Correlation Swaps are modelled using the following product element in FpML:
correlationSwap
13.2.1 correlationSwap
The
correlationSwap product is modelled as a single netted leg.
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.
13.2.2 correlationLeg
The
correlationLeg - A type describing return which is driven by a Correlation calculation.