All,
please find enclosed a diagram of the Sec Lendind model - hopefully it will
be more appealing than the XML schema to understand the model.
I have also included a snippet, for the SecurityLending product itself, as
a reference.
(Embedded image moved to file: pic26500.jpg)
<xsd:complexType name="SecurityLending">
<xsd:annotation>
<xsd:documentation xml:lang="en">A Securities Lending
agreement, modeled as an FpML:Product.</xsd:documentation>
</xsd:annotation>
<xsd:complexContent>
<xsd:extension base="Product">
<xsd:sequence>
<xsd:choice>
<xsd:sequence>
<xsd:annotation>
<xsd:documentation
xml:lang="en">
This
anonymous sequence below is for rebate-based trades, expressed either as
fixed rate
or spread
over a benchmark.
</xsd:documentation>
</xsd:annotation>
<xsd:choice>
<xsd:element name=
"fixedRateSchedule" type="Schedule">
<xsd:annotation>
<
xsd:documentation xml:lang="en">
The fixed
repo rate. It is usually fixed for the duration of the agreement but can be
changed with
mid-life
events (rate changes) except for buy SellBack trades.
</
xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name=
"floatingRateCalculation" type="FloatingRateCalculation">
<xsd:annotation>
<
xsd:documentation xml:lang="en">
The float
index and tenor, with a spread. Use for floating rate repos. Most floatings
in Europe are
against
EONIA.
</
xsd:documentation>
</xsd:annotation>
</xsd:element>
</xsd:choice>
<xsd:element name=
"dayCountFraction" type="DayCountFraction">
<xsd:annotation>
<xsd:documentation
xml:lang="en">The day count fraction.</xsd:documentation>
</xsd:annotation>
</xsd:element>
</xsd:sequence>
<xsd:element name="feeRateSchedule"
type="Schedule" />
</xsd:choice>
<xsd:element name="duration" type=
"RepoDurationEnum" />
<xsd:element name="margin" type="Margin" />
<xsd:element name="spotLeg" type=
"SecLendingTransactionLeg" />
<xsd:element name="forwardLeg" type=
"SecLendingTransactionLeg" minOccurs="0">
<xsd:annotation>
<xsd:documentation xml:lang="en">
The forward transaction
must be specified, unless the lending is open ended.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element ref="midLifeEvent" minOccurs="0"
maxOccurs="unbounded">
<xsd:annotation>
<xsd:documentation xml:lang="en">
Mid life events that occur
during the lifetime of the Sec Lending go here.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:choice maxOccurs="unbounded">
<xsd:annotation>
<xsd:documentation xml:lang="en">
A list of instruments referenced by the Securities Lending agreement.</
xsd:documentation>
</xsd:annotation>
<xsd:group ref="BondChoice.model" />
<xsd:element ref="equity" />
</xsd:choice>
</xsd:sequence>
</xsd:extension>
</xsd:complexContent>
</xsd:complexType>
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