Variance Swaps are modelled using the following product element in FpML:
- varianceSwap
- varianceSwapTransactionSupplement
these components provide support for:
Variance Swap specifies the structure of a variance swap.
- productType - A classification of the type of product. FpML defines a simple product categorization using a coding scheme.
- productId - A product reference identifier allocated by a party. FpML does not define the domain values associated with this element. Note that the domain values for this element are not strictly an enumerated list..
- additionalPayment - Specifies additional payment(s) between the principal parties to the netted swap.
- extraordinaryEvents - Where the underlying is shares, defines market events affecting the issuer of those shares that may require the terms of the transaction to be adjusted.
- varianceLeg - Variance leg. The maximum allowable number of variance legs has been increased to unbounded to allow Variance Dispersion to be supported.
Variance Swap Transaction Supplement specifies the structure of a variance swap transaction supplement. This modelled using the same variance legs as Variance Swap, but does not allow for long form content such as extraordinary events.
VarianceLeg - A type describing return which is driven by a Variance calculation.
- legIdentifier - Version aware identification of this leg. (e.g. Variance Dispersion typically involves many legs, with 1 IVS and 50 EVS legs being typical. Leg Identifier has been introduced as an optional child element to support identification of each of these legs.)