http://www.fpml.org/spec/2003/wd-fpml-4-0-2003-04-04
http://www.fpml.org/spec/2003/wd-fpml-4-0-2003-04-04
n/a
http://www.fpml.org/spec/errata/wd-fpml-4-0-2003-04-04-errata.html
Copyright © 2002-2003. 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
XSL Schema Processing Developed By:
Andrew Jacobs, Senior Consultant, IBM.
e-mail: andrew_jacobs@uk.ibm.com
XSL Schema Processing Also Supported By:
Brian Lynn, Founder and CTO, Gem Soup LLC.
e-mail: brian.lynn@gemsoup.com
Additional payments between the principal parties.
Element additionalPayment is defined by the complex type Payment
<xsd:element name="additionalPayment" type="Payment">
<xsd:annotation>
<xsd:documentation xml:lang="en">
Additional payments between the principal parties.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
The date on which the cash settlement amount is paid. This date should already be adjusted for any applicable business dat convention.
Element adjustedCashSettlementPaymentDate is defined by the simple type xsd:date
<xsd:element name="adjustedCashSettlementPaymentDate" type="xsd:date">
<xsd:annotation>
<xsd:documentation xml:lang="en">
The date on which the cash settlement amount is paid. This date
should already be adjusted for any applicable business dat
convention.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
The date by which the cash settlement amount must be agreed. This date should already be adjusted for any applicable business day convention.
Element adjustedCashSettlementValuationDate is defined by the simple type xsd:date
<xsd:element name="adjustedCashSettlementValuationDate" type="xsd:date">
<xsd:annotation>
<xsd:documentation xml:lang="en">
The date by which the cash settlement amount must be agreed. This
date should already be adjusted for any applicable business day
convention.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
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.
Element adjustedEarlyTerminationDate is defined by the simple type xsd:date
<xsd:element name="adjustedEarlyTerminationDate" type="xsd:date">
<xsd:annotation>
<xsd:documentation xml:lang="en">
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.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
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.
Inherited element(s): (This definition inherits the content defined by the type xsd:date)
<xsd:element name="adjustedEffectiveDate">
<xsd:annotation>
<xsd:documentation xml:lang="en">
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.
</xsd:documentation>
</xsd:annotation>
<xsd:complexType>
<xsd:simpleContent>
<xsd:extension base="xsd:date">
<xsd:attribute name="id" use="required" type="xsd:ID"/>
</xsd:extension>
</xsd:simpleContent>
</xsd:complexType>
</xsd:element>
The calculation period end date, adjusted according to any relevant business day convention.
Element adjustedEndDate is defined by the simple type xsd:date
<xsd:element name="adjustedEndDate" type="xsd:date">
<xsd:annotation>
<xsd:documentation xml:lang="en">
The calculation period end date, adjusted according to any
relevant business day convention.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
The date on which option exercise takes place. This date should already be adjusted for any applicable business day convention.
Element adjustedExerciseDate is defined by the simple type xsd:date
<xsd:element name="adjustedExerciseDate" type="xsd:date">
<xsd:annotation>
<xsd:documentation xml:lang="en">
The date on which option exercise takes place. This date should
already be adjusted for any applicable business day convention.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
The date on which the exercise fee amount is paid. This date should already be adjusted for any applicable business day convention.
Element adjustedExerciseFeePaymentDate is defined by the simple type xsd:date
<xsd:element name="adjustedExerciseFeePaymentDate" type="xsd:date">
<xsd:annotation>
<xsd:documentation xml:lang="en">
The date on which the exercise fee amount is paid. This date
should already be adjusted for any applicable business day
convention.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
The termination date if an extendible provision is exercised. This date should already be adjusted for any applicable business day convention.
Element adjustedExtendedTerminationDate is defined by the simple type xsd:date
<xsd:element name="adjustedExtendedTerminationDate" type="xsd:date">
<xsd:annotation>
<xsd:documentation xml:lang="en">
The termination date if an extendible provision is exercised.
This date should already be adjusted for any applicable business
day convention.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
The date on which the fx spot rate is observed. This date should already be adjusted for any applicable business day convention.
Element adjustedFxSpotFixingDate is defined by the simple type xsd:date
<xsd:element name="adjustedFxSpotFixingDate" type="xsd:date">
<xsd:annotation>
<xsd:documentation xml:lang="en">
The date on which the fx spot rate is observed. This date should
already be adjusted for any applicable business day convention.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
The principal exchange date. This date should already be adjusted for any applicable business day convention.
Element adjustedPrincipalExchangeDate is defined by the simple type xsd:date
<xsd:element name="adjustedPrincipalExchangeDate" type="xsd:date">
<xsd:annotation>
<xsd:documentation xml:lang="en">
The principal exchange date. This date should already be adjusted
for any applicable business day convention.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
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.
Element adjustedRelevantSwapEffectiveDate is defined by the simple type xsd:date
<xsd:element name="adjustedRelevantSwapEffectiveDate" type="xsd:date">
<xsd:annotation>
<xsd:documentation xml:lang="en">
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.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
The calculation period start date, adjusted according to any relevant business day convention.
Element adjustedStartDate is defined by the simple type xsd:date
<xsd:element name="adjustedStartDate" type="xsd:date">
<xsd:annotation>
<xsd:documentation xml:lang="en">
The calculation period start date, adjusted according to any
relevant business day convention.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
The end date of the calculation period. This date should already be adjusted for any applicable business day convention.
Element adjustedTerminationDate is defined by the simple type xsd:date
<xsd:element name="adjustedTerminationDate" type="xsd:date">
<xsd:annotation>
<xsd:documentation xml:lang="en">
The end date of the calculation period. This date should already
be adjusted for any applicable business day convention.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
If averaging is applicable, this component specifies whether a weighted or unweighted average method of calculation is to be used. The component must only be included when averaging applies.
Inherited element(s): (This definition inherits the content defined by the type AveragingMethod)
<xsd:element name="averagingMethod">
<xsd:annotation>
<xsd:documentation xml:lang="en">
If averaging is applicable, this component specifies whether a
weighted or unweighted average method of calculation is to be
used. The component must only be included when averaging applies.
</xsd:documentation>
</xsd:annotation>
<xsd:complexType>
<xsd:simpleContent>
<xsd:extension base="AveragingMethod">
<xsd:attribute name="averagingMethodScheme" type="xsd:normalizedString"/>
</xsd:extension>
</xsd:simpleContent>
</xsd:complexType>
</xsd:element>
A product to represent one or more known payments.
Element bulletPayment is defined by the complex type BulletPayment
<xsd:element name="bulletPayment" type="BulletPayment" substitutionGroup="product">
<xsd:annotation>
<xsd:documentation xml:lang="en">
A product to represent one or more known payments.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
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.
Element calculatedRate is defined by the simple type xsd:decimal
<xsd:element name="calculatedRate" type="xsd:decimal">
<xsd:annotation>
<xsd:documentation xml:lang="en">
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.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
The parameters used in the calculation of fixed or floaring rate calculation period amounts.
Element calculation is defined by the complex type Calculation
<xsd:element name="calculation" type="Calculation">
<xsd:annotation>
<xsd:documentation xml:lang="en">
The parameters used in the calculation of fixed or floaring rate
calculation period amounts.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
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 start date. An FpML document which contains an unordered list of calcularion periods is still regarded as a conformant document.
Element calculationPeriod is defined by the complex type CalculationPeriod
<xsd:element name="calculationPeriod" type="CalculationPeriod">
<xsd:annotation>
<xsd:documentation xml:lang="en">
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 start date.
An FpML document which contains an unordered list of calcularion
periods is still regarded as a conformant document.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
The calculation period amount parameters.
Element calculationPeriodAmount is defined by the complex type CalculationPeriodAmount
<xsd:element name="calculationPeriodAmount" type="CalculationPeriodAmount">
<xsd:annotation>
<xsd:documentation xml:lang="en">
The calculation period amount parameters.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
The calculation periods dates schedule.
Element calculationPeriodDates is defined by the complex type CalculationPeriodDates
<xsd:element name="calculationPeriodDates" type="CalculationPeriodDates">
<xsd:annotation>
<xsd:documentation xml:lang="en">
The calculation periods dates schedule.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
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.
Element calculationPeriodDatesAdjustments is defined by the complex type BusinessDayAdjustments
<xsd:element name="calculationPeriodDatesAdjustments" type="BusinessDayAdjustments">
<xsd:annotation>
<xsd:documentation xml:lang="en">
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.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
A pointer style reference to the associated calculation period dates component defined elsewhere in the document.
<xsd:element name="calculationPeriodDatesReference">
<xsd:annotation>
<xsd:documentation xml:lang="en">
A pointer style reference to the associated calculation period
dates component defined elsewhere in the document.
</xsd:documentation>
</xsd:annotation>
<xsd:complexType>
<xsd:attribute name="href" use="required" type="xsd:IDREF"/>
</xsd:complexType>
</xsd:element>
The number of days from the adjusted effective date to the adjusted termination date calculated in accordance with the applicable day count fraction.
Element calculationPeriodNumberOfDays is defined by the simple type xsd:positiveInteger
<xsd:element name="calculationPeriodNumberOfDays" type="xsd:positiveInteger">
<xsd:annotation>
<xsd:documentation xml:lang="en">
The number of days from the adjusted effective date to the
adjusted termination date calculated in accordance with the
applicable day count fraction.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
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.
Element cancelableProvision is defined by the complex type CancelableProvision
<xsd:element name="cancelableProvision" type="CancelableProvision">
<xsd:annotation>
<xsd:documentation xml:lang="en">
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.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
The adjusted dates associated with a cancelable provision. These dates have been adjusted for any applicable business day convention.
Element cancelableProvisionAdjustedDates is defined by the complex type CancelableProvisionAdjustedDates
<xsd:element name="cancelableProvisionAdjustedDates" type="CancelableProvisionAdjustedDates">
<xsd:annotation>
<xsd:documentation xml:lang="en">
The adjusted dates associated with a cancelable provision. These
dates have been adjusted for any applicable business day
convention.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
The adjusted dates for an individual cancellation date.
Element cancellationEvent is defined by the complex type CancellationEvent
<xsd:element name="cancellationEvent" type="CancellationEvent">
<xsd:annotation>
<xsd:documentation xml:lang="en">
The adjusted dates for an individual cancellation date.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
A cap, floor or cap floor structures product definition.
Element capFloor is defined by the complex type CapFloor
<xsd:element name="capFloor" type="CapFloor" substitutionGroup="product">
<xsd:annotation>
<xsd:documentation xml:lang="en">
A cap, floor or cap floor structures product definition.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
Element capFloorStream is defined by the complex type InterestRateStream
<xsd:element name="capFloorStream" type="InterestRateStream"/>
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.
Element capRate is defined by the complex type Strike
<xsd:element name="capRate" type="Strike">
<xsd:annotation>
<xsd:documentation xml:lang="en">
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.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
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 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.
Element capRateSchedule is defined by the complex type StrikeSchedule
<xsd:element name="capRateSchedule" type="StrikeSchedule">
<xsd:annotation>
<xsd:documentation xml:lang="en">
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 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.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
The cashflows representation of the swap stream.
Element cashflows is defined by the complex type Cashflows
<xsd:element name="cashflows" type="Cashflows">
<xsd:annotation>
<xsd:documentation xml:lang="en">
The cashflows representation of the swap stream.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
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.
Element cashflowsMatchParameters is defined by the simple type xsd:boolean
<xsd:element name="cashflowsMatchParameters" type="xsd:boolean">
<xsd:annotation>
<xsd:documentation xml:lang="en">
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.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
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).
Element cashPriceAlternateMethod is defined by the complex type CashPriceMethod
<xsd:element name="cashPriceAlternateMethod" type="CashPriceMethod">
<xsd:annotation>
<xsd:documentation xml:lang="en">
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).
</xsd:documentation>
</xsd:annotation>
</xsd:element>
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).
Element cashPriceMethod is defined by the complex type CashPriceMethod
<xsd:element name="cashPriceMethod" type="CashPriceMethod">
<xsd:annotation>
<xsd:documentation xml:lang="en">
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).
</xsd:documentation>
</xsd:annotation>
</xsd:element>
If specified, this means that cash settlement is applicable to the transaction and defines the parameters associated with the cash settlement prodcedure. If not specified, then physical settlement is applicable.
Element cashSettlement is defined by the complex type CashSettlement
<xsd:element name="cashSettlement" type="CashSettlement">
<xsd:annotation>
<xsd:documentation xml:lang="en">
If specified, this means that cash settlement is applicable to
the transaction and defines the parameters associated with the
cash settlement prodcedure. If not specified, then physical
settlement is applicable.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
The currency in which the cash settlement amount will be calculated and settled.
Inherited element(s): (This definition inherits the content defined by the type Currency)
<xsd:element name="cashSettlementCurrency">
<xsd:annotation>
<xsd:documentation xml:lang="en">
The currency in which the cash settlement amount will be
calculated and settled.
</xsd:documentation>
</xsd:annotation>
<xsd:complexType>
<xsd:simpleContent>
<xsd:extension base="Currency">
<xsd:attribute name="currencyScheme" type="xsd:normalizedString"/>
</xsd:extension>
</xsd:simpleContent>
</xsd:complexType>
</xsd:element>
The date on which the cash settlement amount will be paid, subject to adjustment in accordance with any applicable business day convention. This component would not be present for a mandatory early termination provision where the cash settlement payment date is the mandatory early termination date.
Element cashSettlementPaymentDate is defined by the complex type CashSettlementPaymentDate
<xsd:element name="cashSettlementPaymentDate" type="CashSettlementPaymentDate">
<xsd:annotation>
<xsd:documentation xml:lang="en">
The date on which the cash settlement amount will be paid,
subject to adjustment in accordance with any applicable business
day convention. This component would not be present for a
mandatory early termination provision where the cash settlement
payment date is the mandatory early termination date.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
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.
Element cashSettlementReferenceBanks is defined by the complex type CashSettlementReferenceBanks
<xsd:element name="cashSettlementReferenceBanks" type="CashSettlementReferenceBanks">
<xsd:annotation>
<xsd:documentation xml:lang="en">
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.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
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.
Element cashSettlementValuationDate is defined by the complex type RelativeDateOffset
<xsd:element name="cashSettlementValuationDate" type="RelativeDateOffset">
<xsd:annotation>
<xsd:documentation xml:lang="en">
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.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
The time of 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.
Element cashSettlementValuationTime is defined by the complex type BusinessCenterTime
<xsd:element name="cashSettlementValuationTime" type="BusinessCenterTime">
<xsd:annotation>
<xsd:documentation xml:lang="en">
The time of 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.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
If more that 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 that one calculation period contributes to a single payment amount.
Inherited element(s): (This definition inherits the content defined by the type CompoundingMethod)
<xsd:element name="compoundingMethod">
<xsd:annotation>
<xsd:documentation xml:lang="en">
If more that 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 that one calculation
period contributes to a single payment amount.
</xsd:documentation>
</xsd:annotation>
<xsd:complexType>
<xsd:simpleContent>
<xsd:extension base="CompoundingMethod">
<xsd:attribute name="compoundingMethodScheme" type="xsd:normalizedString"/>
</xsd:extension>
</xsd:simpleContent>
</xsd:complexType>
</xsd: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.
<xsd:element name="constantNotionalScheduleReference">
<xsd:annotation>
<xsd:documentation xml:lang="en">
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.
</xsd:documentation>
</xsd:annotation>
<xsd:complexType>
<xsd:attribute name="href" use="required" type="xsd:IDREF"/>
</xsd:complexType>
</xsd:element>
The day count fraction.
Inherited element(s): (This definition inherits the content defined by the type DayCountFraction)
<xsd:element name="dayCountFraction">
<xsd:annotation>
<xsd:documentation xml:lang="en">
The day count fraction.
</xsd:documentation>
</xsd:annotation>
<xsd:complexType>
<xsd:simpleContent>
<xsd:extension base="DayCountFraction">
<xsd:attribute name="dayCountFractionScheme" type="xsd:normalizedString"/>
</xsd:extension>
</xsd:simpleContent>
</xsd:complexType>
</xsd:element>
The parameters specifying any discounting conventions that may apply. This element must only be included if discounting applies.
Element discounting is defined by the complex type Discounting
<xsd:element name="discounting" type="Discounting">
<xsd:annotation>
<xsd:documentation xml:lang="en">
The parameters specifying any discounting conventions that may
apply. This element must only be included if discounting applies.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
The discounting method that is applicable.
Inherited element(s): (This definition inherits the content defined by the type DiscountingType)
<xsd:element name="discountingType">
<xsd:annotation>
<xsd:documentation xml:lang="en">
The discounting method that is applicable.
</xsd:documentation>
</xsd:annotation>
<xsd:complexType>
<xsd:simpleContent>
<xsd:extension base="DiscountingType">
<xsd:attribute name="discountingTypeScheme" type="xsd:normalizedString"/>
</xsd:extension>
</xsd:simpleContent>
</xsd:complexType>
</xsd:element>
A discount rate, expressed as a decimal, to be used in the calculation of a discounted amount. A discount amount of 5% would be represented as 0.05.
Element discountRate is defined by the simple type xsd:decimal
<xsd:element name="discountRate" type="xsd:decimal">
<xsd:annotation>
<xsd:documentation xml:lang="en">
A discount rate, expressed as a decimal, to be used in the
calculation of a discounted amount. A discount amount of 5% would
be represented as 0.05.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
A discount day count fraction to be used in the calculation of a discounted amount.
Inherited element(s): (This definition inherits the content defined by the type DayCountFraction)
<xsd:element name="discountRateDayCountFraction">
<xsd:annotation>
<xsd:documentation xml:lang="en">
A discount day count fraction to be used in the calculation of a
discounted amount.
</xsd:documentation>
</xsd:annotation>
<xsd:complexType>
<xsd:simpleContent>
<xsd:extension base="DayCountFraction">
<xsd:attribute name="dayCountFractionScheme" type="xsd:normalizedString"/>
</xsd:extension>
</xsd:simpleContent>
</xsd:complexType>
</xsd:element>
The adjusted dates associated with an individual earley termination date.
Element earlyTerminationEvent is defined by the complex type EarlyTerminationEvent
<xsd:element name="earlyTerminationEvent" type="EarlyTerminationEvent">
<xsd:annotation>
<xsd:documentation xml:lang="en">
The adjusted dates associated with an individual earley
termination date.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
Parameters specifying provisions relating to the optional and mandatory early terminarion of a swap transaction.
Element earlyTerminationProvision is defined by the complex type EarlyTerminationProvision
<xsd:element name="earlyTerminationProvision" type="EarlyTerminationProvision">
<xsd:annotation>
<xsd:documentation xml:lang="en">
Parameters specifying provisions relating to the optional and
mandatory early terminarion of a swap transaction.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
The first day of the term of the trade. This day may be subject to adjustment in accordance with a business day convention.
Element effectiveDate is defined by the complex type AdjustableDate
<xsd:element name="effectiveDate" type="AdjustableDate">
<xsd:annotation>
<xsd:documentation xml:lang="en">
The first day of the term of the trade. This day may be subject
to adjustment in accordance with a business day convention.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
The adjusted dates associated with an individual swaption exercise date.
Element exerciseEvent is defined by the complex type ExerciseEvent
<xsd:element name="exerciseEvent" type="ExerciseEvent">
<xsd:annotation>
<xsd:documentation xml:lang="en">
The adjusted dates associated with an individual swaption
exercise date.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
A provision that allows the specification of an embedded option with a swap giving the buyer of the option the right to extend the swap, in whole or in part, to the extended termination date.
Element extendibleProvision is defined by the complex type ExtendibleProvision
<xsd:element name="extendibleProvision" type="ExtendibleProvision">
<xsd:annotation>
<xsd:documentation xml:lang="en">
A provision that allows the specification of an embedded option
with a swap giving the buyer of the option the right to extend
the swap, in whole or in part, to the extended termination date.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
The adjusted dates associated with an extendible provision. These dates have been adjusted for any applicable business day convention.
Element extendibleProvisionAdjustedDates is defined by the complex type ExtendibleProvisionAdjustedDates
<xsd:element name="extendibleProvisionAdjustedDates" type="ExtendibleProvisionAdjustedDates">
<xsd:annotation>
<xsd:documentation xml:lang="en">
The adjusted dates associated with an extendible provision. These
dates have been adjusted for any applicable business day
convention.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
The adjusted dates associated with a single extendible exercise date.
