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

Shared Component Definitions

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





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

Entity Definitions

FpML_AdjustableDate


Description:

An entity for defining 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.


Figure:



Contents:


unadjustedDate (exactly one occurrence; of type date)
dateAdjustments (exactly one occurrence; contains the sub-element(s) defined by exactly one occurrence of the entity FpML_BusinessDayAdjustments)


Used by:


adjustableDate
effectiveDate
firstPeriodStartDate
mandatoryEarlyTerminationDate
paymentDate
terminationDate


DTD Fragment:


<!ENTITY % FpML_AdjustableDate "unadjustedDate , dateAdjustments">



FpML_AdjustableDates


Description:

An entity for defining 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 dates.


Figure:



Contents:


unadjustedDate (one or more occurrences; of type date)
dateAdjustments (exactly one occurrence; contains the sub-element(s) defined by exactly one occurrence of the entity FpML_BusinessDayAdjustments)


Used by:


adjustableDates


DTD Fragment:


<!ENTITY % FpML_AdjustableDates "unadjustedDate+ , dateAdjustments">



FpML_AdjustableOrRelativeDate


Description:

An entity for the choice between defining a date as an explicit date together with applicable adjustments or as relative to some other (anchor) date.


Figure:



Contents:


Either
Or


Used by:


commencementDate
expirationDate


DTD Fragment:


<!ENTITY % FpML_AdjustableOrRelativeDate "adjustableDate | relativeDate">



FpML_AdjustableOrRelativeDates


Description:

An entity for the choice between defining a series of dates as an explicit list of dates together with applicable adjustments or as relative to some other series of (anchor) dates.


Figure:



Contents:


Either
Or


Used by:


bermudaExerciseDates
relevantUnderlyingDate


DTD Fragment:


<!ENTITY % FpML_AdjustableOrRelativeDates "adjustableDates | relativeDates">



FpML_AmericanExercise


Description:

An entity 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.


Figure:



Contents:


commencementDate (exactly one occurrence; contains the sub-element(s) defined by exactly one occurrence of the entity FpML_AdjustableOrRelativeDate)
expirationDate (exactly one occurrence; contains the sub-element(s) defined by exactly one occurrence of the entity FpML_AdjustableOrRelativeDate)
relevantUnderlyingDate (exactly one occurrence; contains the sub-element(s) defined by exactly one occurrence of the entity FpML_AdjustableOrRelativeDates)
earliestExerciseTime (exactly one occurrence; contains the sub-element(s) defined by exactly one occurrence of the entity FpML_BusinessCenterTime)
latestExerciseTime (zero or one occurrence; contains the sub-element(s) defined by exactly one occurrence of the entity FpML_BusinessCenterTime)
expirationTime (exactly one occurrence; contains the sub-element(s) defined by exactly one occurrence of the entity FpML_BusinessCenterTime)
multipleExercise (zero or one occurrence; contains the sub-element(s) defined by exactly one occurrence of the entity FpML_MultipleExercise)
exerciseFeeSchedule (zero or one occurrence; contains the sub-element(s) defined by exactly one occurrence of the entity FpML_ExerciseFeeSchedule)


Used by:


americanExercise


DTD Fragment:


<!ENTITY % FpML_AmericanExercise "commencementDate , expirationDate , relevantUnderlyingDate , earliestExerciseTime , latestExerciseTime? , expirationTime , multipleExercise? , exerciseFeeSchedule?">



FpML_AmountSchedule


Description:

An entity for defining a currency amount or a currency amount schedule. This entity inherits from a base entity, FpML_Schedule.


Figure:



Contents:


inherited element(s) (this entity inherits the element(s) defined by exactly one occurrence of the entity FpML_Schedule)
currency (exactly one occurrence; of type string, an enumerated domain value defined by currencyScheme)


Used by:


knownAmountSchedule
notionalStepSchedule


DTD Fragment:


<!ENTITY % FpML_AmountSchedule "(%FpML_Schedule; , currency)">



FpML_AutomaticExercise


Description:

An entity to define automatic exercise of a swaption. With automatic exercise the option is deemed to have exercised if it is in the money by more than the threshold amount on the exercise date.


