Document built: Wed 2004/12/22 default value
Copyright (c) 1999 - 2004 by INTERNATIONAL SWAPS AND DERIVATIVES ASSOCIATION, INC.
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
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>
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>
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 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>
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>
A product to represent a single cashflow.
Inherited element(s): (This definition inherits the content defined by the type Product)
payment (exactly one occurrence; 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 name="payment" type="Payment">
<xsd:annotation>
<xsd:documentation xml:lang="en">
A known payment between two parties.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
</xsd:sequence>
</xsd:extension>
</xsd:complexContent>
</xsd:complexType>
A type definining the parameters used in the calculation of fixed or floating calculation period amounts.
notionalSchedule (exactly one occurrence; of the type Notional)
Or
fxLinkedNotionalSchedule (exactly one occurrence; of the type FxLinkedNotionalSchedule)
fixedRateSchedule (exactly one occurrence; of the type Schedule)
Or
floatingRateCalculation (exactly one occurrence; of the type FloatingRateCalculation)
dayCountFraction (exactly one occurrence; of the type DayCountFractionEnum)
discounting (zero or one occurrence; of the type Discounting)
compoundingMethod (zero or one occurrence; of the type CompoundingMethodEnum)
<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 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="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:choice>
<xsd:choice>
<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="floatingRateCalculation" type="FloatingRateCalculation">
<xsd:annotation>
<xsd:documentation xml:lang="en">
The floating rate calculation definitions
</xsd:documentation>
</xsd:annotation>
</xsd:element>
</xsd:choice>
<xsd:element name="dayCountFraction" type="DayCountFractionEnum">
<xsd:annotation>
<xsd:documentation xml:lang="en">
The day count fraction.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="discounting" type="Discounting" minOccurs="0">
<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="compoundingMethod" type="CompoundingMethodEnum" minOccurs="0">
<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:element>
</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.
unadjustedStartDate (zero or one occurrence; of the type xsd:date)
unadjustedEndDate (zero or one occurrence; of the type xsd:date)
adjustedStartDate (zero or one occurrence; of the type xsd:date)
adjustedEndDate (zero or one occurrence; of the type xsd:date)
calculationPeriodNumberOfDays (zero or one occurrence; of the type xsd:positiveInteger)
notionalAmount (exactly one occurrence; of the type xsd:decimal)
Or
fxLinkedNotionalAmount (exactly one occurrence; of the type FxLinkedNotionalAmount)
floatingRateDefinition (exactly one occurrence; of the type FloatingRateDefinition)
Or
fixedRate (exactly one occurrence; of the type xsd:decimal)
Attribute: id (xsd:ID)
<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 name="unadjustedStartDate" type="xsd:date" minOccurs="0"/>
<xsd:element name="unadjustedEndDate" type="xsd:date" minOccurs="0"/>
<xsd:element name="adjustedStartDate" type="xsd:date" minOccurs="0">
<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="adjustedEndDate" type="xsd:date" minOccurs="0">
<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="calculationPeriodNumberOfDays" type="xsd:positiveInteger" minOccurs="0">
<xsd:annotation>
<xsd:documentation xml:lang="en">
The number of days from the adjusted effective / start date
to the adjusted termination / end date calculated in
accordance with the applicable day count fraction.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:choice>
<xsd:element name="notionalAmount" type="xsd:decimal">
<xsd:annotation>
<xsd:documentation xml:lang="en">
The amount that a cashflow will accrue interest on.
</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:choice>
<xsd:choice>
<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="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: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.
calculation (exactly one occurrence; of the type Calculation)
Or
knownAmountSchedule (exactly one occurrence; 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 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="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: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 occurrence; of the type AdjustableDate)
terminationDate (exactly one occurrence; of the type AdjustableDate)
calculationPeriodDatesAdjustments (exactly one occurrence; of the type BusinessDayAdjustments)
firstPeriodStartDate (zero or one occurrence; of the type AdjustableDate)
firstRegularPeriodStartDate (zero or one occurrence; of the type xsd:date)
lastRegularPeriodEndDate (zero or one occurrence; of the type xsd:date)
calculationPeriodFrequency (exactly one occurrence; of the type CalculationPeriodFrequency)
Attribute: id (xsd:ID) - required
<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 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="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="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="firstPeriodStartDate" type="AdjustableDate" minOccurs="0">
<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" minOccurs="0">
<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="lastRegularPeriodEndDate" type="xsd:date" minOccurs="0">
<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="calculationPeriodFrequency" type="CalculationPeriodFrequency">
<xsd:annotation>
<xsd:documentation xml:lang="en">
The frequency at which calculation period end dates occur
with the regular part of the calculation period schedule and
their roll date convention.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
</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 occurrence; of the type PartyReference)
sellerPartyReference (exactly one occurrence; of the type PartyReference)
exercise (exactly one occurrence; of the type Exercise)
exerciseNotice (zero or one occurrence; of the type ExerciseNotice)
followUpConfirmation (exactly one occurrence; of the type xsd:boolean)
cancelableProvisionAdjustedDates (zero or one occurrence; 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:group ref="BuyerSeller.model"/>
<xsd:element ref="exercise"/>
<xsd:element name="exerciseNotice" type="ExerciseNotice" minOccurs="0">
<xsd:annotation>
<xsd:documentation xml:lang="en">
Definition of the party to whom notice of exercise should be
given.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="followUpConfirmation" type="xsd:boolean">
<xsd:annotation>
<xsd:documentation xml:lang="en">
A flag to indicate whether follow-up confirmation of exercise
(written or electronic) is required following telephonic
notice by the buyer to the seller or seller's agent.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="cancelableProvisionAdjustedDates" type="CancelableProvisionAdjustedDates" minOccurs="0">
<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:sequence>
</xsd:complexType>
A type to define the adjusted dates for a cancelable provision on a swap transaction.
cancellationEvent (one or more occurrences; 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 name="cancellationEvent" type="CancellationEvent" maxOccurs="unbounded">
<xsd:annotation>
<xsd:documentation xml:lang="en">
The adjusted dates for an individual cancellation date.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
</xsd:sequence>
</xsd:complexType>
The adjusted dates for a specific cancellation date, including the adjusted exercise date and adjusted termination date.
adjustedExerciseDate (exactly one occurrence; of the type xsd:date)
adjustedEarlyTerminationDate (exactly one occurrence; of the type xsd:date)
Attribute: id (xsd:ID)
<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 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="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: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 occurrence; of the type InterestRateStream)
premium (zero or more occurrences; of the type Payment)
additionalPayment (zero or more occurrences; 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 name="capFloorStream" type="InterestRateStream"/>
<xsd:element name="premium" type="Payment" minOccurs="0" maxOccurs="unbounded">
<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="additionalPayment" type="Payment" minOccurs="0" maxOccurs="unbounded">
<xsd:annotation>
<xsd:documentation xml:lang="en">
Additional payments between the principal parties.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
</xsd:sequence>
</xsd:extension>
</xsd:complexContent>
</xsd:complexType>
A type defining the cashflow representation of a swap trade.
