FpML Financial product Markup Language
Last Call Working Draft 13 September 2002

Data Dictionary

Version: 3.0

This version: http://www.fpml.org/spec/2002/lcwd-fpml-3-0-2002-09-13

Latest version: http://www.fpml.org/spec/fpml-3-0

Previous version: http://www.fpml.org/spec/2002/wd-fpml-3-0-2002-04-17

Errata for this version: http://www.groups.yahoo.com/group/fpml-issues/files/lcwd-fpml-3-0-2002-09-13-errata.html





Copyright 1999 - 2002. All rights reserved.

Financial Products Markup Language is subject to the FpML Public License.

A copy of this license is available at http://www.fpml.org/documents/license





Element Definitions

Element/DescriptionUsed By

additionalPayment
; entity type: FpML_Fee

Additional payments between the principal parties.


Source: lcwd-fpml-dtd-ird-3-0-2002-09-13.dtd


FpML_Swap
FpML_CapFloor

adjustableDate
; entity type: FpML_AdjustableDate

A date that shall be subject to adjustment if it would otherwise fall on a day that is not a business day in the specified business centers, together with the convention for adjusting the date.


Source: lcwd-fpml-dtd-shared-3-0-2002-09-13.dtd


FpML_AdjustableOrRelativeDate

adjustableDates
; entity type: FpML_AdjustableDates

A series of dates that shall be subject to adjustment if they would otherwise fall on a day that is not a business day in the specified business centers, together with the convention for adjusting the date.


Source: lcwd-fpml-dtd-shared-3-0-2002-09-13.dtd


FpML_AdjustableOrRelativeDates
FpML_CashSettlementPaymentDate

adjustedCashSettlementPaymentDate
; built-in datatype: date

The date on which the cash settlement amount is paid. This date should already be adjusted for any applicable business day convention.


Source: lcwd-fpml-dtd-ird-3-0-2002-09-13.dtd


FpML_EarlyTerminationEvent
FpML_ExerciseEvent
FpML_MandatoryEarlyTerminationAdjustedDates

adjustedCashSettlementValuationDate
; built-in datatype: date

The date by which the cash settlement amount must be agreed. This date should already be adjusted for any applicable business day convention.


Source: lcwd-fpml-dtd-ird-3-0-2002-09-13.dtd


FpML_EarlyTerminationEvent
FpML_ExerciseEvent
FpML_MandatoryEarlyTerminationAdjustedDates

adjustedEarlyTerminationDate
; built-in datatype: date

The early termination date that is applicable if an early termination provision is exercised. This date should already be adjusted for any applicable business day convention.


Source: lcwd-fpml-dtd-ird-3-0-2002-09-13.dtd


FpML_CancellationEvent
FpML_EarlyTerminationEvent
FpML_MandatoryEarlyTerminationAdjustedDates

adjustedEffectiveDate
; built-in datatype: date

The start date of the calculation period. This date should already be adjusted for any applicable business day convention. This is also the date when the observed rate is applied, the reset date.


Source: lcwd-fpml-dtd-ird-3-0-2002-09-13.dtd


FpML_Fra

adjustedEndDate
; built-in datatype: date

The calculation period end date, adjusted according to any relevant business day convention.


Source: lcwd-fpml-dtd-ird-3-0-2002-09-13.dtd


FpML_CalculationPeriod

adjustedExerciseDate
; built-in datatype: date

The date on which option exercise takes place. This date should already be adjusted for any applicable business day convention.


Source: lcwd-fpml-dtd-ird-3-0-2002-09-13.dtd


FpML_CancellationEvent
FpML_EarlyTerminationEvent
FpML_ExerciseEvent
FpML_ExtensionEvent

adjustedExerciseFeePaymentDate
; built-in datatype: date

The date on which the exercise fee amount is paid. This date should already be adjusted for any applicable business day convention.


Source: lcwd-fpml-dtd-ird-3-0-2002-09-13.dtd


FpML_EarlyTerminationEvent
FpML_ExerciseEvent

adjustedExtendedTerminationDate
; built-in datatype: date

The termination date if an extendible provision is exercised. This date should already be adjusted for any applicable business day convention.


Source: lcwd-fpml-dtd-ird-3-0-2002-09-13.dtd


FpML_ExtensionEvent

adjustedFixingDate
; built-in datatype: date

The adjusted fixing date, i.e. the actual date the rate is observed. This date should already be adjusted for any applicable business day convention.


Source: lcwd-fpml-dtd-shared-3-0-2002-09-13.dtd


FpML_RateObservation

adjustedFxSpotFixingDate
; built-in datatype: date

The date on which the fx spot rate is observed. This date should already be adjusted for any applicable business day convention.


Source: lcwd-fpml-dtd-ird-3-0-2002-09-13.dtd


FpML_FxLinkedNotionalAmount

adjustedPaymentDate
; built-in datatype: date

The adjusted payment date. This date should already be adjusted for any applicable business day convention.


Source: lcwd-fpml-dtd-shared-3-0-2002-09-13.dtd


FpML_Payment
FpML_PaymentCalculationPeriod

adjustedPrincipalExchangeDate
; built-in datatype: date

The principal exchange date. This date should already be adjusted for any applicable business day convention.


Source: lcwd-fpml-dtd-ird-3-0-2002-09-13.dtd


FpML_PrincipalExchange

adjustedRelevantSwapEffectiveDate
; built-in datatype: date

The effective date of the underlying swap associated with a given exercise date. This date should already be adjusted for any applicable business day convention.


Source: lcwd-fpml-dtd-ird-3-0-2002-09-13.dtd


FpML_ExerciseEvent

adjustedStartDate
; built-in datatype: date

The calculation period start date, adjusted according to any relevant business day convention.


Source: lcwd-fpml-dtd-ird-3-0-2002-09-13.dtd


FpML_CalculationPeriod

adjustedTerminationDate
; built-in datatype: date

The end date of the calculation period. This date should already be adjusted for any applicable business day convention.


Source: lcwd-fpml-dtd-ird-3-0-2002-09-13.dtd


FpML_Fra

americanExercise
; entity type: FpML_AmericanExercise

The parameters for defining the exercise period for an American style option together with any rules governing the notional amount of the underlying which can be exercised on any given exercise date and any associated exercise fees.


Source: lcwd-fpml-dtd-shared-3-0-2002-09-13.dtd


FpML_ExerciseSelection

amount
; built-in datatype: decimal

The monetary quantity in currency units.


Source: lcwd-fpml-dtd-shared-3-0-2002-09-13.dtd


FpML_Money

automaticExercise
; entity type: FpML_AutomaticExercise

If automatic exercise is specified then the notional amount of the underlying swap, not previously exercised under the swaption, will be automatically exercised at the expiration time on the expiration date if at such time the buyer is in-the-money, provided that the difference between the settlement rate and the fixed rate under the relevant underlying swap is not less than the specified thresholdRate. The term In-the-money is assumed to have the meaning defined in the 2000 ISDA Definitions, Section 17.4. In-the-money.


Source: lcwd-fpml-dtd-shared-3-0-2002-09-13.dtd


FpML_ExerciseProcedure

automaticExerciseApplicable
; built-in datatype: boolean

If true then each option not previously exercised will be deemed to be exercised at the expiration time on the expiration date without service of notice unless the buyer notifies the seller that it no longer wishes this to occur.


Source: lcwd-fpml-dtd-eqd-3-0-2002-09-13.dtd


FpML_EquityExercise

averageRateObservationDate
; entity type: FpML_FXAverageRateObservationDate

One of more specific rate observation dates.


Source: lcwd-fpml-dtd-fx-3-0-2002-09-13.dtd


FpML_FXAverageRateOption

averageRateObservationSchedule
; entity type: FpML_FXAverageRateObservationSchedule

Parametric schedule of rate observations.


Source: lcwd-fpml-dtd-fx-3-0-2002-09-13.dtd


FpML_FXAverageRateOption

averageRateQuoteBasis
; built-in datatype: string ; coding scheme: strikeQuoteBasisScheme

The method by which the average rate that is being observed is quoted.


Source: lcwd-fpml-dtd-fx-3-0-2002-09-13.dtd


FpML_FXAverageRateOption

averageRateWeightingFactor
; built-in datatype: decimal

An optional factor that can be used for weighting certain observation dates. Typically, firms will weight each date with a factor of 1 if there are standard, unweighted adjustments.


Source: lcwd-fpml-dtd-fx-3-0-2002-09-13.dtd


FpML_FXAverageRateObservationDate

averagingMethod
; built-in datatype: string ; coding scheme: averagingMethodScheme

If averaging is applicable, this element specifies whether a weighted or unweighted average method of calculation is to be used. The element must only be included when averaging applies.


Source: lcwd-fpml-dtd-ird-3-0-2002-09-13.dtd


FpML_FloatingRateCalculation

baseCurrency
; built-in datatype: string ; coding scheme: currencyScheme

The currency that is used as the basis for the side rates when calculating a cross rate.


Source: lcwd-fpml-dtd-fx-3-0-2002-09-13.dtd


FpML_SideRates

beneficiary
; entity type: FpML_Routing

The ultimate beneficiary of the funds. The beneficiary can be identified either by an account at the beneficiaryBank (qv) or by explicit routingInformation. This element provides for the latter.


Source: lcwd-fpml-dtd-fx-3-0-2002-09-13.dtd


FpML_SettlementInstruction
FpML_SplitSettlement

beneficiaryBank
; built-in datatype: string

The bank that acts for the ultimate beneficiary of the funds in receiving payments.


Source: lcwd-fpml-dtd-fx-3-0-2002-09-13.dtd


FpML_SettlementInstruction
FpML_SplitSettlement

bermudaExercise
; entity type: FpML_BermudaExercise

The parameters for defining the exercise period for a Bermuda style option together with any rules governing the notional amount of the underlying which can be exercised on any given exercise date and any associated exercise fees.


Source: lcwd-fpml-dtd-shared-3-0-2002-09-13.dtd


FpML_ExerciseSelection

bermudaExerciseDates
; entity type: FpML_AdjustableOrRelativeDates

The dates that define the bermuda option exercise dates and the expiration date. The last specified exercise date is assumed to be the expiration date. The dates can either be specified as a series of explicit dates and associated adjustments or as a series of dates defined relative to another schedule of dates, for example, the calculation period start dates. Where a relative series of dates are defined the first and last possible exercise dates can be separately specified.


Source: lcwd-fpml-dtd-shared-3-0-2002-09-13.dtd


FpML_BermudaExercise

bulletPayment
; entity type: FpML_BulletPayment

A product to represent one or more known payments.


Source: lcwd-fpml-dtd-ird-3-0-2002-09-13.dtd


FpML_ProductSelection

businessCenter
; built-in datatype: string ; coding scheme: businessCenterScheme

A code identifying a financial business center location. A list of business centers may be ordered in the document alphabetically based on business center code. An FpML document containing an unordered business center list is still regarded as a conformant document.


Source: lcwd-fpml-dtd-shared-3-0-2002-09-13.dtd


FpML_BusinessCenters
FpML_BusinessCenterTime
FpML_ExerciseNotice

businessCenters
; entity type: FpML_BusinessCenters

A container for a set of financial business centers. This set of business centers is used to determine whether a day is a business day or not.


Source: lcwd-fpml-dtd-shared-3-0-2002-09-13.dtd


FpML_BusinessDayAdjustments
FpML_RelativeDateOffset
FpML_BusinessDateRange

businessCentersReference
; empty element

A pointer style reference to a set of financial business centers defined elsewhere in the document. This set of business centers is used to determine whether a particular day is a business day or not.


Source: lcwd-fpml-dtd-shared-3-0-2002-09-13.dtd


FpML_BusinessDayAdjustments
FpML_RelativeDateOffset
FpML_BusinessDateRange

businessDateRange
; entity type: FpML_BusinessDateRange

A range of contiguous business days.


Source: lcwd-fpml-dtd-shared-3-0-2002-09-13.dtd


FpML_CashSettlementPaymentDate

businessDayConvention
; built-in datatype: string ; coding scheme: businessDayConventionScheme

The convention for adjusting a date if it would otherwise fall on a day that is not a business day.

(FpML_BusinessDayAdjustments usage) If the business day convention value is NONE then neither the businessCentersReference or businessCenters element should be included

(FpML_RelativeDateOffset usage) If the business day convention value is NONE then the businessCentersReference or businessCenters element should still be included if the dayType element contains a value of Business since the business centers defined are those used for determining good business days.


Source: lcwd-fpml-dtd-shared-3-0-2002-09-13.dtd


FpML_BusinessDayAdjustments
FpML_RelativeDateOffset
FpML_BusinessDateRange

buyer
; built-in datatype: string ; coding scheme: payerReceiverScheme

The buyer of the option


Source: lcwd-fpml-dtd-shared-3-0-2002-09-13.dtd


FpML_Strike
FpML_StrikeSchedule

buyerParty
; entity type: FpML_PartyDetails

The party buying the option.


Source: lcwd-fpml-dtd-eqd-3-0-2002-09-13.dtd


FpML_EquityOption

buyerPartyReference
; empty element

A pointer style reference to a party identifier defined elsewhere in the document. The party referenced is the buyer of the instrument.

(FpML_SinglePartyOption usage) The ISDA defined Buyer. The party referenced holds the right, upon exercise, to terminate the Swap Transaction in whole or in part (depending on whether partial exercise is applicable).


Source: lcwd-fpml-dtd-shared-3-0-2002-09-13.dtd


FpML_FXOptionLeg
FpML_FXDigitalOption
FpML_FXAverageRateOption
FpML_Fra
FpML_CancelableProvision
FpML_ExtendibleProvision
FpML_SinglePartyOption
FpML_Swaption

calculatedRate
; built-in datatype: decimal

The final calculated rate for a calculation period after any required averaging of rates. A calculated rate of 5% would be represented as 0.05.


Source: lcwd-fpml-dtd-ird-3-0-2002-09-13.dtd


FpML_FloatingRateDefinition

calculation
; entity type: FpML_Calculation

The parameters used in the calculation of fixed or floating rate calculation period amounts.


Source: lcwd-fpml-dtd-ird-3-0-2002-09-13.dtd


FpML_CalculationPeriodAmount

calculationAgent
; entity type: FpML_CalculationAgent

The ISDA Calculation Agent responsible for performing duties associated with an optional early termination.


Source: lcwd-fpml-dtd-shared-3-0-2002-09-13.dtd


FpML_MandatoryEarlyTermination
FpML_OptionalEarlyTermination
FpML_Trade

calculationAgentParty
; built-in datatype: string ; coding scheme: calculationAgentPartyScheme

The ISDA Calculation Agent where the actual party responsible for performing the duties associated with a mandatory or optional early termination on a Swap Transaction will be determined at exercise, or in the case of mandatory early termination on the Cash Settlement Valuation Date. For example, the Calculation Agent in an optional early termination may be defined as being the Non-exercising Party. Alternatively, the party responsible may be determined by reference to the relevant master agreement.


Source: lcwd-fpml-dtd-shared-3-0-2002-09-13.dtd


FpML_CalculationAgent

calculationAgentPartyReference
; empty element

A pointer style reference to a party identifier defined elsewhere in the document. The party referenced is the ISDA Calculation Agent for the trade. If more than one party is referenced then the parties are assumed to be co-calculation agents, i.e. they have joint responsibility.