Figure:



Contents:


thresholdRate (exactly one occurrence; of type decimal)


Used by:


automaticExercise


DTD Fragment:


<!ENTITY % FpML_AutomaticExercise "thresholdRate">



FpML_BermudaExercise


Description:

An entity to define the bermuda option exercise dates and the expiration date 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.


Figure:



Contents:


bermudaExerciseDates (exactly one occurrence; contains the sub-element(s) defined by exactly one occurrence of the entity FpML_AdjustableOrRelativeDates)
relevantUnderlyingDate (exactly one occurrence; contains the sub-element(s) defined by exactly one occurrence of the entity FpML_AdjustableOrRelativeDates)
earliestExerciseTime (exactly one occurrence; contains the sub-element(s) defined by exactly one occurrence of the entity FpML_BusinessCenterTime)
latestExerciseTime (zero or one occurrence; contains the sub-element(s) defined by exactly one occurrence of the entity FpML_BusinessCenterTime)
expirationTime (exactly one occurrence; contains the sub-element(s) defined by exactly one occurrence of the entity FpML_BusinessCenterTime)
multipleExercise (zero or one occurrence; contains the sub-element(s) defined by exactly one occurrence of the entity FpML_MultipleExercise)
exerciseFeeSchedule (zero or one occurrence; contains the sub-element(s) defined by exactly one occurrence of the entity FpML_ExerciseFeeSchedule)


Used by:


bermudaExercise


DTD Fragment:


<!ENTITY % FpML_BermudaExercise "bermudaExerciseDates , relevantUnderlyingDate , earliestExerciseTime , latestExerciseTime? , expirationTime , multipleExercise? , exerciseFeeSchedule?">



FpML_BusinessCenters


Description:

An entity for defining financial business centers used in determining whether a day is a business day or not.


Figure:



Contents:


businessCenter (one or more occurrences; of type string, an enumerated domain value defined by businessCenterScheme)


Used by:


businessCenters


DTD Fragment:


<!ENTITY % FpML_BusinessCenters "businessCenter+">



FpML_BusinessCenterTime


Description:

An entity for defining a time with respect to a business center location. For example, 11:00 am London time.


Figure:



Contents:


hourMinuteTime (exactly one occurrence; of type time)
businessCenter (exactly one occurrence; of type string, an enumerated domain value defined by businessCenterScheme)


Used by:


cashSettlementValuationTime
earliestExerciseTime
equityExpirationTime
expirationTime
expiryTime
fixingTime
latestExerciseTime
valuationTime


DTD Fragment:


<!ENTITY % FpML_BusinessCenterTime "hourMinuteTime , businessCenter">



FpML_BusinessDateRange


Description:

An entity for defining a range of contiguous business days by defining an unadjusted first date, an unadjusted last date and a business day convention and business centers for adjusting the first and last dates if they would otherwise fall on a non business day in the specified business centers. The days between the first and last date must also be good business days in the specified business centers to be counted in the range. This entity inherits from the base entity, FpML_DateRange.


Figure:



Contents:


inherited element(s) (this entity inherits the element(s) defined by exactly one occurrence of the entity FpML_DateRange)
businessDayConvention (exactly one occurrence; of type string, an enumerated domain value defined by businessDayConventionScheme)
Zero or one occurrence of either
Or


Used by:


businessDateRange


DTD Fragment:


<!ENTITY % FpML_BusinessDateRange "(%FpML_DateRange; , businessDayConvention , (businessCentersReference | businessCenters)?)">



FpML_BusinessDayAdjustments


Description:

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


Figure:



Contents:


businessDayConvention (exactly one occurrence; of type string, an enumerated domain value defined by businessDayConventionScheme)
Zero or one occurrence of either
Or


Used by:


calculationPeriodDatesAdjustments
dateAdjustments
paymentDatesAdjustments
resetDatesAdjustments


DTD Fragment:


<!ENTITY % FpML_BusinessDayAdjustments "businessDayConvention , (businessCentersReference | businessCenters)?">



FpML_CalculationAgent


Description:

An entity for defining the ISDA Calculation Agent responsible for performing duties associated with the optional early termination on a swap transaction.