cashflowsMatchParameters (exactly one occurrence; of the type xsd:boolean)
principalExchange (zero or more occurrences; of the type PrincipalExchange)
paymentCalculationPeriod (zero or more occurrences; 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 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="principalExchange" type="PrincipalExchange" minOccurs="0" maxOccurs="unbounded">
<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="paymentCalculationPeriod" type="PaymentCalculationPeriod" minOccurs="0" maxOccurs="unbounded">
<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:sequence>
</xsd:complexType>
A type defining the parameters necessary for each of the ISDA cash price methods for cash settlement.
cashSettlementReferenceBanks (zero or one occurrence; of the type CashSettlementReferenceBanks)
cashSettlementCurrency (exactly one occurrence; of the type Currency)
quotationRateType (exactly one occurrence; of the type QuotationRateTypeEnum)
<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 name="cashSettlementReferenceBanks" type="CashSettlementReferenceBanks" minOccurs="0">
<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="cashSettlementCurrency" type="Currency">
<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:element>
<xsd:element name="quotationRateType" type="QuotationRateTypeEnum">
<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:element>
</xsd:sequence>
</xsd:complexType>
A type to define the cash settlement terms for a product where cash settlement is applicable.
cashSettlementValuationTime (exactly one occurrence; of the type BusinessCenterTime)
cashSettlementValuationDate (exactly one occurrence; of the type RelativeDateOffset)
cashSettlementPaymentDate (zero or one occurrence; of the type CashSettlementPaymentDate)
cashPriceMethod (exactly one occurrence; of the type CashPriceMethod)
Or
cashPriceAlternateMethod (exactly one occurrence; of the type CashPriceMethod)
Or
parYieldCurveAdjustedMethod (exactly one occurrence; of the type YieldCurveMethod)
Or
zeroCouponYieldAdjustedMethod (exactly one occurrence; of the type YieldCurveMethod)
Or
parYieldCurveUnadjustedMethod (exactly one occurrence; of the type YieldCurveMethod)
Attribute: id (xsd:ID)
<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 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="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="cashSettlementPaymentDate" type="CashSettlementPaymentDate" minOccurs="0">
<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:choice>
<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="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="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="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: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: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.
adjustableDates (exactly one occurrence; of the type AdjustableDates)
Or
relativeDate (exactly one occurrence; of the type RelativeDateOffset)
Or
businessDateRange (exactly one occurrence; of the type BusinessDateRange)
Attribute: id (xsd:ID)
<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 name="adjustableDates" type="AdjustableDates">
<xsd:annotation>
<xsd:documentation xml:lang="en">
A series of dates that shall be subject to adjustment if they
would otherwise fall on a day that is not a business day in
the specified business centers, together with the convention
for adjusting the date.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="relativeDate" type="RelativeDateOffset">
<xsd:annotation>
<xsd:documentation xml:lang="en">
A date specified as some offset to another date (the anchor
date).
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="businessDateRange" type="BusinessDateRange">
<xsd:annotation>
<xsd:documentation xml:lang="en">
A range of contiguous business days.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
</xsd:choice>
<xsd:attribute name="id" type="xsd:ID"/>
</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 occurrences; of the type ReferenceBank)
Attribute: id (xsd:ID)
<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 name="referenceBank" type="ReferenceBank" maxOccurs="unbounded">
<xsd:annotation>
<xsd:documentation xml:lang="en">
An institution (party) identified by means of a coding scheme
and an optional name.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
</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 occurrence; of the type DiscountingTypeEnum)
discountRate (zero or one occurrence; of the type xsd:decimal)
discountRateDayCountFraction (zero or one occurrence; of the type DayCountFractionEnum)
<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 name="discountingType" type="DiscountingTypeEnum">
<xsd:annotation>
<xsd:documentation xml:lang="en">
The discounting method that is applicable.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="discountRate" type="xsd:decimal" minOccurs="0">
<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" type="DayCountFractionEnum" minOccurs="0">
<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:element>
</xsd:sequence>
</xsd:complexType>
A type to define the adjusted dates associated with an early termination provision.
adjustedExerciseDate (exactly one occurrence; of the type xsd:date)
adjustedEarlyTerminationDate (exactly one occurrence; of the type xsd:date)
adjustedCashSettlementValuationDate (exactly one occurrence; of the type xsd:date)
adjustedCashSettlementPaymentDate (exactly one occurrence; of the type xsd:date)
adjustedExerciseFeePaymentDate (zero or one occurrence; of the type xsd:date)
Attribute: id (xsd:ID)
<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 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="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="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="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="adjustedExerciseFeePaymentDate" type="xsd:date" minOccurs="0">
<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: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.
mandatoryEarlyTermination (exactly one occurrence; of the type MandatoryEarlyTermination)
Or
optionalEarlyTermination (exactly one occurrence; of the type OptionalEarlyTermination)
Attribute: id (xsd:ID)
<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 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="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: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 occurrence; of the type xsd:date)
adjustedRelevantSwapEffectiveDate (exactly one occurrence; of the type xsd:date)
adjustedCashSettlementValuationDate (zero or one occurrence; of the type xsd:date)
adjustedCashSettlementPaymentDate (zero or one occurrence; of the type xsd:date)
adjustedExerciseFeePaymentDate (zero or one occurrence; of the type xsd:date)
Attribute: id (xsd:ID)
<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 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="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="adjustedCashSettlementValuationDate" type="xsd:date" minOccurs="0">
<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="adjustedCashSettlementPaymentDate" type="xsd:date" minOccurs="0">
<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="adjustedExerciseFeePaymentDate" type="xsd:date" minOccurs="0">
<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: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 occurrence; of the type PartyReference)
sellerPartyReference (exactly one occurrence; of the type PartyReference)
exercise (exactly one occurrence; of the type Exercise)
exerciseNotice (zero or one occurrence; of the type ExerciseNotice)
followUpConfirmation (exactly one occurrence; of the type xsd:boolean)
extendibleProvisionAdjustedDates (zero or one occurrence; 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:group ref="BuyerSeller.model"/>
<xsd:element ref="exercise"/>
<xsd:element name="exerciseNotice" type="ExerciseNotice" minOccurs="0">
<xsd:annotation>
<xsd:documentation xml:lang="en">
Definition of the party to whom notice of exercise should be
given.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="followUpConfirmation" type="xsd:boolean">
<xsd:annotation>
<xsd:documentation xml:lang="en">
A flag to indicate whether follow-up confirmation of exercise
(written or electronic) is required following telephonic
notice by the buyer to the seller or seller's agent.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="extendibleProvisionAdjustedDates" type="ExtendibleProvisionAdjustedDates" minOccurs="0">
<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:sequence>
</xsd:complexType>
A type defining the adjusted dates associated with a provision to extend a swap.