Source: lcwd-fpml-dtd-shared-3-0-2002-09-13.dtd


FpML_CalculationAgent
FpML_Swaption
FpML_TradeHeader

calculationPeriod
; entity type: FpML_CalculationPeriod

The parameters used in the calculation of a fixed or floating rate calculation period amount. A list of calculation period elements may be ordered in the document by ascending adjusted start date. An FpML document which contains an unordered list of calculation periods is still regarded as a conformant document.


Source: lcwd-fpml-dtd-ird-3-0-2002-09-13.dtd


FpML_PaymentCalculationPeriod

calculationPeriodAmount
; entity type: FpML_CalculationPeriodAmount

The calculation period amount parameters.


Source: lcwd-fpml-dtd-ird-3-0-2002-09-13.dtd


FpML_InterestRateStream

calculationPeriodDates
; entity type: FpML_CalculationPeriodDates

The calculation periods dates schedule.


Source: lcwd-fpml-dtd-ird-3-0-2002-09-13.dtd


FpML_InterestRateStream

calculationPeriodDatesAdjustments
; entity type: FpML_BusinessDayAdjustments

The business day convention to apply to each calculation period end date if it would otherwise fall on a day that is not a business day in the specified financial business centers.


Source: lcwd-fpml-dtd-ird-3-0-2002-09-13.dtd


FpML_CalculationPeriodDates

calculationPeriodDatesReference
; empty element

A pointer style reference to the associated calculation period dates component defined elsewhere in the document.


Source: lcwd-fpml-dtd-ird-3-0-2002-09-13.dtd


FpML_NotionalStepRule
FpML_PaymentDates
FpML_ResetDates
FpML_StubCalculationPeriodAmount

calculationPeriodFrequency
; entity type: FpML_CalculationPeriodFrequency

The frequency at which calculation period end dates occur within the regular part of the calculation period schedule and their roll date convention.


Source: lcwd-fpml-dtd-shared-3-0-2002-09-13.dtd


FpML_FXAverageRateObservationSchedule
FpML_CalculationPeriodDates

calculationPeriodNumberOfDays
; built-in datatype: positiveInteger

The number of days from the adjusted effective date to the adjusted termination date calculated in accordance with the applicable day count fraction.


Source: lcwd-fpml-dtd-ird-3-0-2002-09-13.dtd


FpML_Fra

callCurrencyAmount
; entity type: FpML_Money

The currency amount that the option gives the right to buy.


Source: lcwd-fpml-dtd-fx-3-0-2002-09-13.dtd


FpML_FXOptionLeg
FpML_FXAverageRateOption

cancelableProvision
; entity type: FpML_CancelableProvision

A provision that allows the specification of an embedded option within a swap giving the buyer of the option the right to terminate the swap, in whole or in part, on the early termination date.


Source: lcwd-fpml-dtd-ird-3-0-2002-09-13.dtd


FpML_Swap

cancelableProvisionAdjustedDates
; entity type: FpML_CancelableProvisionAdjustedDates

The adjusted dates associated with a cancelable provision. These dates have been adjusted for any applicable business day convention.


Source: lcwd-fpml-dtd-ird-3-0-2002-09-13.dtd


FpML_CancelableProvision

cancellationEvent
; entity type: FpML_CancellationEvent

The adjusted dates for an individual cancellation date.


Source: lcwd-fpml-dtd-ird-3-0-2002-09-13.dtd


FpML_CancelableProvisionAdjustedDates

capFloor
; entity type: FpML_CapFloor

A cap, floor or cap floor structures product definition.


Source: lcwd-fpml-dtd-ird-3-0-2002-09-13.dtd


FpML_ProductSelection

capFloorStream
; entity type: FpML_InterestRateStream

A cap, floor or cap floor structure stream.


Source: lcwd-fpml-dtd-ird-3-0-2002-09-13.dtd


FpML_CapFloor

capRate
; entity type: FpML_Strike

The cap rate, if any, which applies to the floating rate for the calculation period. The cap rate (strike) is only required where the floating rate on a swap stream is capped at a certain strike level. The cap rate is assumed to be exclusive of any spread and is a per annum rate, expressed as a decimal. A cap rate of 5% would be represented as 0.05.


Source: lcwd-fpml-dtd-ird-3-0-2002-09-13.dtd


FpML_FloatingRateDefinition

capRateSchedule
; entity type: FpML_StrikeSchedule

The cap rate or cap rate schedule, if any, which applies to the floating rate. The cap rate (strike) is only required where the floating rate on a swap stream is capped at a certain strike level. A cap rate schedule is expressed as explicit cap rates and dates and the step dates may be subject to adjustment in accordance with any adjustments specified in calculationPeriodDatesAdjustments. The cap rate is assumed to be exclusive of any spread and is a per annum rate, expressed as a decimal. A cap rate of 5% would be represented as 0.05.


Source: lcwd-fpml-dtd-ird-3-0-2002-09-13.dtd


FpML_FloatingRate

cashflows
; entity type: FpML_Cashflows

The cashflows representation of the swap stream.


Source: lcwd-fpml-dtd-ird-3-0-2002-09-13.dtd


FpML_InterestRateStream

cashflowsMatchParameters
; built-in datatype: boolean

A true/false flag to indicate whether the cashflows match the parametric definition of the stream, i.e. whether the cashflows could be regenerated from the parameters without loss of information.


Source: lcwd-fpml-dtd-ird-3-0-2002-09-13.dtd


FpML_Cashflows

cashPriceAlternateMethod
; entity type: FpML_CashPriceMethod

An ISDA defined cash settlement method used for the determination of the applicable cash settlement amount. The method is defined in the 2000 ISDA Definitions, Section 17.3. Cash Settlement Methods, paragraph (b).


Source: lcwd-fpml-dtd-ird-3-0-2002-09-13.dtd


FpML_CashSettlement

cashPriceMethod
; entity type: FpML_CashPriceMethod

An ISDA defined cash settlement method used for the determination of the applicable cash settlement amount. The method is defined in the 2000 ISDA Definitions, Section 17.3. Cash Settlement Methods, paragraph (a).


Source: lcwd-fpml-dtd-ird-3-0-2002-09-13.dtd


FpML_CashSettlement

cashSettlement
; entity type: FpML_CashSettlement

If specified, this means that cash settlement is applicable to the transaction and defines the parameters associated with the cash settlement procedure. If not specified, then physical settlement is applicable.


Source: lcwd-fpml-dtd-ird-3-0-2002-09-13.dtd


FpML_MandatoryEarlyTermination
FpML_OptionalEarlyTermination
FpML_Swaption

cashSettlementCurrency
; built-in datatype: string ; coding scheme: currencyScheme

The currency in which the cash settlement amount will be specified.


Source: lcwd-fpml-dtd-ird-3-0-2002-09-13.dtd


FpML_CashPriceMethod

cashSettlementPaymentDate
; entity type: FpML_CashSettlementPaymentDate

The date on which the cash settlement amount will be paid, subject to adjustment in accordance with any applicable business day convention. This element would not be present for a mandatory early termination provision where the cash settlement date is the mandatory early termination date.


Source: lcwd-fpml-dtd-ird-3-0-2002-09-13.dtd


FpML_CashSettlement

cashSettlementReferenceBanks
; entity type: FpML_CashSettlementReferenceBanks

A container for a set of reference institutions. These reference institutions may be called upon to provide rate quotations as part of the method to determine the applicable cash settlement amount. If institutions are not specified, it is assumed that reference institutions will be agreed between the parties on the exercise date, or in the case of swap transaction to which mandatory early termination is applicable, the cash settlement valuation date.


Source: lcwd-fpml-dtd-ird-3-0-2002-09-13.dtd


FpML_CashPriceMethod
FpML_SettlementRateSource

cashSettlementTerms
; entity type: FpML_FXCashSettlement

This optional element is only used if an option has been specified at execution time to be settled into a single cash payment. This would be used for a non-deliverable option.


Source: lcwd-fpml-dtd-fx-3-0-2002-09-13.dtd


FpML_FXOptionLeg

cashSettlementValuationDate
; entity type: FpML_RelativeDateOffset

The date on which the cash settlement amount will be determined according to the cash settlement method if the parties have not otherwise been able to agree the cash settlement amount.


Source: lcwd-fpml-dtd-ird-3-0-2002-09-13.dtd


FpML_CashSettlement

cashSettlementValuationTime
; entity type: FpML_BusinessCenterTime

The time on the cash settlement valuation date when the cash settlement amount will be determined according to the cash settlement method if the parties have not otherwise been able to agree the cash settlement amount.


Source: lcwd-fpml-dtd-ird-3-0-2002-09-13.dtd


FpML_CashSettlement

city
; built-in datatype: string

The city component of a postal address.


Source: lcwd-fpml-dtd-fx-3-0-2002-09-13.dtd


FpML_Address

clearanceSystem
; built-in datatype: string ; coding scheme: clearanceSystemScheme

Unless otherwise specified, the principal clearance system customarily used for settling trades in the relevant underlying.


Source: lcwd-fpml-dtd-eqd-3-0-2002-09-13.dtd


FpML_Equity

commencementDate
; entity type: FpML_AdjustableOrRelativeDate

The first day of the exercise period for an American style option.


Source: lcwd-fpml-dtd-shared-3-0-2002-09-13.dtd


FpML_SharedAmericanExercise
FpML_AmericanExercise

compoundingMethod
; built-in datatype: string ; coding scheme: compoundingMethodScheme

If more than one calculation period contributes to a single payment amount this element specifies whether compounding is applicable, and if so, what compounding method is to be used. This element must only be included when more than one calculation period contributes to a single payment amount.


Source: lcwd-fpml-dtd-ird-3-0-2002-09-13.dtd


FpML_Calculation

confirmationSenderPartyReference
; empty element

The party that is sending the current document as a confirmation of the trade.


Source: lcwd-fpml-dtd-fx-3-0-2002-09-13.dtd


FpML_FXLeg

constantNotionalScheduleReference
; empty element

A pointer style reference to the associated constant notional schedule defined elsewhere in the document which contains the currency amounts which will be converted into the varying notional currency amounts using the spot currency exchange rate.


Source: lcwd-fpml-dtd-ird-3-0-2002-09-13.dtd


FpML_FxLinkedNotionalSchedule

contractualDefinitions
; entity type: FpML_Definitions ; coding scheme: contractualDefinitionsScheme

The definitions (such as those published by ISDA) published by ISDA that will define the terms of the trade.


Source: lcwd-fpml-dtd-shared-3-0-2002-09-13.dtd


FpML_Documentation

correspondentInformation
; entity type: FpML_Routing

The information required to identify the correspondent bank that will make delivery of the funds on the paying bank's behalf in the country where the payment is to be made


Source: lcwd-fpml-dtd-fx-3-0-2002-09-13.dtd


FpML_SettlementInstruction

country
; built-in datatype: string ; coding scheme: countryScheme

The ISO 3166 standard code for the country within which the postal address is located.


Source: lcwd-fpml-dtd-fx-3-0-2002-09-13.dtd


FpML_Address

creditSupportDocument
; built-in datatype: string

The agreement executed between the parties and intended to govern collateral arrangement for all OTC derivatives transactions between those parties.


Source: lcwd-fpml-dtd-shared-3-0-2002-09-13.dtd


FpML_Documentation

currency
; built-in datatype: string ; coding scheme: currencyScheme

The currency in which an amount is denominated.


Source: lcwd-fpml-dtd-shared-3-0-2002-09-13.dtd


FpML_Money
FpML_AmountSchedule
FpML_SideRate
FpML_EquityStrike
FpML_Equity

currency1
; built-in datatype: string ; coding scheme: currencyScheme

The first currency specified when a pair of currencies is to be evaluated.


Source: lcwd-fpml-dtd-fx-3-0-2002-09-13.dtd


FpML_QuotedCurrencyPair

currency1SideRate
; entity type: FpML_SideRate

The exchange rate for the first currency of the trade against base currency.


Source: lcwd-fpml-dtd-fx-3-0-2002-09-13.dtd


FpML_SideRates

currency1ValueDate
; built-in datatype: date

The date on which the currency1 amount will be settled. To be used in a split value date scenario.


Source: lcwd-fpml-dtd-fx-3-0-2002-09-13.dtd


FpML_FXLeg

currency2
; built-in datatype: string ; coding scheme: currencyScheme

The second currency specified when a pair of currencies is to be evaluated.


Source: lcwd-fpml-dtd-fx-3-0-2002-09-13.dtd


FpML_QuotedCurrencyPair

currency2SideRate
; entity type: FpML_SideRate

The exchange rate for the second currency of the trade against base currency.


Source: lcwd-fpml-dtd-fx-3-0-2002-09-13.dtd


FpML_SideRates

currency2ValueDate
; built-in datatype: date

The date on which the currency2 amount will be settled. To be used in a split value date scenario.


Source: lcwd-fpml-dtd-fx-3-0-2002-09-13.dtd


FpML_FXLeg

cutName
; built-in datatype: string ; coding scheme: cutNameScheme

Allows for an expiryDateTime cut to be described by name.


Source: lcwd-fpml-dtd-fx-3-0-2002-09-13.dtd


FpML_ExpiryDateTime

dateAdjustments
; entity type: FpML_BusinessDayAdjustments

The business day convention and financial business centers used for adjusting the date if it would otherwise fall on a day that is not a business day in the specified business centers.


Source: lcwd-fpml-dtd-shared-3-0-2002-09-13.dtd


FpML_AdjustableDate
FpML_AdjustableDates

dateRelativeTo
; built-in datatype: string ; coding scheme: dateRelativeToScheme

Specifies the anchor date. This element also carries an href attribute. The href attribute value will be a pointer style reference to the element or component elsewhere in the document where the anchor date is defined.


Source: lcwd-fpml-dtd-shared-3-0-2002-09-13.dtd


FpML_RelativeDateOffset

dayCountFraction
; built-in datatype: string ; coding scheme: dayCountFractionScheme

The day count fraction.


Source: lcwd-fpml-dtd-ird-3-0-2002-09-13.dtd


FpML_Calculation
FpML_Fra

dayType
; built-in datatype: string ; coding scheme: dayTypeScheme

In the case of an offset specified as a number of days, this element defines whether consideration is given as to whether a day is a good business day or not. If a day type of business days is specified then non-business days are ignored when calculating the offset. The financial business centers to use for determination of business days are implied by the context in which this element is used. This element must only be included when the offset is specified as a number of days. If the offset is zero days then the dayType element should not be included.


Source: lcwd-fpml-dtd-shared-3-0-2002-09-13.dtd


FpML_Offset

delisting
; built-in datatype: string ; coding scheme: nationalisationOrInsolvencyOrDelistingScheme

The term "Delisting" has the meaning defined in the ISDA 1996 Equity Derivatives Definitions.


Source: lcwd-fpml-dtd-eqd-3-0-2002-09-13.dtd


FpML_ExtraordinaryEvents

description
; built-in datatype: string

The name of a security.


Source: lcwd-fpml-dtd-eqd-3-0-2002-09-13.dtd


FpML_Equity

discounting
; entity type: FpML_Discounting

The parameters specifying any discounting conventions that may apply. This element must only be included if discounting applies.


Source: lcwd-fpml-dtd-ird-3-0-2002-09-13.dtd


FpML_Calculation

discountingType
; built-in datatype: string ; coding scheme: discountingTypeScheme

The discounting method that is applicable.


Source: lcwd-fpml-dtd-ird-3-0-2002-09-13.dtd


FpML_Discounting

discountRate
; built-in datatype: decimal

A discount rate, expressed as a decimal, to be used in the calculation of a discounted amount. A discount rate of 5% would be represented as 0.05.


