http://www.fpml.org/spec/2006/tr-fpml-4-2-2006-12-15
http://www.fpml.org/spec/2006/tr-fpml-4-2-2006-12-15
http://www.fpml.org/spec/2006/tr-fpml-4-2-2006-09-28/
http://www.fpml.org/spec/errata/tr-fpml-4-2-2006-12-15-errata.html
Document built: Fri 12/15/2006 14:40:49.60
Copyright (c) 1999 - 2006 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.html
The FpML specifications provided are without warranty of any kind, either expressed or implied, including, without limitation, warranties that FpML, or the FpML specifications are free of defects, merchantable, fit for a particular purpose or non-infringing. The entire risk as to the quality and performance of the specifications is with you. Should any of the FpML specifications prove defective in any respect, you assume the cost of any necessary servicing or repair. Under no circumstances and under no legal theory, whether tort (including negligence), contract, or otherwise, shall ISDA, any of its members, or any distributor of documents or software containing any of the FpML specifications, or any supplier of any of such parties, be liable to you or any other person for any indirect, special, incidental, or consequential damages of any character including, without limitation, damages for loss of goodwill, work stoppage, computer failure or malfunction, or any and all other commercial damages or losses, even if such party shall have been informed of the possibility of such damages.
This type has been DEPRECATED. It will be removed in the next FpML major version. A type describing the equity leg of a return type swap.
Inherited element(s): (This definition inherits the content defined by the type ReturnSwapLeg)
effectiveDate (exactly one occurrence; of the type AdjustableOrRelativeDate)
terminationDate (exactly one occurrence; of the type AdjustableOrRelativeDate)
underlyer (exactly one occurrence; of the type Underlyer)
valuation (exactly one occurrence; of the type DeprecatedEquityLegValuation)
notional (exactly one occurrence; of the type ReturnSwapNotional)
equityAmount (exactly one occurrence; of the type ReturnSwapAmount)
return (exactly one occurrence; of the type Return)
notionalAdjustments (exactly one occurrence; of the type NotionalAdjustmentEnum)
fxFeature (zero or one occurrence; of the type FxFeature)
<xsd:complexType name="DeprecatedEquityLeg">
<xsd:annotation>
<xsd:documentation xml:lang="en">
This type has been DEPRECATED. It will be removed in the next
FpML major version. A type describing the equity leg of a return
type swap.
</xsd:documentation>
</xsd:annotation>
<xsd:complexContent>
<xsd:extension base="ReturnSwapLeg">
<xsd:sequence>
<xsd:element name="effectiveDate" type="AdjustableOrRelativeDate">
<xsd:annotation>
<xsd:documentation xml:lang="en">
Specifies the effective date of the equity leg of the
swap. When defined in relation to a date specified
somewhere else in the document (through the relativeDate
component), this element will typically point to the
effective date of the other leg of the swap.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="terminationDate" type="AdjustableOrRelativeDate">
<xsd:annotation>
<xsd:documentation xml:lang="en">
Specifies the termination date of the equity leg of the
swap. When defined in relation to a date specified
somewhere else in the document (through the relativeDate
component), this element will typically point to the
termination date of the other leg of the swap.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="underlyer" type="Underlyer">
<xsd:annotation>
<xsd:documentation xml:lang="en">
Specifies the underlying component of the return type
swap, which can be either one or many and consists in
either equity, index or convertible bond component, or a
combination of these.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="valuation" type="DeprecatedEquityLegValuation">
<xsd:annotation>
<xsd:documentation xml:lang="en">
Specifies the terms of the initial price of the return
type swap and of the subsequent valuations of the equity
underlyer.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="notional" type="ReturnSwapNotional">
<xsd:annotation>
<xsd:documentation xml:lang="en">
Specifies the notional of a return type swap. When used
in the equity leg, the definition will typically combine
the actual amount (using the notional component defined
by the FpML industry group) and the determination method.
When used in the interest leg, the definition will
typically point to the definition of the equity leg.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="equityAmount" type="ReturnSwapAmount">
<xsd:annotation>
<xsd:documentation xml:lang="en">
Specifies, in relation to each Equity Payment Date, the
amount to which the Equity Payment Date relates. Unless
otherwise specified, this term has the meaning defined in
the ISDA 2002 Equity Derivatives Definitions.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="return" type="Return">
<xsd:annotation>
<xsd:documentation xml:lang="en">
Specifies the conditions under which dividend affecting
the underlyer will be paid to the receiver of the equity
amounts.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="notionalAdjustments" type="NotionalAdjustmentEnum">
<xsd:annotation>
<xsd:documentation xml:lang="en">
Specifies the conditions that govern the adjustment to
the number of units of the equity swap.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="fxFeature" type="FxFeature" minOccurs="0">
<xsd:annotation>
<xsd:documentation xml:lang="en">
A quanto or composite FX feature.