Figure:



Contents:


Either
Or


Used by:


calculationAgent


DTD Fragment:


<!ENTITY % FpML_CalculationAgent "calculationAgentPartyReference+ | calculationAgentParty">



FpML_CalculationPeriodFrequency


Description:

An entity for defining the frequency at which calculation period end dates occur within the regular part of the calculation period schedule and their roll date convention. This entity inherits from a base entity, FpML_Interval.


Figure:



Contents:


inherited element(s) (this entity inherits the element(s) defined by exactly one occurrence of the entity FpML_Interval)
rollConvention (exactly one occurrence; of type string, an enumerated domain value defined by rollConventionScheme)


Used by:


calculationPeriodFrequency


DTD Fragment:


<!ENTITY % FpML_CalculationPeriodFrequency "(%FpML_Interval; , rollConvention)">



FpML_DateRange


Description:

A entity for defining a contiguous series of calendar dats. The date range is defined as all the dates between and including the first and the last date. The first date must fall before the last date.


Figure:



Contents:


unadjustedFirstDate (exactly one occurrence; of type date)
unadjustedLastDate (exactly one occurrence; of type date)


Used by:


FpML_BusinessDateRange
scheduleBounds


DTD Fragment:


<!ENTITY % FpML_DateRange "unadjustedFirstDate , unadjustedLastDate">



FpML_Documentation


Description:

An entity for defining 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.


Figure:



Contents:


masterAgreement (exactly one occurrence; contains the sub-element(s) defined by exactly one occurrence of the entity FpML_MasterAgreement)
contractualDefinitions (one or more occurrences; contains the sub-element(s) defined by exactly one occurrence of the entity FpML_Definitions, an enumerated domain value defined by contractualDefinitionsScheme)
masterConfirmation (zero or one occurrence; of type date)
creditSupportDocument (zero or one occurrence; of type string)


Used by:


documentation


DTD Fragment:


<!ENTITY % FpML_Documentation "masterAgreement , contractualDefinitions+ , masterConfirmation? , creditSupportDocument?">



FpML_EuropeanExercise


Description:

An entity to define 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.


Figure:



Contents:


expirationDate (exactly one occurrence; contains the sub-element(s) defined by exactly one occurrence of the entity FpML_AdjustableOrRelativeDate)
relevantUnderlyingDate (zero or one occurrence; contains the sub-element(s) defined by exactly one occurrence of the entity FpML_AdjustableOrRelativeDates)
earliestExerciseTime (exactly one occurrence; contains the sub-element(s) defined by exactly one occurrence of the entity FpML_BusinessCenterTime)
expirationTime (exactly one occurrence; contains the sub-element(s) defined by exactly one occurrence of the entity FpML_BusinessCenterTime)
partialExercise (zero or one occurrence; contains the sub-element(s) defined by exactly one occurrence of the entity FpML_PartialExercise)
exerciseFee (zero or one occurrence; contains the sub-element(s) defined by exactly one occurrence of the entity FpML_ExerciseFee)


Used by:


europeanExercise


DTD Fragment:


<!ENTITY % FpML_EuropeanExercise "expirationDate , relevantUnderlyingDate? , earliestExerciseTime , expirationTime , partialExercise? , exerciseFee?">



FpML_ExerciseFee


Description:

An entity to define a fee to be payable on exercise of an option. This fee may be defined as an amount or a percentage of the notional exercised.


Figure:



Contents:


payerPartyReference (exactly one occurrence; an empty element containing an href attribute)
receiverPartyReference (exactly one occurrence; an empty element containing an href attribute)
notionalReference (exactly one occurrence; an empty element containing an href attribute)
Either
Or
feePaymentDate (exactly one occurrence; contains the sub-element(s) defined by exactly one occurrence of the entity FpML_RelativeDateOffset)


Used by:


exerciseFee


DTD Fragment:


<!ENTITY % FpML_ExerciseFee "payerPartyReference , receiverPartyReference , notionalReference , (feeAmount | feeRate) , feePaymentDate">



FpML_ExerciseFeeSchedule


Description:

An entity to define a fee or schedule of fees to be payable on exercise of an option. This fee may be defined as an amount or a percentage of the notional exercised.