Source: lcwd-fpml-dtd-ird-3-0-2002-09-13.dtd


FpML_Discounting

discountRateDayCountFraction
; built-in datatype: string ; coding scheme: dayCountFractionScheme

A discount day count fraction to be used in the calculation of a discounted amount.


Source: lcwd-fpml-dtd-ird-3-0-2002-09-13.dtd


FpML_Discounting

documentation
; entity type: FpML_Documentation

Defines the definitions that govern the document and should include the year and type of definitions referenced, along with any relevant documentation (such as master agreement) and the date it was signed.


Source: lcwd-fpml-dtd-shared-3-0-2002-09-13.dtd


FpML_Trade

earliestExerciseTime
; entity type: FpML_BusinessCenterTime

The earliest time at which notice of exercise can be given by the buyer to the seller (or seller's agent) i) on the expiration date, in the case of a European style option, (ii) on each bermuda option exercise date and the expiration date, in the case of a Bermuda style option and (iii) all days that are exercise business days from and including the commencement date to, and including, the expiration date, in the case of an American style option.


Source: lcwd-fpml-dtd-shared-3-0-2002-09-13.dtd


FpML_AmericanExercise
FpML_BermudaExercise
FpML_EuropeanExercise

earlyTerminationEvent
; entity type: FpML_EarlyTerminationEvent

The adjusted dates associated with an individual early termination date.


Source: lcwd-fpml-dtd-ird-3-0-2002-09-13.dtd


FpML_OptionalEarlyTerminationAdjustedDates

earlyTerminationProvision
; entity type: FpML_EarlyTerminationProvision

Parameters specifying provisions relating to the optional and mandatory early termination of a swap transaction.


Source: lcwd-fpml-dtd-ird-3-0-2002-09-13.dtd


FpML_Swap

effectiveDate
; entity type: FpML_AdjustableDate

The first day of the term of the trade. This day may be subject to adjustment in accordance with a business day convention.


Source: lcwd-fpml-dtd-ird-3-0-2002-09-13.dtd


FpML_CalculationPeriodDates

equityAmericanExercise
; entity type: FpML_EquityAmericanExercise

The parameters for defining the exercise period for an American style equity option together with the rules governing the quantity of the underlying that can be exercised on any given exercise date.


Source: lcwd-fpml-dtd-eqd-3-0-2002-09-13.dtd


FpML_EquityExercise

equityEuropeanExercise
; entity type: FpML_EquityEuropeanExercise

The parameters for defining the expiration date and time for a European style equity option


Source: lcwd-fpml-dtd-eqd-3-0-2002-09-13.dtd


FpML_EquityExercise

equityExercise
; entity type: FpML_EquityExercise

The parameters for defining how the equity option can be exercised, how it is valued and how it is settled.


Source: lcwd-fpml-dtd-eqd-3-0-2002-09-13.dtd


FpML_EquityOption

equityExpirationTime
; entity type: FpML_BusinessCenterTime

The specific time of day at which the equity option expires.


Source: lcwd-fpml-dtd-eqd-3-0-2002-09-13.dtd


FpML_EquityAmericanExercise
FpML_EquityEuropeanExercise

equityExpirationTimeType
; built-in datatype: string ; coding scheme: timeTypeScheme

The time of day at which the equity option expires, for example the official closing time of the exchange.


Source: lcwd-fpml-dtd-eqd-3-0-2002-09-13.dtd


FpML_EquityAmericanExercise
FpML_EquityEuropeanExercise

equityMultipleExercise
; entity type: FpML_EquityMultipleExercise

The presence of this element indicates that the option may be exercised on different days. It is not applicable to European options.


Source: lcwd-fpml-dtd-eqd-3-0-2002-09-13.dtd


FpML_EquityAmericanExercise

equityOption
; entity type: FpML_EquityOption

An equity option product definition.


Source: lcwd-fpml-dtd-eqd-3-0-2002-09-13.dtd


FpML_ProductSelection

equityPremium
; entity type: FpML_EquityPremium

The equity option premium payable by the buyer to the seller.


Source: lcwd-fpml-dtd-eqd-3-0-2002-09-13.dtd


FpML_EquityOption

equityValuation
; entity type: FpML_EquityValuation

The parameters for defining when valuation of the underlying takes place.


Source: lcwd-fpml-dtd-eqd-3-0-2002-09-13.dtd


FpML_EquityExercise

europeanExercise
; entity type: FpML_EuropeanExercise

The parameters for defining the exercise period for a European style option together with any rules governing the notional amount of the underlying which can be exercised on any given exercise date and any associated exercise fees.


Source: lcwd-fpml-dtd-shared-3-0-2002-09-13.dtd


FpML_ExerciseSelection

exchangedCurrency1
; entity type: FpML_CurrencyFlow

This is the first of the two currency flows that define a single leg of a standard foreign exchange transaction.


Source: lcwd-fpml-dtd-fx-3-0-2002-09-13.dtd


FpML_FXLeg

exchangedCurrency2
; entity type: FpML_CurrencyFlow

This is the second of the two currency flows that define a single leg of a standard foreign exchange transaction.


Source: lcwd-fpml-dtd-fx-3-0-2002-09-13.dtd


FpML_FXLeg

exchangeId
; built-in datatype: string ; coding scheme: exchangeIdScheme

A short form unique identifier for an exchange. If the element is not present then the exchange shall be the primary exchange on which the underlying is listed. The term "Exchange" is assumed to have the meaning as defined in the ISDA 1996 Equity Derivatives Definitions.


Source: lcwd-fpml-dtd-eqd-3-0-2002-09-13.dtd


FpML_Equity

exchangeRate
; entity type: FpML_FXRate

The rate of exchange between the two currencies.


Source: lcwd-fpml-dtd-fx-3-0-2002-09-13.dtd


FpML_FXLeg

exerciseEvent
; entity type: FpML_ExerciseEvent

The adjusted dates associated with an individual swaption exercise date.


Source: lcwd-fpml-dtd-ird-3-0-2002-09-13.dtd


FpML_SwaptionAdjustedDates

exerciseFee
; entity type: FpML_ExerciseFee

A fee to be paid on exercise. This could be represented as an amount or a rate and notional reference on which to apply the rate.


Source: lcwd-fpml-dtd-shared-3-0-2002-09-13.dtd


FpML_EuropeanExercise

exerciseFeeSchedule
; entity type: FpML_ExerciseFeeSchedule

The fees associated with an exercise date. The fees are conditional on the exercise occurring. The fees can be specified as actual currency amounts or as percentages of the notional amount being exercised.


Source: lcwd-fpml-dtd-shared-3-0-2002-09-13.dtd


FpML_AmericanExercise
FpML_BermudaExercise

exerciseNotice
; entity type: FpML_ExerciseNotice

Definition of the party to whom notice of exercise should be given.


Source: lcwd-fpml-dtd-shared-3-0-2002-09-13.dtd


FpML_ManualExercise
FpML_CancelableProvision
FpML_ExtendibleProvision
FpML_OptionalEarlyTermination

exerciseNoticePartyReference
; empty element

A pointer style reference to a party identifier defined elsewhere in the document. The party referenced is the party to which notice of exercise should be given by the buyer.


Source: lcwd-fpml-dtd-shared-3-0-2002-09-13.dtd


FpML_ExerciseNotice

exerciseProcedure
; entity type: FpML_ExerciseProcedure

A set of parameters defining procedures associated with the exercise.


Source: lcwd-fpml-dtd-shared-3-0-2002-09-13.dtd


FpML_Swaption

exerciseStyle
; built-in datatype: string ; coding scheme: exerciseStyleScheme

The manner in which the option can be exercised.


Source: lcwd-fpml-dtd-fx-3-0-2002-09-13.dtd


FpML_FXOptionLeg
FpML_FXAverageRateOption

expirationDate
; entity type: FpML_AdjustableOrRelativeDate

The last day within an exercise period for an American style option. For a European style option it is the only day within the exercise period.


Source: lcwd-fpml-dtd-shared-3-0-2002-09-13.dtd


FpML_SharedAmericanExercise
FpML_AmericanExercise
FpML_EuropeanExercise
FpML_EquityEuropeanExercise

expirationTime
; entity type: FpML_BusinessCenterTime

The latest time for expiration on expirationDate.


Source: lcwd-fpml-dtd-shared-3-0-2002-09-13.dtd


FpML_AmericanExercise
FpML_BermudaExercise
FpML_EuropeanExercise

expiryDate
; built-in datatype: date

Represents a standard expiry date as defined for an FX OTC option.


Source: lcwd-fpml-dtd-fx-3-0-2002-09-13.dtd


FpML_ExpiryDateTime

expiryDateTime
; entity type: FpML_ExpiryDateTime

The date and time in a location of the option expiry. In the case of american options this is the latest possible expiry date and time.


Source: lcwd-fpml-dtd-fx-3-0-2002-09-13.dtd


FpML_FXOptionLeg
FpML_FXDigitalOption
FpML_FXAverageRateOption

expiryTime
; entity type: FpML_BusinessCenterTime

The time in a location of the option expiry. In the case of american options this is the latest possible expiry time.


Source: lcwd-fpml-dtd-fx-3-0-2002-09-13.dtd


FpML_ExpiryDateTime

extendibleProvision
; entity type: FpML_ExtendibleProvision

A provision that allows the specification of an embedded option within a swap giving the buyer of the option the right to extend the swap, in whole or in part, to the extended termination date.


Source: lcwd-fpml-dtd-ird-3-0-2002-09-13.dtd


FpML_Swap

extendibleProvisionAdjustedDates
; entity type: FpML_ExtendibleProvisionAdjustedDates

The adjusted dates associated with a extendible provision. These dates have been adjusted for any applicable business day convention.


Source: lcwd-fpml-dtd-ird-3-0-2002-09-13.dtd


FpML_ExtendibleProvision

extensionEvent
; entity type: FpML_ExtensionEvent

The adjusted dates associated with a single extendible exercise date.


Source: lcwd-fpml-dtd-ird-3-0-2002-09-13.dtd


FpML_ExtendibleProvisionAdjustedDates

extraordinaryEvents
; entity type: FpML_ExtraordinaryEvents

Where the underlying is shares, specifies events affecting the issuer of those shares that may require the terms of the transaction to be adjusted.


Source: lcwd-fpml-dtd-eqd-3-0-2002-09-13.dtd


FpML_EquityOption

faceOnCurrency
; built-in datatype: string ; coding scheme: currencyScheme

The currency denotes the face currency as the option was quoted (as opposed to the option currency).


Source: lcwd-fpml-dtd-fx-3-0-2002-09-13.dtd


FpML_QuotedAs

failureToDeliverApplicable
; built-in datatype: boolean

Where the underlying is shares and the transaction is physically settled, then, if true, a failure to deliver the shares on the settlement date will not be an event of default for the purposes of the master agreement.


Source: lcwd-fpml-dtd-eqd-3-0-2002-09-13.dtd


FpML_EquityExercise

fallbackExercise
; built-in datatype: boolean

If fallback exercise is specified then the notional amount of the underlying swap, not previously exercised under the swaption, will be automatically exercised at the expiration time on the expiration date if at such time the buyer is in-the-money, provided that the difference between the settlement rate and the fixed rate under the relevant underlying swap is not less than one tenth of a percentage point (0.10% or 0.001). The term In-the-money is assumed to have the meaning defined in the 2000 ISDA Definitions, Section 17.4. In-the-money.


Source: lcwd-fpml-dtd-shared-3-0-2002-09-13.dtd


FpML_ManualExercise

feeAmount
; built-in datatype: decimal

The amount of fee to be paid on exercise. The currency of this fee is the currency of the referenced notional


Source: lcwd-fpml-dtd-shared-3-0-2002-09-13.dtd


FpML_ExerciseFee

feeAmountSchedule
; entity type: FpML_Schedule

A schedule of fee amounts to be paid on exercise. The currency of this fee is the currency of the referenced notional


Source: lcwd-fpml-dtd-shared-3-0-2002-09-13.dtd


FpML_ExerciseFeeSchedule

feePaymentDate
; entity type: FpML_RelativeDateOffset

The date on which exercise fees will be paid. It can be specified as a relative date.


Source: lcwd-fpml-dtd-shared-3-0-2002-09-13.dtd


FpML_ExerciseFee
FpML_ExerciseFeeSchedule

feeRate
; built-in datatype: decimal

A fee represented as a percentage of some referenced notional


Source: lcwd-fpml-dtd-shared-3-0-2002-09-13.dtd


FpML_ExerciseFee

feeRateSchedule
; entity type: FpML_Schedule

A schedule of rates used to calculate an exercise fee based on the referenced notional.


Source: lcwd-fpml-dtd-shared-3-0-2002-09-13.dtd


FpML_ExerciseFeeSchedule

finalExchange
; built-in datatype: boolean

A true/false flag to indicate whether there is a final exchange of principal on the termination date.


Source: lcwd-fpml-dtd-ird-3-0-2002-09-13.dtd


FpML_PrincipalExchanges

finalRateRounding
; entity type: FpML_Rounding

The rounding convention to apply to the final rate used in determination of a calculation period amount.


Source: lcwd-fpml-dtd-ird-3-0-2002-09-13.dtd


FpML_FloatingRateCalculation

finalStub
; entity type: FpML_Stub

Specifies how the final stub amount is calculated. A single floating rate tenor different to that used for the regular part of the calculation periods schedule may be specified, or two floating tenors may be specified. If two floating rate tenors are specified then Linear Interpolation (in accordance with the 2000 ISDA Definitions, Section 8.3. Interpolation) is assumed to apply. Alternatively, an actual known stub rate or stub amount may be specified.


Source: lcwd-fpml-dtd-ird-3-0-2002-09-13.dtd


FpML_StubCalculationPeriodAmount

firstNotionalStepDate
; built-in datatype: date

The unadjusted calculation period start date of the first change in notional. This day may be subject to adjustment in accordance with any adjustments specified in calculationPeriodDatesAdjustments.


Source: lcwd-fpml-dtd-ird-3-0-2002-09-13.dtd


FpML_NotionalStepRule

firstPaymentDate
; built-in datatype: date

The first unadjusted payment date. This day may be subject to adjustment in accordance with any business day convention specified in paymentDatesAdjustments. This element must only be included if there is an initial stub. This date will normally correspond to an unadjusted calculation period start or end date. This is true even if early or delayed payment is specified to be applicable since the actual first payment date will be the specified number of days before or after the applicable adjusted calculation period start or end date with the resulting payment date then being adjusted in accordance with any business day convention specified in paymentDatesAdjustments.


Source: lcwd-fpml-dtd-ird-3-0-2002-09-13.dtd


FpML_PaymentDates

firstPeriodStartDate
; entity type: FpML_AdjustableDate

The start date of the first calculation period if the date falls before the effective date. It must only be specified if it is not equal to the effective date. This day may be subject to adjustment in accordance with a business day convention.


Source: lcwd-fpml-dtd-ird-3-0-2002-09-13.dtd


FpML_CalculationPeriodDates

firstRegularPeriodStartDate
; built-in datatype: date

The start date of the regular part of the calculation period schedule. It must only be specified if there is an initial stub calculation period. This day may be subject to adjustment in accordance with any adjustments specified in calculationPeriodDatesAdjustments.


Source: lcwd-fpml-dtd-ird-3-0-2002-09-13.dtd


FpML_CalculationPeriodDates

fixedPaymentAmount
; built-in datatype: decimal

A known fixed payment amount.