Element extensionEvent is defined by the complex type ExtensionEvent
<xsd:element name="extensionEvent" type="ExtensionEvent">
<xsd:annotation>
<xsd:documentation xml:lang="en">
The adjusted dates associated with a single extendible exercise
date.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
A true/false flag to indicate whether there is a final exchange of principal on the termination date.
Element finalExchange is defined by the simple type xsd:boolean
<xsd:element name="finalExchange" type="xsd:boolean">
<xsd:annotation>
<xsd:documentation xml:lang="en">
A true/false flag to indicate whether there is a final exchange
of principal on the termination date.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
The rounding convention to apply to the final rate used in determination of a calculation period amount.
Element finalRateRounding is defined by the complex type Rounding
<xsd:element name="finalRateRounding" type="Rounding">
<xsd:annotation>
<xsd:documentation xml:lang="en">
The rounding convention to apply to the final rate used in
determination of a calculation period amount.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
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.
Element finalStub is defined by the complex type Stub
<xsd:element name="finalStub" type="Stub">
<xsd:annotation>
<xsd:documentation xml:lang="en">
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.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
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.
Element firstNotionalStepDate is defined by the simple type xsd:date
<xsd:element name="firstNotionalStepDate" type="xsd:date">
<xsd:annotation>
<xsd:documentation xml:lang="en">
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.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
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.
Element firstPaymentDate is defined by the simple type xsd:date
<xsd:element name="firstPaymentDate" type="xsd:date">
<xsd:annotation>
<xsd:documentation xml:lang="en">
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.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
The start date of the 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 date may be subject to adjustment in accordance with a business day convention.
Element firstPeriodStartDate is defined by the complex type AdjustableDate
<xsd:element name="firstPeriodStartDate" type="AdjustableDate">
<xsd:annotation>
<xsd:documentation xml:lang="en">
The start date of the 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 date may be subject to adjustment in
accordance with a business day convention.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
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.
Element firstRegularPeriodStartDate is defined by the simple type xsd:date
<xsd:element name="firstRegularPeriodStartDate" type="xsd:date">
<xsd:annotation>
<xsd:documentation xml:lang="en">
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.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
A known fixed payment amount.
Element fixedPaymentAmount is defined by the simple type xsd:decimal
<xsd:element name="fixedPaymentAmount" type="xsd:decimal">
<xsd:annotation>
<xsd:documentation xml:lang="en">
A known fixed payment amount.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
The calculation period fixed rate. A per annum rate, expressed as a decimal. A fixed rate of 5% would be represented as 0.05.
Element fixedRate is defined by the simple type xsd:decimal
<xsd:element name="fixedRate" type="xsd:decimal">
<xsd:annotation>
<xsd:documentation xml:lang="en">
The calculation period fixed rate. A per annum rate, expressed as
a decimal. A fixed rate of 5% would be represented as 0.05.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
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.
Element fixedRateSchedule is defined by the complex type Schedule
<xsd:element name="fixedRateSchedule" type="Schedule">
<xsd:annotation>
<xsd:documentation xml:lang="en">
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.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
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.
Element fixingDateOffset is defined by the complex type RelativeDateOffset
<xsd:element name="fixingDateOffset" type="RelativeDateOffset">
<xsd:annotation>
<xsd:documentation xml:lang="en">
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.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
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 resetDates element.
Element fixingDates is defined by the complex type RelativeDateOffset
<xsd:element name="fixingDates" type="RelativeDateOffset">
<xsd:annotation>
<xsd:documentation xml:lang="en">
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 resetDates element.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
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 specift 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.
Element floatingRate is defined by the complex type FloatingRate
<xsd:element name="floatingRate" type="FloatingRate">
<xsd:annotation>
<xsd:documentation xml:lang="en">
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 specift 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.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
The floating rate calculation definitions
Element floatingRateCalculation is defined by the complex type FloatingRateCalculation
<xsd:element name="floatingRateCalculation" type="FloatingRateCalculation">
<xsd:annotation>
<xsd:documentation xml:lang="en">
The floating rate calculation definitions
</xsd:documentation>
</xsd:annotation>
</xsd:element>
The floating rate reset information for the calculation period.
Element floatingRateDefinition is defined by the complex type FloatingRateDefinition
<xsd:element name="floatingRateDefinition" type="FloatingRateDefinition">
<xsd:annotation>
<xsd:documentation xml:lang="en">
The floating rate reset information for the calculation period.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
The ISDA Floating Rate Oprion, i.e. the floating rate index.
Inherited element(s): (This definition inherits the content defined by the type FloatingRateIndex)
<xsd:element name="floatingRateIndex">
<xsd:annotation>
<xsd:documentation xml:lang="en">
The ISDA Floating Rate Oprion, i.e. the floating rate index.
</xsd:documentation>
</xsd:annotation>
<xsd:complexType>
<xsd:simpleContent>
<xsd:extension base="FloatingRateIndex">
<xsd:attribute name="floatingRateIndexScheme" type="xsd:normalizedString"/>
</xsd:extension>
</xsd:simpleContent>
</xsd:complexType>
</xsd:element>
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).
Element floatingRateMultiplier is defined by the simple type xsd:decimal
<xsd:element name="floatingRateMultiplier" type="xsd:decimal">
<xsd:annotation>
<xsd:documentation xml:lang="en">
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).
</xsd:documentation>
</xsd:annotation>
</xsd:element>
A rate multiplier or multiplier schedule 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.
Element floatingRateMultiplierSchedule is defined by the complex type Schedule
<xsd:element name="floatingRateMultiplierSchedule" type="Schedule">
<xsd:annotation>
<xsd:documentation xml:lang="en">
A rate multiplier or multiplier schedule 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.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
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. The floor rate of 5% would be represented as 0.05.
Element floorRate is defined by the complex type Strike
<xsd:element name="floorRate" type="Strike">
<xsd:annotation>
<xsd:documentation xml:lang="en">
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. The floor
rate of 5% would be represented as 0.05.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
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.
Element floorRateSchedule is defined by the complex type StrikeSchedule
<xsd:element name="floorRateSchedule" type="StrikeSchedule">
<xsd:annotation>
<xsd:documentation xml:lang="en">
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.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
A forward rate agreement product definition.
Element fra is defined by the complex type Fra
<xsd:element name="fra" type="Fra" substitutionGroup="product">
<xsd:annotation>
<xsd:documentation xml:lang="en">
A forward rate agreement product definition.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
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.
Element fraDiscounting is defined by the simple type xsd:boolean
<xsd:element name="fraDiscounting" type="xsd:boolean">
<xsd:annotation>
<xsd:documentation xml:lang="en">
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.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
The amount that a cashflow will accrue interest on. This is the calculated amount of the fx linked - ie the other currency notional amount multiplied by the appropriate fx spot rate.
Element fxLinkedNotionalAmount is defined by the complex type FxLinkedNotionalAmount
<xsd:element name="fxLinkedNotionalAmount" type="FxLinkedNotionalAmount">
<xsd:annotation>
<xsd:documentation xml:lang="en">
The amount that a cashflow will accrue interest on. This is the
calculated amount of the fx linked - ie the other currency
notional amount multiplied by the appropriate fx spot rate.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
A notional amount schedule where each notional that applied 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.
Element fxLinkedNotionalSchedule is defined by the complex type FxLinkedNotionalSchedule
<xsd:element name="fxLinkedNotionalSchedule" type="FxLinkedNotionalSchedule">
<xsd:annotation>
<xsd:documentation xml:lang="en">
A notional amount schedule where each notional that applied 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.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
The information source and time at which the spot currency exchange rate will be observed.
Element fxSpotRateSource is defined by the complex type FxSpotRateSource
<xsd:element name="fxSpotRateSource" type="FxSpotRateSource">
<xsd:annotation>
<xsd:documentation xml:lang="en">
The information source and time at which the spot currency
exchange rate will be observed.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
The ISDA Designated Maturity, i.e. the tenor of the floating rate.
Element indexTenor is defined by the complex type Interval
<xsd:element name="indexTenor" type="Interval">
<xsd:annotation>
<xsd:documentation xml:lang="en">
The ISDA Designated Maturity, i.e. the tenor of the floating
rate.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
A true/false flag to indicate whether there is an initial exchange of principal on the effective date.
Element initialExchange is defined by the simple type xsd:boolean
<xsd:element name="initialExchange" type="xsd:boolean">
<xsd:annotation>
<xsd:documentation xml:lang="en">
A true/false flag to indicate whether there is an initial
exchange of principal on the effective date.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
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.
Element initialRate is defined by the simple type xsd:decimal
<xsd:element name="initialRate" type="xsd:decimal">
<xsd:annotation>
<xsd:documentation xml:lang="en">
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.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
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.
Element initialStub is defined by the complex type Stub
<xsd:element name="initialStub" type="Stub">
<xsd:annotation>
<xsd:documentation xml:lang="en">
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.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
A true/false flag to indicate whether there are intermediate or interim exchanges of principal during the term of the swap.
Element intermediateExchange is defined by the simple type xsd:boolean
<xsd:element name="intermediateExchange" type="xsd:boolean">
<xsd:annotation>
<xsd:documentation xml:lang="en">
A true/false flag to indicate whether there are intermediate or
interim exchanges of principal during the term of the swap.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
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.
Element knownAmountSchedule is defined by the complex type AmountSchedule
<xsd:element name="knownAmountSchedule" type="AmountSchedule">
<xsd:annotation>
<xsd:documentation xml:lang="en">
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.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
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.
Element lastNotionalStepDate is defined by the simple type xsd:date
<xsd:element name="lastNotionalStepDate" type="xsd:date">
<xsd:annotation>
<xsd:documentation xml:lang="en">
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.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
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.
Element lastRegularPaymentDate is defined by the simple type xsd:date
<xsd:element name="lastRegularPaymentDate" type="xsd:date">
<xsd:annotation>
<xsd:documentation xml:lang="en">
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.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
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.
Element lastRegularPeriodEndDate is defined by the simple type xsd:date
<xsd:element name="lastRegularPeriodEndDate" type="xsd:date">
<xsd:annotation>
<xsd:documentation xml:lang="en">
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.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
A mandatory early termination provision to terminate the swap at fair value.
Element mandatoryEarlyTermination is defined by the complex type MandatoryEarlyTermination
<xsd:element name="mandatoryEarlyTermination" type="MandatoryEarlyTermination">
<xsd:annotation>
<xsd:documentation xml:lang="en">
A mandatory early termination provision to terminate the swap at
fair value.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
The adjusted dates associated with a mandatory early termination provision. These dates have been adjusted for any applicable business day convention.
Element mandatoryEarlyTerminationAdjustedDates is defined by the complex type MandatoryEarlyTerminationAdjustedDates
<xsd:element name="mandatoryEarlyTerminationAdjustedDates" type="MandatoryEarlyTerminationAdjustedDates">
<xsd:annotation>
<xsd:documentation xml:lang="en">
The adjusted dates associated with a mandatory early termination
provision. These dates have been adjusted for any applicable
business day convention.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
The early termination date associated with a mandatory early termination of a swap.
Element mandatoryEarlyTerminationDate is defined by the complex type AdjustableDate
<xsd:element name="mandatoryEarlyTerminationDate" type="AdjustableDate">
<xsd:annotation>
<xsd:documentation xml:lang="en">
The early termination date associated with a mandatory early
termination of a swap.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
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).
Inherited element(s): (This definition inherits the content defined by the type NegativeInterestRateTreatment)
<xsd:element name="negativeInterestRateTreatment">
<xsd:annotation>
<xsd:documentation xml:lang="en">
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).
</xsd:documentation>
</xsd:annotation>
<xsd:complexType>
<xsd:simpleContent>
<xsd:extension base="NegativeInterestRateTreatment">
<xsd:attribute name="negativeInterestRateTreatmentScheme" type="xsd:normalizedString"/>
</xsd:extension>
</xsd:simpleContent>
</xsd:complexType>
</xsd:element>
The calculation period notional amount.
Element notionalAmount is defined by the simple type xsd:decimal
<xsd:element name="notionalAmount" type="xsd:decimal">
<xsd:annotation>
<xsd:documentation xml:lang="en">
The calculation period notional amount.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
The notional amount or notional amount schedule.
Element notionalSchedule is defined by the complex type Notional
<xsd:element name="notionalSchedule" type="Notional">
<xsd:annotation>
<xsd:documentation xml:lang="en">
The notional amount or notional amount schedule.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
The explicit amount that the notional changes on each step date. This can be a positive or negative amount.
Element notionalStepAmount is defined by the simple type xsd:decimal
<xsd:element name="notionalStepAmount" type="xsd:decimal">
<xsd:annotation>
<xsd:documentation xml:lang="en">
The explicit amount that the notional changes on each step date.
This can be a positive or negative amount.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
A parametric representation of the notional step schedule, i.e. parameters used to generate the notional schedule.
Element notionalStepParameters is defined by the complex type NotionalStepRule
<xsd:element name="notionalStepParameters" type="NotionalStepRule">
<xsd:annotation>
<xsd:documentation xml:lang="en">
A parametric representation of the notional step schedule, i.e.
parameters used to generate the notional schedule.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
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.
Element notionalStepRate is defined by the simple type xsd:decimal
<xsd:element name="notionalStepRate" type="xsd:decimal">
<xsd:annotation>
<xsd:documentation xml:lang="en">
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.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
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.
Element notionalStepSchedule is defined by the complex type AmountSchedule
<xsd:element name="notionalStepSchedule" type="AmountSchedule">
<xsd:annotation>
<xsd:documentation xml:lang="en">
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.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
The actual observed fx spot rate.
Element observedFxSpotRate is defined by the simple type xsd:decimal
<xsd:element name="observedFxSpotRate" type="xsd:decimal">
<xsd:annotation>
<xsd:documentation xml:lang="en">
The actual observed fx spot rate.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
An option for either or both parties to terminate the swap at fair value.
Element optionalEarlyTermination is defined by the complex type OptionalEarlyTermination
<xsd:element name="optionalEarlyTermination" type="OptionalEarlyTermination">
<xsd:annotation>
<xsd:documentation xml:lang="en">
An option for either or both parties to terminate the swap at
fair value.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
An early termination provision to terminate the trade at fair value where one or both parties have the right to decide on termination.
Element optionalEarlyTerminationAdjustedDates is defined by the complex type OptionalEarlyTerminationAdjustedDates
<xsd:element name="optionalEarlyTerminationAdjustedDates" type="OptionalEarlyTerminationAdjustedDates">
<xsd:annotation>
<xsd:documentation xml:lang="en">
An early termination provision to terminate the trade at fair
value where one or both parties have the right to decide on
termination.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
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).
Element parYieldCurveAdjustedMethod is defined by the complex type YieldCurveMethod
<xsd:element name="parYieldCurveAdjustedMethod" type="YieldCurveMethod">
<xsd:annotation>
<xsd:documentation xml:lang="en">
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).
</xsd:documentation>
</xsd:annotation>
</xsd:element>
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).
Element parYieldCurveUnadjustedMethod is defined by the complex type YieldCurveMethod
<xsd:element name="parYieldCurveUnadjustedMethod" type="YieldCurveMethod">
<xsd:annotation>
<xsd:documentation xml:lang="en">
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).
</xsd:documentation>
</xsd:annotation>
</xsd:element>
A known payment between two parties.
Element payment is defined by the complex type Payment
<xsd:element name="payment" type="Payment">
<xsd:annotation>
<xsd:documentation xml:lang="en">
A known payment between two parties.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
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.
Element paymentCalculationPeriod is defined by the complex type PaymentCalculationPeriod
<xsd:element name="paymentCalculationPeriod" type="PaymentCalculationPeriod">
<xsd:annotation>
<xsd:documentation xml:lang="en">
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.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
The payment dates schedule.
Element paymentDates is defined by the complex type PaymentDates
<xsd:element name="paymentDates" type="PaymentDates">
<xsd:annotation>
<xsd:documentation xml:lang="en">
The payment dates schedule.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
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.
Element paymentDatesAdjustments is defined by the complex type BusinessDayAdjustments
<xsd:element name="paymentDatesAdjustments" type="BusinessDayAdjustments">
<xsd:annotation>
<xsd:documentation xml:lang="en">
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.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
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.
Element paymentDaysOffset is defined by the complex type Offset
<xsd:element name="paymentDaysOffset" type="Offset">
<xsd:annotation>
<xsd:documentation xml:lang="en">
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.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
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 e 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.
Element paymentFrequency is defined by the complex type Interval
<xsd:element name="paymentFrequency" type="Interval">
<xsd:annotation>
<xsd:documentation xml:lang="en">
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 e 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.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
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.
Inherited element(s): (This definition inherits the content defined by the type PayRelativeTo)
<xsd:element name="payRelativeTo">
<xsd:annotation>
<xsd:documentation xml:lang="en">
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.
</xsd:documentation>
</xsd:annotation>
<xsd:complexType>
<xsd:simpleContent>
<xsd:extension base="PayRelativeTo">
<xsd:attribute name="payToRelativeScheme" type="xsd:normalizedString"/>
</xsd:extension>
</xsd:simpleContent>
</xsd:complexType>
</xsd:element>
The option premium amount payable by buyer to seller on the specified payment date.
Element premium is defined by the complex type Payment
<xsd:element name="premium" type="Payment">
<xsd:annotation>
<xsd:documentation xml:lang="en">
The option premium amount payable by buyer to seller on the
specified payment date.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
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.
Element principalExchange is defined by the complex type PrincipalExchange
<xsd:element name="principalExchange" type="PrincipalExchange">
<xsd:annotation>
<xsd:documentation xml:lang="en">
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.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
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.
Element principalExchangeAmount is defined by the simple type xsd:decimal
<xsd:element name="principalExchangeAmount" type="xsd:decimal">
<xsd:annotation>
<xsd:documentation xml:lang="en">
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.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
The true/false flags indicating whether initial, intermediate or final exchanges of principal should occur.
Element principalExchanges is defined by the complex type PrincipalExchanges
<xsd:element name="principalExchanges" type="PrincipalExchanges">
<xsd:annotation>
<xsd:documentation xml:lang="en">
The true/false flags indicating whether initial, intermediate or
final exchanges of principal should occur.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
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)
Inherited element(s): (This definition inherits the content defined by the type QuotationRateType)
<xsd:element name="quotationRateType">
<xsd:annotation>
<xsd:documentation xml:lang="en">
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)
</xsd:documentation>
</xsd:annotation>
<xsd:complexType>
<xsd:simpleContent>
<xsd:extension base="QuotationRateType">
<xsd:attribute name="quotationRateTypeScheme" type="xsd:normalizedString"/>
</xsd:extension>
</xsd:simpleContent>
</xsd:complexType>
</xsd:element>
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.
Element rateCutOffDaysOffset is defined by the complex type Offset
<xsd:element name="rateCutOffDaysOffset" type="Offset">
<xsd:annotation>
<xsd:documentation xml:lang="en">
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.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
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.
Element rateObservation is defined by the complex type RateObservation
<xsd:element name="rateObservation" type="RateObservation">
<xsd:annotation>
<xsd:documentation xml:lang="en">
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.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
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.
Inherited element(s): (This definition inherits the content defined by the type RateTreatment)
<xsd:element name="rateTreatment">
<xsd:annotation>
<xsd:documentation xml:lang="en">
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.
</xsd:documentation>
</xsd:annotation>
<xsd:complexType>
<xsd:simpleContent>
<xsd:extension base="RateTreatment">
<xsd:attribute name="rateTreatmentScheme" type="xsd:normalizedString"/>
</xsd:extension>
</xsd:simpleContent>
</xsd:complexType>
</xsd:element>
The reset dates schedule. The reset dates schedule only applies for a floating rate stream.
Element resetDates is defined by the complex type ResetDates
<xsd:element name="resetDates" type="ResetDates">
<xsd:annotation>
<xsd:documentation xml:lang="en">
The reset dates schedule. The reset dates schedule only applies
for a floating rate stream.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
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.
Element resetDatesAdjustments is defined by the complex type BusinessDayAdjustments
<xsd:element name="resetDatesAdjustments" type="BusinessDayAdjustments">
<xsd:annotation>
<xsd:documentation xml:lang="en">
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.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
A pointer style reference to the associated reset dates component defined elsewhere in the document.
<xsd:element name="resetDatesReference">
<xsd:annotation>
<xsd:documentation xml:lang="en">
A pointer style reference to the associated reset dates component
defined elsewhere in the document.
</xsd:documentation>
</xsd:annotation>
<xsd:complexType>
<xsd:attribute name="href" use="required" type="xsd:IDREF"/>
</xsd:complexType>
</xsd:element>
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.
Element resetFrequency is defined by the complex type ResetFrequency
<xsd:element name="resetFrequency" type="ResetFrequency">
<xsd:annotation>
<xsd:documentation xml:lang="en">
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.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
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.