Figure:



Contents:


payerPartyReference (exactly one occurrence; an empty element containing an href attribute)
receiverPartyReference (exactly one occurrence; an empty element containing an href attribute)
notionalReference (exactly one occurrence; an empty element containing an href attribute)
Either
Or
feePaymentDate (exactly one occurrence; contains the sub-element(s) defined by exactly one occurrence of the entity FpML_RelativeDateOffset)


Used by:


exerciseFeeSchedule


DTD Fragment:


<!ENTITY % FpML_ExerciseFeeSchedule "payerPartyReference , receiverPartyReference , notionalReference , (feeAmountSchedule | feeRateSchedule) , feePaymentDate">



FpML_ExerciseNotice


Description:

An entity to define to whom and where notice of exercise should be given. The partyReference refers to one of the principal parties of the trade. If present the exerciseNoticePartyReference refers to a party, other than the principal party, to whom notice should be given.


Figure:



Contents:


partyReference (exactly one occurrence; an empty element containing an href attribute)
exerciseNoticePartyReference (zero or one occurrence; an empty element containing an href attribute)
businessCenter (exactly one occurrence; of type string, an enumerated domain value defined by businessCenterScheme)


Used by:


exerciseNotice


DTD Fragment:


<!ENTITY % FpML_ExerciseNotice "partyReference , exerciseNoticePartyReference? , businessCenter">



FpML_ExerciseProcedure


Description:

An entity to describe how notice of exercise should be given. This can either be manual or automatic.


Figure:



Contents:


Either
Or
followUpConfirmation (exactly one occurrence; of type boolean)


Used by:


exerciseProcedure


DTD Fragment:


<!ENTITY % FpML_ExerciseProcedure "(manualExercise | automaticExercise) , followUpConfirmation">



FpML_Fee


Description:

An entity for defining additional payments associated with a trade which are not defined as part of the stream payments. It may be used to define additional payments between the principal parties involved in the trade or other third parties such as a broker. This entity inherits from a base entity, FpML_Payment.


Figure:



Contents:


inherited element(s) (this entity inherits the element(s) defined by exactly one occurrence of the entity FpML_Payment)
paymentType (zero or one occurrence; of type string, an enumerated domain value defined by paymentTypeScheme)


Used by:


additionalPayment
otherPartyPayment


DTD Fragment:


<!ENTITY % FpML_Fee "%FpML_Payment; , paymentType?">



FpML_FxSpotRateSource


Description:

An entity to define the source and time for an fx rate.


Figure:



Contents:


informationSource (exactly one occurrence; contains the sub-element(s) defined by exactly one occurrence of the entity FpML_InformationSource)
fixingTime (exactly one occurrence; contains the sub-element(s) defined by exactly one occurrence of the entity FpML_BusinessCenterTime)


Used by:


fxSpotRateSource


DTD Fragment:


<!ENTITY % FpML_FxSpotRateSource "informationSource , fixingTime">



FpML_InformationSource


Description:

An entity to define the source for a piece of information (eg a rate refix or a fx fixing).


Figure:



Contents:


rateSource (exactly one occurrence; of type string, an enumerated domain value defined by informationProviderScheme)
rateSourcePage (zero or one occurrence; of type string, an enumerated domain value defined by rateSourcePageScheme)

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


rateSourcePageHeading (zero or one occurrence; of type string)

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


Used by:


informationSource
primaryRateSource
secondaryRateSource


DTD Fragment:


<!ENTITY % FpML_InformationSource "rateSource , rateSourcePage? , rateSourcePageHeading?">



FpML_Interval


Description:

An entity for defining a time interval or offset, e.g. one day, three months. Used for specifying frequencies at which events occur, the tenor of a floating rate or an offset relative to another date.