Source: lcwd-fpml-dtd-ird-3-0-2002-09-13.dtd


FpML_PaymentCalculationPeriod

fixedRate
; built-in datatype: decimal

The calculation period fixed rate. A per annum rate, expressed as a decimal. A fixed rate of 5% would be represented as 0.05.


Source: lcwd-fpml-dtd-ird-3-0-2002-09-13.dtd


FpML_CalculationPeriod
FpML_Fra

fixedRateSchedule
; entity type: FpML_Schedule

The fixed rate or fixed rate schedule expressed as explicit fixed rates and dates. In the case of a schedule, the step dates may be subject to adjustment in accordance with any adjustments specified in calculationPeriodDatesAdjustments.


Source: lcwd-fpml-dtd-ird-3-0-2002-09-13.dtd


FpML_Calculation

fixing
; entity type: FpML_FXFixing

Specifies the source for and timing of a fixing of an exchange rate. This is used in the agreement of non-deliverable forward trades as well as various types of FX OTC options that require observations against a particular rate.


Source: lcwd-fpml-dtd-fx-3-0-2002-09-13.dtd


FpML_FXCashSettlement

fixingDate
; built-in datatype: date

Describes the specific date when a non-deliverable forward or non-deliverable option will "fix" against a particular rate, which will be used to compute the ultimate cash settlement.


Source: lcwd-fpml-dtd-fx-3-0-2002-09-13.dtd


FpML_FXFixing

fixingDateOffset
; entity type: FpML_RelativeDateOffset

Specifies the fixing date relative to the reset date in terms of a business days offset and an associated set of financial business centers. Normally these offset calculation rules will be those specified in the ISDA definition for the relevant floating rate index (ISDA's Floating Rate Option). However, non-standard offset calculation rules may apply for a trade if mutually agreed by the principal parties to the transaction. The href attribute on the dateRelativeTo element should reference the id attribute on the adjustedEffectiveDate element.


Source: lcwd-fpml-dtd-ird-3-0-2002-09-13.dtd


FpML_Fra

fixingDates
; entity type: FpML_RelativeDateOffset

Specifies the fixing date relative to each reset date in terms of a business days offset and an associated set of financial business centers. Normally these offset calculation rules will be those specified in the ISDA definition for the relevant floating rate index (ISDA's Floating Rate Option). However, non-standard offset calculation rules may apply for a trade if mutually agreed by the principal parties to the transaction. The href attribute on the dateRelativeTo element should reference the id attribute on the resetDates element.


Source: lcwd-fpml-dtd-ird-3-0-2002-09-13.dtd


FpML_ResetDates

fixingTime
; entity type: FpML_BusinessCenterTime

The time at which the spot currency exchange rate will be observed. It is specified as a time in a specific business center, e.g. 11:00 am London time.


Source: lcwd-fpml-dtd-shared-3-0-2002-09-13.dtd


FpML_FxSpotRateSource
FpML_FXFixing
FpML_FXAverageRateOption

floatingRate
; entity type: FpML_FloatingRate

The rates to be applied to the initial or final stub may be the linear interpolation of two different rates. While the majority of the time, the rate indices will be the same as that specified in the stream and only the tenor itself will be different, it is possible to specify two different rates. For example, a 2 month stub period may use the linear interpolation of a 1 month and 3 month rate. The different rates would be specified in this component. Note that a maximum of two rates can be specified. If a stub period uses the same floating rate index, including tenor, as the regular calculation periods then this should not be specified again within this component, i.e. the stub calculation period amount component may not need to be specified even if there is an initial or final stub period. If a stub period uses a different floating rate index compared to the regular calculation periods then this should be specified within this component. If specified here, they are likely to have id attributes, allowing them to be referenced from within the cashflows component.


Source: lcwd-fpml-dtd-ird-3-0-2002-09-13.dtd


FpML_Stub

floatingRateCalculation
; entity type: FpML_FloatingRateCalculation

The floating rate calculation definitions.


Source: lcwd-fpml-dtd-ird-3-0-2002-09-13.dtd


FpML_Calculation

floatingRateDefinition
; entity type: FpML_FloatingRateDefinition

The floating rate reset information for the calculation period.


Source: lcwd-fpml-dtd-ird-3-0-2002-09-13.dtd


FpML_CalculationPeriod

floatingRateIndex
; built-in datatype: string ; coding scheme: floatingRateIndexScheme

The ISDA Floating Rate Option, i.e. the floating rate index.


Source: lcwd-fpml-dtd-ird-3-0-2002-09-13.dtd


FpML_FloatingRate
FpML_Fra

floatingRateMultiplier
; built-in datatype: decimal

A rate multiplier to apply to the floating rate. The multiplier can be a positive or negative decimal. This element should only be included if the multiplier is not equal to 1 (one).


Source: lcwd-fpml-dtd-ird-3-0-2002-09-13.dtd


FpML_FloatingRateDefinition

floatingRateMultiplierSchedule
; entity type: FpML_Schedule

A rate mutliplier or multiplier scheduel to apply to the floating rate. A multiplier schedule is expressed as explicit multipliers and dates. In the case of a schedule, the step dates may be subject to adjustment in accordance with any adjustments specified in the calculationPeriodDatesAdjustments. The multiplier can be a positive or negative decimal. This element should only be included if the multiplier is not equal to 1 (one) for the term of the stream.


Source: lcwd-fpml-dtd-ird-3-0-2002-09-13.dtd


FpML_FloatingRate

floorRate
; entity type: FpML_Strike

The floor rate, if any, which applies to the floating rate for the calculation period. The floor rate (strike) is only required where the floating rate on a swap stream is floored at a certain strike level. The floor rate is assumed to be exclusive of any spread and is a per annum rate, expressed as a decimal. A floor rate of 5% would be represented as 0.05.


Source: lcwd-fpml-dtd-ird-3-0-2002-09-13.dtd


FpML_FloatingRateDefinition

floorRateSchedule
; entity type: FpML_StrikeSchedule

The floor rate or floor rate schedule, if any, which applies to the floating rate. The floor rate (strike) is only required where the floating rate on a swap stream is floored at a certain strike level. A floor rate schedule is expressed as explicit floor rates and dates and the step dates may be subject to adjustment in accordance with any adjustments specified in calculationPeriodDatesAdjustments. The floor rate is assumed to be exclusive of any spread and is a per annum rate, expressed as a decimal. A floor rate of 5% would be represented as 0.05.


Source: lcwd-fpml-dtd-ird-3-0-2002-09-13.dtd


FpML_FloatingRate

followUpConfirmation
; built-in datatype: boolean

A flag to indicate whether follow-up confirmation of exercise (written or electronic) is required following telephonic notice by the buyer to the seller or seller's agent.


Source: lcwd-fpml-dtd-shared-3-0-2002-09-13.dtd


FpML_ExerciseProcedure
FpML_CancelableProvision
FpML_ExtendibleProvision
FpML_OptionalEarlyTermination

forwardPoints
; built-in datatype: decimal

An optional element used for deals consumated in the FX Forwards market. Forward points represent the interest rate differential between the two currencies traded and are quoted as a preminum or a discount. Forward points are added to, or subtracted from, the spot rate to create the rate of the forward trade.


Source: lcwd-fpml-dtd-fx-3-0-2002-09-13.dtd


FpML_FXRate
FpML_SideRate

fra
; entity type: FpML_Fra

A forward rate agreement product definition.


Source: lcwd-fpml-dtd-ird-3-0-2002-09-13.dtd


FpML_ProductSelection

fraDiscounting
; built-in datatype: boolean

A true/false flag to indicate whether ISDA FRA Discounting applies. If false, then the calculation will be based on a par value and no discounting will apply.


Source: lcwd-fpml-dtd-ird-3-0-2002-09-13.dtd


FpML_Fra

fxAmericanTrigger
; entity type: FpML_FXAmericanTrigger

An American trigger occurs if the trigger criteria are met at any time from the initiation to the maturity of the option.


Source: lcwd-fpml-dtd-fx-3-0-2002-09-13.dtd


FpML_FXDigitalOption

fxAverageRateOption
; entity type: FpML_FXAverageRateOption

An average rate option definition.


Source: lcwd-fpml-dtd-fx-3-0-2002-09-13.dtd


FpML_ProductSelection

fxBarrier
; entity type: FpML_FXBarrier

Information about a barrier rate in a Barrier Option - specifying the exact criteria for a trigger event to occur.


Source: lcwd-fpml-dtd-fx-3-0-2002-09-13.dtd


FpML_FXBarrierOption

fxBarrierOption
; entity type: FpML_FXBarrierOption

A barrier option definition. Accommodates one or many barriers, with or without a payout.


Source: lcwd-fpml-dtd-fx-3-0-2002-09-13.dtd


FpML_ProductSelection

fxBarrierType
; built-in datatype: string ; coding scheme: fxBarrierTypeScheme

This specifies whether the option becomes effective ("knock-in") or is annulled ("knock-out") when the respective trigger event occurs.


Source: lcwd-fpml-dtd-fx-3-0-2002-09-13.dtd


FpML_FXBarrier

fxDigitalOption
; entity type: FpML_FXDigitalOption

Defines different types of digital and binary options.


Source: lcwd-fpml-dtd-fx-3-0-2002-09-13.dtd


FpML_ProductSelection

fxEuropeanTrigger
; entity type: FpML_FXEuropeanTrigger

A European trigger occurs if the trigger criteria are met, but these are valid (and an observation is made) only at the maturity of the option.


Source: lcwd-fpml-dtd-fx-3-0-2002-09-13.dtd


FpML_FXDigitalOption

fxLinkedNotionalAmount
; entity type: FpML_FxLinkedNotionalAmount

The amount that a cashflow will accrue interest on. This is the calculated amount of the fx linked notional - ie the other currency notional amount multiplied by the appropriate fx spot rate.


Source: lcwd-fpml-dtd-ird-3-0-2002-09-13.dtd


FpML_CalculationPeriod

fxLinkedNotionalSchedule
; entity type: FpML_FxLinkedNotionalSchedule

A notional amount schedule where each notional that applies to a calculation period is calculated with reference to a notional amount or notional amount schedule in a different currency by means of a spot currency exchange rate which is normally observed at the beginning of each period.


Source: lcwd-fpml-dtd-ird-3-0-2002-09-13.dtd


FpML_Calculation

fxOptionPremium
; entity type: FpML_FXOptionPremium

Premium amount or premium installment amount for an option.


Source: lcwd-fpml-dtd-fx-3-0-2002-09-13.dtd


FpML_FXOptionLeg
FpML_FXDigitalOption
FpML_FXAverageRateOption

fxSimpleOption
; entity type: FpML_FXOptionLeg

Defines a simple FX OTC option.


Source: lcwd-fpml-dtd-fx-3-0-2002-09-13.dtd


FpML_ProductSelection

fxSingleLeg
; entity type: FpML_FXLeg

A single-legged FX transaction definition (e.g., spot or forward).


Source: lcwd-fpml-dtd-fx-3-0-2002-09-13.dtd


FpML_FXSwap
FpML_ProductSelection

fxSpotRateSource
; entity type: FpML_FxSpotRateSource

The information source and time at which the spot currency exchange rate will be observed.


Source: lcwd-fpml-dtd-ird-3-0-2002-09-13.dtd


FpML_FxLinkedNotionalSchedule

fxStrikePrice
; entity type: FpML_FXStrikePrice

TBA


Source: lcwd-fpml-dtd-fx-3-0-2002-09-13.dtd


FpML_FXOptionLeg
FpML_FXAverageRateOption

fxSwap
; entity type: FpML_FXSwap

An FX deal consisting of two single FX legs.


Source: lcwd-fpml-dtd-fx-3-0-2002-09-13.dtd


FpML_ProductSelection

governingLaw
; built-in datatype: string ; coding scheme: governingLawScheme

TBA


Source: lcwd-fpml-dtd-shared-3-0-2002-09-13.dtd


FpML_Trade

hourMinuteTime
; built-in datatype: time

A time specified in hh:mm:ss format where the second component must be '00', e.g. 11am would be represented as 11:00:00.


Source: lcwd-fpml-dtd-shared-3-0-2002-09-13.dtd


FpML_BusinessCenterTime

indexTenor
; entity type: FpML_Interval

The ISDA Designated Maturity, i.e. the tenor of the floating rate.


Source: lcwd-fpml-dtd-ird-3-0-2002-09-13.dtd


FpML_FloatingRate
FpML_Fra

informationSource
; entity type: FpML_InformationSource

The information source where a published or displayed market rate will be obtained, e.g. Telerate Page 3750.


Source: lcwd-fpml-dtd-shared-3-0-2002-09-13.dtd


FpML_FxSpotRateSource
FpML_FXBarrier
FpML_FXAmericanTrigger
FpML_FXEuropeanTrigger
FpML_SettlementRateSource

initialExchange
; built-in datatype: boolean

A true/false flag to indicate whether there is an initial exchange of principal on the effective date.


Source: lcwd-fpml-dtd-ird-3-0-2002-09-13.dtd


FpML_PrincipalExchanges

initialRate
; built-in datatype: decimal

The initial floating rate reset agreed between the principal parties involved in the trade. This is assumed to be the first required reset rate for the first regular calculation period. It should only be included when the rate is not equal to the rate published on the source implied by the floating rate index. An initial rate of 5% would be represented as 0.05.


Source: lcwd-fpml-dtd-ird-3-0-2002-09-13.dtd


FpML_FloatingRateCalculation

initialStub
; entity type: FpML_Stub

Specifies how the initial stub amount is calculated. A single floating rate tenor different to that used for the regular part of the calculation periods schedule may be specified, or two floating tenors may be specified. If two floating rate tenors are specified then Linear Interpolation (in accordance with the 2000 ISDA Definitions, Section 8.3. Interpolation) is assumed to apply. Alternatively, an actual known stub rate or stub amount may be specified.


Source: lcwd-fpml-dtd-ird-3-0-2002-09-13.dtd


FpML_StubCalculationPeriodAmount

initialValue
; built-in datatype: decimal

The initial rate or amount, as the case may be. An initial rate of 5% would be represented as 0.05.


Source: lcwd-fpml-dtd-shared-3-0-2002-09-13.dtd


FpML_Schedule

instrumentId
; built-in datatype: string ; coding scheme: instrumentIdScheme

A short form unique identifier for a security.


Source: lcwd-fpml-dtd-eqd-3-0-2002-09-13.dtd


FpML_Equity

integralMultipleAmount
; built-in datatype: decimal

A notional amount which restricts the amount of notional that can be exercised when partial exercise or multiple exercise is applicable. The integral multiple amount defines a lower limit of notional that can be exercised and also defines a unit multiple of notional that can be exercised, i.e. only integer multiples of this amount can be exercised.


Source: lcwd-fpml-dtd-shared-3-0-2002-09-13.dtd


FpML_PartialExercise

integralMultipleExercise
; built-in datatype: decimal

When multiple exercise is applicable and this element is present it specifies that the number of options that can be exercised on a given exercise date must either be equal to the value of this element or be an integral multiple of it.


Source: lcwd-fpml-dtd-eqd-3-0-2002-09-13.dtd


FpML_EquityMultipleExercise

intermediaryInformation
; entity type: FpML_IntermediaryInformation

Information to identify an intermediary through which payment will be made by the correspondent bank to the ultimate beneficiary of the funds.