Inherited element(s): (This definition inherits the content defined by the type ResetRelativeTo)
<xsd:element name="resetRelativeTo">
<xsd:annotation>
<xsd:documentation xml:lang="en">
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.
</xsd:documentation>
</xsd:annotation>
<xsd:complexType>
<xsd:simpleContent>
<xsd:extension base="ResetRelativeTo">
<xsd:attribute name="resetRelativeToScheme" type="xsd:normalizedString"/>
</xsd:extension>
</xsd:simpleContent>
</xsd:complexType>
</xsd:element>
The method for obtaining a settlement rate. This may be from some information source (e.g. Reuters) or from a set of reference banks.
Element settlementRateSource is defined by the complex type SettlementRateSource
<xsd:element name="settlementRateSource" type="SettlementRateSource">
<xsd:annotation>
<xsd:documentation xml:lang="en">
The method for obtaining a settlement rate. This may be from some
information source (e.g. Reuters) or from a set of reference
banks.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
If optional early termination is not available to both parties then this component specifies the buyer and seller of the option.
Element singlePartyOption is defined by the complex type SinglePartyOption
<xsd:element name="singlePartyOption" type="SinglePartyOption">
<xsd:annotation>
<xsd:documentation xml:lang="en">
If optional early termination is not available to both parties
then this component specifies the buyer and seller of the option.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
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.
Element spread is defined by the simple type xsd:decimal
<xsd:element name="spread" type="xsd:decimal">
<xsd:annotation>
<xsd:documentation xml:lang="en">
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.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
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.
Element spreadSchedule is defined by the complex type Schedule
<xsd:element name="spreadSchedule" type="Schedule">
<xsd:annotation>
<xsd:documentation xml:lang="en">
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.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
The frequency at which the step changes occur. This frequency must be a multiple of the stream calculation period frequency.
Element stepFrequency is defined by the complex type Interval
<xsd:element name="stepFrequency" type="Interval">
<xsd:annotation>
<xsd:documentation xml:lang="en">
The frequency at which the step changes occur. This frequency
must be a multiple of the stream calculation period frequency.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
Specifies whether the notionalStepRate should be applied to the initial notional or the previous notional in order to calculate the notional step change amount.
Inherited element(s): (This definition inherits the content defined by the type StepRelativeTo)
<xsd:element name="stepRelativeTo">
<xsd:annotation>
<xsd:documentation xml:lang="en">
Specifies whether the notionalStepRate should be applied to the
initial notional or the previous notional in order to calculate
the notional step change amount.
</xsd:documentation>
</xsd:annotation>
<xsd:complexType>
<xsd:simpleContent>
<xsd:extension base="StepRelativeTo">
<xsd:attribute name="stepRelativeToScheme" type="xsd:normalizedString"/>
</xsd:extension>
</xsd:simpleContent>
</xsd:complexType>
</xsd:element>
An actual amount to apply for the initial or final stub period may have been agreed between th two parties. If an actual stub amount has been agreed then it would be included in this component.
Element stubAmount is defined by the complex type Money
<xsd:element name="stubAmount" type="Money">
<xsd:annotation>
<xsd:documentation xml:lang="en">
An actual amount to apply for the initial or final stub period
may have been agreed between th two parties. If an actual stub
amount has been agreed then it would be included in this
component.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
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.
Element stubCalculationPeriodAmount is defined by the complex type StubCalculationPeriodAmount
<xsd:element name="stubCalculationPeriodAmount" type="StubCalculationPeriodAmount">
<xsd:annotation>
<xsd:documentation xml:lang="en">
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.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
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.
Element stubRate is defined by the simple type xsd:decimal
<xsd:element name="stubRate" type="xsd:decimal">
<xsd:annotation>
<xsd:documentation xml:lang="en">
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.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
A swap product definition.
Element swap is defined by the complex type Swap
<xsd:element name="swap" type="Swap" substitutionGroup="product">
<xsd:annotation>
<xsd:documentation xml:lang="en">
A swap product definition.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
The swap streams.
Element swapStream is defined by the complex type InterestRateStream
<xsd:element name="swapStream" type="InterestRateStream">
<xsd:annotation>
<xsd:documentation xml:lang="en">
The swap streams.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
A swaption product definition.
Element swaption is defined by the complex type Swaption
<xsd:element name="swaption" type="Swaption" substitutionGroup="product">
<xsd:annotation>
<xsd:documentation xml:lang="en">
A swaption product definition.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
The adjusted dates associated with swaption exercise. These dates have been adjusted for any applicable business day convention.
Element swaptionAdjustedDates is defined by the complex type SwaptionAdjustedDates
<xsd:element name="swaptionAdjustedDates" type="SwaptionAdjustedDates">
<xsd:annotation>
<xsd:documentation xml:lang="en">
The adjusted dates associated with swaption exercise. These dates
have been adjusted for any applicable business day convention.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
Whether the option is a swaption or a swaption straddle.
Element swaptionStraddle is defined by the simple type xsd:boolean
<xsd:element name="swaptionStraddle" type="xsd:boolean">
<xsd:annotation>
<xsd:documentation xml:lang="en">
Whether the option is a swaption or a swaption straddle.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
The last day of the term of the trade. This day may be subject to adjustment in accordance with a business day convention.
Element terminationDate is defined by the complex type AdjustableDate
<xsd:element name="terminationDate" type="AdjustableDate">
<xsd:annotation>
<xsd:documentation xml:lang="en">
The last day of the term of the trade. This day may be subject to
adjustment in accordance with a business day convention.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
The currency of the varying notional amount, i.e. the notional amount being determined periodically based on observation of a spot currency exchange rate.
Element varyingNotionalCurrency is defined by the simple type xsd:string
<xsd:element name="varyingNotionalCurrency" type="xsd:string">
<xsd:annotation>
<xsd:documentation xml:lang="en">
The currency of the varying notional amount, i.e. the notional
amount being determined periodically based on observation of a
spot currency exchange rate.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
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.
Element varyingNotionalFixingDates is defined by the complex type RelativeDateOffset
<xsd:element name="varyingNotionalFixingDates" type="RelativeDateOffset">
<xsd:annotation>
<xsd:documentation xml:lang="en">
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.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
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).
Element varyingNotionalInterimExchangePaymentDates is defined by the complex type RelativeDateOffset
<xsd:element name="varyingNotionalInterimExchangePaymentDates" type="RelativeDateOffset">
<xsd:annotation>
<xsd:documentation xml:lang="en">
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).
</xsd:documentation>
</xsd:annotation>
</xsd:element>
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.
Inherited element(s): (This definition inherits the content defined by the type WeeklyRollConvention)
<xsd:element name="weeklyRollConvention">
<xsd:annotation>
<xsd:documentation xml:lang="en">
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.
</xsd:documentation>
</xsd:annotation>
<xsd:complexType>
<xsd:simpleContent>
<xsd:extension base="WeeklyRollConvention">
<xsd:attribute name="weeklyRollConvention" type="xsd:normalizedString"/>
</xsd:extension>
</xsd:simpleContent>
</xsd:complexType>
</xsd:element>
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).
Element zeroCouponYieldAdjustedMethod is defined by the complex type YieldCurveMethod
<xsd:element name="zeroCouponYieldAdjustedMethod" type="YieldCurveMethod">
<xsd:annotation>
<xsd:documentation xml:lang="en">
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).
</xsd:documentation>
</xsd:annotation>
</xsd:element>
A product to represent a single cashflow.
Inherited element(s): (This definition inherits the content defined by the type Product)
payment (exactly one occurance; of the type Payment)
<xsd:complexType name="BulletPayment">
<xsd:annotation>
<xsd:documentation xml:lang="en">
A product to represent a single cashflow.
</xsd:documentation>
</xsd:annotation>
<xsd:complexContent>
<xsd:extension base="Product">
<xsd:sequence>
<xsd:element ref="payment"/>
</xsd:sequence>
</xsd:extension>
</xsd:complexContent>
</xsd:complexType>
A type definining the parameters used in the calculation of fixed or floating calculation period amounts.
Either
notionalSchedule (exactly one occurance; of the type Notional)
Or
fxLinkedNotionalSchedule (exactly one occurance; of the type FxLinkedNotionalSchedule)
Either
fixedRateSchedule (exactly one occurance; of the type Schedule)
Or
floatingRateCalculation (exactly one occurance; of the type FloatingRateCalculation)
dayCountFraction (exactly one occurance; with locally defined content)
discounting (zero or one occurance; of the type Discounting)
compoundingMethod (zero or one occurance; with locally defined content)
<xsd:complexType name="Calculation">
<xsd:annotation>
<xsd:documentation xml:lang="en">
A type definining the parameters used in the calculation of fixed
or floating calculation period amounts.
</xsd:documentation>
</xsd:annotation>
<xsd:sequence>
<xsd:choice>
<xsd:element ref="notionalSchedule"/>
<xsd:element ref="fxLinkedNotionalSchedule"/>
</xsd:choice>
<xsd:choice>
<xsd:element ref="fixedRateSchedule"/>
<xsd:element ref="floatingRateCalculation"/>
</xsd:choice>
<xsd:element ref="dayCountFraction"/>
<xsd:element ref="discounting" minOccurs="0"/>
<xsd:element ref="compoundingMethod" minOccurs="0"/>
</xsd:sequence>
</xsd:complexType>
A type defining the parameters used in the calculation of a fixed or floating rate calculation period amount. This type forms part of cashflows representation of a swap stream.
adjustedStartDate (exactly one occurance; of the type xsd:date)
adjustedEndDate (exactly one occurance; of the type xsd:date)
Either
notionalAmount (exactly one occurance; of the type xsd:decimal)
Or
fxLinkedNotionalAmount (exactly one occurance; of the type FxLinkedNotionalAmount)
Either
floatingRateDefinition (exactly one occurance; of the type FloatingRateDefinition)
Or
fixedRate (exactly one occurance; of the type xsd:decimal)
<xsd:complexType name="CalculationPeriod">
<xsd:annotation>
<xsd:documentation xml:lang="en">
A type defining the parameters used in the calculation of a fixed
or floating rate calculation period amount. This type forms part
of cashflows representation of a swap stream.
</xsd:documentation>
</xsd:annotation>
<xsd:sequence>
<xsd:element ref="adjustedStartDate"/>
<xsd:element ref="adjustedEndDate"/>
<xsd:choice>
<xsd:element ref="notionalAmount"/>
<xsd:element ref="fxLinkedNotionalAmount"/>
</xsd:choice>
<xsd:choice>
<xsd:element ref="floatingRateDefinition"/>
<xsd:element ref="fixedRate"/>
</xsd:choice>
</xsd:sequence>
<xsd:attribute name="id" type="xsd:ID"/>
</xsd:complexType>
A type defining the parameters used in the calculation of fixed or floating rate calculation period amounts or for specifying a known calculation period amount or known amount schedule.
Either
calculation (exactly one occurance; of the type Calculation)
Or
knownAmountSchedule (exactly one occurance; of the type AmountSchedule)
<xsd:complexType name="CalculationPeriodAmount">
<xsd:annotation>
<xsd:documentation xml:lang="en">
A type defining the parameters used in the calculation of fixed
or floating rate calculation period amounts or for specifying a
known calculation period amount or known amount schedule.
</xsd:documentation>
</xsd:annotation>
<xsd:choice>
<xsd:element ref="calculation"/>
<xsd:element ref="knownAmountSchedule"/>
</xsd:choice>
</xsd:complexType>
A type defining the parameters used to generate the calculation period dates schedule, including the specification of any initial or final stub calculation periods. A calculation perod schedule consists of an optional initial stub calculation period, one or more regular calculation periods and an optional final stub calculation period. In the absence of any initial or final stub calculation periods, the regular part of the calculation period schedule is assumed to be between the effective date and the termination date. No implicit stubs are allowed, i.e. stubs must be explicitly specified using an appropriate combination of firstPeriodStateDate, firstRegularPeriodStartDate and lastRegularPeriodEndDate.
effectiveDate (exactly one occurance; of the type AdjustableDate)
terminationDate (exactly one occurance; of the type AdjustableDate)
calculationPeriodDatesAdjustments (exactly one occurance; of the type BusinessDayAdjustments)
firstPeriodStartDate (zero or one occurance; of the type AdjustableDate)
firstRegularPeriodStartDate (zero or one occurance; of the type xsd:date)
lastRegularPeriodEndDate (zero or one occurance; of the type xsd:date)
calculationPeriodFrequency (exactly one occurance; of the type CalculationPeriodFrequency)
<xsd:complexType name="CalculationPeriodDates">
<xsd:annotation>
<xsd:documentation xml:lang="en">
A type defining the parameters used to generate the calculation
period dates schedule, including the specification of any initial
or final stub calculation periods. A calculation perod schedule
consists of an optional initial stub calculation period, one or
more regular calculation periods and an optional final stub
calculation period. In the absence of any initial or final stub
calculation periods, the regular part of the calculation period
schedule is assumed to be between the effective date and the
termination date. No implicit stubs are allowed, i.e. stubs must
be explicitly specified using an appropriate combination of
firstPeriodStateDate, firstRegularPeriodStartDate and
lastRegularPeriodEndDate.
</xsd:documentation>
</xsd:annotation>
<xsd:sequence>
<xsd:element ref="effectiveDate"/>
<xsd:element ref="terminationDate"/>
<xsd:element ref="calculationPeriodDatesAdjustments"/>
<xsd:element ref="firstPeriodStartDate" minOccurs="0"/>
<xsd:element ref="firstRegularPeriodStartDate" minOccurs="0"/>
<xsd:element ref="lastRegularPeriodEndDate" minOccurs="0"/>
<xsd:element ref="calculationPeriodFrequency"/>
</xsd:sequence>
<xsd:attribute name="id" use="required" type="xsd:ID"/>
</xsd:complexType>
A type defining the right of a party to cancel a swap transaction on the specified exercise dates. The provision is for 'walkaway' cancellation (i.e. the fair value of the swap is not paid). A fee payable on exercise can be specified.
buyerPartyReference (exactly one occurance; with locally defined content)
sellerPartyReference (exactly one occurance; with locally defined content)
exercise (exactly one occurance; of the type Exercise)
exerciseNotice (zero or one occurance; of the type ExerciseNotice)
followUpConfirmation (exactly one occurance; of the type xsd:boolean)
cancelableProvisionAdjustedDates (zero or one occurance; of the type CancelableProvisionAdjustedDates)
<xsd:complexType name="CancelableProvision">
<xsd:annotation>
<xsd:documentation xml:lang="en">
A type defining the right of a party to cancel a swap transaction
on the specified exercise dates. The provision is for 'walkaway'
cancellation (i.e. the fair value of the swap is not paid). A fee
payable on exercise can be specified.
</xsd:documentation>
</xsd:annotation>
<xsd:sequence>
<xsd:element ref="buyerPartyReference"/>
<xsd:element ref="sellerPartyReference"/>
<xsd:element ref="exercise"/>
<xsd:element ref="exerciseNotice" minOccurs="0"/>
<xsd:element ref="followUpConfirmation"/>
<xsd:element ref="cancelableProvisionAdjustedDates" minOccurs="0"/>
</xsd:sequence>
</xsd:complexType>
A type to define the adjusted dates for a cancelable provision on a swap transaction.
cancellationEvent (one or more occurances; of the type CancellationEvent)
<xsd:complexType name="CancelableProvisionAdjustedDates">
<xsd:annotation>
<xsd:documentation xml:lang="en">
A type to define the adjusted dates for a cancelable provision on
a swap transaction.
</xsd:documentation>
</xsd:annotation>
<xsd:sequence>
<xsd:element ref="cancellationEvent" maxOccurs="unbounded"/>
</xsd:sequence>
</xsd:complexType>
The adjusted dates for a specific cancellation date, including the adjusted exercise date and adjusted termination date.
adjustedExerciseDate (exactly one occurance; of the type xsd:date)
adjustedEarlyTerminationDate (exactly one occurance; of the type xsd:date)
<xsd:complexType name="CancellationEvent">
<xsd:annotation>
<xsd:documentation xml:lang="en">
The adjusted dates for a specific cancellation date, including
the adjusted exercise date and adjusted termination date.
</xsd:documentation>
</xsd:annotation>
<xsd:sequence>
<xsd:element ref="adjustedExerciseDate"/>
<xsd:element ref="adjustedEarlyTerminationDate"/>
</xsd:sequence>
<xsd:attribute name="id" type="xsd:ID"/>
</xsd:complexType>
A type defining an interest rate cap, floor, or cap/floor strategy (e.g. collar) product.
Inherited element(s): (This definition inherits the content defined by the type Product)
capFloorStream (exactly one occurance; of the type InterestRateStream)
additionalPayment (zero or more occurances; of the type Payment)
<xsd:complexType name="CapFloor">
<xsd:annotation>
<xsd:documentation xml:lang="en">
A type defining an interest rate cap, floor, or cap/floor
strategy (e.g. collar) product.
</xsd:documentation>
</xsd:annotation>
<xsd:complexContent>
<xsd:extension base="Product">
<xsd:sequence>
<xsd:element ref="capFloorStream"/>
<xsd:element ref="additionalPayment" minOccurs="0" maxOccurs="unbounded"/>
</xsd:sequence>
</xsd:extension>
</xsd:complexContent>
</xsd:complexType>
A type defining the cashflow representation of a swap trade.
cashflowsMatchParameters (exactly one occurance; of the type xsd:boolean)
principalExchange (zero or more occurances; of the type PrincipalExchange)
paymentCalculationPeriod (zero or more occurances; of the type PaymentCalculationPeriod)
<xsd:complexType name="Cashflows">
<xsd:annotation>
<xsd:documentation xml:lang="en">
A type defining the cashflow representation of a swap trade.
</xsd:documentation>
</xsd:annotation>
<xsd:sequence>
<xsd:element ref="cashflowsMatchParameters"/>
<xsd:element ref="principalExchange" minOccurs="0" maxOccurs="unbounded"/>
<xsd:element ref="paymentCalculationPeriod" minOccurs="0" maxOccurs="unbounded"/>
</xsd:sequence>
</xsd:complexType>
A type defining the parameters necessary for each of the ISDA cash price methods for cash settlement.
cashSettlementReferenceBanks (zero or one occurance; of the type CashSettlementReferenceBanks)
cashSettlementCurrency (exactly one occurance; with locally defined content)
quotationRateType (exactly one occurance; with locally defined content)
<xsd:complexType name="CashPriceMethod">
<xsd:annotation>
<xsd:documentation xml:lang="en">
A type defining the parameters necessary for each of the ISDA
cash price methods for cash settlement.
</xsd:documentation>
</xsd:annotation>
<xsd:sequence>
<xsd:element ref="cashSettlementReferenceBanks" minOccurs="0"/>
<xsd:element ref="cashSettlementCurrency"/>
<xsd:element ref="quotationRateType"/>
</xsd:sequence>
</xsd:complexType>
A type to define the cash settlement terms for a product where cash settlement is applicable.
cashSettlementValuationTime (exactly one occurance; of the type BusinessCenterTime)
cashSettlementValuationDate (exactly one occurance; of the type RelativeDateOffset)
cashSettlementPaymentDate (zero or one occurance; of the type CashSettlementPaymentDate)
Either
cashPriceMethod (exactly one occurance; of the type CashPriceMethod)
Or
cashPriceAlternateMethod (exactly one occurance; of the type CashPriceMethod)
Or
parYieldCurveAdjustedMethod (exactly one occurance; of the type YieldCurveMethod)
Or
zeroCouponYieldAdjustedMethod (exactly one occurance; of the type YieldCurveMethod)
Or
parYieldCurveUnadjustedMethod (exactly one occurance; of the type YieldCurveMethod)
<xsd:complexType name="CashSettlement">
<xsd:annotation>
<xsd:documentation xml:lang="en">
A type to define the cash settlement terms for a product where
cash settlement is applicable.
</xsd:documentation>
</xsd:annotation>
<xsd:sequence>
<xsd:element ref="cashSettlementValuationTime"/>
<xsd:element ref="cashSettlementValuationDate"/>
<xsd:element ref="cashSettlementPaymentDate" minOccurs="0"/>
<xsd:choice>
<xsd:element ref="cashPriceMethod"/>
<xsd:element ref="cashPriceAlternateMethod"/>
<xsd:element ref="parYieldCurveAdjustedMethod"/>
<xsd:element ref="zeroCouponYieldAdjustedMethod"/>
<xsd:element ref="parYieldCurveUnadjustedMethod"/>
</xsd:choice>
</xsd:sequence>
<xsd:attribute name="id" type="xsd:ID"/>
</xsd:complexType>
A type defining the cash settlement payment date(s) as either a set of explicit dates, together with applicable adjustments, or as a date relative to some other (anchor) date, or as any date in a range of contiguous business days.