</xsd:documentation>
<xsd:documentation xml:lang="de">
Quanto- oder Komposit-Devisenbestandteil.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
</xsd:sequence>
</xsd:extension>
</xsd:complexContent>
</xsd:complexType>
This type has been DEPRECATED. It will be removed in the next FpML major version. A type describing the initial and final valuation of the equity underlyer.
initialPrice (exactly one occurrence; of the type DeprecatedEquityLegValuationPrice)
equityNotionalReset (exactly one occurrence; of the type xsd:boolean)
valuationPriceInterim (zero or one occurrence; of the type DeprecatedEquityLegValuationPrice)
valuationPriceFinal (exactly one occurrence; of the type DeprecatedEquityLegValuationPrice)
equityPaymentDates (exactly one occurrence; of the type DeprecatedEquityPaymentDates)
<xsd:complexType name="DeprecatedEquityLegValuation">
<xsd:annotation>
<xsd:documentation xml:lang="en">
This type has been DEPRECATED. It will be removed in the next
FpML major version. A type describing the initial and final
valuation of the equity underlyer.
</xsd:documentation>
</xsd:annotation>
<xsd:sequence>
<xsd:element name="initialPrice" type="DeprecatedEquityLegValuationPrice">
<xsd:annotation>
<xsd:documentation xml:lang="en">
Specifies the initial reference price of the equity
underlyer. This price can be expressed either as an actual
amount/currency, as a determination method, or by reference
to another value specified in the swap document.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="equityNotionalReset" type="xsd:boolean">
<xsd:annotation>
<xsd:documentation xml:lang="en">
The term "Equity Notional Reset" is assumed to have the
meaning as defined in the ISDA 2002 Equity Derivatives
Definitions. The reference to the ISDA definition is either
"Applicable" or 'Inapplicable".
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="valuationPriceInterim" type="DeprecatedEquityLegValuationPrice" minOccurs="0">
<xsd:annotation>
<xsd:documentation xml:lang="en">
Specifies the interim valuation price of the equity
underlyer. This price can be expressed either as an actual
amount/currency, as a determination method, or by reference
to another value specified in the swap document.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="valuationPriceFinal" type="DeprecatedEquityLegValuationPrice">
<xsd:annotation>
<xsd:documentation xml:lang="en">
Specifies the final valuation price of the equity underlyer.
This price can be expressed either as an actual
amount/currency, as a determination method, or by reference
to another value specified in the swap document.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="equityPaymentDates" type="DeprecatedEquityPaymentDates">
<xsd:annotation>
<xsd:documentation xml:lang="en">
Specifies the equity payment dates of the swap.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
</xsd:sequence>
</xsd:complexType>
This type has been DEPRECATED. It will be removed in the next FpML major version.
Inherited element(s): (This definition inherits the content defined by the type Price)
equityValuation (zero or one occurrence; of the type EquityValuation)
<xsd:complexType name="DeprecatedEquityLegValuationPrice">
<xsd:annotation>
<xsd:documentation xml:lang="en">
This type has been DEPRECATED. It will be removed in the next
FpML major version.
</xsd:documentation>
</xsd:annotation>
<xsd:complexContent>
<xsd:extension base="Price">
<xsd:sequence>
<xsd:element name="equityValuation" type="EquityValuation" minOccurs="0"/>
</xsd:sequence>
</xsd:extension>
</xsd:complexContent>
</xsd:complexType>
This type has been DEPRECATED. It will be removed in the next FpML major version. A type describing the equity payment dates of the swap.
equityPaymentDatesInterim (zero or one occurrence; of the type AdjustableOrRelativeDates)
equityPaymentDateFinal (exactly one occurrence; of the type AdjustableOrRelativeDate)
Attribute: id (xsd:ID)
<xsd:complexType name="DeprecatedEquityPaymentDates">
<xsd:annotation>
<xsd:documentation xml:lang="en">
This type has been DEPRECATED. It will be removed in the next
FpML major version. A type describing the equity payment dates of
the swap.