Source: lcwd-fpml-dtd-fx-3-0-2002-09-13.dtd


FpML_SettlementInstruction

intermediarySequenceNumber
; built-in datatype: integer

A sequence number that gives the position of the current intermediary in the chain of payment intermediaries. The assumed domain value set is an ascending sequence of integers starting from 1.


Source: lcwd-fpml-dtd-fx-3-0-2002-09-13.dtd


FpML_IntermediaryInformation

intermediateExchange
; built-in datatype: boolean

A true/false flag to indicate whether there are intermediate or interim exchanges of principal during the term of the swap.


Source: lcwd-fpml-dtd-ird-3-0-2002-09-13.dtd


FpML_PrincipalExchanges

knownAmountSchedule
; entity type: FpML_AmountSchedule

The known calculation period amount or a known amount schedule expressed as explicit known amounts and dates. In the case of a schedule, the step dates may be subject to adjustment in accordance with any adjustments specified in calculationPeriodDatesAdjustments.


Source: lcwd-fpml-dtd-ird-3-0-2002-09-13.dtd


FpML_CalculationPeriodAmount

lastNotionalStepDate
; built-in datatype: date

The unadjusted calculation period end date of the last change in notional. This day may be subject to adjustment in accordance with any adjustments specified in calculationPeriodDatesAdjustments.


Source: lcwd-fpml-dtd-ird-3-0-2002-09-13.dtd


FpML_NotionalStepRule

lastRegularPaymentDate
; built-in datatype: date

The last regular unadjusted payment date. This day may be subject to adjustment in accordance with any business day convention specified in paymentDatesAdjustments. This element must only be included if there is a final stub. All calculation periods after this date contribute to the final payment. The final payment is made relative to the final set of calculation periods or the final reset date as the case may be. This date will normally correspond to an unadjusted calculation period start or end date. This is true even if early or delayed payment is specified to be applicable since the actual last regular payment date will be the specified number of days before or after the applicable adjusted calculation period start or end date with the resulting payment date then being adjusted in accordance with any business day convention specified in paymentDatesAdjustments.


Source: lcwd-fpml-dtd-ird-3-0-2002-09-13.dtd


FpML_PaymentDates

lastRegularPeriodEndDate
; built-in datatype: date

The end date of the regular part of the calculation period schedule. It must only be specified if there is a final stub calculation period. This day may be subject to adjustment in accordance with any adjustments specified in calculationPeriodDatesAdjustments.


Source: lcwd-fpml-dtd-ird-3-0-2002-09-13.dtd


FpML_CalculationPeriodDates

latestExerciseTime
; entity type: FpML_BusinessCenterTime

For a Bermuda or American style options, the latest time on an exercise business day (excluding the expiration date) within the exercise period that notice of exercise can be given by buyer to the seller or seller's agent. Notice of exercise given after this time will be deemed to have been given on the next exercise business day.


Source: lcwd-fpml-dtd-shared-3-0-2002-09-13.dtd


FpML_SharedAmericanExercise
FpML_AmericanExercise
FpML_BermudaExercise

latestExerciseTimeType
; built-in datatype: string ; coding scheme: timeTypeScheme

The latest time of day at which the equity option can be exercised, for example the official closing time of the exchange.


Source: lcwd-fpml-dtd-eqd-3-0-2002-09-13.dtd


FpML_EquityAmericanExercise

linkId
; built-in datatype: string ; coding scheme: linkIdScheme

A link identifier allowing the trade to be associated with other related trades, e.g. the linkId may contain a tradeId for an associated trade or several related trades may be given the same linkId. 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.


Source: lcwd-fpml-dtd-main-3-0-2002-09-13.dtd


FpML_PartyTradeIdentifier

mandatoryEarlyTermination
; entity type: FpML_MandatoryEarlyTermination

A mandatory early termination provision to terminate the swap at fair value.


Source: lcwd-fpml-dtd-ird-3-0-2002-09-13.dtd


FpML_EarlyTerminationProvision

mandatoryEarlyTerminationAdjustedDates
; entity type: FpML_MandatoryEarlyTerminationAdjustedDates

The adjusted dates associated with a mandatory early termination provision. These dates have been adjusted for any applicable business day convention.


Source: lcwd-fpml-dtd-ird-3-0-2002-09-13.dtd


FpML_MandatoryEarlyTermination

mandatoryEarlyTerminationDate
; entity type: FpML_AdjustableDate

The early termination date associated with a mandatory early termination of a swap.


Source: lcwd-fpml-dtd-ird-3-0-2002-09-13.dtd


FpML_MandatoryEarlyTermination

manualExercise
; entity type: FpML_ManualExercise

Specifies that the notice of exercise must be given by the buyer to the seller or seller's agent.


Source: lcwd-fpml-dtd-shared-3-0-2002-09-13.dtd


FpML_ExerciseProcedure

masterAgreement
; entity type: FpML_MasterAgreement

The agreement executed between the parties and intended to govern all OTC derivatives transactions between those parties.


Source: lcwd-fpml-dtd-shared-3-0-2002-09-13.dtd


FpML_Documentation

masterAgreementDate
; built-in datatype: date

The date on which the master agreement was signed.


Source: lcwd-fpml-dtd-shared-3-0-2002-09-13.dtd


FpML_MasterAgreement

masterAgreementType
; built-in datatype: string ; coding scheme: masterAgreementTypeScheme

The agreement executed between the parties and intended to govern product-specific derivatives transactions between those parties.


Source: lcwd-fpml-dtd-shared-3-0-2002-09-13.dtd


FpML_MasterAgreement

masterConfirmation
; built-in datatype: date

The date of the confirmation executed between the parties and intended to govern all relevant transactions between those parties.


Source: lcwd-fpml-dtd-shared-3-0-2002-09-13.dtd


FpML_Documentation

maximumNotionalAmount
; built-in datatype: decimal

The maximum notional amount that can be exercised on a given exercise date.


Source: lcwd-fpml-dtd-shared-3-0-2002-09-13.dtd


FpML_MultipleExercise

maximumNumberOfOptions
; built-in datatype: decimal

When multiple exercise is applicable this element specifies the maximum number of options that can be exercised on a given exercise date. If this element is not present then the maximum number is deemed to be the same as the number of options.


Source: lcwd-fpml-dtd-eqd-3-0-2002-09-13.dtd


FpML_EquityMultipleExercise

mergerEvents
; entity type: FpML_MergerEvents

Occurs when the underlying ceases to exist following a merger between the Issuer and another company.


Source: lcwd-fpml-dtd-eqd-3-0-2002-09-13.dtd


FpML_ExtraordinaryEvents

methodOfAdjustment
; built-in datatype: string ; coding scheme: methodOfAdjustmentScheme

Defines how adjustments will be made to the contract should one or more of the extraordinary events occur.


Source: lcwd-fpml-dtd-eqd-3-0-2002-09-13.dtd


FpML_EquityOption

minimumNotionalAmount
; built-in datatype: decimal

The minimum notional amount that can be exercised on a given exercise date. See multipleExercise.


Source: lcwd-fpml-dtd-shared-3-0-2002-09-13.dtd


FpML_PartialExercise

minimumNumberOfOptions
; built-in datatype: decimal

When multiple exercise is applicable this element specifies the minimum number of options that can be exercised on a given exercise date. If this element is not present then the minimum number is deemed to be 1.


Source: lcwd-fpml-dtd-eqd-3-0-2002-09-13.dtd


FpML_EquityMultipleExercise

multipleExercise
; entity type: FpML_MultipleExercise

As defined in the 2000 ISDA Definitions, Section 12.4. Multiple Exercise, the buyer of the option has the right to exercise all or less than all the unexercised notional amount of the underlying swap on one or more days in the exercise period, but on any such day may not exercise less than the minimum notional amount or more than the maximum notional amount, and if an integral multiple amount is specified, the notional amount exercised must be equal to, or be an integral multiple of, the integral multiple amount.


Source: lcwd-fpml-dtd-shared-3-0-2002-09-13.dtd


FpML_AmericanExercise
FpML_BermudaExercise

nationalisationOrInsolvency
; built-in datatype: string ; coding scheme: nationalisationOrInsolvencyOrDelistingScheme

The terms "Nationalisation" and "Insolvency" have the meaning as defined in the ISDA 1996 Equity Derivatives Definitions.


Source: lcwd-fpml-dtd-eqd-3-0-2002-09-13.dtd


FpML_ExtraordinaryEvents

negativeInterestRateTreatment
; built-in datatype: string ; coding scheme: negativeInterestRateTreatmentScheme

The specification of any provisions for calculating payment obligations when a floating rate is negative (either due to a quoted negative floating rate or by operation of a spread that is subtracted from the floating rate).


Source: lcwd-fpml-dtd-ird-3-0-2002-09-13.dtd


FpML_FloatingRateCalculation

nonDeliverableForward
; entity type: FpML_FXCashSettlement

Used to describe a particular type of FX forward transaction that is settled in a single currency.


Source: lcwd-fpml-dtd-fx-3-0-2002-09-13.dtd


FpML_FXLeg

notional
; entity type: FpML_Money

The notional amount.


Source: lcwd-fpml-dtd-shared-3-0-2002-09-13.dtd


FpML_Fra
FpML_EquityOption

notionalAmount
; built-in datatype: decimal

The calculation period notional amount.

(FpML_FxLinkedNotionalAmount usage) The notional in the currency of the stream. This notional can be calculated once the FX Spot rate is known. It is optional since it should not be present prior to the fx spot reset date.


Source: lcwd-fpml-dtd-ird-3-0-2002-09-13.dtd


FpML_CalculationPeriod
FpML_FxLinkedNotionalAmount

notionalReference
; empty element

A pointer style reference to the associated notional schedule defined elsewhere in the document.


Source: lcwd-fpml-dtd-shared-3-0-2002-09-13.dtd


FpML_ExerciseFee
FpML_ExerciseFeeSchedule
FpML_PartialExercise

notionalSchedule
; entity type: FpML_Notional

The notional amount or notional amount schedule.


Source: lcwd-fpml-dtd-ird-3-0-2002-09-13.dtd


FpML_Calculation

notionalStepAmount
; built-in datatype: decimal

The explicit amount that the notional changes on each step date. This can be a positive or negative amount.


Source: lcwd-fpml-dtd-ird-3-0-2002-09-13.dtd


FpML_NotionalStepRule

notionalStepParameters
; entity type: FpML_NotionalStepRule

A parametric representation of the notional step schedule, i.e. parameters used to generate the notional schedule.


Source: lcwd-fpml-dtd-ird-3-0-2002-09-13.dtd


FpML_Notional

notionalStepRate
; built-in datatype: decimal

The percentage amount by which the notional changes on each step date. The percentage is either a percentage applied to the initial notional amount or the previous outstanding notional, depending on the value of the element stepRelativeTo. The percentage can be either positive or negative. A percentage of 5% would be represented as 0.05.


Source: lcwd-fpml-dtd-ird-3-0-2002-09-13.dtd


FpML_NotionalStepRule

notionalStepSchedule
; entity type: FpML_AmountSchedule

The notional amount or notional amount schedule expressed as explicit outstanding notional amounts and dates. In the case of a schedule, the step dates may be subject to adjustment in accordance with any adjustments specified in calculationPeriodDatesAdjustments.


Source: lcwd-fpml-dtd-ird-3-0-2002-09-13.dtd


FpML_Notional

numberOfOptions
; built-in datatype: decimal

The number of options comprised in the option transaction.


Source: lcwd-fpml-dtd-eqd-3-0-2002-09-13.dtd


FpML_EquityOption

observationDate
; built-in datatype: date

A specific date for which an observation against a particular rate will be made and will be used for subsequent computations.


Source: lcwd-fpml-dtd-fx-3-0-2002-09-13.dtd


FpML_FXAverageRateObservationDate
FpML_ObservedRates

observationEndDate
; built-in datatype: date

The end of the period over which observations are made to determine whether a trigger event has occurred.


Source: lcwd-fpml-dtd-fx-3-0-2002-09-13.dtd


FpML_FXAverageRateObservationSchedule
FpML_FXBarrier
FpML_FXAmericanTrigger

observationStartDate
; built-in datatype: date

The start of the period over which observations are made to determine whether a trigger event has occurred.


Source: lcwd-fpml-dtd-fx-3-0-2002-09-13.dtd


FpML_FXAverageRateObservationSchedule
FpML_FXBarrier
FpML_FXAmericanTrigger

observationWeight
; built-in datatype: positiveInteger

The number of days weighting to be associated with the rate observation, i.e. the number of days such rate is in effect. This is applicable in the case of a weighted average method of calculation where more than one reset date is established for a single calculation period.


Source: lcwd-fpml-dtd-shared-3-0-2002-09-13.dtd


FpML_RateObservation

observedFxSpotRate
; built-in datatype: decimal

The actual observed fx spot rate.


Source: lcwd-fpml-dtd-ird-3-0-2002-09-13.dtd


FpML_FxLinkedNotionalAmount

observedRate
; built-in datatype: decimal

The actual observed rate before any required rate treatment is applied, e.g. before converting a rate quoted on a discount basis to an equivalent yield. An observed rate of 5% would be represented as 0.05.


Source: lcwd-fpml-dtd-shared-3-0-2002-09-13.dtd


FpML_RateObservation
FpML_ObservedRates

observedRates
; entity type: FpML_ObservedRates

Describes prior rate observations within average rate options. Periodically, an average rate option agreement will be struck whereby some rates have already been observed in the past but will become part of computation of the average rate of the option. This structure provides for these previously observed rates to be included in the description of the trade.


Source: lcwd-fpml-dtd-fx-3-0-2002-09-13.dtd


FpML_FXAverageRateOption

optionalEarlyTermination
; entity type: FpML_OptionalEarlyTermination

An option for either or both parties to terminate the swap at fair value.


Source: lcwd-fpml-dtd-ird-3-0-2002-09-13.dtd


FpML_EarlyTerminationProvision

optionalEarlyTerminationAdjustedDates
; entity type: FpML_OptionalEarlyTerminationAdjustedDates

An early termination provision to terminate the trade at fair value where one or both parties have the right to decide on termination.


Source: lcwd-fpml-dtd-ird-3-0-2002-09-13.dtd


FpML_OptionalEarlyTermination

optionEntitlement
; built-in datatype: decimal

The number of shares per option comprised in the option transaction.


Source: lcwd-fpml-dtd-eqd-3-0-2002-09-13.dtd


FpML_EquityOption

optionOnCurrency
; built-in datatype: string ; coding scheme: currencyScheme

The currency denotes the option currency as the option was quoted (as opposed to the face currency).


Source: lcwd-fpml-dtd-fx-3-0-2002-09-13.dtd


FpML_QuotedAs

optionType
; built-in datatype: string ; coding scheme: optionTypeScheme

The type of option transaction.


Source: lcwd-fpml-dtd-eqd-3-0-2002-09-13.dtd


FpML_EquityOption

otherPartyPayment
; entity type: FpML_Fee

Other fees or additional payments associated with the trade, e.g. broker commissions, where one or more of the parties involved are not principal parties involved in the trade.


Source: lcwd-fpml-dtd-main-3-0-2002-09-13.dtd


FpML_Trade

partialExercise
; entity type: FpML_PartialExercise

As defined in the 2000 ISDA Definitions, Section 12.3. Partial Exercise, the buyer of the option has the right to exercise all or less than all the notional amount of the underlying swap on the expiration date, but may not exercise less than the minimum notional amount, and if an integral multiple amount is specified, the notional amount exercised must be equal to, or be an integral multiple of, the integral multiple amount.