Either
adjustableDates (exactly one occurance; of the type AdjustableDates)
Or
relativeDate (exactly one occurance; of the type RelativeDateOffset)
Or
businessDateRange (exactly one occurance; of the type BusinessDateRange)
<xsd:complexType name="CashSettlementPaymentDate">
<xsd:annotation>
<xsd:documentation xml:lang="en">
A type defining the cash settlement payment date(s) as either a
set of explicit dates, together with applicable adjustments, or
as a date relative to some other (anchor) date, or as any date in
a range of contiguous business days.
</xsd:documentation>
</xsd:annotation>
<xsd:choice>
<xsd:element ref="adjustableDates"/>
<xsd:element ref="relativeDate"/>
<xsd:element ref="businessDateRange"/>
</xsd:choice>
</xsd:complexType>
A type defining the list of reference institutions polled for relevant rates or prices when determining the cash settlement amount for a product where cash settlement is applicable.
referenceBank (one or more occurances; of the type ReferenceBank)
<xsd:complexType name="CashSettlementReferenceBanks">
<xsd:annotation>
<xsd:documentation xml:lang="en">
A type defining the list of reference institutions polled for
relevant rates or prices when determining the cash settlement
amount for a product where cash settlement is applicable.
</xsd:documentation>
</xsd:annotation>
<xsd:sequence>
<xsd:element ref="referenceBank" maxOccurs="unbounded"/>
</xsd:sequence>
<xsd:attribute name="id" type="xsd:ID"/>
</xsd:complexType>
A type defining discounting information. The 2000 ISDA definitions, section 8.4. discounting (related to the calculation of a discounted fixed amount or floating amount) apply. This type must only be included if discounting applies.
discountingType (exactly one occurance; with locally defined content)
discountRate (zero or one occurance; of the type xsd:decimal)
discountRateDayCountFraction (zero or one occurance; with locally defined content)
<xsd:complexType name="Discounting">
<xsd:annotation>
<xsd:documentation xml:lang="en">
A type defining discounting information. The 2000 ISDA
definitions, section 8.4. discounting (related to the calculation
of a discounted fixed amount or floating amount) apply. This type
must only be included if discounting applies.
</xsd:documentation>
</xsd:annotation>
<xsd:sequence>
<xsd:element ref="discountingType"/>
<xsd:element ref="discountRate" minOccurs="0"/>
<xsd:element ref="discountRateDayCountFraction" minOccurs="0"/>
</xsd:sequence>
</xsd:complexType>
A type to define the adjusted dates associated with an early termination provision.
adjustedExerciseDate (exactly one occurance; of the type xsd:date)
adjustedEarlyTerminationDate (exactly one occurance; of the type xsd:date)
adjustedCashSettlementValuationDate (exactly one occurance; of the type xsd:date)
adjustedCashSettlementPaymentDate (exactly one occurance; of the type xsd:date)
adjustedExerciseFeePaymentDate (zero or one occurance; of the type xsd:date)
<xsd:complexType name="EarlyTerminationEvent">
<xsd:annotation>
<xsd:documentation xml:lang="en">
A type to define the adjusted dates associated with an early
termination provision.
</xsd:documentation>
</xsd:annotation>
<xsd:sequence>
<xsd:element ref="adjustedExerciseDate"/>
<xsd:element ref="adjustedEarlyTerminationDate"/>
<xsd:element ref="adjustedCashSettlementValuationDate"/>
<xsd:element ref="adjustedCashSettlementPaymentDate"/>
<xsd:element ref="adjustedExerciseFeePaymentDate" minOccurs="0"/>
</xsd:sequence>
<xsd:attribute name="id" type="xsd:ID"/>
</xsd:complexType>
A type defining an early termination provision for a swap. This early termination is at fair value, i.e. on termination the fair value of the product must be settled between the parties.
Either
mandatoryEarlyTermination (exactly one occurance; of the type MandatoryEarlyTermination)
Or
optionalEarlyTermination (exactly one occurance; of the type OptionalEarlyTermination)
<xsd:complexType name="EarlyTerminationProvision">
<xsd:annotation>
<xsd:documentation xml:lang="en">
A type defining an early termination provision for a swap. This
early termination is at fair value, i.e. on termination the fair
value of the product must be settled between the parties.
</xsd:documentation>
</xsd:annotation>
<xsd:choice>
<xsd:element ref="mandatoryEarlyTermination"/>
<xsd:element ref="optionalEarlyTermination"/>
</xsd:choice>
<xsd:attribute name="id" type="xsd:ID"/>
</xsd:complexType>
A type defining the adjusted dates associated with a particular exercise event.
adjustedExerciseDate (exactly one occurance; of the type xsd:date)
adjustedRelevantSwapEffectiveDate (exactly one occurance; of the type xsd:date)
adjustedCashSettlementValuationDate (zero or one occurance; of the type xsd:date)
adjustedCashSettlementPaymentDate (zero or one occurance; of the type xsd:date)
adjustedExerciseFeePaymentDate (zero or one occurance; of the type xsd:date)
<xsd:complexType name="ExerciseEvent">
<xsd:annotation>
<xsd:documentation xml:lang="en">
A type defining the adjusted dates associated with a particular
exercise event.
</xsd:documentation>
</xsd:annotation>
<xsd:sequence>
<xsd:element ref="adjustedExerciseDate"/>
<xsd:element ref="adjustedRelevantSwapEffectiveDate"/>
<xsd:element ref="adjustedCashSettlementValuationDate" minOccurs="0"/>
<xsd:element ref="adjustedCashSettlementPaymentDate" minOccurs="0"/>
<xsd:element ref="adjustedExerciseFeePaymentDate" minOccurs="0"/>
</xsd:sequence>
<xsd:attribute name="id" type="xsd:ID"/>
</xsd:complexType>
A type defining an option to extend an existing swap transaction on the specified exercise dates for a term ending on the specified new termination date.
buyerPartyReference (exactly one occurance; with locally defined content)
sellerPartyReference (exactly one occurance; with locally defined content)
exercise (exactly one occurance; of the type Exercise)
exerciseNotice (zero or one occurance; of the type ExerciseNotice)
followUpConfirmation (exactly one occurance; of the type xsd:boolean)
extendibleProvisionAdjustedDates (zero or one occurance; of the type ExtendibleProvisionAdjustedDates)
<xsd:complexType name="ExtendibleProvision">
<xsd:annotation>
<xsd:documentation xml:lang="en">
A type defining an option to extend an existing swap transaction
on the specified exercise dates for a term ending on the
specified new termination date.
</xsd:documentation>
</xsd:annotation>
<xsd:sequence>
<xsd:element ref="buyerPartyReference"/>
<xsd:element ref="sellerPartyReference"/>
<xsd:element ref="exercise"/>
<xsd:element ref="exerciseNotice" minOccurs="0"/>
<xsd:element ref="followUpConfirmation"/>
<xsd:element ref="extendibleProvisionAdjustedDates" minOccurs="0"/>
</xsd:sequence>
</xsd:complexType>
A type defining the adjusted dates associated with a provision to extend a swap.
extensionEvent (one or more occurances; of the type ExtensionEvent)
<xsd:complexType name="ExtendibleProvisionAdjustedDates">
<xsd:annotation>
<xsd:documentation xml:lang="en">
A type defining the adjusted dates associated with a provision to
extend a swap.
</xsd:documentation>
</xsd:annotation>
<xsd:sequence>
<xsd:element ref="extensionEvent" maxOccurs="unbounded"/>
</xsd:sequence>
</xsd:complexType>
A type to define the adjusted dates associated with an individual extension event.
adjustedExerciseDate (exactly one occurance; of the type xsd:date)
adjustedExtendedTerminationDate (exactly one occurance; of the type xsd:date)
<xsd:complexType name="ExtensionEvent">
<xsd:annotation>
<xsd:documentation xml:lang="en">
A type to define the adjusted dates associated with an individual
extension event.
</xsd:documentation>
</xsd:annotation>
<xsd:sequence>
<xsd:element ref="adjustedExerciseDate"/>
<xsd:element ref="adjustedExtendedTerminationDate"/>
</xsd:sequence>
<xsd:attribute name="id" type="xsd:ID"/>
</xsd:complexType>
A type defining a floating rate.
floatingRateIndex (exactly one occurance; with locally defined content)
indexTenor (zero or one occurance; of the type Interval)
floatingRateMultiplierSchedule (zero or one occurance; of the type Schedule)
spreadSchedule (zero or one occurance; of the type Schedule)
rateTreatment (zero or one occurance; with locally defined content)
capRateSchedule (zero or more occurances; of the type StrikeSchedule)
floorRateSchedule (zero or more occurances; of the type StrikeSchedule)
<xsd:complexType name="FloatingRate">
<xsd:annotation>
<xsd:documentation xml:lang="en">
A type defining a floating rate.
</xsd:documentation>
</xsd:annotation>
<xsd:sequence>
<xsd:element ref="floatingRateIndex"/>
<xsd:element ref="indexTenor" minOccurs="0"/>
<xsd:element ref="floatingRateMultiplierSchedule" minOccurs="0"/>
<xsd:element ref="spreadSchedule" minOccurs="0"/>
<xsd:element ref="rateTreatment" minOccurs="0"/>
<xsd:element ref="capRateSchedule" minOccurs="0" maxOccurs="unbounded"/>
<xsd:element ref="floorRateSchedule" minOccurs="0" maxOccurs="unbounded"/>
</xsd:sequence>
<xsd:attribute name="id" type="xsd:ID"/>
</xsd:complexType>
A type defining the floating rate and definitions relating to the calculation of floating rate amounts.
Inherited element(s): (This definition inherits the content defined by the type FloatingRate)
initialRate (zero or one occurance; of the type xsd:decimal)
finalRateRounding (zero or one occurance; of the type Rounding)
averagingMethod (zero or one occurance; with locally defined content)
negativeInterestRateTreatment (zero or one occurance; with locally defined content)
<xsd:complexType name="FloatingRateCalculation">
<xsd:annotation>
<xsd:documentation xml:lang="en">
A type defining the floating rate and definitions relating to the
calculation of floating rate amounts.
</xsd:documentation>
</xsd:annotation>
<xsd:complexContent>
<xsd:extension base="FloatingRate">
<xsd:sequence>
<xsd:element ref="initialRate" minOccurs="0"/>
<xsd:element ref="finalRateRounding" minOccurs="0"/>
<xsd:element ref="averagingMethod" minOccurs="0"/>
<xsd:element ref="negativeInterestRateTreatment" minOccurs="0"/>
</xsd:sequence>
</xsd:extension>
</xsd:complexContent>
</xsd:complexType>
A type defining parameters associated with a floating rate reset. This type forms part of the cashflows representation of a stream.
calculatedRate (zero or one occurance; of the type xsd:decimal)
rateObservation (zero or more occurances; of the type RateObservation)
floatingRateMultiplier (zero or one occurance; of the type xsd:decimal)
spread (zero or one occurance; of the type xsd:decimal)
capRate (zero or more occurances; of the type Strike)
floorRate (zero or more occurances; of the type Strike)
<xsd:complexType name="FloatingRateDefinition">
<xsd:annotation>
<xsd:documentation xml:lang="en">
A type defining parameters associated with a floating rate reset.
This type forms part of the cashflows representation of a stream.
</xsd:documentation>
</xsd:annotation>
<xsd:sequence>
<xsd:element ref="calculatedRate" minOccurs="0"/>
<xsd:element ref="rateObservation" minOccurs="0" maxOccurs="unbounded"/>
<xsd:element ref="floatingRateMultiplier" minOccurs="0"/>
<xsd:element ref="spread" minOccurs="0"/>
<xsd:element ref="capRate" minOccurs="0" maxOccurs="unbounded"/>
<xsd:element ref="floorRate" minOccurs="0" maxOccurs="unbounded"/>
</xsd:sequence>
</xsd:complexType>
A type defining a Forward Rate Agreement (FRA) product.
Inherited element(s): (This definition inherits the content defined by the type Product)
buyerPartyReference (exactly one occurance; with locally defined content)
sellerPartyReference (exactly one occurance; with locally defined content)
adjustedEffectiveDate (exactly one occurance; with locally defined content)
adjustedTerminationDate (exactly one occurance; of the type xsd:date)
paymentDate (exactly one occurance; of the type AdjustableDate)
fixingDateOffset (exactly one occurance; of the type RelativeDateOffset)
dayCountFraction (exactly one occurance; with locally defined content)
calculationPeriodNumberOfDays (exactly one occurance; of the type xsd:positiveInteger)
notional (exactly one occurance; of the type Money)
fixedRate (exactly one occurance; of the type xsd:decimal)
floatingRateIndex (exactly one occurance; with locally defined content)
indexTenor (one or more occurances; of the type Interval)
fraDiscounting (exactly one occurance; of the type xsd:boolean)
<xsd:complexType name="Fra">
<xsd:annotation>
<xsd:documentation xml:lang="en">
A type defining a Forward Rate Agreement (FRA) product.
</xsd:documentation>
</xsd:annotation>
<xsd:complexContent>
<xsd:extension base="Product">
<xsd:sequence>
<xsd:element ref="buyerPartyReference"/>
<xsd:element ref="sellerPartyReference"/>
<xsd:element ref="adjustedEffectiveDate"/>
<xsd:element ref="adjustedTerminationDate"/>
<xsd:element ref="paymentDate"/>
<xsd:element ref="fixingDateOffset"/>
<xsd:element ref="dayCountFraction"/>
<xsd:element ref="calculationPeriodNumberOfDays"/>
<xsd:element ref="notional"/>
<xsd:element ref="fixedRate"/>
<xsd:element ref="floatingRateIndex"/>
<xsd:element ref="indexTenor" maxOccurs="unbounded"/>
<xsd:element ref="fraDiscounting"/>
</xsd:sequence>
</xsd:extension>
</xsd:complexContent>
</xsd:complexType>
A type to describe the cashflow representation for fx linked notionals.
adjustedFxSpotFixingDate (exactly one occurance; of the type xsd:date)
observedFxSpotRate (zero or one occurance; of the type xsd:decimal)
notionalAmount (zero or one occurance; of the type xsd:decimal)
<xsd:complexType name="FxLinkedNotionalAmount">
<xsd:annotation>
<xsd:documentation xml:lang="en">
A type to describe the cashflow representation for fx linked
notionals.
</xsd:documentation>
</xsd:annotation>
<xsd:sequence>
<xsd:element ref="adjustedFxSpotFixingDate"/>
<xsd:element ref="observedFxSpotRate" minOccurs="0"/>
<xsd:element ref="notionalAmount" minOccurs="0"/>
</xsd:sequence>
</xsd:complexType>
A type to describe a notional 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.
constantNotionalScheduleReference (exactly one occurance; with locally defined content)
varyingNotionalCurrency (exactly one occurance; of the type xsd:string)
varyingNotionalFixingDates (exactly one occurance; of the type RelativeDateOffset)
fxSpotRateSource (exactly one occurance; of the type FxSpotRateSource)
varyingNotionalInterimExchangePaymentDates (exactly one occurance; of the type RelativeDateOffset)
<xsd:complexType name="FxLinkedNotionalSchedule">
<xsd:annotation>
<xsd:documentation xml:lang="en">
A type to describe a notional 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.
</xsd:documentation>
</xsd:annotation>
<xsd:sequence>
<xsd:element ref="constantNotionalScheduleReference"/>
<xsd:element ref="varyingNotionalCurrency"/>
<xsd:element ref="varyingNotionalFixingDates"/>
<xsd:element ref="fxSpotRateSource"/>
<xsd:element ref="varyingNotionalInterimExchangePaymentDates"/>
</xsd:sequence>
</xsd:complexType>
A type defining the components specifiying an interest rate stream, including both a parametric and cashflow representation for the stream of payments.
payerPartyReference (exactly one occurance; with locally defined content)
receiverPartyReference (exactly one occurance; with locally defined content)
calculationPeriodDates (exactly one occurance; of the type CalculationPeriodDates)
paymentDates (exactly one occurance; of the type PaymentDates)
resetDates (zero or one occurance; of the type ResetDates)
calculationPeriodAmount (exactly one occurance; of the type CalculationPeriodAmount)
stubCalculationPeriodAmount (zero or one occurance; of the type StubCalculationPeriodAmount)
principalExchanges (zero or one occurance; of the type PrincipalExchanges)
cashflows (zero or one occurance; of the type Cashflows)
<xsd:complexType name="InterestRateStream">
<xsd:annotation>
<xsd:documentation xml:lang="en">
A type defining the components specifiying an interest rate
stream, including both a parametric and cashflow representation
for the stream of payments.
</xsd:documentation>
</xsd:annotation>
<xsd:sequence>
<xsd:element ref="payerPartyReference"/>
<xsd:element ref="receiverPartyReference"/>
<xsd:element ref="calculationPeriodDates"/>
<xsd:element ref="paymentDates"/>
<xsd:element ref="resetDates" minOccurs="0"/>
<xsd:element ref="calculationPeriodAmount"/>
<xsd:element ref="stubCalculationPeriodAmount" minOccurs="0"/>
<xsd:element ref="principalExchanges" minOccurs="0"/>
<xsd:element ref="cashflows" minOccurs="0"/>
</xsd:sequence>
<xsd:attribute name="id" type="xsd:ID"/>
</xsd:complexType>
A type to define an early termination provision for which exercise is mandatory.
mandatoryEarlyTerminationDate (exactly one occurance; of the type AdjustableDate)
calculationAgentPartyReference (one or more occurances; with locally defined content)
cashSettlement (exactly one occurance; of the type CashSettlement)
mandatoryEarlyTerminationAdjustedDates (zero or one occurance; of the type MandatoryEarlyTerminationAdjustedDates)
<xsd:complexType name="MandatoryEarlyTermination">
<xsd:annotation>
<xsd:documentation xml:lang="en">
A type to define an early termination provision for which
exercise is mandatory.
</xsd:documentation>
</xsd:annotation>
<xsd:sequence>
<xsd:element ref="mandatoryEarlyTerminationDate"/>
<xsd:element ref="calculationAgentPartyReference" maxOccurs="unbounded"/>
<xsd:element ref="cashSettlement"/>
<xsd:element ref="mandatoryEarlyTerminationAdjustedDates" minOccurs="0"/>
</xsd:sequence>
<xsd:attribute name="id" type="xsd:ID"/>
</xsd:complexType>
A type defining the adjusted dates associated with a mandatory early termination provision.
adjustedEarlyTerminationDate (exactly one occurance; of the type xsd:date)
adjustedCashSettlementValuationDate (exactly one occurance; of the type xsd:date)
adjustedCashSettlementPaymentDate (exactly one occurance; of the type xsd:date)
<xsd:complexType name="MandatoryEarlyTerminationAdjustedDates">
<xsd:annotation>
<xsd:documentation xml:lang="en">
A type defining the adjusted dates associated with a mandatory
early termination provision.
</xsd:documentation>
</xsd:annotation>
<xsd:sequence>
<xsd:element ref="adjustedEarlyTerminationDate"/>
<xsd:element ref="adjustedCashSettlementValuationDate"/>
<xsd:element ref="adjustedCashSettlementPaymentDate"/>
</xsd:sequence>
</xsd:complexType>
An type defining the notional amount or notional amount schedule associated with a swap stream. The notional schedule will be captured explicitly, specifying the dates that the notional changes and the outstanding notional amount that applies from that date. A parametric representation of the rules defining the notional step schedule can optionally be included.
notionalStepSchedule (exactly one occurance; of the type AmountSchedule)
notionalStepParameters (zero or one occurance; of the type NotionalStepRule)
<xsd:complexType name="Notional">
<xsd:annotation>
<xsd:documentation xml:lang="en">
An type defining the notional amount or notional amount schedule
associated with a swap stream. The notional schedule will be
captured explicitly, specifying the dates that the notional
changes and the outstanding notional amount that applies from
that date. A parametric representation of the rules defining the
notional step schedule can optionally be included.