Figure:



Contents:


periodMultiplier (exactly one occurrence; of type integer)
period (exactly one occurrence; of type string, an enumerated domain value defined by periodScheme)


Used by:


FpML_CalculationPeriodFrequency
FpML_Offset
FpML_ResetFrequency
indexTenor
paymentFrequency
quotedTenor
stepFrequency


DTD Fragment:


<!ENTITY % FpML_Interval "periodMultiplier , period">



FpML_ManualExercise


Description:

An entity to define manual exercise. ie that option buyer counterparty must give notice to the option seller of exercise.


Figure:



Contents:


exerciseNotice (zero or one occurrence; contains the sub-element(s) defined by exactly one occurrence of the entity FpML_ExerciseNotice)
fallbackExercise (zero or one occurrence; of type boolean)


Used by:


manualExercise


DTD Fragment:


<!ENTITY % FpML_ManualExercise "exerciseNotice? , fallbackExercise?">



FpML_MasterAgreement


Description:

An entity for defining the agreement executed between the parties and intended to govern all OTC derivatives transactions between those parties.


Figure:



Contents:


masterAgreementType (exactly one occurrence; of type string, an enumerated domain value defined by masterAgreementTypeScheme)
masterAgreementDate (zero or one occurrence; of type date)


Used by:


masterAgreement


DTD Fragment:


<!ENTITY % FpML_MasterAgreement "masterAgreementType , masterAgreementDate?">



FpML_Money


Description:

An entity for defining a currency amount.


Figure:



Contents:


currency (exactly one occurrence; of type string, an enumerated domain value defined by currencyScheme)
amount (exactly one occurrence; of type decimal)


Used by:


FpML_FXOptionPayout
callCurrencyAmount
notional
paymentAmount
premiumAmount
putCurrencyAmount
splitSettlementAmount
stubAmount


DTD Fragment:


<!ENTITY % FpML_Money "currency , amount">



FpML_MultipleExercise


Description:

An entity to define multiple exercise. 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.


Figure:



Contents:


inherited element(s) (this entity inherits the element(s) defined by exactly one occurrence of the entity FpML_PartialExercise)
maximumNotionalAmount (zero or one occurrence; of type decimal)


Used by:


multipleExercise


DTD Fragment:


<!ENTITY % FpML_MultipleExercise "%FpML_PartialExercise; , maximumNotionalAmount?">



FpML_Offset


Description:

An entity for defining an offset used in calculating a new date relative to a reference date. Currently, the only offsets defined are expected to be expressed as either calendar or business day offsets. This entity inherits from a base entity, FpML_Interval.


Figure:



Contents:


inherited element(s) (this entity inherits the element(s) defined by exactly one occurrence of the entity FpML_Interval)
dayType (zero or one occurrence; of type string, an enumerated domain value defined by dayTypeScheme)


Used by:


FpML_RelativeDateOffset
paymentDaysOffset
rateCutOffDaysOffset


DTD Fragment:


<!ENTITY % FpML_Offset "(%FpML_Interval; , dayType?)">



FpML_PartialExercise


Description:

An entity to define partial exercise. As defined in the 2000 ISDA Definitions, Section 12.3 Partial Exercise, the buyer of the option may exercise all or less than all the notional amount of the underlying swap but may not be less than the minimum notional amount (if specified) and must be an integral multiple of the integral multiple amount if specified.


Figure:



Contents:


notionalReference (one or more occurrences; an empty element containing an href attribute)
integralMultipleAmount (zero or one occurrence; of type decimal)
minimumNotionalAmount (exactly one occurrence; of type decimal)


Used by:


FpML_MultipleExercise
partialExercise


DTD Fragment:


<!ENTITY % FpML_PartialExercise "notionalReference+ , integralMultipleAmount? , minimumNotionalAmount">



FpML_Payment


Description:

An entity for defining a payment between two parties.