Source: lcwd-fpml-dtd-shared-3-0-2002-09-13.dtd


FpML_EuropeanExercise

party
; entity type: FpML_Party

The parties obligated to make payments from time to time during the term of a trade. This will include, at a minimum, the principal parties involved in any trades. Other parties paying or receiving fees, commissions etc. must also be specified if referenced in other party payments.


Source: lcwd-fpml-dtd-main-3-0-2002-09-13.dtd


FpML_Root

partyContact
; entity type: FpML_PartyContact

Defines a person to contact at a party to the transaction and how to contact that person.


Source: lcwd-fpml-dtd-eqd-3-0-2002-09-13.dtd


FpML_PartyDetails

partyContactDetail
; built-in datatype: string ; coding scheme: partyContactDetailScheme

A method of contacting the contact person, for example telephone number, fax number, e-mail address.


Source: lcwd-fpml-dtd-eqd-3-0-2002-09-13.dtd


FpML_PartyContact

partyContactFunction
; built-in datatype: string ; coding scheme: partyContactFunctionScheme

The role or business area of the contact person.


Source: lcwd-fpml-dtd-eqd-3-0-2002-09-13.dtd


FpML_PartyContact

partyContactName
; built-in datatype: string

The name of the contact person at a party to the transaction.


Source: lcwd-fpml-dtd-eqd-3-0-2002-09-13.dtd


FpML_PartyContact

partyId
; built-in datatype: string ; coding scheme: partyIdScheme

A party identifier, e.g. a S.W.I.F.T. bank identifier code (BIC).


Source: lcwd-fpml-dtd-main-3-0-2002-09-13.dtd


FpML_Party

partyName
; built-in datatype: string

The name of the party. A free format string. FpML does not define usage rules for this element


Source: lcwd-fpml-dtd-main-3-0-2002-09-13.dtd


FpML_Party

partyPortfolioName
; entity type: FpML_PartyPortfolioName

Name of a portfolio together with the party that gave the name.


Source: lcwd-fpml-dtd-main-3-0-2002-09-13.dtd


FpML_Portfolio

partyReference
; empty element

A pointer style reference to a party identifier defined elsewhere in the document. The party referenced has allocated the trade identifier.


Source: lcwd-fpml-dtd-shared-3-0-2002-09-13.dtd


FpML_ExerciseNotice
FpML_PartyDetails
FpML_PartyTradeIdentifier
FpML_PartyPortfolioName

partyTradeIdentifier
; entity type: FpML_PartyTradeIdentifier

The trade reference identifier(s) allocated to the trade by the parties involved.


Source: lcwd-fpml-dtd-main-3-0-2002-09-13.dtd


FpML_TradeHeader

parYieldCurveAdjustedMethod
; entity type: FpML_YieldCurveMethod

An ISDA defined cash settlement method used for the determination of the applicable cash settlement amount. The method is defined in the 2000 ISDA Definitions, Section 17.3. Cash Settlement Methods, paragraph (c).


Source: lcwd-fpml-dtd-ird-3-0-2002-09-13.dtd


FpML_CashSettlement

parYieldCurveUnadjustedMethod
; entity type: FpML_YieldCurveMethod

An ISDA defined cash settlement method used for the determination of the applicable cash settlement amount. The method is defined in the 2000 ISDA Definitions, Section 17.3. Cash Settlement Methods, paragraph (e).


Source: lcwd-fpml-dtd-ird-3-0-2002-09-13.dtd


FpML_CashSettlement

payerPartyReference
; empty element

A pointer style reference to a party identifier defined elsewhere in the document.


Source: lcwd-fpml-dtd-shared-3-0-2002-09-13.dtd


FpML_Payment
FpML_ExerciseFee
FpML_ExerciseFeeSchedule
FpML_FXOptionPremium
FpML_InterestRateStream
FpML_EquityPremium

payment
; entity type: FpML_Payment

A known payment between two parties.


Source: lcwd-fpml-dtd-ird-3-0-2002-09-13.dtd


FpML_BulletPayment

paymentAmount
; entity type: FpML_Money

The currency amount of the payment.


Source: lcwd-fpml-dtd-shared-3-0-2002-09-13.dtd


FpML_Payment
FpML_EquityPremium

paymentCalculationPeriod
; entity type: FpML_PaymentCalculationPeriod

The adjusted payment date and associated calculation period parameters required to calculate the actual or projected payment amount. A list of payment calculation period elements may be ordered in the document by ascending adjusted payment date. An FpML document containing an unordered list of payment calculation periods is still regarded as a conformant document.


Source: lcwd-fpml-dtd-ird-3-0-2002-09-13.dtd


FpML_Cashflows

paymentDate
; entity type: FpML_AdjustableDate

The payment date. This date is subject to adjustment in accordance with any applicable business day convention.


Source: lcwd-fpml-dtd-shared-3-0-2002-09-13.dtd


FpML_Payment
FpML_Fra
FpML_EquityPremium

paymentDates
; entity type: FpML_PaymentDates

The payment dates schedule.


Source: lcwd-fpml-dtd-ird-3-0-2002-09-13.dtd


FpML_InterestRateStream

paymentDatesAdjustments
; entity type: FpML_BusinessDayAdjustments

The business day convention to apply to each payment date if it would otherwise fall on a day that is not a business day in the specified financial business centers.


Source: lcwd-fpml-dtd-ird-3-0-2002-09-13.dtd


FpML_PaymentDates

paymentDaysOffset
; entity type: FpML_Offset

If early payment or delayed payment is required, specifies the number of days offset that the payment occurs relative to what would otherwise be the unadjusted payment date. The offset can be specified in terms of either calendar or business days. Even in the case of a calendar days offset, the resulting payment date, adjusted for the specified calendar days offset, will still be adjusted in accordance with the specified payment dates adjustments. This element should only be included if early or delayed payment is applicable, i.e. if the periodMultiplier element value is not equal to zero. An early payment would be indicated by a negative periodMultiplier element value and a delayed payment (or payment lag) would be indicated by a positive periodMultiplier element value.


Source: lcwd-fpml-dtd-ird-3-0-2002-09-13.dtd


FpML_PaymentDates

paymentFrequency
; entity type: FpML_Interval

The frequency at which regular payment dates occur. If the payment frequency is equal to the frequency defined in the calculation period dates component then one calculation period contributes to each payment amount. If the payment frequency is less frequent than the frequency defined in the calculation period dates component then more than one calculation period will contribute to each payment amount. A payment frequency more frequent than the calculation period frequency or one that is not a multiple of the calculation period frequency is invalid.


Source: lcwd-fpml-dtd-ird-3-0-2002-09-13.dtd


FpML_PaymentDates

paymentType
; built-in datatype: string ; coding scheme: paymentTypeScheme

A classification of the type of fee or additional payment, e.g. brokerage, upfront fee etc. FpML does not define domain values for this element.


Source: lcwd-fpml-dtd-shared-3-0-2002-09-13.dtd


FpML_Fee

payoutCurrency
; built-in datatype: string ; coding scheme: currencyScheme

The ISO code of the currency in which a payout (if any) is to be made when a trigger is hit on a digital or barrier option.


Source: lcwd-fpml-dtd-fx-3-0-2002-09-13.dtd


FpML_FXAverageRateOption

payoutFormula
; built-in datatype: string

The description of the mathematical computation for how the payout is computed.


Source: lcwd-fpml-dtd-fx-3-0-2002-09-13.dtd


FpML_FXAverageRateOption

payoutStyle
; built-in datatype: string ; coding scheme: payoutScheme

The trigger event and payout may be asynchonous. A payout may become due on the trigger event, or the payout may (by agreeement at initiation) be deferred (for example) to the maturity date.


Source: lcwd-fpml-dtd-fx-3-0-2002-09-13.dtd


FpML_FXOptionPayout

payRelativeTo
; built-in datatype: string ; coding scheme: payRelativeToScheme

Specifies whether the payments occur relative to each adjusted calculation period start date, adjusted calculation period end date or each reset date. The reset date is applicable in the case of certain euro (former French Franc) floating rate indices. Calculation period start date means relative to the start of the first calculation period contributing to a given payment. Similarly, calculation period end date means the end of the last calculation period contributing to a given payment.


Source: lcwd-fpml-dtd-ird-3-0-2002-09-13.dtd


FpML_PaymentDates

percentageOfNotional
; built-in datatype: decimal

The amount of premium to be paid expressed as a percentage of the notional value of the transaction. A percentage of 5% would be expressed as 0.05.


Source: lcwd-fpml-dtd-eqd-3-0-2002-09-13.dtd


FpML_EquityPremium

period
; built-in datatype: string ; coding scheme: periodScheme

A time period, e.g. a day, week, month, year or term of the stream. If the periodMultiplier value is 0 (zero) then period must contain the value D (day).


Source: lcwd-fpml-dtd-shared-3-0-2002-09-13.dtd


FpML_Interval

periodMultiplier
; built-in datatype: integer

A time period multiplier, e.g. 1, 2 or 3 etc. A negative value can be used when specifying an offset relative to another date, e.g. -2 days. If the period value is T (Term) then periodMultiplier must contain the value 1.


Source: lcwd-fpml-dtd-shared-3-0-2002-09-13.dtd


FpML_Interval

periodSkip
; built-in datatype: positiveInteger

The number of periods in the referenced date schedule that are between each date in the relative date schedule. Thus a skip of 2 would mean that dates are relative to every second date in the referenced schedule. If present this should have a value greater than 1.


Source: lcwd-fpml-dtd-shared-3-0-2002-09-13.dtd


FpML_RelativeDates

portfolio
; entity type: FpML_Portfolio

An arbitrary grouping of trade references.


Source: lcwd-fpml-dtd-main-3-0-2002-09-13.dtd


FpML_Portfolio
FpML_Root

portfolioName
; entity type: FpML_String ; coding scheme: portfolioNameScheme

Name of a portfolio.


Source: lcwd-fpml-dtd-main-3-0-2002-09-13.dtd


FpML_PartyPortfolioName

postalCode
; built-in datatype: string

The code, required for computerised mail sorting systems, that is allocated to a physical address by a national postal authority.


Source: lcwd-fpml-dtd-fx-3-0-2002-09-13.dtd


FpML_Address

precision
; built-in datatype: nonNegativeInteger

Specifies the rounding precision in terms of a number of decimal places. Note how a percentage rate rounding of 5 decimal places is expressed as a rounding precision of 7 in the FpML document since the percentage is expressed as a decimal, e.g. 9.876543% (or 0.09876543) being rounded to the nearest 5 decimal places is 9.87654% (or 0.0987654).


Source: lcwd-fpml-dtd-shared-3-0-2002-09-13.dtd


FpML_Rounding
FpML_FXAverageRateOption

premium
; entity type: FpML_Payment

The option premium amount payable by buyer to seller on the specified payment date.


Source: lcwd-fpml-dtd-ird-3-0-2002-09-13.dtd


FpML_Swaption

premiumAmount
; entity type: FpML_Money

The specific currency and amount of the option premium.


Source: lcwd-fpml-dtd-fx-3-0-2002-09-13.dtd


FpML_FXOptionPremium

premiumProductReference
; empty element

TBA


Source: lcwd-fpml-dtd-main-3-0-2002-09-13.dtd


FpML_Strategy

premiumQuote
; entity type: FpML_PremiumQuote

This is the option premium as quoted. It is expected to be consistent with the premiumAmount and is for information only.


Source: lcwd-fpml-dtd-fx-3-0-2002-09-13.dtd


FpML_FXOptionPremium

premiumQuoteBasis
; built-in datatype: string ; coding scheme: premiumQuoteBasisScheme

The method by which the option premium was quoted.


Source: lcwd-fpml-dtd-fx-3-0-2002-09-13.dtd


FpML_PremiumQuote

premiumSettlementDate
; built-in datatype: date

The agreed-upon date when the option premium will be settled.


Source: lcwd-fpml-dtd-fx-3-0-2002-09-13.dtd


FpML_FXOptionPremium

premiumValue
; built-in datatype: decimal

The value of the premium quote. In general this will be either a percentage or an explicit amount.


Source: lcwd-fpml-dtd-fx-3-0-2002-09-13.dtd


FpML_PremiumQuote

pricePerOption
; built-in datatype: decimal

The amount of premium to be paid expressed as a function of the number of options.


Source: lcwd-fpml-dtd-eqd-3-0-2002-09-13.dtd


FpML_EquityPremium

primaryRateSource
; entity type: FpML_InformationSource

The primary source for where the rate observation will occur. Will typically be either a page or a reference bank published rate.


Source: lcwd-fpml-dtd-fx-3-0-2002-09-13.dtd


FpML_FXFixing
FpML_FXAverageRateOption

principalExchange
; entity type: FpML_PrincipalExchange

The initial, intermediate and final principal exchange amounts. Typically required on cross currency interest rate swaps where actual exchanges of principal occur. A list of principal exchange elements may be ordered in the document by ascending adjusted principal exchange date. An FpML document containing an unordered principal exchange list is still regarded as a conformant document.


Source: lcwd-fpml-dtd-ird-3-0-2002-09-13.dtd


FpML_Cashflows

principalExchangeAmount
; built-in datatype: decimal

The principal exchange amount. This amount should be positive if the stream payer is paying the exchange amount and signed negative if they are receiving it.


Source: lcwd-fpml-dtd-ird-3-0-2002-09-13.dtd


FpML_PrincipalExchange

principalExchanges
; entity type: FpML_PrincipalExchanges

The true/false flags indicating whether initial, intermediate or final exchanges of principal should occur.


Source: lcwd-fpml-dtd-ird-3-0-2002-09-13.dtd


FpML_InterestRateStream

productId
; built-in datatype: string ; coding scheme: productIdScheme

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.


Source: lcwd-fpml-dtd-shared-3-0-2002-09-13.dtd


FpML_Product

productType
; built-in datatype: string ; coding scheme: productTypeScheme

A classification of the type of product. Fpml does not define a domain of values for this element.


Source: lcwd-fpml-dtd-shared-3-0-2002-09-13.dtd


FpML_Product

putCurrencyAmount
; entity type: FpML_Money

The currency amount that the option gives the right to sell.


Source: lcwd-fpml-dtd-fx-3-0-2002-09-13.dtd


FpML_FXOptionLeg
FpML_FXAverageRateOption

quotationRateType
; built-in datatype: string ; coding scheme: quotationRateTypeScheme

Which rate quote is to be observed, either Bid, Mid, Offer or Exercising Party Pays. The meaning of Exercising Party Pays is defined in the 2000 ISDA Definitions, Section 17.2. Certain Definitions Relating to Cash Settlement, paragraph (j)


Source: lcwd-fpml-dtd-ird-3-0-2002-09-13.dtd


FpML_CashPriceMethod
FpML_YieldCurveMethod

quoteBasis
; built-in datatype: string ; coding scheme: quoteBasisScheme

The method by which the exchange rate is quoted.


Source: lcwd-fpml-dtd-fx-3-0-2002-09-13.dtd


FpML_QuotedCurrencyPair

quotedAs
; entity type: FpML_QuotedAs

Describes how the option was quoted.


Source: lcwd-fpml-dtd-fx-3-0-2002-09-13.dtd


FpML_FXOptionLeg

quotedCurrencyPair
; entity type: FpML_QuotedCurrencyPair

Defines the two currencies for an FX trade and the quotation relationship between the two currencies.