extensionEvent (one or more occurrences; 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 name="extensionEvent" type="ExtensionEvent" maxOccurs="unbounded">
<xsd:annotation>
<xsd:documentation xml:lang="en">
The adjusted dates associated with a single extendible
exercise date.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
</xsd:sequence>
</xsd:complexType>
A type to define the adjusted dates associated with an individual extension event.
adjustedExerciseDate (exactly one occurrence; of the type xsd:date)
adjustedExtendedTerminationDate (exactly one occurrence; of the type xsd:date)
Attribute: id (xsd:ID)
<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 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="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:sequence>
<xsd:attribute name="id" type="xsd:ID"/>
</xsd:complexType>
A type defining a floating rate.
floatingRateIndex (exactly one occurrence; of the type FloatingRateIndex)
indexTenor (zero or one occurrence; of the type Interval)
floatingRateMultiplierSchedule (zero or one occurrence; of the type Schedule)
spreadSchedule (zero or one occurrence; of the type Schedule)
rateTreatment (zero or one occurrence; of the type RateTreatmentEnum)
capRateSchedule (zero or more occurrences; of the type StrikeSchedule)
floorRateSchedule (zero or more occurrences; of the type StrikeSchedule)
Attribute: id (xsd:ID)
<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 name="floatingRateIndex" type="FloatingRateIndex"/>
<xsd:element name="indexTenor" type="Interval" minOccurs="0">
<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="floatingRateMultiplierSchedule" type="Schedule" minOccurs="0">
<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="spreadSchedule" type="Schedule" minOccurs="0">
<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="rateTreatment" type="RateTreatmentEnum" minOccurs="0">
<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:element>
<xsd:element name="capRateSchedule" type="StrikeSchedule" minOccurs="0" maxOccurs="unbounded">
<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="floorRateSchedule" type="StrikeSchedule" minOccurs="0" maxOccurs="unbounded">
<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: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 occurrence; of the type xsd:decimal)
finalRateRounding (zero or one occurrence; of the type Rounding)
averagingMethod (zero or one occurrence; of the type AveragingMethodEnum)
negativeInterestRateTreatment (zero or one occurrence; of the type NegativeInterestRateTreatmentEnum)
<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 name="initialRate" type="xsd:decimal" minOccurs="0">
<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="finalRateRounding" type="Rounding" minOccurs="0">
<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="averagingMethod" type="AveragingMethodEnum" minOccurs="0">
<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:element>
<xsd:element name="negativeInterestRateTreatment" type="NegativeInterestRateTreatmentEnum" minOccurs="0">
<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:element>
</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 occurrence; of the type xsd:decimal)
rateObservation (zero or more occurrences; of the type RateObservation)
floatingRateMultiplier (zero or one occurrence; of the type xsd:decimal)
spread (zero or one occurrence; of the type xsd:decimal)
capRate (zero or more occurrences; of the type Strike)
floorRate (zero or more occurrences; 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 name="calculatedRate" type="xsd:decimal" minOccurs="0">
<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="rateObservation" type="RateObservation" minOccurs="0" maxOccurs="unbounded">
<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="floatingRateMultiplier" type="xsd:decimal" minOccurs="0">
<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="spread" type="xsd:decimal" minOccurs="0">
<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="capRate" type="Strike" minOccurs="0" maxOccurs="unbounded">
<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="floorRate" type="Strike" minOccurs="0" maxOccurs="unbounded">
<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:sequence>
</xsd:complexType>
The ISDA Floating Rate Option, i.e. the floating rate index.
Inherited element(s): (This definition inherits the content defined by the type xsd:string)
Attribute: floatingRateIndexScheme (xsd:anyURI)
<xsd:complexType name="FloatingRateIndex">
<xsd:annotation>
<xsd:documentation xml:lang="en">
The ISDA Floating Rate Option, i.e. the floating rate index.
</xsd:documentation>
</xsd:annotation>
<xsd:simpleContent>
<xsd:extension base="xsd:string">
<xsd:attribute name="floatingRateIndexScheme" default="http://www.fpml.org/ext/isda-2000-definitions" type="xsd:anyURI"/>
</xsd:extension>
</xsd:simpleContent>
</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 occurrence; of the type PartyReference)
sellerPartyReference (exactly one occurrence; of the type PartyReference)
adjustedEffectiveDate (exactly one occurrence; with locally defined content) ...
Inherited element(s): (This definition inherits the content defined by the type xsd:date)
Attribute: id (xsd:ID) - required
adjustedTerminationDate (exactly one occurrence; of the type xsd:date)
paymentDate (exactly one occurrence; of the type AdjustableDate)
fixingDateOffset (exactly one occurrence; of the type RelativeDateOffset)
dayCountFraction (exactly one occurrence; of the type DayCountFractionEnum)
calculationPeriodNumberOfDays (exactly one occurrence; of the type xsd:positiveInteger)
notional (exactly one occurrence; of the type Money)
fixedRate (exactly one occurrence; of the type xsd:decimal)
floatingRateIndex (exactly one occurrence; of the type FloatingRateIndex)
indexTenor (zero or one occurrence; of the type Interval)
fraDiscounting (exactly one occurrence; of the type FraDiscountingEnum)
<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:group ref="BuyerSeller.model"/>
<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="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="paymentDate" type="AdjustableDate">
<xsd:annotation>
<xsd:documentation xml:lang="en">
The payment date. This date is subject to adjustment in
accordance with any applicable business day convention.
</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="dayCountFraction" type="DayCountFractionEnum">
<xsd:annotation>
<xsd:documentation xml:lang="en">
The day count fraction.