Figure:



Contents:


payerPartyReference (exactly one occurrence; an empty element containing an href attribute)
receiverPartyReference (exactly one occurrence; an empty element containing an href attribute)
paymentAmount (exactly one occurrence; contains the sub-element(s) defined by exactly one occurrence of the entity FpML_Money)
paymentDate (zero or one occurrence; contains the sub-element(s) defined by exactly one occurrence of the entity FpML_AdjustableDate)
adjustedPaymentDate (zero or one occurrence; of type date)


Used by:


FpML_CurrencyFlow
FpML_Fee
payment
premium


DTD Fragment:


<!ENTITY % FpML_Payment "payerPartyReference , receiverPartyReference , paymentAmount , paymentDate? , adjustedPaymentDate?">



FpML_Product


Description:

The base entity which all FpML products extend.


Figure:



Contents:


productType (zero or one occurrence; of type string, an enumerated domain value defined by productTypeScheme)
productId (zero or more occurrences; of type string, an enumerated domain value defined by 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.


Used by:


FpML_BulletPayment
FpML_CapFloor
FpML_EquityOption
FpML_Fra
FpML_FXAverageRateOption
FpML_FXDigitalOption
FpML_FXLeg
FpML_FXOptionLeg
FpML_FXSwap
FpML_Strategy
FpML_Swap
FpML_Swaption


DTD Fragment:


<!ENTITY % FpML_Product "productType?,productId*">



FpML_RateObservation


Description:

An entity for defining parameters associated with an individual rate observation or fixing. This entity forms part of the cashflows representation of a stream.


Figure:



Contents:


adjustedFixingDate (exactly one occurrence; of type date)
observedRate (zero or one occurrence; of type decimal)
treatedRate (zero or one occurrence; of type decimal)
observationWeight (exactly one occurrence; of type positiveInteger)
rateReference (zero or one occurrence; an empty element containing an href attribute)


Used by:


rateObservation


DTD Fragment:


<!ENTITY % FpML_RateObservation "adjustedFixingDate , observedRate? , treatedRate? , observationWeight , rateReference?">



FpML_ReferenceBank


Description:

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


Figure:



Contents:


referenceBankId (exactly one occurrence; of type string, an enumerated domain value defined by referenceBankIdScheme)
referenceBankName (zero or one occurrence; of type string)


Used by:


referenceBank


DTD Fragment:


<!ENTITY % FpML_ReferenceBank "referenceBankId , referenceBankName?">



FpML_RelativeDateOffset


Description:

An entity for defining a date (referred to as the derived date) as a relative offset from another date (referred to as the anchor date). If the anchor date is itself an adjustable date then the offset is assumed to be calculated from the adjusted anchor date. A number of different scenarios can be supported, namely; 1) the derived date may simply be a number of calendar periods (days, weeks, months or years) preceding or following the anchor date; 2) the unadjusted derived date may be a number of calendar periods (days, weeks, months, years) preceding or following the anchor date with the resulting unadjusted derived date subject to adjustment in accordance with a specified business day convention, i.e. the derived date must fall on a good business day; 3) the derived date may be a number of business days preceding or following the anchor date. Note that the businessDayConvention element specifies any required adjustment to the unadjusted derived date. A negative or positive value in the periodMultiplier element indicates whether the unadjusted derived date precedes or follows the anchor date. The businessDayConvention element should contain a value of NONE if the dayType element contains a value of Business (since specifying a negative or positive business days offset would already guarantee that the derived date would fall on a good business day in the specified business centers).


Figure:



Contents:


inherited element(s) (this entity inherits the element(s) defined by exactly one occurrence of the entity FpML_Offset)
businessDayConvention (exactly one occurrence; of type string, an enumerated domain value defined by businessDayConventionScheme)
Zero or one occurrence of either
Or
dateRelativeTo (exactly one occurrence; of type string, an enumerated domain value defined by 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.


Used by:


FpML_RelativeDates
cashSettlementValuationDate
feePaymentDate
fixingDateOffset
fixingDates
relativeDate
settlementDate
varyingNotionalFixingDates
varyingNotionalInterimExchangePaymentDates


DTD Fragment:


<!ENTITY % FpML_RelativeDateOffset "(%FpML_Offset; , businessDayConvention , (businessCentersReference | businessCenters)? , dateRelativeTo)">



FpML_RelativeDates


Description:

An entity to define a set of dates defined as relative to another set of dates.