</xsd:documentation>
</xsd:annotation>
<xsd:sequence>
<xsd:element ref="notionalStepSchedule"/>
<xsd:element ref="notionalStepParameters" minOccurs="0"/>
</xsd:sequence>
<xsd:attribute name="id" type="xsd:ID"/>
</xsd:complexType>
A type defining a parametric representation of the notional step schedule, i.e. parameters used to generate the notional balance on each step date. The step change in notional can be expressed in terms of either a fixed amount or as a percentage of either the initial notional or previous notional amount. This parametric representation is intended to cover the more common amortizing/accreting.
calculationPeriodDatesReference (exactly one occurance; with locally defined content)
stepFrequency (exactly one occurance; of the type Interval)
firstNotionalStepDate (exactly one occurance; of the type xsd:date)
lastNotionalStepDate (exactly one occurance; of the type xsd:date)
Either
notionalStepAmount (exactly one occurance; of the type xsd:decimal)
<xsd:complexType name="NotionalStepRule">
<xsd:annotation>
<xsd:documentation xml:lang="en">
A type defining a parametric representation of the notional step
schedule, i.e. parameters used to generate the notional balance
on each step date. The step change in notional can be expressed
in terms of either a fixed amount or as a percentage of either
the initial notional or previous notional amount. This parametric
representation is intended to cover the more common
amortizing/accreting.
</xsd:documentation>
</xsd:annotation>
<xsd:sequence>
<xsd:element ref="calculationPeriodDatesReference"/>
<xsd:element ref="stepFrequency"/>
<xsd:element ref="firstNotionalStepDate"/>
<xsd:element ref="lastNotionalStepDate"/>
<xsd:choice>
<xsd:element ref="notionalStepAmount"/>
<xsd:sequence>
<xsd:element ref="notionalStepRate"/>
<xsd:element ref="stepRelativeTo"/>
</xsd:sequence>
</xsd:choice>
</xsd:sequence>
</xsd:complexType>
A type defining an early termination provision where either or both parties have the right to exercise.
singlePartyOption (zero or one occurance; of the type SinglePartyOption)
exercise (exactly one occurance; of the type Exercise)
exerciseNotice (zero or more occurances; of the type ExerciseNotice)
followUpConfirmation (exactly one occurance; of the type xsd:boolean)
calculationAgent (exactly one occurance; of the type CalculationAgent)
cashSettlement (exactly one occurance; of the type CashSettlement)
optionalEarlyTerminationAdjustedDates (zero or one occurance; of the type OptionalEarlyTerminationAdjustedDates)
<xsd:complexType name="OptionalEarlyTermination">
<xsd:annotation>
<xsd:documentation xml:lang="en">
A type defining an early termination provision where either or
both parties have the right to exercise.
</xsd:documentation>
</xsd:annotation>
<xsd:sequence>
<xsd:element ref="singlePartyOption" minOccurs="0"/>
<xsd:element ref="exercise"/>
<xsd:element ref="exerciseNotice" minOccurs="0" maxOccurs="unbounded"/>
<xsd:element ref="followUpConfirmation"/>
<xsd:element ref="calculationAgent"/>
<xsd:element ref="cashSettlement"/>
<xsd:element ref="optionalEarlyTerminationAdjustedDates" minOccurs="0"/>
</xsd:sequence>
</xsd:complexType>
A type defining the adjusted dates associated with an optional early termination provision.
earlyTerminationEvent (one or more occurances; of the type EarlyTerminationEvent)
<xsd:complexType name="OptionalEarlyTerminationAdjustedDates">
<xsd:annotation>
<xsd:documentation xml:lang="en">
A type defining the adjusted dates associated with an optional
early termination provision.
</xsd:documentation>
</xsd:annotation>
<xsd:sequence>
<xsd:element ref="earlyTerminationEvent" maxOccurs="unbounded"/>
</xsd:sequence>
</xsd:complexType>
A type defining the adjusted payment date and associated calculation period parameters required to calculate the actual or projected payment amount. This type forms part of the cashflow representation of a swap stream.
adjustedPaymentDate (exactly one occurance; of the type xsd:date)
Either
calculationPeriod (one or more occurances; of the type CalculationPeriod)
Or
fixedPaymentAmount (exactly one occurance; of the type xsd:decimal)
<xsd:complexType name="PaymentCalculationPeriod">
<xsd:annotation>
<xsd:documentation xml:lang="en">
A type defining the adjusted payment date and associated
calculation period parameters required to calculate the actual or
projected payment amount. This type forms part of the cashflow
representation of a swap stream.
</xsd:documentation>
</xsd:annotation>
<xsd:sequence>
<xsd:element ref="adjustedPaymentDate"/>
<xsd:choice>
<xsd:element ref="calculationPeriod" maxOccurs="unbounded"/>
<xsd:element ref="fixedPaymentAmount"/>
</xsd:choice>
</xsd:sequence>
<xsd:attribute name="id" type="xsd:ID"/>
</xsd:complexType>
A type defining parameters used to generate the payment dates schedule, including the specification of early or delayed payments. Payment dates are determined relative to the calculation period dates or the reset dates.
Either
calculationPeriodDatesReference (exactly one occurance; with locally defined content)
Or
resetDatesReference (exactly one occurance; with locally defined content)
paymentFrequency (exactly one occurance; of the type Interval)
firstPaymentDate (zero or one occurance; of the type xsd:date)
lastRegularPaymentDate (zero or one occurance; of the type xsd:date)
payRelativeTo (exactly one occurance; with locally defined content)
paymentDaysOffset (zero or one occurance; of the type Offset)
paymentDatesAdjustments (exactly one occurance; of the type BusinessDayAdjustments)
<xsd:complexType name="PaymentDates">
<xsd:annotation>
<xsd:documentation xml:lang="en">
A type defining parameters used to generate the payment dates
schedule, including the specification of early or delayed
payments. Payment dates are determined relative to the
calculation period dates or the reset dates.
</xsd:documentation>
</xsd:annotation>
<xsd:sequence>
<xsd:choice>
<xsd:element ref="calculationPeriodDatesReference"/>
<xsd:element ref="resetDatesReference"/>
</xsd:choice>
<xsd:element ref="paymentFrequency"/>
<xsd:element ref="firstPaymentDate" minOccurs="0"/>
<xsd:element ref="lastRegularPaymentDate" minOccurs="0"/>
<xsd:element ref="payRelativeTo"/>
<xsd:element ref="paymentDaysOffset" minOccurs="0"/>
<xsd:element ref="paymentDatesAdjustments"/>
</xsd:sequence>
<xsd:attribute name="id" type="xsd:ID"/>
</xsd:complexType>
A type defining a principal exchange amount and adjusted exchange date. The type forms part of the cashflow representation of a swap stream.
adjustedPrincipalExchangeDate (exactly one occurance; of the type xsd:date)
principalExchangeAmount (zero or one occurance; of the type xsd:decimal)
<xsd:complexType name="PrincipalExchange">
<xsd:annotation>
<xsd:documentation xml:lang="en">
A type defining a principal exchange amount and adjusted exchange
date. The type forms part of the cashflow representation of a
swap stream.
</xsd:documentation>
</xsd:annotation>
<xsd:sequence>
<xsd:element ref="adjustedPrincipalExchangeDate"/>
<xsd:element ref="principalExchangeAmount" minOccurs="0"/>
</xsd:sequence>
</xsd:complexType>
A type defining which principal exchanges occur for the stream.
initialExchange (exactly one occurance; of the type xsd:boolean)
finalExchange (exactly one occurance; of the type xsd:boolean)
intermediateExchange (exactly one occurance; of the type xsd:boolean)
<xsd:complexType name="PrincipalExchanges">
<xsd:annotation>
<xsd:documentation xml:lang="en">
A type defining which principal exchanges occur for the stream.
</xsd:documentation>
</xsd:annotation>
<xsd:sequence>
<xsd:element ref="initialExchange"/>
<xsd:element ref="finalExchange"/>
<xsd:element ref="intermediateExchange"/>
</xsd:sequence>
</xsd:complexType>
A type defining the parameters used to generate the reset dates schedule and associated fixing dates. The reset dates are determined relative to the calculation periods schedules dates.
calculationPeriodDatesReference (exactly one occurance; with locally defined content)
resetRelativeTo (zero or one occurance; with locally defined content)
fixingDates (exactly one occurance; of the type RelativeDateOffset)
rateCutOffDaysOffset (zero or one occurance; of the type Offset)
resetFrequency (exactly one occurance; of the type ResetFrequency)
resetDatesAdjustments (exactly one occurance; of the type BusinessDayAdjustments)
<xsd:complexType name="ResetDates">
<xsd:annotation>
<xsd:documentation xml:lang="en">
A type defining the parameters used to generate the reset dates
schedule and associated fixing dates. The reset dates are
determined relative to the calculation periods schedules dates.
</xsd:documentation>
</xsd:annotation>
<xsd:sequence>
<xsd:element ref="calculationPeriodDatesReference"/>
<xsd:element ref="resetRelativeTo" minOccurs="0"/>
<xsd:element ref="fixingDates"/>
<xsd:element ref="rateCutOffDaysOffset" minOccurs="0"/>
<xsd:element ref="resetFrequency"/>
<xsd:element ref="resetDatesAdjustments"/>
</xsd:sequence>
<xsd:attribute name="id" use="required" type="xsd:ID"/>
</xsd:complexType>
A type defining the reset frequency. In the case of a weekly reset, also specifies the day of the week that the reset occurs. If the reset frequency is greater than the calculation period frequency the this implies that more or more reset dates is established for each calculation period and some form of rate averaginhg is applicable. The specific averaging method of calculation is specified in FloatingRateCalculation.
Inherited element(s): (This definition inherits the content defined by the type Interval)
weeklyRollConvention (zero or one occurance; with locally defined content)
<xsd:complexType name="ResetFrequency">
<xsd:annotation>
<xsd:documentation xml:lang="en">
A type defining the reset frequency. In the case of a weekly
reset, also specifies the day of the week that the reset occurs.
If the reset frequency is greater than the calculation period
frequency the this implies that more or more reset dates is
established for each calculation period and some form of rate
averaginhg is applicable. The specific averaging method of
calculation is specified in FloatingRateCalculation.
</xsd:documentation>
</xsd:annotation>
<xsd:complexContent>
<xsd:extension base="Interval">
<xsd:sequence>
<xsd:element ref="weeklyRollConvention" minOccurs="0"/>
</xsd:sequence>
</xsd:extension>
</xsd:complexContent>
</xsd:complexType>
A type describing the method for obtaining a settlement rate.
Either
informationSource (exactly one occurance; of the type InformationSource)
Or
cashSettlementReferenceBanks (exactly one occurance; of the type CashSettlementReferenceBanks)
<xsd:complexType name="SettlementRateSource">
<xsd:annotation>
<xsd:documentation xml:lang="en">
A type describing the method for obtaining a settlement rate.
</xsd:documentation>
</xsd:annotation>
<xsd:choice>
<xsd:element ref="informationSource"/>
<xsd:element ref="cashSettlementReferenceBanks"/>
</xsd:choice>
</xsd:complexType>
A type describing the buyer and seller of an option.
buyerPartyReference (exactly one occurance; with locally defined content)
sellerPartyReference (exactly one occurance; with locally defined content)
<xsd:complexType name="SinglePartyOption">
<xsd:annotation>
<xsd:documentation xml:lang="en">
A type describing the buyer and seller of an option.
</xsd:documentation>
</xsd:annotation>
<xsd:sequence>
<xsd:element ref="buyerPartyReference"/>
<xsd:element ref="sellerPartyReference"/>
</xsd:sequence>
</xsd:complexType>
A type defining how a stub calculation period 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 rate tenors many 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.
Either
floatingRate (one or more occurances; of the type FloatingRate)
Or
stubRate (exactly one occurance; of the type xsd:decimal)
Or
stubAmount (exactly one occurance; of the type Money)
<xsd:complexType name="Stub">
<xsd:annotation>
<xsd:documentation xml:lang="en">
A type defining how a stub calculation period 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 rate tenors many 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.
</xsd:documentation>
</xsd:annotation>
<xsd:choice>
<xsd:element ref="floatingRate" maxOccurs="unbounded"/>
<xsd:element ref="stubRate"/>
<xsd:element ref="stubAmount"/>
</xsd:choice>
</xsd:complexType>
A type defining how the initial or final stub calculation period amounts is calculated. For example, the rate to be applied to the initial or final stub calculation period may be the linear interpolation of two different tenors for the floating rate index specified in the calculation period amount component, e.g. A two month stub period may used the linear interpolation of a one month and three month floating rate. The different rate tenors would be specified in this component. Note that a maximum of two rate tenors can be specified. If a stub period uses a single index tenor and this is the same as that specified in the calculation period amount component then the initial stub or final stub component, as the case may be, must not be included.
calculationPeriodDatesReference (exactly one occurance; with locally defined content)
initialStub (zero or one occurance; of the type Stub)
finalStub (zero or one occurance; of the type Stub)
<xsd:complexType name="StubCalculationPeriodAmount">
<xsd:annotation>
<xsd:documentation xml:lang="en">
A type defining how the initial or final stub calculation period
amounts is calculated. For example, the rate to be applied to the
initial or final stub calculation period may be the linear
interpolation of two different tenors for the floating rate index
specified in the calculation period amount component, e.g. A two
month stub period may used the linear interpolation of a one
month and three month floating rate. The different rate tenors
would be specified in this component. Note that a maximum of two
rate tenors can be specified. If a stub period uses a single
index tenor and this is the same as that specified in the
calculation period amount component then the initial stub or
final stub component, as the case may be, must not be included.
</xsd:documentation>
</xsd:annotation>
<xsd:sequence>
<xsd:element ref="calculationPeriodDatesReference"/>
<xsd:element ref="initialStub" minOccurs="0"/>
<xsd:element ref="finalStub" minOccurs="0"/>
</xsd:sequence>
</xsd:complexType>
A type defining swap streams and additional payments between the principal parties involved in the swap.
Inherited element(s): (This definition inherits the content defined by the type Product)
swapStream (one or more occurances; of the type InterestRateStream)
earlyTerminationProvision (zero or one occurance; of the type EarlyTerminationProvision)
cancelableProvision (zero or one occurance; of the type CancelableProvision)
extendibleProvision (zero or one occurance; of the type ExtendibleProvision)
additionalPayment (zero or more occurances; of the type Payment)
<xsd:complexType name="Swap">
<xsd:annotation>
<xsd:documentation xml:lang="en">
A type defining swap streams and additional payments between the
principal parties involved in the swap.
</xsd:documentation>
</xsd:annotation>
<xsd:complexContent>
<xsd:extension base="Product">
<xsd:sequence>
<xsd:element ref="swapStream" maxOccurs="unbounded"/>
<xsd:element ref="earlyTerminationProvision" minOccurs="0"/>
<xsd:element ref="cancelableProvision" minOccurs="0"/>
<xsd:element ref="extendibleProvision" minOccurs="0"/>
<xsd:element ref="additionalPayment" minOccurs="0" maxOccurs="unbounded"/>
</xsd:sequence>
</xsd:extension>
</xsd:complexContent>
</xsd:complexType>
A type to define an option on a swap.
Inherited element(s): (This definition inherits the content defined by the type Product)
buyerPartyReference (exactly one occurance; with locally defined content)
sellerPartyReference (exactly one occurance; with locally defined content)
premium (zero or more occurances; of the type Payment)
exercise (exactly one occurance; of the type Exercise)
exerciseProcedure (exactly one occurance; of the type ExerciseProcedure)
calculationAgentPartyReference (one or more occurances; with locally defined content)
cashSettlement (zero or one occurance; of the type CashSettlement)
swaptionStraddle (exactly one occurance; of the type xsd:boolean)
swaptionAdjustedDates (zero or one occurance; of the type SwaptionAdjustedDates)
swap (exactly one occurance; of the type Swap)
<xsd:complexType name="Swaption">
<xsd:annotation>
<xsd:documentation xml:lang="en">
A type to define an option on a swap.
</xsd:documentation>
</xsd:annotation>
<xsd:complexContent>
<xsd:extension base="Product">
<xsd:sequence>
<xsd:element ref="buyerPartyReference"/>
<xsd:element ref="sellerPartyReference"/>
<xsd:element ref="premium" minOccurs="0" maxOccurs="unbounded"/>
<xsd:element ref="exercise"/>
<xsd:element ref="exerciseProcedure"/>
<xsd:element ref="calculationAgentPartyReference" maxOccurs="unbounded"/>
<xsd:element ref="cashSettlement" minOccurs="0"/>
<xsd:element ref="swaptionStraddle"/>
<xsd:element ref="swaptionAdjustedDates" minOccurs="0"/>
<xsd:element ref="swap"/>
</xsd:sequence>
</xsd:extension>
</xsd:complexContent>
</xsd:complexType>
A type describing the adjusted dates associated with swaption exercise and settlement.
exerciseEvent (one or more occurances; of the type ExerciseEvent)
<xsd:complexType name="SwaptionAdjustedDates">
<xsd:annotation>
<xsd:documentation xml:lang="en">
A type describing the adjusted dates associated with swaption
exercise and settlement.
</xsd:documentation>
</xsd:annotation>
<xsd:sequence>
<xsd:element ref="exerciseEvent" maxOccurs="unbounded"/>
</xsd:sequence>
</xsd:complexType>
A type defining the parameters required for each of the ISDA defined yield curve methods for cash settlement.
<xsd:complexType name="YieldCurveMethod">
<xsd:annotation>
<xsd:documentation xml:lang="en">
A type defining the parameters required for each of the ISDA
defined yield curve methods for cash settlement.
</xsd:documentation>
</xsd:annotation>
<xsd:sequence>
<xsd:sequence>
<xsd:element ref="settlementRateSource" minOccurs="0"/>
<xsd:element ref="quotationRateType"/>
</xsd:sequence>
</xsd:sequence>
</xsd:complexType>
Inherited element(s): (This definition restricts the content defined by the type xsd:string)
<xsd:simpleType name="AveragingMethod"> <xsd:restriction base="xsd:string"/> </xsd:simpleType>
Inherited element(s): (This definition restricts the content defined by the type xsd:string)
<xsd:simpleType name="CompoundingMethod"> <xsd:restriction base="xsd:string"/> </xsd:simpleType>
Inherited element(s): (This definition restricts the content defined by the type xsd:string)
<xsd:simpleType name="DayCountFraction"> <xsd:restriction base="xsd:string"/> </xsd:simpleType>
Inherited element(s): (This definition restricts the content defined by the type xsd:string)
<xsd:simpleType name="DiscountingType"> <xsd:restriction base="xsd:string"/> </xsd:simpleType>
Inherited element(s): (This definition restricts the content defined by the type xsd:string)
<xsd:simpleType name="FloatingRateIndex"> <xsd:restriction base="xsd:string"/> </xsd:simpleType>
Inherited element(s): (This definition restricts the content defined by the type xsd:string)
<xsd:simpleType name="NegativeInterestRateTreatment"> <xsd:restriction base="xsd:string"/> </xsd:simpleType>
Inherited element(s): (This definition restricts the content defined by the type xsd:string)
<xsd:simpleType name="PayRelativeTo"> <xsd:restriction base="xsd:string"/> </xsd:simpleType>
Inherited element(s): (This definition restricts the content defined by the type xsd:string)
<xsd:simpleType name="QuotationRateType"> <xsd:restriction base="xsd:string"/> </xsd:simpleType>
Inherited element(s): (This definition restricts the content defined by the type xsd:string)
<xsd:simpleType name="RateTreatment"> <xsd:restriction base="xsd:string"/> </xsd:simpleType>
Inherited element(s): (This definition restricts the content defined by the type xsd:string)
<xsd:simpleType name="ResetRelativeTo"> <xsd:restriction base="xsd:string"/> </xsd:simpleType>
Inherited element(s): (This definition restricts the content defined by the type xsd:string)
<xsd:simpleType name="StepRelativeTo"> <xsd:restriction base="xsd:string"/> </xsd:simpleType>
Inherited element(s): (This definition restricts the content defined by the type xsd:string)
<xsd:simpleType name="WeeklyRollConvention"> <xsd:restriction base="xsd:string"/> </xsd:simpleType>
<xsd:schema targetNamespace="http://www.fpml.org/2003/FpML-4-0" elementFormDefault="qualified" attributeFormDefault="unqualified">
<xsd:include schemaLocation="fpml-shared-4-0.xsd"/>
<xsd:complexType name="CalculationPeriod">
<xsd:annotation>
<xsd:documentation xml:lang="en">
A type defining the parameters used in the calculation of a
fixed or floating rate calculation period amount. This type
forms part of cashflows representation of a swap stream.