</xsd:documentation>
</xsd:annotation>
</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="notional" type="Money">
<xsd:annotation>
<xsd:documentation xml:lang="en">
The notional 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="floatingRateIndex" type="FloatingRateIndex"/>
<xsd:element name="indexTenor" type="Interval" minOccurs="0">
<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="fraDiscounting" type="FraDiscountingEnum">
<xsd:annotation>
<xsd:documentation xml:lang="en">
Specifies whether discounting applies and, if so, what
type.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
</xsd:sequence>
</xsd:extension>
</xsd:complexContent>
</xsd:complexType>
A type to describe the cashflow representation for fx linked notionals.
resetDate (zero or one occurrence; of the type xsd:date)
adjustedFxSpotFixingDate (zero or one occurrence; of the type xsd:date)
observedFxSpotRate (zero or one occurrence; of the type xsd:decimal)
notionalAmount (zero or one occurrence; 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 name="resetDate" type="xsd:date" minOccurs="0"/>
<xsd:element name="adjustedFxSpotFixingDate" type="xsd:date" minOccurs="0">
<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="observedFxSpotRate" type="xsd:decimal" minOccurs="0">
<xsd:annotation>
<xsd:documentation xml:lang="en">
The actual observed fx spot rate.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="notionalAmount" type="xsd:decimal" minOccurs="0">
<xsd:annotation>
<xsd:documentation xml:lang="en">
The calculation period notional amount.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
</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 occurrence; of the type NotionalReference)
initialValue (zero or one occurrence; of the type xsd:decimal)
varyingNotionalCurrency (exactly one occurrence; of the type xsd:string)
varyingNotionalFixingDates (exactly one occurrence; of the type RelativeDateOffset)
fxSpotRateSource (exactly one occurrence; of the type FxSpotRateSource)
varyingNotionalInterimExchangePaymentDates (exactly one occurrence; 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 name="constantNotionalScheduleReference" type="NotionalReference">
<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:element>
<xsd:element name="initialValue" type="xsd:decimal" minOccurs="0">
<xsd:annotation>
<xsd:documentation>
The initial currency amount for the varying notional.
</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="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="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: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 occurrence; of the type PartyReference)
receiverPartyReference (exactly one occurrence; of the type PartyReference)
calculationPeriodDates (exactly one occurrence; of the type CalculationPeriodDates)
paymentDates (exactly one occurrence; of the type PaymentDates)
resetDates (zero or one occurrence; of the type ResetDates)
calculationPeriodAmount (exactly one occurrence; of the type CalculationPeriodAmount)
stubCalculationPeriodAmount (zero or one occurrence; of the type StubCalculationPeriodAmount)
principalExchanges (zero or one occurrence; of the type PrincipalExchanges)
cashflows (zero or one occurrence; of the type Cashflows)
Attribute: id (xsd:ID)
<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:group ref="PayerReceiver.model"/>
<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="paymentDates" type="PaymentDates">
<xsd:annotation>
<xsd:documentation xml:lang="en">
The payment dates schedule.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="resetDates" type="ResetDates" minOccurs="0">
<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="calculationPeriodAmount" type="CalculationPeriodAmount">
<xsd:annotation>
<xsd:documentation xml:lang="en">
The calculation period amount parameters.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="stubCalculationPeriodAmount" type="StubCalculationPeriodAmount" minOccurs="0">
<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="principalExchanges" type="PrincipalExchanges" minOccurs="0">
<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="cashflows" type="Cashflows" minOccurs="0">
<xsd:annotation>
<xsd:documentation xml:lang="en">
The cashflows representation of the swap stream.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
</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 occurrence; of the type AdjustableDate)
calculationAgent (exactly one occurrence; of the type CalculationAgent)
cashSettlement (exactly one occurrence; of the type CashSettlement)
mandatoryEarlyTerminationAdjustedDates (zero or one occurrence; of the type MandatoryEarlyTerminationAdjustedDates)
Attribute: id (xsd:ID)
<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 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="calculationAgent" type="CalculationAgent">
<xsd:annotation>
<xsd:documentation xml:lang="en">
The ISDA Calculation Agent responsible for performing duties
associated with an optional early termination.
</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="mandatoryEarlyTerminationAdjustedDates" type="MandatoryEarlyTerminationAdjustedDates" minOccurs="0">
<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: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 occurrence; of the type xsd:date)
adjustedCashSettlementValuationDate (exactly one occurrence; of the type xsd:date)
adjustedCashSettlementPaymentDate (exactly one occurrence; 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 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="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="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: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 occurrence; of the type AmountSchedule)
notionalStepParameters (zero or one occurrence; of the type NotionalStepRule)
Attribute: id (xsd:ID)
<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 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="notionalStepParameters" type="NotionalStepRule" minOccurs="0">
<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: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 occurrence; of the type DateReference)
stepFrequency (exactly one occurrence; of the type Interval)
firstNotionalStepDate (exactly one occurrence; of the type xsd:date)
lastNotionalStepDate (exactly one occurrence; of the type xsd:date)
notionalStepAmount (exactly one occurrence; 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 name="calculationPeriodDatesReference" type="DateReference">
<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: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="firstNotionalStepDate" type="xsd:date">
<xsd:annotation>
<xsd:documentation xml:lang="en">
Effective date of the first change in notional (i.e. a
calculation period start date).
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="lastNotionalStepDate" type="xsd:date">
<xsd:annotation>
<xsd:documentation xml:lang="en">
Effective date of the last change in notional (i.e. a
calculation period start date).
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:choice>
<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:sequence>
<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="stepRelativeTo" type="StepRelativeToEnum">
<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:element>
</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 occurrence; of the type SinglePartyOption)
exercise (exactly one occurrence; of the type Exercise)
exerciseNotice (zero or more occurrences; of the type ExerciseNotice)
followUpConfirmation (zero or one occurrence; of the type xsd:boolean)
calculationAgent (exactly one occurrence; of the type CalculationAgent)
cashSettlement (exactly one occurrence; of the type CashSettlement)
optionalEarlyTerminationAdjustedDates (zero or one occurrence; 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 name="singlePartyOption" type="SinglePartyOption" minOccurs="0">
<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 ref="exercise"/>
<xsd:element name="exerciseNotice" type="ExerciseNotice" minOccurs="0" maxOccurs="unbounded">
<xsd:annotation>
<xsd:documentation xml:lang="en">
Definition of the party to whom notice of exercise should be
given.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="followUpConfirmation" type="xsd:boolean" minOccurs="0">
<xsd:annotation>
<xsd:documentation xml:lang="en">
A flag to indicate whether follow-up confirmation of exercise
(written or electronic) is required following telephonic
notice by the buyer to the seller or seller's agent.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="calculationAgent" type="CalculationAgent">
<xsd:annotation>
<xsd:documentation xml:lang="en">
The ISDA Calculation Agent responsible for performing duties
associated with an optional early termination.
