12 CORRELATION PRODUCT ARCHITECTURE

12.1 Correlation Derivatives Scope

The Equity Derivative Working Group extended FpML to cover:

12.2 Overall Architecture

Correlation Swaps are modelled using the following product element in FpML:

images/correlation-swaps/ClassHierarchy.gif

12.2.1 correlationSwap

The Correlation Swap product is modelled as a single netted leg.

images/correlation-swaps/correlationSwap.jpg

  • 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.
  • correlationLeg - A type describing return which is driven by a Correlation calculation.

12.2.2 correlationLeg

correlationLeg - A type describing return which is driven by a Correlation calculation.

images/correlation-swaps/correlationLeg.jpg

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