</xsd:documentation>
</xsd:annotation>
<xsd:sequence>
<xsd:element ref="adjustedStartDate"/>
<xsd:element ref="adjustedEndDate"/>
<xsd:choice>
<xsd:element ref="notionalAmount"/>
<xsd:element ref="fxLinkedNotionalAmount"/>
</xsd:choice>
<xsd:choice>
<xsd:element ref="floatingRateDefinition"/>
<xsd:element ref="fixedRate"/>
</xsd:choice>
</xsd:sequence>
<xsd:attribute name="id" type="xsd:ID"/>
</xsd:complexType>
<xsd:complexType name="CalculationPeriodAmount">
<xsd:annotation>
<xsd:documentation xml:lang="en">
A type defining the parameters used in the calculation of fixed
or floating rate calculation period amounts or for specifying a
known calculation period amount or known amount schedule.
</xsd:documentation>
</xsd:annotation>
<xsd:choice>
<xsd:element ref="calculation"/>
<xsd:element ref="knownAmountSchedule"/>
</xsd:choice>
</xsd:complexType>
<xsd:complexType name="CalculationPeriodDates">
<xsd:annotation>
<xsd:documentation xml:lang="en">
A type defining the parameters used to generate the calculation
period dates schedule, including the specification of any
initial or final stub calculation periods. A calculation perod
schedule consists of an optional initial stub calculation
period, one or more regular calculation periods and an optional
final stub calculation period. In the absence of any initial or
final stub calculation periods, the regular part of the
calculation period schedule is assumed to be between the
effective date and the termination date. No implicit stubs are
allowed, i.e. stubs must be explicitly specified using an
appropriate combination of firstPeriodStateDate,
firstRegularPeriodStartDate and lastRegularPeriodEndDate.
</xsd:documentation>
</xsd:annotation>
<xsd:sequence>
<xsd:element ref="effectiveDate"/>
<xsd:element ref="terminationDate"/>
<xsd:element ref="calculationPeriodDatesAdjustments"/>
<xsd:element ref="firstPeriodStartDate" minOccurs="0"/>
<xsd:element ref="firstRegularPeriodStartDate" minOccurs="0"/>
<xsd:element ref="lastRegularPeriodEndDate" minOccurs="0"/>
<xsd:element ref="calculationPeriodFrequency"/>
</xsd:sequence>
<xsd:attribute name="id" use="required" type="xsd:ID"/>
</xsd:complexType>
<xsd:complexType name="Cashflows">
<xsd:annotation>
<xsd:documentation xml:lang="en">
A type defining the cashflow representation of a swap trade.
</xsd:documentation>
</xsd:annotation>
<xsd:sequence>
<xsd:element ref="cashflowsMatchParameters"/>
<xsd:element ref="principalExchange" minOccurs="0" maxOccurs="unbounded"/>
<xsd:element ref="paymentCalculationPeriod" minOccurs="0" maxOccurs="unbounded"/>
</xsd:sequence>
</xsd:complexType>
<xsd:complexType name="Discounting">
<xsd:annotation>
<xsd:documentation xml:lang="en">
A type defining discounting information. The 2000 ISDA
definitions, section 8.4. discounting (related to the
calculation of a discounted fixed amount or floating amount)
apply. This type must only be included if discounting applies.
</xsd:documentation>
</xsd:annotation>
<xsd:sequence>
<xsd:element ref="discountingType"/>
<xsd:element ref="discountRate" minOccurs="0"/>
<xsd:element ref="discountRateDayCountFraction" minOccurs="0"/>
</xsd:sequence>
</xsd:complexType>
<xsd:complexType name="FloatingRate">
<xsd:annotation>
<xsd:documentation xml:lang="en">
A type defining a floating rate.
</xsd:documentation>
</xsd:annotation>
<xsd:sequence>
<xsd:element ref="floatingRateIndex"/>
<xsd:element ref="indexTenor" minOccurs="0"/>
<xsd:element ref="floatingRateMultiplierSchedule" minOccurs="0"/>
<xsd:element ref="spreadSchedule" minOccurs="0"/>
<xsd:element ref="rateTreatment" minOccurs="0"/>
<xsd:element ref="capRateSchedule" minOccurs="0" maxOccurs="unbounded"/>
<xsd:element ref="floorRateSchedule" minOccurs="0" maxOccurs="unbounded"/>
</xsd:sequence>
<xsd:attribute name="id" type="xsd:ID"/>
</xsd:complexType>
<xsd:complexType name="FloatingRateCalculation">
<xsd:annotation>
<xsd:documentation xml:lang="en">
A type defining the floating rate and definitions relating to
the calculation of floating rate amounts.
</xsd:documentation>
</xsd:annotation>
<xsd:complexContent>
<xsd:extension base="FloatingRate">
<xsd:sequence>
<xsd:element ref="initialRate" minOccurs="0"/>
<xsd:element ref="finalRateRounding" minOccurs="0"/>
<xsd:element ref="averagingMethod" minOccurs="0"/>
<xsd:element ref="negativeInterestRateTreatment" minOccurs="0"/>
</xsd:sequence>
</xsd:extension>
</xsd:complexContent>
</xsd:complexType>
<xsd:complexType name="FloatingRateDefinition">
<xsd:annotation>
<xsd:documentation xml:lang="en">
A type defining parameters associated with a floating rate
reset. This type forms part of the cashflows representation of
a stream.
</xsd:documentation>
</xsd:annotation>
<xsd:sequence>
<xsd:element ref="calculatedRate" minOccurs="0"/>
<xsd:element ref="rateObservation" minOccurs="0" maxOccurs="unbounded"/>
<xsd:element ref="floatingRateMultiplier" minOccurs="0"/>
<xsd:element ref="spread" minOccurs="0"/>
<xsd:element ref="capRate" minOccurs="0" maxOccurs="unbounded"/>
<xsd:element ref="floorRate" minOccurs="0" maxOccurs="unbounded"/>
</xsd:sequence>
</xsd:complexType>
<xsd:complexType name="Fra">
<xsd:annotation>
<xsd:documentation xml:lang="en">
A type defining a Forward Rate Agreement (FRA) product.
</xsd:documentation>
</xsd:annotation>
<xsd:complexContent>
<xsd:extension base="Product">
<xsd:sequence>
<xsd:element ref="buyerPartyReference"/>
<xsd:element ref="sellerPartyReference"/>
<xsd:element ref="adjustedEffectiveDate"/>
<xsd:element ref="adjustedTerminationDate"/>
<xsd:element ref="paymentDate"/>
<xsd:element ref="fixingDateOffset"/>
<xsd:element ref="dayCountFraction"/>
<xsd:element ref="calculationPeriodNumberOfDays"/>
<xsd:element ref="notional"/>
<xsd:element ref="fixedRate"/>
<xsd:element ref="floatingRateIndex"/>
<xsd:element ref="indexTenor" maxOccurs="unbounded"/>
<xsd:element ref="fraDiscounting"/>
</xsd:sequence>
</xsd:extension>
</xsd:complexContent>
</xsd:complexType>
<xsd:complexType name="InterestRateStream">
<xsd:annotation>
<xsd:documentation xml:lang="en">
A type defining the components specifiying an interest rate
stream, including both a parametric and cashflow representation
for the stream of payments.
</xsd:documentation>
</xsd:annotation>
<xsd:sequence>
<xsd:element ref="payerPartyReference"/>
<xsd:element ref="receiverPartyReference"/>
<xsd:element ref="calculationPeriodDates"/>
<xsd:element ref="paymentDates"/>
<xsd:element ref="resetDates" minOccurs="0"/>
<xsd:element ref="calculationPeriodAmount"/>
<xsd:element ref="stubCalculationPeriodAmount" minOccurs="0"/>
<xsd:element ref="principalExchanges" minOccurs="0"/>
<xsd:element ref="cashflows" minOccurs="0"/>
</xsd:sequence>
<xsd:attribute name="id" type="xsd:ID"/>
</xsd:complexType>
<xsd:complexType name="Notional">
<xsd:annotation>
<xsd:documentation xml:lang="en">
An type defining the notional amount or notional amount
schedule associated with a swap stream. The notional schedule
will be captured explicitly, specifying the dates that the
notional changes and the outstanding notional amount that
applies from that date. A parametric representation of the
rules defining the notional step schedule can optionally be
included.
</xsd:documentation>
</xsd:annotation>
<xsd:sequence>
<xsd:element ref="notionalStepSchedule"/>
<xsd:element ref="notionalStepParameters" minOccurs="0"/>
</xsd:sequence>
<xsd:attribute name="id" type="xsd:ID"/>
</xsd:complexType>
<xsd:complexType name="NotionalStepRule">
<xsd:annotation>
<xsd:documentation xml:lang="en">
A type defining a parametric representation of the notional
step schedule, i.e. parameters used to generate the notional
balance on each step date. The step change in notional can be
expressed in terms of either a fixed amount or as a percentage
of either the initial notional or previous notional amount.
This parametric representation is intended to cover the more
common amortizing/accreting.
</xsd:documentation>
</xsd:annotation>
<xsd:sequence>
<xsd:element ref="calculationPeriodDatesReference"/>
<xsd:element ref="stepFrequency"/>
<xsd:element ref="firstNotionalStepDate"/>
<xsd:element ref="lastNotionalStepDate"/>
<xsd:choice>
<xsd:element ref="notionalStepAmount"/>
<xsd:sequence>
<xsd:element ref="notionalStepRate"/>
<xsd:element ref="stepRelativeTo"/>
</xsd:sequence>
</xsd:choice>
</xsd:sequence>
</xsd:complexType>
<xsd:complexType name="PaymentCalculationPeriod">
<xsd:annotation>
<xsd:documentation xml:lang="en">
A type defining the adjusted payment date and associated
calculation period parameters required to calculate the actual
or projected payment amount. This type forms part of the
cashflow representation of a swap stream.
</xsd:documentation>
</xsd:annotation>
<xsd:sequence>
<xsd:element ref="adjustedPaymentDate"/>
<xsd:choice>
<xsd:element ref="calculationPeriod" maxOccurs="unbounded"/>
<xsd:element ref="fixedPaymentAmount"/>
</xsd:choice>
</xsd:sequence>
<xsd:attribute name="id" type="xsd:ID"/>
</xsd:complexType>
<xsd:complexType name="PaymentDates">
<xsd:annotation>
<xsd:documentation xml:lang="en">
A type defining parameters used to generate the payment dates
schedule, including the specification of early or delayed
payments. Payment dates are determined relative to the
calculation period dates or the reset dates.
</xsd:documentation>
</xsd:annotation>
<xsd:sequence>
<xsd:choice>
<xsd:element ref="calculationPeriodDatesReference"/>
<xsd:element ref="resetDatesReference"/>
</xsd:choice>
<xsd:element ref="paymentFrequency"/>
<xsd:element ref="firstPaymentDate" minOccurs="0"/>
<xsd:element ref="lastRegularPaymentDate" minOccurs="0"/>
<xsd:element ref="payRelativeTo"/>
<xsd:element ref="paymentDaysOffset" minOccurs="0"/>
<xsd:element ref="paymentDatesAdjustments"/>
</xsd:sequence>
<xsd:attribute name="id" type="xsd:ID"/>
</xsd:complexType>
<xsd:complexType name="PrincipalExchange">
<xsd:annotation>
<xsd:documentation xml:lang="en">
A type defining a principal exchange amount and adjusted
exchange date. The type forms part of the cashflow
representation of a swap stream.
</xsd:documentation>
</xsd:annotation>
<xsd:sequence>
<xsd:element ref="adjustedPrincipalExchangeDate"/>
<xsd:element ref="principalExchangeAmount" minOccurs="0"/>
</xsd:sequence>
</xsd:complexType>
<xsd:complexType name="PrincipalExchanges">
<xsd:annotation>
<xsd:documentation xml:lang="en">
A type defining which principal exchanges occur for the stream.
</xsd:documentation>
</xsd:annotation>
<xsd:sequence>
<xsd:element ref="initialExchange"/>
<xsd:element ref="finalExchange"/>
<xsd:element ref="intermediateExchange"/>
</xsd:sequence>
</xsd:complexType>
<xsd:complexType name="ResetDates">
<xsd:annotation>
<xsd:documentation xml:lang="en">
A type defining the parameters used to generate the reset dates
schedule and associated fixing dates. The reset dates are
determined relative to the calculation periods schedules dates.
</xsd:documentation>
</xsd:annotation>
<xsd:sequence>
<xsd:element ref="calculationPeriodDatesReference"/>
<xsd:element ref="resetRelativeTo" minOccurs="0"/>
<xsd:element ref="fixingDates"/>
<xsd:element ref="rateCutOffDaysOffset" minOccurs="0"/>
<xsd:element ref="resetFrequency"/>
<xsd:element ref="resetDatesAdjustments"/>
</xsd:sequence>
<xsd:attribute name="id" use="required" type="xsd:ID"/>
</xsd:complexType>
<xsd:complexType name="ResetFrequency">
<xsd:annotation>
<xsd:documentation xml:lang="en">
A type defining the reset frequency. In the case of a weekly
reset, also specifies the day of the week that the reset
occurs. If the reset frequency is greater than the calculation
period frequency the this implies that more or more reset dates
is established for each calculation period and some form of
rate averaginhg is applicable. The specific averaging method of
calculation is specified in FloatingRateCalculation.
</xsd:documentation>
</xsd:annotation>
<xsd:complexContent>
<xsd:extension base="Interval">
<xsd:sequence>
<xsd:element ref="weeklyRollConvention" minOccurs="0"/>
</xsd:sequence>
</xsd:extension>
</xsd:complexContent>
</xsd:complexType>
<xsd:complexType name="Stub">
<xsd:annotation>
<xsd:documentation xml:lang="en">
A type defining how a stub calculation period 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 rate tenors many 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.
</xsd:documentation>
</xsd:annotation>
<xsd:choice>
<xsd:element ref="floatingRate" maxOccurs="unbounded"/>
<xsd:element ref="stubRate"/>
<xsd:element ref="stubAmount"/>
</xsd:choice>
</xsd:complexType>
<xsd:complexType name="StubCalculationPeriodAmount">
<xsd:annotation>
<xsd:documentation xml:lang="en">
A type defining how the initial or final stub calculation
period amounts is calculated. For example, the rate to be
applied to the initial or final stub calculation period may be
the linear interpolation of two different tenors for the
floating rate index specified in the calculation period amount
component, e.g. A two month stub period may used the linear
interpolation of a one month and three month floating rate. The
different rate tenors would be specified in this component.
Note that a maximum of two rate tenors can be specified. If a
stub period uses a single index tenor and this is the same as
that specified in the calculation period amount component then
the initial stub or final stub component, as the case may be,
must not be included.
</xsd:documentation>
</xsd:annotation>
<xsd:sequence>
<xsd:element ref="calculationPeriodDatesReference"/>
<xsd:element ref="initialStub" minOccurs="0"/>
<xsd:element ref="finalStub" minOccurs="0"/>
</xsd:sequence>
</xsd:complexType>
<xsd:complexType name="Swap">
<xsd:annotation>
<xsd:documentation xml:lang="en">
A type defining swap streams and additional payments between
the principal parties involved in the swap.
</xsd:documentation>
</xsd:annotation>
<xsd:complexContent>
<xsd:extension base="Product">
<xsd:sequence>
<xsd:element ref="swapStream" maxOccurs="unbounded"/>
<xsd:element ref="earlyTerminationProvision" minOccurs="0"/>
<xsd:element ref="cancelableProvision" minOccurs="0"/>
<xsd:element ref="extendibleProvision" minOccurs="0"/>
<xsd:element ref="additionalPayment" minOccurs="0" maxOccurs="unbounded"/>
</xsd:sequence>
</xsd:extension>
</xsd:complexContent>
</xsd:complexType>
<xsd:complexType name="CancelableProvision">
<xsd:annotation>
<xsd:documentation xml:lang="en">
A type defining the right of a party to cancel a swap
transaction on the specified exercise dates. The provision is
for 'walkaway' cancellation (i.e. the fair value of the swap is
not paid). A fee payable on exercise can be specified.
</xsd:documentation>
</xsd:annotation>
<xsd:sequence>
<xsd:element ref="buyerPartyReference"/>
<xsd:element ref="sellerPartyReference"/>
<xsd:element ref="exercise"/>
<xsd:element ref="exerciseNotice" minOccurs="0"/>
<xsd:element ref="followUpConfirmation"/>
<xsd:element ref="cancelableProvisionAdjustedDates" minOccurs="0"/>
</xsd:sequence>
</xsd:complexType>
<xsd:complexType name="CancelableProvisionAdjustedDates">
<xsd:annotation>
<xsd:documentation xml:lang="en">
A type to define the adjusted dates for a cancelable provision
on a swap transaction.
</xsd:documentation>
</xsd:annotation>
<xsd:sequence>
<xsd:element ref="cancellationEvent" maxOccurs="unbounded"/>
</xsd:sequence>
</xsd:complexType>
<xsd:complexType name="CancellationEvent">
<xsd:annotation>
<xsd:documentation xml:lang="en">
The adjusted dates for a specific cancellation date, including
the adjusted exercise date and adjusted termination date.
</xsd:documentation>
</xsd:annotation>
<xsd:sequence>
<xsd:element ref="adjustedExerciseDate"/>
<xsd:element ref="adjustedEarlyTerminationDate"/>
</xsd:sequence>
<xsd:attribute name="id" type="xsd:ID"/>
</xsd:complexType>
<xsd:complexType name="BulletPayment">
<xsd:annotation>
<xsd:documentation xml:lang="en">
A product to represent a single cashflow.
</xsd:documentation>
</xsd:annotation>
<xsd:complexContent>
<xsd:extension base="Product">
<xsd:sequence>
<xsd:element ref="payment"/>
</xsd:sequence>
</xsd:extension>
</xsd:complexContent>
</xsd:complexType>
<xsd:complexType name="CapFloor">
<xsd:annotation>
<xsd:documentation xml:lang="en">
A type defining an interest rate cap, floor, or cap/floor
strategy (e.g. collar) product.
</xsd:documentation>
</xsd:annotation>
<xsd:complexContent>
<xsd:extension base="Product">
<xsd:sequence>
<xsd:element ref="capFloorStream"/>
<xsd:element ref="additionalPayment" minOccurs="0" maxOccurs="unbounded"/>
</xsd:sequence>
</xsd:extension>
</xsd:complexContent>
</xsd:complexType>
<xsd:complexType name="CashPriceMethod">
<xsd:annotation>
<xsd:documentation xml:lang="en">
A type defining the parameters necessary for each of the ISDA
cash price methods for cash settlement.
</xsd:documentation>
</xsd:annotation>
<xsd:sequence>
<xsd:element ref="cashSettlementReferenceBanks" minOccurs="0"/>
<xsd:element ref="cashSettlementCurrency"/>
<xsd:element ref="quotationRateType"/>
</xsd:sequence>
</xsd:complexType>
<xsd:complexType name="CashSettlement">
<xsd:annotation>
<xsd:documentation xml:lang="en">
A type to define the cash settlement terms for a product where
cash settlement is applicable.
</xsd:documentation>
</xsd:annotation>
<xsd:sequence>
<xsd:element ref="cashSettlementValuationTime"/>
<xsd:element ref="cashSettlementValuationDate"/>
<xsd:element ref="cashSettlementPaymentDate" minOccurs="0"/>
<xsd:choice>
<xsd:element ref="cashPriceMethod"/>
<xsd:element ref="cashPriceAlternateMethod"/>
<xsd:element ref="parYieldCurveAdjustedMethod"/>
<xsd:element ref="zeroCouponYieldAdjustedMethod"/>
<xsd:element ref="parYieldCurveUnadjustedMethod"/>
</xsd:choice>
</xsd:sequence>
<xsd:attribute name="id" type="xsd:ID"/>
</xsd:complexType>
<xsd:complexType name="CashSettlementPaymentDate">
<xsd:annotation>
<xsd:documentation xml:lang="en">
A type defining the cash settlement payment date(s) as either a
set of explicit dates, together with applicable adjustments, or
as a date relative to some other (anchor) date, or as any date
in a range of contiguous business days.
</xsd:documentation>
</xsd:annotation>
<xsd:choice>
<xsd:element ref="adjustableDates"/>
<xsd:element ref="relativeDate"/>
<xsd:element ref="businessDateRange"/>
</xsd:choice>
</xsd:complexType>
<xsd:complexType name="CashSettlementReferenceBanks">
<xsd:annotation>
<xsd:documentation xml:lang="en">
A type defining the list of reference institutions polled for
relevant rates or prices when determining the cash settlement
amount for a product where cash settlement is applicable.
</xsd:documentation>
</xsd:annotation>
<xsd:sequence>
<xsd:element ref="referenceBank" maxOccurs="unbounded"/>
</xsd:sequence>
<xsd:attribute name="id" type="xsd:ID"/>
</xsd:complexType>
<xsd:complexType name="EarlyTerminationEvent">
<xsd:annotation>
<xsd:documentation xml:lang="en">
A type to define the adjusted dates associated with an early
termination provision.