Source: lcwd-fpml-dtd-fx-3-0-2002-09-13.dtd


FpML_FXFixing
FpML_FXDigitalOption
FpML_FXBarrier
FpML_FXAmericanTrigger
FpML_FXEuropeanTrigger
FpML_FXRate

quotedTenor
; entity type: FpML_Interval

Code denoting the tenor of the option leg.


Source: lcwd-fpml-dtd-fx-3-0-2002-09-13.dtd


FpML_QuotedAs

rate
; built-in datatype: decimal

The rate of exchange between the two currencies of the leg of a deal. Must be specified with a quote basis.


Source: lcwd-fpml-dtd-shared-3-0-2002-09-13.dtd


FpML_FXStrikePrice
FpML_FXRate
FpML_SideRate

rateCutOffDaysOffset
; entity type: FpML_Offset

Specifies the number of business days before the period end date when the rate cut-off date is assumed to apply. The financial business centers associated with determining the rate cut-off date are those specified in the reset dates adjustments. The rate cut-off number of days must be a negative integer (a value of zero would imply no rate cut off applies in which case the rateCutOffDaysOffset element should not be included). The relevant rate for each reset date in the period from, and including, a rate cut-off date to, but excluding, the next applicable period end date (or, in the case of the last calculation period, the termination date) will (solely for purposes of calculating the floating amount payable on the next applicable payment date) be deemed to be the relevant rate in effect on that rate cut-off date. For example, if rate cut-off days for a daily averaging deal is -2 business days, then the refix rate applied on (period end date - 2 days) will also be applied as the reset on (period end date - 1 day), i.e. the actual number of reset dates remains the same but from the rate cut-off date until the period end date, the same refix rate is applied. Note that in the case of several calculation periods contributing to a single payment, the rate cut-off is assumed only to apply to the final calculation period contributing to that payment. The day type associated with the offset must imply a business days offset.


Source: lcwd-fpml-dtd-ird-3-0-2002-09-13.dtd


FpML_ResetDates

rateObservation
; entity type: FpML_RateObservation

The details of a particular rate observation, including the fixing date and observed rate. A list of rate observation elements may be ordered in the document by ascending adjusted fixing date. An FpML document containing an unordered list of rate observations is still regarded as a conformant document.


Source: lcwd-fpml-dtd-ird-3-0-2002-09-13.dtd


FpML_FloatingRateDefinition

rateReference
; empty element

A pointer style reference to a floating rate component defined as part of a stub calculation period amount component. It is only required when it is necessary to distinguish two rate observations for the same fixing date which could occur when linear interpolation of two different rates occurs for a stub calculation period.


Source: lcwd-fpml-dtd-shared-3-0-2002-09-13.dtd


FpML_RateObservation

rateSource
; built-in datatype: string ; coding scheme: informationProviderScheme

An information source for obtaining a market rate. For example Bloomberg, Reuters, Telerate etc.


Source: lcwd-fpml-dtd-shared-3-0-2002-09-13.dtd


FpML_InformationSource

rateSourcePage
; built-in datatype: string ; coding scheme: rateSourcePageScheme

A specific page for the rate source for obtaining a market rate.


Source: lcwd-fpml-dtd-shared-3-0-2002-09-13.dtd


FpML_InformationSource

rateSourcePageHeading
; built-in datatype: string

The specific information source page for obtaining a market rate. For example, 3750 (Telerate), LIBO (Reuters) etc.


Source: lcwd-fpml-dtd-shared-3-0-2002-09-13.dtd


FpML_InformationSource

rateTreatment
; built-in datatype: string ; coding scheme: rateTreatmentScheme

The specification of any rate conversion which needs to be applied to the observed rate before being used in any calculations. The two common conversions are for securities quoted on a bank discount basis which will need to be converted to either a Money Market Yield or Bond Equivalent Yield. See the Annex to the 2000 ISDA Definitions, Section 7.3. Certain General Definitions Relating to Floating Rate Options, paragraphs (g) and (h) for definitions of these terms.


Source: lcwd-fpml-dtd-ird-3-0-2002-09-13.dtd


FpML_FloatingRate

receiverPartyReference
; empty element

A pointer style reference to a party identifier defined elsewhere in the document.


Source: lcwd-fpml-dtd-shared-3-0-2002-09-13.dtd


FpML_Payment
FpML_ExerciseFee
FpML_ExerciseFeeSchedule
FpML_FXOptionPremium
FpML_InterestRateStream
FpML_EquityPremium

referenceBank
; entity type: FpML_ReferenceBank

An institution (party) identified by means of a coding scheme and an optional name.


Source: lcwd-fpml-dtd-shared-3-0-2002-09-13.dtd


FpML_CashSettlementReferenceBanks

referenceBankId
; built-in datatype: string ; coding scheme: referenceBankIdScheme

An institution (party) identifier, e.g. a bank identifier code (BIC).


Source: lcwd-fpml-dtd-shared-3-0-2002-09-13.dtd


FpML_ReferenceBank

referenceBankName
; built-in datatype: string

The name of the institution (party). A free format string. FpML does not define usage rules for the element.


Source: lcwd-fpml-dtd-shared-3-0-2002-09-13.dtd


FpML_ReferenceBank

relatedExchangeId
; built-in datatype: string ; coding scheme: exchangeIdScheme

A short form unique identifier for a related exchange. If the element is not present then the exchange shall be the primary exchange on which listed futures and options on the underlying are listed. The term "Exchange" is assumed to have the meaning as defined in the ISDA 1996 Equity Derivatives Definitions.


Source: lcwd-fpml-dtd-eqd-3-0-2002-09-13.dtd


FpML_Equity

relativeDate
; entity type: FpML_RelativeDateOffset

A date specified as some offset to another date (the anchor date).


Source: lcwd-fpml-dtd-shared-3-0-2002-09-13.dtd


FpML_AdjustableOrRelativeDate
FpML_CashSettlementPaymentDate

relativeDates
; entity type: FpML_RelativeDates

A series of dates specified as some offset to another series of dates. (the anchor dates).


Source: lcwd-fpml-dtd-shared-3-0-2002-09-13.dtd


FpML_AdjustableOrRelativeDates

relevantUnderlyingDate
; entity type: FpML_AdjustableOrRelativeDates

The date on the underlying set by the exercise of an option. What this date is depends on the option (eg in a swaption it is the effective date, in a extendible / cancelable provision is is the termination date).


Source: lcwd-fpml-dtd-shared-3-0-2002-09-13.dtd


FpML_AmericanExercise
FpML_BermudaExercise
FpML_EuropeanExercise

resetDates
; entity type: FpML_ResetDates

The reset dates schedule. The reset dates schedule only applies for a floating rate stream.


Source: lcwd-fpml-dtd-ird-3-0-2002-09-13.dtd


FpML_InterestRateStream

resetDatesAdjustments
; entity type: FpML_BusinessDayAdjustments

The business day convention to apply to each reset date if it would otherwise fall on a day that is not a business day in the specified financial business centers.


Source: lcwd-fpml-dtd-ird-3-0-2002-09-13.dtd


FpML_ResetDates

resetDatesReference
; empty element

A pointer style reference to the associated reset dates component defined elsewhere in the document.


Source: lcwd-fpml-dtd-ird-3-0-2002-09-13.dtd


FpML_PaymentDates

resetFrequency
; entity type: FpML_ResetFrequency

The frequency at which reset dates occur. In the case of a weekly reset frequency, also specifies the day of the week that the reset occurs. If the reset frequency is greater than the calculation period frequency then this implies that more than one reset date is established for each calculation period and some form of rate averaging is applicable.


Source: lcwd-fpml-dtd-ird-3-0-2002-09-13.dtd


FpML_ResetDates

resetRelativeTo
; built-in datatype: string ; coding scheme: resetRelativeToScheme

Specifies whether the reset dates are determined with respect to each adjusted calculation period start date or adjusted calculation period end date. If the reset frequency is specified as daily this element must not be included.


Source: lcwd-fpml-dtd-ird-3-0-2002-09-13.dtd


FpML_ResetDates

rollConvention
; built-in datatype: string ; coding scheme: rollConventionScheme

Used in conjunction with a frequency and the regular period start date of a calculation period, determines each calculation period end date within the regular part of a calculation period schedule.


Source: lcwd-fpml-dtd-shared-3-0-2002-09-13.dtd


FpML_CalculationPeriodFrequency

roundingDirection
; built-in datatype: string ; coding scheme: roundingDirectionScheme

Specifies the rounding direction.


Source: lcwd-fpml-dtd-shared-3-0-2002-09-13.dtd


FpML_Rounding

routingAccountNumber
; built-in datatype: string

An account number via which a payment can be routed.


Source: lcwd-fpml-dtd-fx-3-0-2002-09-13.dtd


FpML_RoutingExplicitDetails

routingAddress
; entity type: FpML_Address

A physical postal address via which a payment can be routed.


Source: lcwd-fpml-dtd-fx-3-0-2002-09-13.dtd


FpML_RoutingExplicitDetails

routingExplicitDetails
; entity type: FpML_RoutingExplicitDetails

A set of details that is used to identify a party involved in the routing of a payment when the party does not have a code that identifies it within one of the recognized payment systems.


Source: lcwd-fpml-dtd-fx-3-0-2002-09-13.dtd


FpML_Routing

routingId
; built-in datatype: string ; coding scheme: routingIdScheme

A unique identifier for party that is a participant in a recognized payment system.


Source: lcwd-fpml-dtd-fx-3-0-2002-09-13.dtd


FpML_RoutingIds

routingIds
; entity type: FpML_RoutingIds

A set of unique identifiers for a party, eachone identifying the party within a payment system. The assumption is that each party will not have more than one identifier within the same payment system.


Source: lcwd-fpml-dtd-fx-3-0-2002-09-13.dtd


FpML_Routing
FpML_RoutingIdsAndExplicitDetails

routingIdsAndExplicitDetails
; entity type: FpML_RoutingIdsAndExplicitDetails

A combination of coded payment system identifiers and details for physical addressing for a party involved in the routing of a payment.


Source: lcwd-fpml-dtd-fx-3-0-2002-09-13.dtd


FpML_Routing

routingName
; built-in datatype: string

A real name that is used to identify a party involved in the routing of a payment.


Source: lcwd-fpml-dtd-fx-3-0-2002-09-13.dtd


FpML_RoutingExplicitDetails

routingReferenceText
; built-in datatype: string

A piece of free-format text used to assist the identification of a party involved in the routing of a payment.


Source: lcwd-fpml-dtd-fx-3-0-2002-09-13.dtd


FpML_RoutingExplicitDetails

scheduleBounds
; entity type: FpML_DateRange

The first and last dates of a schedule. This can be used to restrict the range of values in a reference series of dates.


Source: lcwd-fpml-dtd-shared-3-0-2002-09-13.dtd


FpML_RelativeDates

secondaryRateSource
; entity type: FpML_InformationSource

An alternative, or secondary, source for where the rate observation will occur. Will typically be either a page or a reference bank published rate.


Source: lcwd-fpml-dtd-fx-3-0-2002-09-13.dtd


FpML_FXFixing
FpML_FXAverageRateOption

seller
; built-in datatype: string ; coding scheme: payerReceiverScheme

The party that has sold.


Source: lcwd-fpml-dtd-shared-3-0-2002-09-13.dtd


FpML_Strike
FpML_StrikeSchedule

sellerParty
; entity type: FpML_PartyDetails

The party selling the option.


Source: lcwd-fpml-dtd-eqd-3-0-2002-09-13.dtd


FpML_EquityOption

sellerPartyReference
; empty element

A pointer style reference to a party identifier defined elsewhere in the document. The party referenced is the seller of the instrument.

(FpML_SinglePartyOption usage) ISDA defined Seller. The party reference grants the party referenced by the element buyerPartyReference (i.e. the ISDA defined Buyer) the right, upon exercise, to terminate the Swap Transaction in whole or in part (depending on whether partial exercise is applicable).


Source: lcwd-fpml-dtd-shared-3-0-2002-09-13.dtd


FpML_FXOptionLeg
FpML_FXDigitalOption
FpML_FXAverageRateOption
FpML_Fra
FpML_CancelableProvision
FpML_ExtendibleProvision
FpML_SinglePartyOption
FpML_Swaption

settlementCurrency
; built-in datatype: string ; coding scheme: currencyScheme

The currency in which a cash settlement for non-deliverable forward and non-deliverable options.


Source: lcwd-fpml-dtd-shared-3-0-2002-09-13.dtd


FpML_FXCashSettlement
FpML_EquityExercise

settlementDate
; entity type: FpML_RelativeDateOffset

Date on which settlement of option premiums will occur.


Source: lcwd-fpml-dtd-eqd-3-0-2002-09-13.dtd


FpML_EquityExercise

settlementInformation
; entity type: FpML_SettlementInformation

The information required to settle a currency payment that results from a trade.


Source: lcwd-fpml-dtd-fx-3-0-2002-09-13.dtd


FpML_CurrencyFlow
FpML_FXOptionPremium
FpML_FXOptionPayout

settlementInstruction
; entity type: FpML_SettlementInstruction

An explicit specification of how a currency payment is to be made, when the payment is not netted and the route is other than the recipient's standard settlement instruction.


Source: lcwd-fpml-dtd-fx-3-0-2002-09-13.dtd


FpML_SettlementInformation

settlementMethod
; built-in datatype: string ; coding scheme: settlementMethodScheme

The mechanism by which settlement is to be made. The scheme of domain values will include standard mechanisms such as CLS, Fedwire, Chips ABA, Chips UID, SWIFT, CHAPS and DDA.


Source: lcwd-fpml-dtd-fx-3-0-2002-09-13.dtd


FpML_SettlementInstruction

settlementPriceSource
; built-in datatype: string ; coding scheme: settlementPriceSourceScheme

The source from which the settlement price is to be obtained, e.g. a Reuters page, Prezzo di Riferimento, etc.


Source: lcwd-fpml-dtd-eqd-3-0-2002-09-13.dtd


FpML_EquityExercise

settlementRateSource
; entity type: FpML_SettlementRateSource

The method for obtaining a settlement rate. This may be from some information source (e.g. Reuters) or from a set of reference banks.


Source: lcwd-fpml-dtd-ird-3-0-2002-09-13.dtd


FpML_YieldCurveMethod

settlementType
; built-in datatype: string ; coding scheme: settlementTypeScheme

How the option will be settled.


Source: lcwd-fpml-dtd-eqd-3-0-2002-09-13.dtd


FpML_EquityExercise

shareForCombined
; built-in datatype: string ; coding scheme: shareExtraordinaryEventScheme

The consideration paid for the original shares following the Merger Event consists of both cash/securities and new shares.


Source: lcwd-fpml-dtd-eqd-3-0-2002-09-13.dtd


FpML_MergerEvents

shareForOther
; built-in datatype: string ; coding scheme: shareExtraordinaryEventScheme

The consideration paid for the original shares following the Merger Event consists wholly of cash/securities other than new shares.


Source: lcwd-fpml-dtd-eqd-3-0-2002-09-13.dtd


FpML_MergerEvents

shareForShare
; built-in datatype: string ; coding scheme: shareExtraordinaryEventScheme

The consideration paid for the original shares following the Merger Event consists wholly of new shares.


Source: lcwd-fpml-dtd-eqd-3-0-2002-09-13.dtd


FpML_MergerEvents

sideRateBasis
; built-in datatype: string ; coding scheme: sideRateBasisScheme

The method by which the exchange rate against base currency is quoted.


