sequence>
</xsd:choice>
<xsd:sequence minOccurs="0">
<xsd:element name="observationStartDate" type="xsd:date">
<xsd:annotation>
<xsd:documentation xml:lang="en">
The date on which the observation period for an american barrier starts. If the start date is not present, then the date and time of the start of the period is deemed to be the date and time the transaction was entered into.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element minOccurs="0" name="observationStartTime" type="BusinessCenterTime">
<xsd:annotation>
<xsd:documentation xml:lang="en">
The time on the start date at which the observation period for an american barrier starts. If the time is not present and the start date is equivalent to the transaction date, the time is deemed to be the time the transaction was entered into. If the time is not present and the start date is other than the transaction date, then the time is deemed to be the same as the expiration time.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
</xsd:sequence>
<xsd:sequence minOccurs="0">
<xsd:element name="observationEndDate" type="xsd:date">
<xsd:annotation>
<xsd:documentation xml:lang="en">
The date on which the observation period for an american barrier ends. If the end date is not present, then the date and time of the end of the period is deemed to be the date and time of expiration.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element minOccurs="0" name="observationEndTime" type="BusinessCenterTime">
<xsd:annotation>
<xsd:documentation xml:lang="en">
The time on the end date at which the observation period for an american barrier ends. If the time is not present, then the time is deemed to be the same as the expiration time.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
</xsd:sequence>
</xsd:sequence>
</xsd:group>
<!--2015-01-29:FpML FX WG: added FxAccrualRegionBound.model to segregate from Target references that ae not applicable to Accruals -->
<xsd:group name="FxAccrualRegionBound.model">
<xsd:choice>
<xsd:element name="upperBound" type="FxAccrualRegionUpperBound">
<xsd:annotation>
<xsd:documentation xml:lang="en">Defines the upper bound of a payoff region.</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:sequence>
<xsd:element name="lowerBound" type="FxAccrualRegionLowerBound">
<xsd:annotation>
<xsd:documentation xml:lang="en">Defines the lower bound of a payoff region.</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element minOccurs="0" name="upperBound" type="FxAccrualRegionUpperBound">
<xsd:annotation>
<xsd:documentation xml:lang="en">Defines the upper bound of a payoff region.</xsd:documentation>
</xsd:annotation>
</xsd:element>
</xsd:sequence>
</xsd:choice>
</xsd:group>
<xsd:group name="FxExpiryDateOrSchedule.model">
<xsd:choice>
<xsd:element name="expiryDate" type="FxExpiryDate">
<xsd:annotation>
<xsd:documentation xml:lang="en">
Defines the expiry of a single period accrual forward FX transaction.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="expirySchedule" type="FxExpirySchedule">
<xsd:annotation>
<xsd:documentation xml:lang="en">
The parameters for defining a schedule of expiry periods for a accrual forward FX transaction.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
</xsd:choice>
</xsd:group>
<xsd:choice>
<xsd:element name="settlementDate" type="FxAdjustedDateAndDateAdjustments">
<xsd:annotation>
<xsd:documentation xml:lang="en">
The date on which settlement takes place for a settlement period.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="settlementSchedule" type="FxSettlementSchedule">
<xsd:annotation>
<xsd:documentation xml:lang="en">
The parameters for defining a schedule of settlement periods for a accrual forward FX transaction.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
</xsd:choice>
</xsd:group>
</xsd:schema>
XML schema documentation generated with DocFlex/XML 1.9.0 using DocFlex/XML XSDDoc 2.8.0 template set. All content model diagrams generated by Altova XMLSpy via DocFlex/XML XMLSpy Integration.