</xsd:documentation>
</xsd:annotation>
<xsd:sequence>
<xsd:element ref="adjustedExerciseDate"/>
<xsd:element ref="adjustedEarlyTerminationDate"/>
<xsd:element ref="adjustedCashSettlementValuationDate"/>
<xsd:element ref="adjustedCashSettlementPaymentDate"/>
<xsd:element ref="adjustedExerciseFeePaymentDate" minOccurs="0"/>
</xsd:sequence>
<xsd:attribute name="id" type="xsd:ID"/>
</xsd:complexType>
<xsd:complexType name="EarlyTerminationProvision">
<xsd:annotation>
<xsd:documentation xml:lang="en">
A type defining an early termination provision for a swap. This
early termination is at fair value, i.e. on termination the
fair value of the product must be settled between the parties.
</xsd:documentation>
</xsd:annotation>
<xsd:choice>
<xsd:element ref="mandatoryEarlyTermination"/>
<xsd:element ref="optionalEarlyTermination"/>
</xsd:choice>
<xsd:attribute name="id" type="xsd:ID"/>
</xsd:complexType>
<xsd:complexType name="ExerciseEvent">
<xsd:annotation>
<xsd:documentation xml:lang="en">
A type defining the adjusted dates associated with a particular
exercise event.
</xsd:documentation>
</xsd:annotation>
<xsd:sequence>
<xsd:element ref="adjustedExerciseDate"/>
<xsd:element ref="adjustedRelevantSwapEffectiveDate"/>
<xsd:element ref="adjustedCashSettlementValuationDate" minOccurs="0"/>
<xsd:element ref="adjustedCashSettlementPaymentDate" minOccurs="0"/>
<xsd:element ref="adjustedExerciseFeePaymentDate" minOccurs="0"/>
</xsd:sequence>
<xsd:attribute name="id" type="xsd:ID"/>
</xsd:complexType>
<xsd:complexType name="ExtendibleProvision">
<xsd:annotation>
<xsd:documentation xml:lang="en">
A type defining an option to extend an existing swap
transaction on the specified exercise dates for a term ending
on the specified new termination date.
</xsd:documentation>
</xsd:annotation>
<xsd:sequence>
<xsd:element ref="buyerPartyReference"/>
<xsd:element ref="sellerPartyReference"/>
<xsd:element ref="exercise"/>
<xsd:element ref="exerciseNotice" minOccurs="0"/>
<xsd:element ref="followUpConfirmation"/>
<xsd:element ref="extendibleProvisionAdjustedDates" minOccurs="0"/>
</xsd:sequence>
</xsd:complexType>
<xsd:complexType name="ExtendibleProvisionAdjustedDates">
<xsd:annotation>
<xsd:documentation xml:lang="en">
A type defining the adjusted dates associated with a provision
to extend a swap.
</xsd:documentation>
</xsd:annotation>
<xsd:sequence>
<xsd:element ref="extensionEvent" maxOccurs="unbounded"/>
</xsd:sequence>
</xsd:complexType>
<xsd:complexType name="ExtensionEvent">
<xsd:annotation>
<xsd:documentation xml:lang="en">
A type to define the adjusted dates associated with an
individual extension event.
</xsd:documentation>
</xsd:annotation>
<xsd:sequence>
<xsd:element ref="adjustedExerciseDate"/>
<xsd:element ref="adjustedExtendedTerminationDate"/>
</xsd:sequence>
<xsd:attribute name="id" type="xsd:ID"/>
</xsd:complexType>
<xsd:complexType name="FxLinkedNotionalAmount">
<xsd:annotation>
<xsd:documentation xml:lang="en">
A type to describe the cashflow representation for fx linked
notionals.
</xsd:documentation>
</xsd:annotation>
<xsd:sequence>
<xsd:element ref="adjustedFxSpotFixingDate"/>
<xsd:element ref="observedFxSpotRate" minOccurs="0"/>
<xsd:element ref="notionalAmount" minOccurs="0"/>
</xsd:sequence>
</xsd:complexType>
<xsd:complexType name="FxLinkedNotionalSchedule">
<xsd:annotation>
<xsd:documentation xml:lang="en">
A type to describe a notional 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.
</xsd:documentation>
</xsd:annotation>
<xsd:sequence>
<xsd:element ref="constantNotionalScheduleReference"/>
<xsd:element ref="varyingNotionalCurrency"/>
<xsd:element ref="varyingNotionalFixingDates"/>
<xsd:element ref="fxSpotRateSource"/>
<xsd:element ref="varyingNotionalInterimExchangePaymentDates"/>
</xsd:sequence>
</xsd:complexType>
<xsd:complexType name="MandatoryEarlyTermination">
<xsd:annotation>
<xsd:documentation xml:lang="en">
A type to define an early termination provision for which
exercise is mandatory.
</xsd:documentation>
</xsd:annotation>
<xsd:sequence>
<xsd:element ref="mandatoryEarlyTerminationDate"/>
<xsd:element ref="calculationAgentPartyReference" maxOccurs="unbounded"/>
<xsd:element ref="cashSettlement"/>
<xsd:element ref="mandatoryEarlyTerminationAdjustedDates" minOccurs="0"/>
</xsd:sequence>
<xsd:attribute name="id" type="xsd:ID"/>
</xsd:complexType>
<xsd:complexType name="MandatoryEarlyTerminationAdjustedDates">
<xsd:annotation>
<xsd:documentation xml:lang="en">
A type defining the adjusted dates associated with a mandatory
early termination provision.
</xsd:documentation>
</xsd:annotation>
<xsd:sequence>
<xsd:element ref="adjustedEarlyTerminationDate"/>
<xsd:element ref="adjustedCashSettlementValuationDate"/>
<xsd:element ref="adjustedCashSettlementPaymentDate"/>
</xsd:sequence>
</xsd:complexType>
<xsd:complexType name="OptionalEarlyTermination">
<xsd:annotation>
<xsd:documentation xml:lang="en">
A type defining an early termination provision where either or
both parties have the right to exercise.
</xsd:documentation>
</xsd:annotation>
<xsd:sequence>
<xsd:element ref="singlePartyOption" minOccurs="0"/>
<xsd:element ref="exercise"/>
<xsd:element ref="exerciseNotice" minOccurs="0" maxOccurs="unbounded"/>
<xsd:element ref="followUpConfirmation"/>
<xsd:element ref="calculationAgent"/>
<xsd:element ref="cashSettlement"/>
<xsd:element ref="optionalEarlyTerminationAdjustedDates" minOccurs="0"/>
</xsd:sequence>
</xsd:complexType>
<xsd:complexType name="OptionalEarlyTerminationAdjustedDates">
<xsd:annotation>
<xsd:documentation xml:lang="en">
A type defining the adjusted dates associated with an optional
early termination provision.
</xsd:documentation>
</xsd:annotation>
<xsd:sequence>
<xsd:element ref="earlyTerminationEvent" maxOccurs="unbounded"/>
</xsd:sequence>
</xsd:complexType>
<xsd:complexType name="SettlementRateSource">
<xsd:annotation>
<xsd:documentation xml:lang="en">
A type describing the method for obtaining a settlement rate.
</xsd:documentation>
</xsd:annotation>
<xsd:choice>
<xsd:element ref="informationSource"/>
<xsd:element ref="cashSettlementReferenceBanks"/>
</xsd:choice>
</xsd:complexType>
<xsd:complexType name="SinglePartyOption">
<xsd:annotation>
<xsd:documentation xml:lang="en">
A type describing the buyer and seller of an option.
</xsd:documentation>
</xsd:annotation>
<xsd:sequence>
<xsd:element ref="buyerPartyReference"/>
<xsd:element ref="sellerPartyReference"/>
</xsd:sequence>
</xsd:complexType>
<xsd:complexType name="Swaption">
<xsd:annotation>
<xsd:documentation xml:lang="en">
A type to define an option on a swap.
</xsd:documentation>
</xsd:annotation>
<xsd:complexContent>
<xsd:extension base="Product">
<xsd:sequence>
<xsd:element ref="buyerPartyReference"/>
<xsd:element ref="sellerPartyReference"/>
<xsd:element ref="premium" minOccurs="0" maxOccurs="unbounded"/>
<xsd:element ref="exercise"/>
<xsd:element ref="exerciseProcedure"/>
<xsd:element ref="calculationAgentPartyReference" maxOccurs="unbounded"/>
<xsd:element ref="cashSettlement" minOccurs="0"/>
<xsd:element ref="swaptionStraddle"/>
<xsd:element ref="swaptionAdjustedDates" minOccurs="0"/>
<xsd:element ref="swap"/>
</xsd:sequence>
</xsd:extension>
</xsd:complexContent>
</xsd:complexType>
<xsd:complexType name="SwaptionAdjustedDates">
<xsd:annotation>
<xsd:documentation xml:lang="en">
A type describing the adjusted dates associated with swaption
exercise and settlement.
</xsd:documentation>
</xsd:annotation>
<xsd:sequence>
<xsd:element ref="exerciseEvent" maxOccurs="unbounded"/>
</xsd:sequence>
</xsd:complexType>
<xsd:complexType name="YieldCurveMethod">
<xsd:annotation>
<xsd:documentation xml:lang="en">
A type defining the parameters required for each of the ISDA
defined yield curve methods for cash settlement.
</xsd:documentation>
</xsd:annotation>
<xsd:sequence>
<xsd:sequence>
<xsd:element ref="settlementRateSource" minOccurs="0"/>
<xsd:element ref="quotationRateType"/>
</xsd:sequence>
</xsd:sequence>
</xsd:complexType>
<xsd:element name="additionalPayment" type="Payment">
<xsd:annotation>
<xsd:documentation xml:lang="en">
Additional payments between the principal parties.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="adjustedCashSettlementPaymentDate" type="xsd:date">
<xsd:annotation>
<xsd:documentation xml:lang="en">
The date on which the cash settlement amount is paid. This date
should already be adjusted for any applicable business dat
convention.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="adjustedCashSettlementValuationDate" type="xsd:date">
<xsd:annotation>
<xsd:documentation xml:lang="en">
The date by which the cash settlement amount must be agreed.
This date should already be adjusted for any applicable
business day convention.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="adjustedEarlyTerminationDate" type="xsd:date">
<xsd:annotation>
<xsd:documentation xml:lang="en">
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.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="adjustedEffectiveDate">
<xsd:annotation>
<xsd:documentation xml:lang="en">
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.
</xsd:documentation>
</xsd:annotation>
<xsd:complexType>
<xsd:simpleContent>
<xsd:extension base="xsd:date">
<xsd:attribute name="id" use="required" type="xsd:ID"/>
</xsd:extension>
</xsd:simpleContent>
</xsd:complexType>
</xsd:element>
<xsd:element name="adjustedEndDate" type="xsd:date">
<xsd:annotation>
<xsd:documentation xml:lang="en">
The calculation period end date, adjusted according to any
relevant business day convention.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="adjustedExerciseDate" type="xsd:date">
<xsd:annotation>
<xsd:documentation xml:lang="en">
The date on which option exercise takes place. This date should
already be adjusted for any applicable business day convention.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="adjustedExerciseFeePaymentDate" type="xsd:date">
<xsd:annotation>
<xsd:documentation xml:lang="en">
The date on which the exercise fee amount is paid. This date
should already be adjusted for any applicable business day
convention.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="adjustedExtendedTerminationDate" type="xsd:date">
<xsd:annotation>
<xsd:documentation xml:lang="en">
The termination date if an extendible provision is exercised.
This date should already be adjusted for any applicable
business day convention.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="adjustedFxSpotFixingDate" type="xsd:date">
<xsd:annotation>
<xsd:documentation xml:lang="en">
The date on which the fx spot rate is observed. This date
should already be adjusted for any applicable business day
convention.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="adjustedPrincipalExchangeDate" type="xsd:date">
<xsd:annotation>
<xsd:documentation xml:lang="en">
The principal exchange date. This date should already be
adjusted for any applicable business day convention.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="adjustedRelevantSwapEffectiveDate" type="xsd:date">
<xsd:annotation>
<xsd:documentation xml:lang="en">
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.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="adjustedStartDate" type="xsd:date">
<xsd:annotation>
<xsd:documentation xml:lang="en">
The calculation period start date, adjusted according to any
relevant business day convention.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="adjustedTerminationDate" type="xsd:date">
<xsd:annotation>
<xsd:documentation xml:lang="en">
The end date of the calculation period. This date should
already be adjusted for any applicable business day convention.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="averagingMethod">
<xsd:annotation>
<xsd:documentation xml:lang="en">
If averaging is applicable, this component specifies whether a
weighted or unweighted average method of calculation is to be
used. The component must only be included when averaging
applies.
</xsd:documentation>
</xsd:annotation>
<xsd:complexType>
<xsd:simpleContent>
<xsd:extension base="AveragingMethod">
<xsd:attribute name="averagingMethodScheme" type="xsd:normalizedString"/>
</xsd:extension>
</xsd:simpleContent>
</xsd:complexType>
</xsd:element>
<xsd:element name="bulletPayment" type="BulletPayment" substitutionGroup="product">
<xsd:annotation>
<xsd:documentation xml:lang="en">
A product to represent one or more known payments.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="calculatedRate" type="xsd:decimal">
<xsd:annotation>
<xsd:documentation xml:lang="en">
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.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="calculation" type="Calculation">
<xsd:annotation>
<xsd:documentation xml:lang="en">
The parameters used in the calculation of fixed or floaring
rate calculation period amounts.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="calculationPeriod" type="CalculationPeriod">
<xsd:annotation>
<xsd:documentation xml:lang="en">
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 start
date. An FpML document which contains an unordered list of
calcularion periods is still regarded as a conformant document.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="calculationPeriodAmount" type="CalculationPeriodAmount">
<xsd:annotation>
<xsd:documentation xml:lang="en">
The calculation period amount parameters.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="calculationPeriodDates" type="CalculationPeriodDates">
<xsd:annotation>
<xsd:documentation xml:lang="en">
The calculation periods dates schedule.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="calculationPeriodDatesAdjustments" type="BusinessDayAdjustments">
<xsd:annotation>
<xsd:documentation xml:lang="en">
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.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="calculationPeriodDatesReference">
<xsd:annotation>
<xsd:documentation xml:lang="en">
A pointer style reference to the associated calculation period
dates component defined elsewhere in the document.
</xsd:documentation>
</xsd:annotation>
<xsd:complexType>
<xsd:attribute name="href" use="required" type="xsd:IDREF"/>
</xsd:complexType>
</xsd:element>
<xsd:element name="calculationPeriodNumberOfDays" type="xsd:positiveInteger">
<xsd:annotation>
<xsd:documentation xml:lang="en">
The number of days from the adjusted effective date to the
adjusted termination date calculated in accordance with the
applicable day count fraction.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="cancelableProvision" type="CancelableProvision">
<xsd:annotation>
<xsd:documentation xml:lang="en">
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.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="cancelableProvisionAdjustedDates" type="CancelableProvisionAdjustedDates">
<xsd:annotation>
<xsd:documentation xml:lang="en">
The adjusted dates associated with a cancelable provision.
These dates have been adjusted for any applicable business day
convention.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="cancellationEvent" type="CancellationEvent">
<xsd:annotation>
<xsd:documentation xml:lang="en">
The adjusted dates for an individual cancellation date.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="capFloor" type="CapFloor" substitutionGroup="product">
<xsd:annotation>
<xsd:documentation xml:lang="en">
A cap, floor or cap floor structures product definition.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="capFloorStream" type="InterestRateStream"/>
<xsd:element name="capRate" type="Strike">
<xsd:annotation>
<xsd:documentation xml:lang="en">
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.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="capRateSchedule" type="StrikeSchedule">
<xsd:annotation>
<xsd:documentation xml:lang="en">
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 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.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="cashflows" type="Cashflows">
<xsd:annotation>
<xsd:documentation xml:lang="en">
The cashflows representation of the swap stream.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="cashflowsMatchParameters" type="xsd:boolean">
<xsd:annotation>
<xsd:documentation xml:lang="en">
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.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="cashPriceAlternateMethod" type="CashPriceMethod">
<xsd:annotation>
<xsd:documentation xml:lang="en">
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).
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="cashPriceMethod" type="CashPriceMethod">
<xsd:annotation>
<xsd:documentation xml:lang="en">
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).
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="cashSettlement" type="CashSettlement">
<xsd:annotation>
<xsd:documentation xml:lang="en">
If specified, this means that cash settlement is applicable to
the transaction and defines the parameters associated with the
cash settlement prodcedure. If not specified, then physical
settlement is applicable.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="cashSettlementCurrency">
<xsd:annotation>
<xsd:documentation xml:lang="en">
The currency in which the cash settlement amount will be
calculated and settled.
</xsd:documentation>
</xsd:annotation>
<xsd:complexType>
<xsd:simpleContent>
<xsd:extension base="Currency">
<xsd:attribute name="currencyScheme" type="xsd:normalizedString"/>
</xsd:extension>
</xsd:simpleContent>
</xsd:complexType>
</xsd:element>
<xsd:element name="cashSettlementPaymentDate" type="CashSettlementPaymentDate">
<xsd:annotation>
<xsd:documentation xml:lang="en">
The date on which the cash settlement amount will be paid,
subject to adjustment in accordance with any applicable
business day convention. This component would not be present
for a mandatory early termination provision where the cash
settlement payment date is the mandatory early termination
date.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="cashSettlementReferenceBanks" type="CashSettlementReferenceBanks">
<xsd:annotation>
<xsd:documentation xml:lang="en">
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.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="cashSettlementValuationDate" type="RelativeDateOffset">
<xsd:annotation>
<xsd:documentation xml:lang="en">
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.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="cashSettlementValuationTime" type="BusinessCenterTime">
<xsd:annotation>
<xsd:documentation xml:lang="en">
The time of 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.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="compoundingMethod">
<xsd:annotation>
<xsd:documentation xml:lang="en">
If more that 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 that one
calculation period contributes to a single payment amount.
</xsd:documentation>
</xsd:annotation>
<xsd:complexType>
<xsd:simpleContent>
<xsd:extension base="CompoundingMethod">
<xsd:attribute name="compoundingMethodScheme" type="xsd:normalizedString"/>
</xsd:extension>
</xsd:simpleContent>
</xsd:complexType>
</xsd:element>
<xsd:element name="constantNotionalScheduleReference">
<xsd:annotation>
<xsd:documentation xml:lang="en">
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.
</xsd:documentation>
</xsd:annotation>
<xsd:complexType>
<xsd:attribute name="href" use="required" type="xsd:IDREF"/>
</xsd:complexType>
</xsd:element>
<xsd:element name="dayCountFraction">
<xsd:annotation>
<xsd:documentation xml:lang="en">
The day count fraction.
</xsd:documentation>
</xsd:annotation>
<xsd:complexType>
<xsd:simpleContent>
<xsd:extension base="DayCountFraction">
<xsd:attribute name="dayCountFractionScheme" type="xsd:normalizedString"/>
</xsd:extension>
</xsd:simpleContent>
</xsd:complexType>
</xsd:element>
<xsd:element name="discounting" type="Discounting">
<xsd:annotation>
<xsd:documentation xml:lang="en">
The parameters specifying any discounting conventions that may
apply. This element must only be included if discounting
applies.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="discountingType">
<xsd:annotation>
<xsd:documentation xml:lang="en">
The discounting method that is applicable.
</xsd:documentation>
</xsd:annotation>
<xsd:complexType>
<xsd:simpleContent>
<xsd:extension base="DiscountingType">
<xsd:attribute name="discountingTypeScheme" type="xsd:normalizedString"/>
</xsd:extension>
</xsd:simpleContent>
</xsd:complexType>
</xsd:element>
<xsd:element name="discountRate" type="xsd:decimal">
<xsd:annotation>
<xsd:documentation xml:lang="en">
A discount rate, expressed as a decimal, to be used in the
calculation of a discounted amount. A discount amount of 5%
would be represented as 0.05.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="discountRateDayCountFraction">
<xsd:annotation>
<xsd:documentation xml:lang="en">
A discount day count fraction to be used in the calculation of
a discounted amount.