Source: lcwd-fpml-dtd-fx-3-0-2002-09-13.dtd


FpML_SideRate

sideRates
; entity type: FpML_SideRates

An optional element that allow for definition of rates against base currency for non-base currency FX contracts.


Source: lcwd-fpml-dtd-fx-3-0-2002-09-13.dtd


FpML_FXRate

singlePartyOption
; entity type: FpML_SinglePartyOption

If optional early termination is not available to both parties then this component specifies the buyer and seller of the option.


Source: lcwd-fpml-dtd-ird-3-0-2002-09-13.dtd


FpML_OptionalEarlyTermination

splitSettlement
; entity type: FpML_SplitSettlement

The set of individual payments that are to be made when a currency payment settling a trade needs to be split between a number of ultimate beneficiaries. Each split payment may need to have its own routing information.


Source: lcwd-fpml-dtd-fx-3-0-2002-09-13.dtd


FpML_SettlementInstruction

splitSettlementAmount
; entity type: FpML_Money

One of the monetary amounts in a split settlement payment.


Source: lcwd-fpml-dtd-fx-3-0-2002-09-13.dtd


FpML_SplitSettlement

spotPrice
; built-in datatype: decimal

The real-time price per share, index or basket.


Source: lcwd-fpml-dtd-eqd-3-0-2002-09-13.dtd


FpML_EquityOption

spotRate
; built-in datatype: decimal

An optional element used for FX forwards and certain types of FX OTC options. For deals consumated in the FX Forwards Market, this represents the current market rate for a particular currency pair. For barrier and digital/binary options, it can be useful to include the spot rate at the time the option was executed to make it easier to know whether the option needs to move "up" or "down" to be triggered.


Source: lcwd-fpml-dtd-fx-3-0-2002-09-13.dtd


FpML_FXBarrierOption
FpML_FXDigitalOption
FpML_FXAverageRateOption
FpML_FXRate
FpML_SideRate

spread
; built-in datatype: decimal

The ISDA Spread, if any, which applies for the calculation period. The spread is a per annum rate, expressed as a decimal. For purposes of determining a calculation period amount, if positive the spread will be added to the floating rate and if negative the spread will be subtracted from the floating rate. A positive 10 basis point (0.1%) spread would be represented as 0.001.


Source: lcwd-fpml-dtd-ird-3-0-2002-09-13.dtd


FpML_FloatingRateDefinition

spreadSchedule
; entity type: FpML_Schedule

The ISDA Spread or a Spread schedule expressed as explicit spreads and dates. In the case of a schedule, the step dates may be subject to adjustment in accordance with any adjustments specified in calculationPeriodDatesAdjustments. The spread is a per annum rate, expressed as a decimal. For purposes of determining a calculation period amount, if positive the spread will be added to the floating rate and if negative the spread will be subtracted from the floating rate. A positive 10 basis point (0.1%) spread would be represented as 0.001.


Source: lcwd-fpml-dtd-ird-3-0-2002-09-13.dtd


FpML_FloatingRate

standardSettlementStyle
; built-in datatype: string ; coding scheme: standardSettlementStyleScheme

An optional element used to describe how a trade will settle. This defines a scheme and is used for identifying trades that are identified as settling standard and/or flagged for settlement netting.


Source: lcwd-fpml-dtd-fx-3-0-2002-09-13.dtd


FpML_SettlementInformation

state
; built-in datatype: string

A country subdivision used in postal addresses in some countries. For example, US states, Canadian provinces, Swiss cantons.


Source: lcwd-fpml-dtd-fx-3-0-2002-09-13.dtd


FpML_Address

step
; entity type: FpML_Step

The schedule of step date and value pairs. On each step date the associated step value becomes effective A list of steps may be ordered in the document by ascending step date. An FpML document containing an unordered list of steps is still regarded as a conformant document.


Source: lcwd-fpml-dtd-shared-3-0-2002-09-13.dtd


FpML_Schedule

stepDate
; built-in datatype: date

The date on which the associated stepValue becomes effective. This day may be subject to adjustment in accordance with a business day convention.


Source: lcwd-fpml-dtd-shared-3-0-2002-09-13.dtd


FpML_Step

stepFrequency
; entity type: FpML_Interval

The frequency at which the step changes occur. This frequency must be a multiple of the stream calculation period frequency.


Source: lcwd-fpml-dtd-ird-3-0-2002-09-13.dtd


FpML_NotionalStepRule

stepRelativeTo
; built-in datatype: string ; coding scheme: stepRelativeToScheme

Specifies whether the notionalStepRate should be applied to the initial notional or the previous notional in order to calculate the notional step change amount.


Source: lcwd-fpml-dtd-ird-3-0-2002-09-13.dtd


FpML_NotionalStepRule

stepValue
; built-in datatype: decimal

The rate or amount which becomes effective on the associated stepDate. A rate of 5% would be represented as 0.05.


Source: lcwd-fpml-dtd-shared-3-0-2002-09-13.dtd


FpML_Step

strategy
; entity type: FpML_Strategy

A trade containing multiple products. It is envisaged that this will be used to represent structured products.


Source: lcwd-fpml-dtd-main-3-0-2002-09-13.dtd


FpML_ProductSelection

streetAddress
; entity type: FpML_StreetAddress

The set of street and building number information that identifies a postal address within a city.


Source: lcwd-fpml-dtd-fx-3-0-2002-09-13.dtd


FpML_Address

streetLine
; built-in datatype: string

An individual line of street and building number information, forming part of a postal address.


Source: lcwd-fpml-dtd-fx-3-0-2002-09-13.dtd


FpML_StreetAddress

strike
; entity type: FpML_EquityStrike

The price per unit of the underlying at which the option may be exercised.


Source: lcwd-fpml-dtd-eqd-3-0-2002-09-13.dtd


FpML_EquityOption

strikePrice
; built-in datatype: decimal

The rate of exchange at which the option has been struck. It is expected that this will be consistent with the put and call currency amounts within the option leg.


Source: lcwd-fpml-dtd-eqd-3-0-2002-09-13.dtd


FpML_EquityStrike

strikeQuoteBasis
; built-in datatype: string ; coding scheme: strikeQuoteBasisScheme

The method by which the strike rate is quoted.


Source: lcwd-fpml-dtd-fx-3-0-2002-09-13.dtd


FpML_FXStrikePrice

strikeRate
; built-in datatype: decimal

The rate for a cap or floor.


Source: lcwd-fpml-dtd-shared-3-0-2002-09-13.dtd


FpML_Strike

stubAmount
; entity type: FpML_Money

An actual amount to apply for the initial or final stub period may have been agreed between the two parties. If an actual stub amount has been agreed then it would be included in this component.


Source: lcwd-fpml-dtd-ird-3-0-2002-09-13.dtd


FpML_Stub

stubCalculationPeriodAmount
; entity type: FpML_StubCalculationPeriodAmount

The stub calculation period amount parameters. This element must only be included if there is an initial or final stub calculation period. Even then, it must only be included if either the stub references a different floating rate tenor to the regular calculation periods, or if the stub is calculated as a linear interpolation of two different floating rate tenors, or if a specific stub rate or stub amount has been negotiated.


Source: lcwd-fpml-dtd-ird-3-0-2002-09-13.dtd


FpML_InterestRateStream

stubRate
; built-in datatype: decimal

An actual rate to apply for the initial or final stub period may have been agreed between the principal parties (in a similar way to how an initial rate may have been agreed for the first regular period). If an actual stub rate has been agreed then it would be included in this component. It will be a per annum rate, expressed as a decimal. A stub rate of 5% would be represented as 0.05.


Source: lcwd-fpml-dtd-ird-3-0-2002-09-13.dtd


FpML_Stub

swap
; entity type: FpML_Swap

A swap product definition.


Source: lcwd-fpml-dtd-ird-3-0-2002-09-13.dtd


FpML_Swaption
FpML_ProductSelection

swapPremium
; built-in datatype: boolean

Specifies whether or not the premium is to be paid in the style of payments under an interest rate swap contract.


Source: lcwd-fpml-dtd-eqd-3-0-2002-09-13.dtd


FpML_EquityPremium

swapStream
; entity type: FpML_InterestRateStream

The swap streams.


Source: lcwd-fpml-dtd-ird-3-0-2002-09-13.dtd


FpML_Swap

swaption
; entity type: FpML_Swaption

A swaption product definition.


Source: lcwd-fpml-dtd-ird-3-0-2002-09-13.dtd


FpML_ProductSelection

swaptionAdjustedDates
; entity type: FpML_SwaptionAdjustedDates

The adjusted dates associated with swaption exercise. These dates have been adjusted for any applicable business day convention.


Source: lcwd-fpml-dtd-ird-3-0-2002-09-13.dtd


FpML_Swaption

swaptionStraddle
; built-in datatype: boolean

Whether the option is a swaption or a swaption straddle


Source: lcwd-fpml-dtd-ird-3-0-2002-09-13.dtd


FpML_Swaption

terminationDate
; entity type: FpML_AdjustableDate

The last day of the term of the trade. This day may be subject to adjustment in accordance with a business day convention.


Source: lcwd-fpml-dtd-ird-3-0-2002-09-13.dtd


FpML_CalculationPeriodDates

thresholdRate
; built-in datatype: decimal

A threshold rate. A threshold of 0.10% would be represented as 0.001.


Source: lcwd-fpml-dtd-shared-3-0-2002-09-13.dtd


FpML_AutomaticExercise

touchCondition
; built-in datatype: string ; coding scheme: touchConditionScheme

The binary condition that applies to an American-style trigger. There can only be two domain values for this element: "touch" or "no touch".


Source: lcwd-fpml-dtd-fx-3-0-2002-09-13.dtd


FpML_FXAmericanTrigger

trade
; entity type: FpML_Trade

The FpML trade definition.


Source: lcwd-fpml-dtd-main-3-0-2002-09-13.dtd


FpML_Root

tradeDate
; built-in datatype: date

The trade date.


Source: lcwd-fpml-dtd-main-3-0-2002-09-13.dtd


FpML_TradeHeader

tradeHeader
; entity type: FpML_TradeHeader

The information on the trade which is not product specific, e.g. trade date.


Source: lcwd-fpml-dtd-main-3-0-2002-09-13.dtd


FpML_Trade

tradeId
; built-in datatype: string ; coding scheme: tradeIdScheme

A trade 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.


Source: lcwd-fpml-dtd-main-3-0-2002-09-13.dtd


FpML_PartyTradeIdentifier
FpML_Portfolio

treatedRate
; built-in datatype: decimal

The observed rate after any required rate treatment is applied. A treated rate of 5% would be represented as 0.05.


Source: lcwd-fpml-dtd-shared-3-0-2002-09-13.dtd


FpML_RateObservation

triggerCondition
; built-in datatype: string ; coding scheme: triggerConditionScheme

The binary condition that applies to a European-style trigger, determining where the spot rate must be relative to the triggerRate for the option to be exercisable. There can only be two domain values for this element: "aboveTrigger" or "belowTrigger".


Source: lcwd-fpml-dtd-fx-3-0-2002-09-13.dtd


FpML_FXEuropeanTrigger

triggerPayout
; entity type: FpML_FXOptionPayout

The amount of currency which becomes payable if and when a trigger event occurs.


Source: lcwd-fpml-dtd-fx-3-0-2002-09-13.dtd


FpML_FXBarrierOption
FpML_FXDigitalOption

triggerRate
; built-in datatype: decimal

The market rate is observed relative to the trigger rate, and if it is found to be on the predefined side of (above or below) the trigger rate, a trigger event is deemed to have occurred.


Source: lcwd-fpml-dtd-fx-3-0-2002-09-13.dtd


FpML_FXBarrier
FpML_FXAmericanTrigger
FpML_FXEuropeanTrigger

unadjustedDate
; built-in datatype: date

A date subject to adjustment.


Source: lcwd-fpml-dtd-shared-3-0-2002-09-13.dtd


FpML_AdjustableDate
FpML_AdjustableDates

unadjustedFirstDate
; built-in datatype: date

The first date of a date range.


Source: lcwd-fpml-dtd-shared-3-0-2002-09-13.dtd


FpML_DateRange

unadjustedLastDate
; built-in datatype: date

The last date of a date range.


Source: lcwd-fpml-dtd-shared-3-0-2002-09-13.dtd


FpML_DateRange

underlying
; entity type: FpML_Equity

Defines the asset(s) on which the option is granted. Can be (a) shares - equity securities of a single issuer, (b) a basket of shares - a weighted basket of the equity securities of two or more issuers, (c) a basket of indices - a weighted collection of two or more equity indices, or (d) a portfolio basket - a weighted collection of two or more of: equity indices, equity securities, other securities of any type.


Source: lcwd-fpml-dtd-eqd-3-0-2002-09-13.dtd


FpML_EquityOption

valuationDate
; built-in datatype: date

The term "Valuation Date" is assumed to have the meaning as defined in the ISDA 1996 Equity Derivatives Definitions.


Source: lcwd-fpml-dtd-eqd-3-0-2002-09-13.dtd


FpML_EquityValuation

valuationTime
; entity type: FpML_BusinessCenterTime

The specific time of day at which the calculation agent values the underlying.


Source: lcwd-fpml-dtd-eqd-3-0-2002-09-13.dtd


FpML_EquityValuation

valuationTimeType
; built-in datatype: string ; coding scheme: timeTypeScheme

The time of day at which the calculation agent values the underlying, for example the official closing time of the exchange.


Source: lcwd-fpml-dtd-eqd-3-0-2002-09-13.dtd


FpML_EquityValuation

valueDate
; built-in datatype: date

The date on which both currencies traded will settle.


Source: lcwd-fpml-dtd-fx-3-0-2002-09-13.dtd


FpML_FXLeg
FpML_FXOptionLeg
FpML_FXDigitalOption
FpML_FXAverageRateOption

varyingNotionalCurrency
; built-in datatype: string ; coding scheme: currencyScheme

The currency of the varying notional amount, i.e. the notional amount being determined periodically based on observation of a spot currency exchange rate.


Source: lcwd-fpml-dtd-ird-3-0-2002-09-13.dtd


FpML_FxLinkedNotionalSchedule

varyingNotionalFixingDates
; entity type: FpML_RelativeDateOffset

The dates on which spot currency exchange rates are observed for purposes of determining the varying notional currency amount that will apply to a calculation period.


Source: lcwd-fpml-dtd-ird-3-0-2002-09-13.dtd


FpML_FxLinkedNotionalSchedule

varyingNotionalInterimExchangePaymentDates
; entity type: FpML_RelativeDateOffset

The dates on which interim exchanges of notional are paid. Interim exchanges will arise as a result of changes in the spot currency exchange amount or changes in the constant notional schedule (e.g. amortization).


Source: lcwd-fpml-dtd-ird-3-0-2002-09-13.dtd


FpML_FxLinkedNotionalSchedule

weeklyRollConvention
; built-in datatype: string ; coding scheme: weeklyRollConventionScheme

The day of the week on which a weekly reset date occurs. This element must be included if the reset frequency is defined as weekly and not otherwise.


Source: lcwd-fpml-dtd-ird-3-0-2002-09-13.dtd


FpML_ResetFrequency

zeroCouponYieldAdjustedMethod
; entity type: FpML_YieldCurveMethod

An ISDA defined cash settlement method used for the determination of the applicable cash settlement amount. The method is defined in the 2000 ISDA Definitions, Section 17.3. Cash Settlement Methods, paragraph (d).


Source: lcwd-fpml-dtd-ird-3-0-2002-09-13.dtd


FpML_CashSettlement