</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="optionalEarlyTerminationAdjustedDates" type="OptionalEarlyTerminationAdjustedDates" minOccurs="0">
<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:sequence>
</xsd:complexType>
A type defining the adjusted dates associated with an optional early termination provision.
earlyTerminationEvent (one or more occurrences; 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 name="earlyTerminationEvent" type="EarlyTerminationEvent" maxOccurs="unbounded">
<xsd:annotation>
<xsd:documentation xml:lang="en">
The adjusted dates associated with an individual earley
termination date.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
</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.
unadjustedPaymentDate (zero or one occurrence; of the type xsd:date)
adjustedPaymentDate (zero or one occurrence; of the type xsd:date)
calculationPeriod (one or more occurrences; of the type CalculationPeriod)
Or
fixedPaymentAmount (exactly one occurrence; of the type xsd:decimal)
Attribute: id (xsd:ID)
<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 name="unadjustedPaymentDate" type="xsd:date" minOccurs="0"/>
<xsd:element name="adjustedPaymentDate" type="xsd:date" minOccurs="0">
<xsd:annotation>
<xsd:documentation xml:lang="en">
The adjusted payment date. This date should already be
adjusted for any applicable business day convention. This
component is not intended for use in trade confirmation but
my be specified to allow the fee structure to also serve as a
cashflow type component (all dates the the Cashflows type are
adjusted payment dates).
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:choice>
<xsd:element name="calculationPeriod" type="CalculationPeriod" maxOccurs="unbounded">
<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="fixedPaymentAmount" type="xsd:decimal">
<xsd:annotation>
<xsd:documentation xml:lang="en">
A known fixed payment amount.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
</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.
calculationPeriodDatesReference (exactly one occurrence; of the type DateReference)
Or
resetDatesReference (exactly one occurrence; of the type DateReference)
paymentFrequency (exactly one occurrence; of the type Interval)
firstPaymentDate (zero or one occurrence; of the type xsd:date)
lastRegularPaymentDate (zero or one occurrence; of the type xsd:date)
payRelativeTo (exactly one occurrence; of the type PayRelativeToEnum)
paymentDaysOffset (zero or one occurrence; of the type Offset)
paymentDatesAdjustments (exactly one occurrence; of the type BusinessDayAdjustments)
Attribute: id (xsd:ID)
<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 name="calculationPeriodDatesReference" type="DateReference">
<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:element>
<xsd:element name="resetDatesReference" type="DateReference">
<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:element>
</xsd:choice>
<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="firstPaymentDate" type="xsd:date" minOccurs="0">
<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="lastRegularPaymentDate" type="xsd:date" minOccurs="0">
<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="payRelativeTo" type="PayRelativeToEnum">
<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:element>
<xsd:element name="paymentDaysOffset" type="Offset" minOccurs="0">
<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="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: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.
unadjustedPrincipalExchangeDate (zero or one occurrence; of the type xsd:date)
adjustedPrincipalExchangeDate (zero or one occurrence; of the type xsd:date)
principalExchangeAmount (zero or one occurrence; of the type xsd:decimal)
Attribute: id (xsd:ID)
<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 name="unadjustedPrincipalExchangeDate" type="xsd:date" minOccurs="0"/>
<xsd:element name="adjustedPrincipalExchangeDate" type="xsd:date" minOccurs="0">
<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="principalExchangeAmount" type="xsd:decimal" minOccurs="0">
<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:sequence>
<xsd:attribute name="id" type="xsd:ID"/>
</xsd:complexType>
A type defining which principal exchanges occur for the stream.
initialExchange (exactly one occurrence; of the type xsd:boolean)
finalExchange (exactly one occurrence; of the type xsd:boolean)
intermediateExchange (exactly one occurrence; 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 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="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="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: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 occurrence; of the type DateReference)
resetRelativeTo (zero or one occurrence; of the type ResetRelativeToEnum)
initialFixingDate (zero or one occurrence; of the type RelativeDateOffset)
fixingDates (exactly one occurrence; of the type RelativeDateOffset)
rateCutOffDaysOffset (zero or one occurrence; of the type Offset)
resetFrequency (exactly one occurrence; of the type ResetFrequency)
resetDatesAdjustments (exactly one occurrence; of the type BusinessDayAdjustments)
Attribute: id (xsd:ID) - required
<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 name="calculationPeriodDatesReference" type="DateReference">
<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:element>
<xsd:element name="resetRelativeTo" type="ResetRelativeToEnum" minOccurs="0">
<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:element>
<xsd:element name="initialFixingDate" type="RelativeDateOffset" minOccurs="0"/>
<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="rateCutOffDaysOffset" type="Offset" minOccurs="0">
<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="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="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: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 occurrence; of the type WeeklyRollConventionEnum)
<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 name="weeklyRollConvention" type="WeeklyRollConventionEnum" minOccurs="0">
<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:element>
</xsd:sequence>
</xsd:extension>
</xsd:complexContent>
</xsd:complexType>
A type describing the method for obtaining a settlement rate.
informationSource (exactly one occurrence; of the type InformationSource)
Or
cashSettlementReferenceBanks (exactly one occurrence; 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 name="informationSource" type="InformationSource">
<xsd:annotation>
<xsd:documentation xml:lang="en">
The information source where a published or displayed market
rate will be obtained, e.g. Telerate Page 3750.
</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:choice>
</xsd:complexType>
A type describing the buyer and seller of an option.
buyerPartyReference (exactly one occurrence; of the type PartyReference)
sellerPartyReference (exactly one occurrence; of the type PartyReference)
<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:group ref="BuyerSeller.model"/>
</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.
floatingRate (one or more occurrences; of the type FloatingRate)
Or
stubRate (exactly one occurrence; of the type xsd:decimal)
Or
stubAmount (exactly one occurrence; 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 name="floatingRate" type="FloatingRate" maxOccurs="unbounded">
<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="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="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: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 occurrence; of the type DateReference)
initialStub (zero or one occurrence; of the type Stub)
finalStub (zero or one occurrence; 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 name="calculationPeriodDatesReference" type="DateReference">
<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:element>
<xsd:element name="initialStub" type="Stub" minOccurs="0">
<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="finalStub" type="Stub" minOccurs="0">
<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: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 occurrences; of the type InterestRateStream)
earlyTerminationProvision (zero or one occurrence; of the type EarlyTerminationProvision)
cancelableProvision (zero or one occurrence; of the type CancelableProvision)
extendibleProvision (zero or one occurrence; of the type ExtendibleProvision)
additionalPayment (zero or more occurrences; 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 name="swapStream" type="InterestRateStream" maxOccurs="unbounded">
<xsd:annotation>
<xsd:documentation xml:lang="en">
The swap streams.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="earlyTerminationProvision" type="EarlyTerminationProvision" minOccurs="0">
<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="cancelableProvision" type="CancelableProvision" minOccurs="0">
<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="extendibleProvision" type="ExtendibleProvision" minOccurs="0">
<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="additionalPayment" type="Payment" minOccurs="0" maxOccurs="unbounded">
<xsd:annotation>
<xsd:documentation xml:lang="en">
Additional payments between the principal parties.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
</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 occurrence; of the type PartyReference)
sellerPartyReference (exactly one occurrence; of the type PartyReference)
premium (zero or more occurrences; of the type Payment)
exercise (exactly one occurrence; of the type Exercise)
exerciseProcedure (exactly one occurrence; of the type ExerciseProcedure)
calculationAgentPartyReference (one or more occurrences; of the type PartyReference)
cashSettlement (zero or one occurrence; of the type CashSettlement)
swaptionStraddle (exactly one occurrence; of the type xsd:boolean)
swaptionAdjustedDates (zero or one occurrence; of the type SwaptionAdjustedDates)
swap (exactly one occurrence; 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:group ref="BuyerSeller.model"/>
<xsd:element name="premium" type="Payment" minOccurs="0" maxOccurs="unbounded">
<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 ref="exercise"/>
<xsd:element name="exerciseProcedure" type="ExerciseProcedure">
<xsd:annotation>
<xsd:documentation xml:lang="en">
A set of parameters defining procedures associated with
the exercise.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="calculationAgentPartyReference" type="PartyReference" maxOccurs="unbounded">
<xsd:annotation>
<xsd:documentation xml:lang="en">
A pointer style reference to a party identifier defined
elsewhere in the document. The party referenced is the
ISDA Calculation Agent for the trade. If more than one
party is referenced then the parties are assumed to be
co-calculation agents, i.e. they have joint
reponsibility.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="cashSettlement" type="CashSettlement" minOccurs="0">
<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="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="swaptionAdjustedDates" type="SwaptionAdjustedDates" minOccurs="0">
<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 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 occurrences; 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 name="exerciseEvent" type="ExerciseEvent" maxOccurs="unbounded">
<xsd:annotation>
<xsd:documentation xml:lang="en">
The adjusted dates associated with an individual swaption
exercise date.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
</xsd:sequence>
</xsd:complexType>
A type defining the parameters required for each of the ISDA defined yield curve methods for cash settlement.