</xsd:documentation>
</xsd:annotation>
<xsd:complexType>
<xsd:simpleContent>
<xsd:extension base="DayCountFraction">
<xsd:attribute name="dayCountFractionScheme" type="xsd:normalizedString"/>
</xsd:extension>
</xsd:simpleContent>
</xsd:complexType>
</xsd:element>
<xsd:element name="earlyTerminationEvent" type="EarlyTerminationEvent">
<xsd:annotation>
<xsd:documentation xml:lang="en">
The adjusted dates associated with an individual earley
termination date.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="earlyTerminationProvision" type="EarlyTerminationProvision">
<xsd:annotation>
<xsd:documentation xml:lang="en">
Parameters specifying provisions relating to the optional and
mandatory early terminarion of a swap transaction.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="effectiveDate" type="AdjustableDate">
<xsd:annotation>
<xsd:documentation xml:lang="en">
The first day of the term of the trade. This day may be subject
to adjustment in accordance with a business day convention.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="exerciseEvent" type="ExerciseEvent">
<xsd:annotation>
<xsd:documentation xml:lang="en">
The adjusted dates associated with an individual swaption
exercise date.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="extendibleProvision" type="ExtendibleProvision">
<xsd:annotation>
<xsd:documentation xml:lang="en">
A provision that allows the specification of an embedded option
with a swap giving the buyer of the option the right to extend
the swap, in whole or in part, to the extended termination
date.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="extendibleProvisionAdjustedDates" type="ExtendibleProvisionAdjustedDates">
<xsd:annotation>
<xsd:documentation xml:lang="en">
The adjusted dates associated with an extendible provision.
These dates have been adjusted for any applicable business day
convention.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="extensionEvent" type="ExtensionEvent">
<xsd:annotation>
<xsd:documentation xml:lang="en">
The adjusted dates associated with a single extendible exercise
date.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="finalExchange" type="xsd:boolean">
<xsd:annotation>
<xsd:documentation xml:lang="en">
A true/false flag to indicate whether there is a final exchange
of principal on the termination date.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="finalRateRounding" type="Rounding">
<xsd:annotation>
<xsd:documentation xml:lang="en">
The rounding convention to apply to the final rate used in
determination of a calculation period amount.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="finalStub" type="Stub">
<xsd:annotation>
<xsd:documentation xml:lang="en">
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.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="firstNotionalStepDate" type="xsd:date">
<xsd:annotation>
<xsd:documentation xml:lang="en">
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.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="firstPaymentDate" type="xsd:date">
<xsd:annotation>
<xsd:documentation xml:lang="en">
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.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="firstPeriodStartDate" type="AdjustableDate">
<xsd:annotation>
<xsd:documentation xml:lang="en">
The start date of the 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 date may be subject to
adjustment in accordance with a business day convention.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="firstRegularPeriodStartDate" type="xsd:date">
<xsd:annotation>
<xsd:documentation xml:lang="en">
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.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="fixedPaymentAmount" type="xsd:decimal">
<xsd:annotation>
<xsd:documentation xml:lang="en">
A known fixed payment amount.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="fixedRate" type="xsd:decimal">
<xsd:annotation>
<xsd:documentation xml:lang="en">
The calculation period fixed rate. A per annum rate, expressed
as a decimal. A fixed rate of 5% would be represented as 0.05.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="fixedRateSchedule" type="Schedule">
<xsd:annotation>
<xsd:documentation xml:lang="en">
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.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="fixingDateOffset" type="RelativeDateOffset">
<xsd:annotation>
<xsd:documentation xml:lang="en">
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.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="fixingDates" type="RelativeDateOffset">
<xsd:annotation>
<xsd:documentation xml:lang="en">
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 resetDates element.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="floatingRate" type="FloatingRate">
<xsd:annotation>
<xsd:documentation xml:lang="en">
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 specift 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.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="floatingRateCalculation" type="FloatingRateCalculation">
<xsd:annotation>
<xsd:documentation xml:lang="en">
The floating rate calculation definitions
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="floatingRateDefinition" type="FloatingRateDefinition">
<xsd:annotation>
<xsd:documentation xml:lang="en">
The floating rate reset information for the calculation period.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="floatingRateIndex">
<xsd:annotation>
<xsd:documentation xml:lang="en">
The ISDA Floating Rate Oprion, i.e. the floating rate index.
</xsd:documentation>
</xsd:annotation>
<xsd:complexType>
<xsd:simpleContent>
<xsd:extension base="FloatingRateIndex">
<xsd:attribute name="floatingRateIndexScheme" type="xsd:normalizedString"/>
</xsd:extension>
</xsd:simpleContent>
</xsd:complexType>
</xsd:element>
<xsd:element name="floatingRateMultiplier" type="xsd:decimal">
<xsd:annotation>
<xsd:documentation xml:lang="en">
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).
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="floatingRateMultiplierSchedule" type="Schedule">
<xsd:annotation>
<xsd:documentation xml:lang="en">
A rate multiplier or multiplier schedule 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.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="floorRate" type="Strike">
<xsd:annotation>
<xsd:documentation xml:lang="en">
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. The floor rate of 5% would be represented as 0.05.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="floorRateSchedule" type="StrikeSchedule">
<xsd:annotation>
<xsd:documentation xml:lang="en">
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.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="fra" type="Fra" substitutionGroup="product">
<xsd:annotation>
<xsd:documentation xml:lang="en">
A forward rate agreement product definition.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="fraDiscounting" type="xsd:boolean">
<xsd:annotation>
<xsd:documentation xml:lang="en">
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.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="fxLinkedNotionalAmount" type="FxLinkedNotionalAmount">
<xsd:annotation>
<xsd:documentation xml:lang="en">
The amount that a cashflow will accrue interest on. This is the
calculated amount of the fx linked - ie the other currency
notional amount multiplied by the appropriate fx spot rate.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="fxLinkedNotionalSchedule" type="FxLinkedNotionalSchedule">
<xsd:annotation>
<xsd:documentation xml:lang="en">
A notional amount schedule where each notional that applied 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.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="fxSpotRateSource" type="FxSpotRateSource">
<xsd:annotation>
<xsd:documentation xml:lang="en">
The information source and time at which the spot currency
exchange rate will be observed.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="indexTenor" type="Interval">
<xsd:annotation>
<xsd:documentation xml:lang="en">
The ISDA Designated Maturity, i.e. the tenor of the floating
rate.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="initialExchange" type="xsd:boolean">
<xsd:annotation>
<xsd:documentation xml:lang="en">
A true/false flag to indicate whether there is an initial
exchange of principal on the effective date.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="initialRate" type="xsd:decimal">
<xsd:annotation>
<xsd:documentation xml:lang="en">
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.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="initialStub" type="Stub">
<xsd:annotation>
<xsd:documentation xml:lang="en">
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.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="intermediateExchange" type="xsd:boolean">
<xsd:annotation>
<xsd:documentation xml:lang="en">
A true/false flag to indicate whether there are intermediate or
interim exchanges of principal during the term of the swap.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="knownAmountSchedule" type="AmountSchedule">
<xsd:annotation>
<xsd:documentation xml:lang="en">
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.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="lastNotionalStepDate" type="xsd:date">
<xsd:annotation>
<xsd:documentation xml:lang="en">
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.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="lastRegularPaymentDate" type="xsd:date">
<xsd:annotation>
<xsd:documentation xml:lang="en">
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.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="lastRegularPeriodEndDate" type="xsd:date">
<xsd:annotation>
<xsd:documentation xml:lang="en">
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.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="mandatoryEarlyTermination" type="MandatoryEarlyTermination">
<xsd:annotation>
<xsd:documentation xml:lang="en">
A mandatory early termination provision to terminate the swap
at fair value.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="mandatoryEarlyTerminationAdjustedDates" type="MandatoryEarlyTerminationAdjustedDates">
<xsd:annotation>
<xsd:documentation xml:lang="en">
The adjusted dates associated with a mandatory early
termination provision. These dates have been adjusted for any
applicable business day convention.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="mandatoryEarlyTerminationDate" type="AdjustableDate">
<xsd:annotation>
<xsd:documentation xml:lang="en">
The early termination date associated with a mandatory early
termination of a swap.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="negativeInterestRateTreatment">
<xsd:annotation>
<xsd:documentation xml:lang="en">
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).
</xsd:documentation>
</xsd:annotation>
<xsd:complexType>
<xsd:simpleContent>
<xsd:extension base="NegativeInterestRateTreatment">
<xsd:attribute name="negativeInterestRateTreatmentScheme" type="xsd:normalizedString"/>
</xsd:extension>
</xsd:simpleContent>
</xsd:complexType>
</xsd:element>
<xsd:element name="notionalAmount" type="xsd:decimal">
<xsd:annotation>
<xsd:documentation xml:lang="en">
The calculation period notional amount.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="notionalSchedule" type="Notional">
<xsd:annotation>
<xsd:documentation xml:lang="en">
The notional amount or notional amount schedule.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="notionalStepAmount" type="xsd:decimal">
<xsd:annotation>
<xsd:documentation xml:lang="en">
The explicit amount that the notional changes on each step
date. This can be a positive or negative amount.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="notionalStepParameters" type="NotionalStepRule">
<xsd:annotation>
<xsd:documentation xml:lang="en">
A parametric representation of the notional step schedule, i.e.
parameters used to generate the notional schedule.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="notionalStepRate" type="xsd:decimal">
<xsd:annotation>
<xsd:documentation xml:lang="en">
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.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="notionalStepSchedule" type="AmountSchedule">
<xsd:annotation>
<xsd:documentation xml:lang="en">
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.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="observedFxSpotRate" type="xsd:decimal">
<xsd:annotation>
<xsd:documentation xml:lang="en">
The actual observed fx spot rate.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="optionalEarlyTermination" type="OptionalEarlyTermination">
<xsd:annotation>
<xsd:documentation xml:lang="en">
An option for either or both parties to terminate the swap at
fair value.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="optionalEarlyTerminationAdjustedDates" type="OptionalEarlyTerminationAdjustedDates">
<xsd:annotation>
<xsd:documentation xml:lang="en">
An early termination provision to terminate the trade at fair
value where one or both parties have the right to decide on
termination.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="parYieldCurveAdjustedMethod" type="YieldCurveMethod">
<xsd:annotation>
<xsd:documentation xml:lang="en">
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).
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="parYieldCurveUnadjustedMethod" type="YieldCurveMethod">
<xsd:annotation>
<xsd:documentation xml:lang="en">
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).
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="payment" type="Payment">
<xsd:annotation>
<xsd:documentation xml:lang="en">
A known payment between two parties.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="paymentCalculationPeriod" type="PaymentCalculationPeriod">
<xsd:annotation>
<xsd:documentation xml:lang="en">
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.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="paymentDates" type="PaymentDates">
<xsd:annotation>
<xsd:documentation xml:lang="en">
The payment dates schedule.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="paymentDatesAdjustments" type="BusinessDayAdjustments">
<xsd:annotation>
<xsd:documentation xml:lang="en">
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.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="paymentDaysOffset" type="Offset">
<xsd:annotation>
<xsd:documentation xml:lang="en">
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.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="paymentFrequency" type="Interval">
<xsd:annotation>
<xsd:documentation xml:lang="en">
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 e 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.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="payRelativeTo">
<xsd:annotation>
<xsd:documentation xml:lang="en">
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.
</xsd:documentation>
</xsd:annotation>
<xsd:complexType>
<xsd:simpleContent>
<xsd:extension base="PayRelativeTo">
<xsd:attribute name="payToRelativeScheme" type="xsd:normalizedString"/>
</xsd:extension>
</xsd:simpleContent>
</xsd:complexType>
</xsd:element>
<xsd:element name="premium" type="Payment">
<xsd:annotation>
<xsd:documentation xml:lang="en">
The option premium amount payable by buyer to seller on the
specified payment date.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="principalExchange" type="PrincipalExchange">
<xsd:annotation>
<xsd:documentation xml:lang="en">
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.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="principalExchangeAmount" type="xsd:decimal">
<xsd:annotation>
<xsd:documentation xml:lang="en">
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.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="principalExchanges" type="PrincipalExchanges">
<xsd:annotation>
<xsd:documentation xml:lang="en">
The true/false flags indicating whether initial, intermediate
or final exchanges of principal should occur.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="quotationRateType">
<xsd:annotation>
<xsd:documentation xml:lang="en">
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)
</xsd:documentation>
</xsd:annotation>
<xsd:complexType>
<xsd:simpleContent>
<xsd:extension base="QuotationRateType">
<xsd:attribute name="quotationRateTypeScheme" type="xsd:normalizedString"/>
</xsd:extension>
</xsd:simpleContent>
</xsd:complexType>
</xsd:element>
<xsd:element name="rateCutOffDaysOffset" type="Offset">
<xsd:annotation>
<xsd:documentation xml:lang="en">
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.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="rateObservation" type="RateObservation">
<xsd:annotation>
<xsd:documentation xml:lang="en">
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.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="rateTreatment">
<xsd:annotation>
<xsd:documentation xml:lang="en">
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.
</xsd:documentation>
</xsd:annotation>
<xsd:complexType>
<xsd:simpleContent>
<xsd:extension base="RateTreatment">
<xsd:attribute name="rateTreatmentScheme" type="xsd:normalizedString"/>
</xsd:extension>
</xsd:simpleContent>
</xsd:complexType>
</xsd:element>
<xsd:element name="resetDates" type="ResetDates">
<xsd:annotation>
<xsd:documentation xml:lang="en">
The reset dates schedule. The reset dates schedule only applies
for a floating rate stream.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="resetDatesAdjustments" type="BusinessDayAdjustments">
<xsd:annotation>
<xsd:documentation xml:lang="en">
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.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="resetDatesReference">
<xsd:annotation>
<xsd:documentation xml:lang="en">
A pointer style reference to the associated reset dates
component defined elsewhere in the document.
</xsd:documentation>
</xsd:annotation>
<xsd:complexType>
<xsd:attribute name="href" use="required" type="xsd:IDREF"/>
</xsd:complexType>
</xsd:element>
<xsd:element name="resetFrequency" type="ResetFrequency">
<xsd:annotation>
<xsd:documentation xml:lang="en">
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.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="resetRelativeTo">
<xsd:annotation>
<xsd:documentation xml:lang="en">
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.
</xsd:documentation>
</xsd:annotation>
<xsd:complexType>
<xsd:simpleContent>
<xsd:extension base="ResetRelativeTo">
<xsd:attribute name="resetRelativeToScheme" type="xsd:normalizedString"/>
</xsd:extension>
</xsd:simpleContent>
</xsd:complexType>
</xsd:element>
<xsd:element name="settlementRateSource" type="SettlementRateSource">
<xsd:annotation>
<xsd:documentation xml:lang="en">
The method for obtaining a settlement rate. This may be from
some information source (e.g. Reuters) or from a set of
reference banks.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="singlePartyOption" type="SinglePartyOption">
<xsd:annotation>
<xsd:documentation xml:lang="en">
If optional early termination is not available to both parties
then this component specifies the buyer and seller of the
option.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="spread" type="xsd:decimal">
<xsd:annotation>
<xsd:documentation xml:lang="en">
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.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="spreadSchedule" type="Schedule">
<xsd:annotation>
<xsd:documentation xml:lang="en">
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.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="stepFrequency" type="Interval">
<xsd:annotation>
<xsd:documentation xml:lang="en">
The frequency at which the step changes occur. This frequency
must be a multiple of the stream calculation period frequency.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="stepRelativeTo">
<xsd:annotation>
<xsd:documentation xml:lang="en">
Specifies whether the notionalStepRate should be applied to the
initial notional or the previous notional in order to calculate
the notional step change amount.
</xsd:documentation>
</xsd:annotation>
<xsd:complexType>
<xsd:simpleContent>
<xsd:extension base="StepRelativeTo">
<xsd:attribute name="stepRelativeToScheme" type="xsd:normalizedString"/>
</xsd:extension>
</xsd:simpleContent>
</xsd:complexType>
</xsd:element>
<xsd:element name="stubAmount" type="Money">
<xsd:annotation>
<xsd:documentation xml:lang="en">
An actual amount to apply for the initial or final stub period
may have been agreed between th two parties. If an actual stub
amount has been agreed then it would be included in this
component.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="stubCalculationPeriodAmount" type="StubCalculationPeriodAmount">
<xsd:annotation>
<xsd:documentation xml:lang="en">
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.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="stubRate" type="xsd:decimal">
<xsd:annotation>
<xsd:documentation xml:lang="en">
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.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="swap" type="Swap" substitutionGroup="product">
<xsd:annotation>
<xsd:documentation xml:lang="en">
A swap product definition.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="swapStream" type="InterestRateStream">
<xsd:annotation>
<xsd:documentation xml:lang="en">
The swap streams.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="swaption" type="Swaption" substitutionGroup="product">
<xsd:annotation>
<xsd:documentation xml:lang="en">
A swaption product definition.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="swaptionAdjustedDates" type="SwaptionAdjustedDates">
<xsd:annotation>
<xsd:documentation xml:lang="en">
The adjusted dates associated with swaption exercise. These
dates have been adjusted for any applicable business day
convention.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="swaptionStraddle" type="xsd:boolean">
<xsd:annotation>
<xsd:documentation xml:lang="en">
Whether the option is a swaption or a swaption straddle.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="terminationDate" type="AdjustableDate">
<xsd:annotation>
<xsd:documentation xml:lang="en">
The last day of the term of the trade. This day may be subject
to adjustment in accordance with a business day convention.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="varyingNotionalCurrency" type="xsd:string">
<xsd:annotation>
<xsd:documentation xml:lang="en">
The currency of the varying notional amount, i.e. the notional
amount being determined periodically based on observation of a
spot currency exchange rate.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="varyingNotionalFixingDates" type="RelativeDateOffset">
<xsd:annotation>
<xsd:documentation xml:lang="en">
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.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="varyingNotionalInterimExchangePaymentDates" type="RelativeDateOffset">
<xsd:annotation>
<xsd:documentation xml:lang="en">
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).
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="weeklyRollConvention">
<xsd:annotation>
<xsd:documentation xml:lang="en">
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.
</xsd:documentation>
</xsd:annotation>
<xsd:complexType>
<xsd:simpleContent>
<xsd:extension base="WeeklyRollConvention">
<xsd:attribute name="weeklyRollConvention" type="xsd:normalizedString"/>
</xsd:extension>
</xsd:simpleContent>
</xsd:complexType>
</xsd:element>
<xsd:element name="zeroCouponYieldAdjustedMethod" type="YieldCurveMethod">
<xsd:annotation>
<xsd:documentation xml:lang="en">
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).
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:complexType name="Calculation">
<xsd:annotation>
<xsd:documentation xml:lang="en">
A type definining the parameters used in the calculation of
fixed or floating calculation period amounts.
</xsd:documentation>
</xsd:annotation>
<xsd:sequence>
<xsd:choice>
<xsd:element ref="notionalSchedule"/>
<xsd:element ref="fxLinkedNotionalSchedule"/>
</xsd:choice>
<xsd:choice>
<xsd:element ref="fixedRateSchedule"/>
<xsd:element ref="floatingRateCalculation"/>
</xsd:choice>
<xsd:element ref="dayCountFraction"/>
<xsd:element ref="discounting" minOccurs="0"/>
<xsd:element ref="compoundingMethod" minOccurs="0"/>
</xsd:sequence>
</xsd:complexType>
<xsd:simpleType name="AveragingMethod">
<xsd:restriction base="xsd:string"/>
</xsd:simpleType>
<xsd:simpleType name="CompoundingMethod">
<xsd:restriction base="xsd:string"/>
</xsd:simpleType>
<xsd:simpleType name="DayCountFraction">
<xsd:restriction base="xsd:string"/>
</xsd:simpleType>
<xsd:simpleType name="DiscountingType">
<xsd:restriction base="xsd:string"/>
</xsd:simpleType>
<xsd:simpleType name="FloatingRateIndex">
<xsd:restriction base="xsd:string"/>
</xsd:simpleType>
<xsd:simpleType name="NegativeInterestRateTreatment">
<xsd:restriction base="xsd:string"/>
</xsd:simpleType>
<xsd:simpleType name="PayRelativeTo">
<xsd:restriction base="xsd:string"/>
</xsd:simpleType>
<xsd:simpleType name="QuotationRateType">
<xsd:restriction base="xsd:string"/>
</xsd:simpleType>
<xsd:simpleType name="RateTreatment">
<xsd:restriction base="xsd:string"/>
</xsd:simpleType>
<xsd:simpleType name="ResetRelativeTo">
<xsd:restriction base="xsd:string"/>
</xsd:simpleType>
<xsd:simpleType name="StepRelativeTo">
<xsd:restriction base="xsd:string"/>
</xsd:simpleType>
<xsd:simpleType name="WeeklyRollConvention">
<xsd:restriction base="xsd:string"/>
</xsd:simpleType>
</xsd:schema>