The Equity Derivative Working Group extended FpML to cover:
Variance Swaps and Options are modelled using the following product element in FpML:
these components provide support for:
varianceSwap specifies the structure of a variance swap.
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varianceSwapTransactionSupplement 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.
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varianceLeg - A type describing return which is driven by a Variance calculation.
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varianceOptionTransactionSupplement specifies the structure of a variance option transaction supplement. VarianceOptionTransactionSupplement implements Variance Option Transaction Supplement by providing a short form representation for use in trades governed by a Master Confirmation Agreement.
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