settlementRateSource (zero or one occurrence; of the type SettlementRateSource)
quotationRateType (exactly one occurrence; of the type QuotationRateTypeEnum)
<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 name="settlementRateSource" type="SettlementRateSource" minOccurs="0">
<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="quotationRateType" type="QuotationRateTypeEnum">
<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:element>
</xsd:sequence>
</xsd:sequence>
</xsd:complexType>
<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 name="unadjustedStartDate" type="xsd:date" minOccurs="0"/>
<xsd:element name="unadjustedEndDate" type="xsd:date" minOccurs="0"/>
<xsd:element name="adjustedStartDate" type="xsd:date" minOccurs="0">
<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="adjustedEndDate" type="xsd:date" minOccurs="0">
<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="calculationPeriodNumberOfDays" type="xsd:positiveInteger" minOccurs="0">
<xsd:annotation>
<xsd:documentation xml:lang="en">
The number of days from the adjusted effective / start date
to the adjusted termination / end date calculated in
accordance with the applicable day count fraction.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:choice>
<xsd:element name="notionalAmount" type="xsd:decimal">
<xsd:annotation>
<xsd:documentation xml:lang="en">
The amount that a cashflow will accrue interest on.
</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:choice>
<xsd:choice>
<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="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: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 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="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: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 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="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="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="firstPeriodStartDate" type="AdjustableDate" minOccurs="0">
<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" minOccurs="0">
<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="lastRegularPeriodEndDate" type="xsd:date" minOccurs="0">
<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="calculationPeriodFrequency" type="CalculationPeriodFrequency">
<xsd:annotation>
<xsd:documentation xml:lang="en">
The frequency at which calculation period end dates occur
with the regular part of the calculation period schedule
and their roll date convention.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
</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 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="principalExchange" type="PrincipalExchange" minOccurs="0" maxOccurs="unbounded">
<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="paymentCalculationPeriod" type="PaymentCalculationPeriod" minOccurs="0" maxOccurs="unbounded">
<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: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 name="discountingType" type="DiscountingTypeEnum">
<xsd:annotation>
<xsd:documentation xml:lang="en">
The discounting method that is applicable.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="discountRate" type="xsd:decimal" minOccurs="0">
<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" type="DayCountFractionEnum" minOccurs="0">
<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:element>
</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 name="floatingRateIndex" type="FloatingRateIndex"/>
<xsd:element name="indexTenor" type="Interval" minOccurs="0">
<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="floatingRateMultiplierSchedule" type="Schedule" minOccurs="0">
<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="spreadSchedule" type="Schedule" minOccurs="0">
<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="rateTreatment" type="RateTreatmentEnum" minOccurs="0">
<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:element>
<xsd:element name="capRateSchedule" type="StrikeSchedule" minOccurs="0" maxOccurs="unbounded">
<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="floorRateSchedule" type="StrikeSchedule" minOccurs="0" maxOccurs="unbounded">
<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: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 name="initialRate" type="xsd:decimal" minOccurs="0">
<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="finalRateRounding" type="Rounding" minOccurs="0">
<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="averagingMethod" type="AveragingMethodEnum" minOccurs="0">
<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:element>
<xsd:element name="negativeInterestRateTreatment" type="NegativeInterestRateTreatmentEnum" minOccurs="0">
<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:element>
</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 name="calculatedRate" type="xsd:decimal" minOccurs="0">
<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="rateObservation" type="RateObservation" minOccurs="0" maxOccurs="unbounded">
<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="floatingRateMultiplier" type="xsd:decimal" minOccurs="0">
<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="spread" type="xsd:decimal" minOccurs="0">
<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="capRate" type="Strike" minOccurs="0" maxOccurs="unbounded">
<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="floorRate" type="Strike" minOccurs="0" maxOccurs="unbounded">
<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: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:group ref="BuyerSeller.model"/>
<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="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="paymentDate" type="AdjustableDate">
<xsd:annotation>
<xsd:documentation xml:lang="en">
The payment date. This date is subject to adjustment in
accordance with any applicable business day convention.
</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="dayCountFraction" type="DayCountFractionEnum">
<xsd:annotation>
<xsd:documentation xml:lang="en">
The day count fraction.
</xsd:documentation>
</xsd:annotation>
</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="notional" type="Money">
<xsd:annotation>
<xsd:documentation xml:lang="en">
The notional 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="floatingRateIndex" type="FloatingRateIndex"/>
<xsd:element name="indexTenor" type="Interval" minOccurs="0">
<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="fraDiscounting" type="FraDiscountingEnum">
<xsd:annotation>
<xsd:documentation xml:lang="en">
Specifies whether discounting applies and, if so, what
type.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
</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:group ref="PayerReceiver.model"/>
<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="paymentDates" type="PaymentDates">
<xsd:annotation>
<xsd:documentation xml:lang="en">
The payment dates schedule.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="resetDates" type="ResetDates" minOccurs="0">
<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="calculationPeriodAmount" type="CalculationPeriodAmount">
<xsd:annotation>
<xsd:documentation xml:lang="en">
The calculation period amount parameters.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="stubCalculationPeriodAmount" type="StubCalculationPeriodAmount" minOccurs="0">
<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="principalExchanges" type="PrincipalExchanges" minOccurs="0">
<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="cashflows" type="Cashflows" minOccurs="0">
<xsd:annotation>
<xsd:documentation xml:lang="en">
The cashflows representation of the swap stream.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
</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 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="notionalStepParameters" type="NotionalStepRule" minOccurs="0">
<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: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 name="calculationPeriodDatesReference" type="DateReference">
<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: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="firstNotionalStepDate" type="xsd:date">
<xsd:annotation>
<xsd:documentation xml:lang="en">
Effective date of the first change in notional (i.e. a
calculation period start date).