Figure:



Contents:


inherited element(s) (this entity inherits the element(s) defined by exactly one occurrence of the entity FpML_RelativeDateOffset)
periodSkip (zero or one occurrence; of type positiveInteger)
scheduleBounds (zero or one occurrence; contains the sub-element(s) defined by exactly one occurrence of the entity FpML_DateRange)


Used by:


relativeDates


DTD Fragment:


<!ENTITY % FpML_RelativeDates "(%FpML_RelativeDateOffset; , periodSkip? , scheduleBounds?)">



FpML_Rounding


Description:

An entity for defining a rounding direction and precision to be used in the rounding of a rate.


Figure:



Contents:


roundingDirection (exactly one occurrence; of type string, an enumerated domain value defined by roundingDirectionScheme)
precision (exactly one occurrence; of type nonNegativeInteger)


Used by:


finalRateRounding


DTD Fragment:


<!ENTITY % FpML_Rounding "roundingDirection , precision">



FpML_Schedule


Description:

An entity for defining a schedule of rate or amounts in terms of an initial value and then a series of step date and value pairs. On each step date the rate or amount changes to the new step value. The series of step date and value pairs are optional. If not specified, this implies that the initial value remains unchanged over time.


Figure:



Contents:


initialValue (exactly one occurrence; of type decimal)
step (zero or more occurrences; contains the sub-element(s) defined by exactly one occurrence of the entity FpML_Step)


Used by:


FpML_AmountSchedule
FpML_StrikeSchedule
feeAmountSchedule
feeRateSchedule
fixedRateSchedule
floatingRateMultiplierSchedule
spreadSchedule


DTD Fragment:


<!ENTITY % FpML_Schedule "initialValue , step*">



FpML_SharedAmericanExercise


Description:

TBA


Figure:



Contents:


commencementDate (exactly one occurrence; contains the sub-element(s) defined by exactly one occurrence of the entity FpML_AdjustableOrRelativeDate)
expirationDate (exactly one occurrence; contains the sub-element(s) defined by exactly one occurrence of the entity FpML_AdjustableOrRelativeDate)
latestExerciseTime (zero or one occurrence; contains the sub-element(s) defined by exactly one occurrence of the entity FpML_BusinessCenterTime)


Used by:


FpML_EquityAmericanExercise


DTD Fragment:


<!ENTITY % FpML_SharedAmericanExercise "commencementDate , expirationDate , latestExerciseTime?">



FpML_Step


Description:

An entity for defining a step date and step value pair. These step definitions are used to define varying rate or amount schedules, e.g. a notional amortization or a step-up coupon schedule.


Figure:



Contents:


stepDate (exactly one occurrence; of type date)
stepValue (exactly one occurrence; of type decimal)


Used by:


step


DTD Fragment:


<!ENTITY % FpML_Step "stepDate , stepValue">



FpML_Strike


Description:

TBA


Figure:



Contents:


strikeRate (exactly one occurrence; of type decimal)
buyer (zero or one occurrence; of type string, an enumerated domain value defined by payerReceiverScheme)
seller (zero or one occurrence; of type string, an enumerated domain value defined by payerReceiverScheme)

  • The party that has sold.


Used by:


capRate
floorRate


DTD Fragment:


<!ENTITY % FpML_Strike "strikeRate , buyer? , seller?">



FpML_StrikeSchedule


Description:

TBA


Figure:



Contents:


inherited element(s) (this entity inherits the element(s) defined by exactly one occurrence of the entity FpML_Schedule)
buyer (zero or one occurrence; of type string, an enumerated domain value defined by payerReceiverScheme)
seller (zero or one occurrence; of type string, an enumerated domain value defined by payerReceiverScheme)

  • The party that has sold.


Used by:


capRateSchedule
floorRateSchedule


DTD Fragment:


<!ENTITY % FpML_StrikeSchedule "(%FpML_Schedule; , buyer? , seller?)">