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="lastNotionalStepDate" type="xsd:date">
<xsd:annotation>
<xsd:documentation xml:lang="en">
Effective date of the last change in notional (i.e. a
calculation period start date).
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:choice>
<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:sequence>
<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="stepRelativeTo" type="StepRelativeToEnum">
<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:element>
</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 name="unadjustedPaymentDate" type="xsd:date" minOccurs="0"/>
<xsd:element name="adjustedPaymentDate" type="xsd:date" minOccurs="0">
<xsd:annotation>
<xsd:documentation xml:lang="en">
The adjusted payment date. This date should already be
adjusted for any applicable business day convention. This
component is not intended for use in trade confirmation but
my be specified to allow the fee structure to also serve as
a cashflow type component (all dates the the Cashflows type
are adjusted payment dates).
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:choice>
<xsd:element name="calculationPeriod" type="CalculationPeriod" maxOccurs="unbounded">
<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="fixedPaymentAmount" type="xsd:decimal">
<xsd:annotation>
<xsd:documentation xml:lang="en">
A known fixed payment amount.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
</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 name="calculationPeriodDatesReference" type="DateReference">
<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:element>
<xsd:element name="resetDatesReference" type="DateReference">
<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:element>
</xsd:choice>
<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="firstPaymentDate" type="xsd:date" minOccurs="0">
<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="lastRegularPaymentDate" type="xsd:date" minOccurs="0">
<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="payRelativeTo" type="PayRelativeToEnum">
<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:element>
<xsd:element name="paymentDaysOffset" type="Offset" minOccurs="0">
<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="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: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 name="unadjustedPrincipalExchangeDate" type="xsd:date" minOccurs="0"/>
<xsd:element name="adjustedPrincipalExchangeDate" type="xsd:date" minOccurs="0">
<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="principalExchangeAmount" type="xsd:decimal" minOccurs="0">
<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:sequence>
<xsd:attribute name="id" type="xsd:ID"/>
</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 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="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="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: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 name="calculationPeriodDatesReference" type="DateReference">
<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:element>
<xsd:element name="resetRelativeTo" type="ResetRelativeToEnum" minOccurs="0">
<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:element>
<xsd:element name="initialFixingDate" type="RelativeDateOffset" minOccurs="0"/>
<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="rateCutOffDaysOffset" type="Offset" minOccurs="0">
<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="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="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: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 name="weeklyRollConvention" type="WeeklyRollConventionEnum" minOccurs="0">
<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:element>
</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 name="floatingRate" type="FloatingRate" maxOccurs="unbounded">
<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="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="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: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 name="calculationPeriodDatesReference" type="DateReference">
<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:element>
<xsd:element name="initialStub" type="Stub" minOccurs="0">
<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="finalStub" type="Stub" minOccurs="0">
<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: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 name="swapStream" type="InterestRateStream" maxOccurs="unbounded">
<xsd:annotation>
<xsd:documentation xml:lang="en">
The swap streams.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="earlyTerminationProvision" type="EarlyTerminationProvision" minOccurs="0">
<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="cancelableProvision" type="CancelableProvision" minOccurs="0">
<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="extendibleProvision" type="ExtendibleProvision" minOccurs="0">
<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="additionalPayment" type="Payment" minOccurs="0" maxOccurs="unbounded">
<xsd:annotation>
<xsd:documentation xml:lang="en">
Additional payments between the principal parties.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
</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:group ref="BuyerSeller.model"/>
<xsd:element ref="exercise"/>
<xsd:element name="exerciseNotice" type="ExerciseNotice" minOccurs="0">
<xsd:annotation>
<xsd:documentation xml:lang="en">
Definition of the party to whom notice of exercise should
be given.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="followUpConfirmation" type="xsd:boolean">
<xsd:annotation>
<xsd:documentation xml:lang="en">
A flag to indicate whether follow-up confirmation of
exercise (written or electronic) is required following
telephonic notice by the buyer to the seller or seller's
agent.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="cancelableProvisionAdjustedDates" type="CancelableProvisionAdjustedDates" minOccurs="0">
<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: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 name="cancellationEvent" type="CancellationEvent" maxOccurs="unbounded">
<xsd:annotation>
<xsd:documentation xml:lang="en">
The adjusted dates for an individual cancellation date.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
</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 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="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: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 name="payment" type="Payment">
<xsd:annotation>
<xsd:documentation xml:lang="en">
A known payment between two parties.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
</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 name="capFloorStream" type="InterestRateStream"/>
<xsd:element name="premium" type="Payment" minOccurs="0" maxOccurs="unbounded">
<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="additionalPayment" type="Payment" minOccurs="0" maxOccurs="unbounded">
<xsd:annotation>
<xsd:documentation xml:lang="en">
Additional payments between the principal parties.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
</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 name="cashSettlementReferenceBanks" type="CashSettlementReferenceBanks" minOccurs="0">
<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="cashSettlementCurrency" type="Currency">
<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:element>
<xsd:element name="quotationRateType" type="QuotationRateTypeEnum">
<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:element>
</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 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="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="cashSettlementPaymentDate" type="CashSettlementPaymentDate" minOccurs="0">
<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:choice>
<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="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="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="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: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: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 name="adjustableDates" type="AdjustableDates">
<xsd:annotation>
<xsd:documentation xml:lang="en">
A series of dates that shall be subject to adjustment if
they would otherwise fall on a day that is not a business
day in the specified business centers, together with the
convention for adjusting the date.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="relativeDate" type="RelativeDateOffset">
<xsd:annotation>
<xsd:documentation xml:lang="en">
A date specified as some offset to another date (the anchor
date).
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="businessDateRange" type="BusinessDateRange">
<xsd:annotation>
<xsd:documentation xml:lang="en">
A range of contiguous business days.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
</xsd:choice>
<xsd:attribute name="id" type="xsd:ID"/>
</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 name="referenceBank" type="ReferenceBank" maxOccurs="unbounded">
<xsd:annotation>
<xsd:documentation xml:lang="en">
An institution (party) identified by means of a coding
scheme and an optional name.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
</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 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="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="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="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="adjustedExerciseFeePaymentDate" type="xsd:date" minOccurs="0">
<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: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 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="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: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 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="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="adjustedCashSettlementValuationDate" type="xsd:date" minOccurs="0">
<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="adjustedCashSettlementPaymentDate" type="xsd:date" minOccurs="0">
<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="adjustedExerciseFeePaymentDate" type="xsd:date" minOccurs="0">
<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: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:group ref="BuyerSeller.model"/>
<xsd:element ref="exercise"/>
<xsd:element name="exerciseNotice" type="ExerciseNotice" minOccurs="0">
<xsd:annotation>
<xsd:documentation xml:lang="en">
Definition of the party to whom notice of exercise should
be given.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="followUpConfirmation" type="xsd:boolean">
<xsd:annotation>
<xsd:documentation xml:lang="en">
A flag to indicate whether follow-up confirmation of
exercise (written or electronic) is required following
telephonic notice by the buyer to the seller or seller's
agent.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="extendibleProvisionAdjustedDates" type="ExtendibleProvisionAdjustedDates" minOccurs="0">
<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: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 name="extensionEvent" type="ExtensionEvent" maxOccurs="unbounded">
<xsd:annotation>
<xsd:documentation xml:lang="en">
The adjusted dates associated with a single extendible
exercise date.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
</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 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="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: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 name="resetDate" type="xsd:date" minOccurs="0"/>
<xsd:element name="adjustedFxSpotFixingDate" type="xsd:date" minOccurs="0">
<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="observedFxSpotRate" type="xsd:decimal" minOccurs="0">
<xsd:annotation>
<xsd:documentation xml:lang="en">
The actual observed fx spot rate.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="notionalAmount" type="xsd:decimal" minOccurs="0">
<xsd:annotation>
<xsd:documentation xml:lang="en">
The calculation period notional amount.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
</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 name="constantNotionalScheduleReference" type="NotionalReference">
<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:element>
<xsd:element name="initialValue" type="xsd:decimal" minOccurs="0">
<xsd:annotation>
<xsd:documentation>
The initial currency amount for the varying notional.
</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="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="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: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 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="calculationAgent" type="CalculationAgent">
<xsd:annotation>
<xsd:documentation xml:lang="en">
The ISDA Calculation Agent responsible for performing
duties associated with an optional early termination.
</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="mandatoryEarlyTerminationAdjustedDates" type="MandatoryEarlyTerminationAdjustedDates" minOccurs="0">
<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: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 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="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="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: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 name="singlePartyOption" type="SinglePartyOption" minOccurs="0">
<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 ref="exercise"/>
<xsd:element name="exerciseNotice" type="ExerciseNotice" minOccurs="0" maxOccurs="unbounded">
<xsd:annotation>
<xsd:documentation xml:lang="en">
Definition of the party to whom notice of exercise should
be given.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="followUpConfirmation" type="xsd:boolean" minOccurs="0">
<xsd:annotation>
<xsd:documentation xml:lang="en">
A flag to indicate whether follow-up confirmation of
exercise (written or electronic) is required following
telephonic notice by the buyer to the seller or seller's
agent.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="calculationAgent" type="CalculationAgent">
<xsd:annotation>
<xsd:documentation xml:lang="en">
The ISDA Calculation Agent responsible for performing
duties associated with an optional early termination.
</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="optionalEarlyTerminationAdjustedDates" type="OptionalEarlyTerminationAdjustedDates" minOccurs="0">
<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: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 name="earlyTerminationEvent" type="EarlyTerminationEvent" maxOccurs="unbounded">
<xsd:annotation>
<xsd:documentation xml:lang="en">
The adjusted dates associated with an individual earley
termination date.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
</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 name="informationSource" type="InformationSource">
<xsd:annotation>
<xsd:documentation xml:lang="en">
The information source where a published or displayed
market rate will be obtained, e.g. Telerate Page 3750.
</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: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:group ref="BuyerSeller.model"/>
</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:group ref="BuyerSeller.model"/>
<xsd:element name="premium" type="Payment" minOccurs="0" maxOccurs="unbounded">
<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 ref="exercise"/>
<xsd:element name="exerciseProcedure" type="ExerciseProcedure">
<xsd:annotation>
<xsd:documentation xml:lang="en">
A set of parameters defining procedures associated with
the exercise.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="calculationAgentPartyReference" type="PartyReference" maxOccurs="unbounded">
<xsd:annotation>
<xsd:documentation xml:lang="en">
A pointer style reference to a party identifier defined
elsewhere in the document. The party referenced is the
ISDA Calculation Agent for the trade. If more than one
party is referenced then the parties are assumed to be
co-calculation agents, i.e. they have joint
reponsibility.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="cashSettlement" type="CashSettlement" minOccurs="0">
<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="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="swaptionAdjustedDates" type="SwaptionAdjustedDates" minOccurs="0">
<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 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 name="exerciseEvent" type="ExerciseEvent" maxOccurs="unbounded">
<xsd:annotation>
<xsd:documentation xml:lang="en">
The adjusted dates associated with an individual swaption
exercise date.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
</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 name="settlementRateSource" type="SettlementRateSource" minOccurs="0">
<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="quotationRateType" type="QuotationRateTypeEnum">
<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:element>
</xsd:sequence>
</xsd:sequence>
</xsd:complexType>
<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="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="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="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="swaption" type="Swaption" substitutionGroup="product">
<xsd:annotation>
<xsd:documentation xml:lang="en">
A swaption product definition.
</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 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="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:choice>
<xsd:choice>
<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="floatingRateCalculation" type="FloatingRateCalculation">
<xsd:annotation>
<xsd:documentation xml:lang="en">
The floating rate calculation definitions
</xsd:documentation>
</xsd:annotation>
</xsd:element>
</xsd:choice>
<xsd:element name="dayCountFraction" type="DayCountFractionEnum">
<xsd:annotation>
<xsd:documentation xml:lang="en">
The day count fraction.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="discounting" type="Discounting" minOccurs="0">
<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="compoundingMethod" type="CompoundingMethodEnum" minOccurs="0">
<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:element>
</xsd:sequence>
</xsd:complexType>
<xsd:complexType name="FloatingRateIndex">
<xsd:annotation>
<xsd:documentation xml:lang="en">
The ISDA Floating Rate Option, i.e. the floating rate index.
</xsd:documentation>
</xsd:annotation>
<xsd:simpleContent>
<xsd:extension base="xsd:string">
<xsd:attribute name="floatingRateIndexScheme" default="http://www.fpml.org/ext/isda-2000-definitions" type="xsd:anyURI"/>
</xsd:extension>
</xsd:simpleContent>
</xsd:complexType>
</xsd:schema>