</xsd:documentation>
</xsd:annotation>
<xsd:sequence>
<xsd:element name="equityPaymentDatesInterim" type="AdjustableOrRelativeDates" minOccurs="0">
<xsd:annotation>
<xsd:documentation xml:lang="en">
Specifies the interim payment dates of the swap. When defined
in relation to a date specified somewhere else in the
document (through the relativeDates component), this element
will typically refer to the valuation dates and add a lag
corresponding to the settlement cycle of the underlyer.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="equityPaymentDateFinal" type="AdjustableOrRelativeDate">
<xsd:annotation>
<xsd:documentation xml:lang="en">
Specifies the final payment date of the swap. When defined in
relation to a date specified somewhere else in the document
(through the relativeDate component), this element will
typically refer to the final valuation date and add a lag
corresponding to the settlement cycle of the underlyer.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
</xsd:sequence>
<xsd:attribute name="id" type="xsd:ID"/>
</xsd:complexType>
A type for defining Equity Swap Transaction Supplement
Inherited element(s): (This definition inherits the content defined by the type ReturnSwapBase)
mutualEarlyTermination (zero or one occurrence; of the type xsd:boolean)
multipleExchangeIndexAnnexFallback (zero or one occurrence; of the type xsd:boolean)
<xsd:complexType name="EquitySwapTransactionSupplement">
<xsd:annotation>
<xsd:documentation xml:lang="en">
A type for defining Equity Swap Transaction Supplement
</xsd:documentation>
</xsd:annotation>
<xsd:complexContent>
<xsd:extension base="ReturnSwapBase">
<xsd:sequence>
<xsd:element name="mutualEarlyTermination" type="xsd:boolean" minOccurs="0">
<xsd:annotation>
<xsd:documentation xml:lang="en">
Used for specifying whether the Mutual Early Termination
Right that is detailed in the Master Confirmation will
apply.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="multipleExchangeIndexAnnexFallback" type="xsd:boolean" minOccurs="0">
<xsd:annotation>
<xsd:documentation xml:lang="en">
Used for specifying whether additional annex terms for
trades with underlyers that are listed on multiple
exchanges, as defined in the European Master
Confirmation, will apply.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
</xsd:sequence>
</xsd:extension>
</xsd:complexContent>
</xsd:complexType>
This element has been DEPRECATED and it will be removed in the next FpML major version (5.0) - please use returnLeg element to represent long form equity swaps, total return swaps. The equity amounts of the equity swap
Element equityLeg is defined by the complex type DeprecatedEquityLeg
<xsd:element name="equityLeg" type="DeprecatedEquityLeg" substitutionGroup="returnSwapLeg">
<xsd:annotation>
<xsd:documentation xml:lang="en">
This element has been DEPRECATED and it will be removed in the
next FpML major version (5.0) - please use returnLeg element to
represent long form equity swaps, total return swaps. The equity
amounts of the equity swap
</xsd:documentation>
</xsd:annotation>
</xsd:element>
This element has been DEPRECATED and it will be removed in the next FpML major version (5.0) - please use returnSwap element to represent long form equity swaps, total return swaps, and variance swaps.
Element equitySwap is defined by the complex type ReturnSwap
<xsd:element name="equitySwap" type="ReturnSwap" substitutionGroup="product">
<xsd:annotation>
<xsd:documentation xml:lang="en">
This element has been DEPRECATED and it will be removed in the
next FpML major version (5.0) - please use returnSwap element to
represent long form equity swaps, total return swaps, and
variance swaps.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
Specifies the structure of the equity swap transaction supplement
Element equitySwapTransactionSupplement is defined by the complex type EquitySwapTransactionSupplement
<xsd:element name="equitySwapTransactionSupplement" type="EquitySwapTransactionSupplement" substitutionGroup="product">
<xsd:annotation>
<xsd:documentation xml:lang="en">
Specifies the structure of the equity swap transaction supplement
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:schema targetNamespace="http://www.fpml.org/2005/FpML-4-2" elementFormDefault="qualified" attributeFormDefault="unqualified" version="$Revision: 918 $">
<xsd:include schemaLocation="fpml-ird-4-2.xsd"/>
<xsd:include schemaLocation="fpml-eq-shared-4-2.xsd"/>
<xsd:complexType name="DeprecatedEquityLeg">
<xsd:annotation>
<xsd:documentation xml:lang="en">
This type has been DEPRECATED. It will be removed in the next
FpML major version. A type describing the equity leg of a
return type swap.
</xsd:documentation>
</xsd:annotation>
<xsd:complexContent>
<xsd:extension base="ReturnSwapLeg">
<xsd:sequence>
<xsd:element name="effectiveDate" type="AdjustableOrRelativeDate">
<xsd:annotation>
<xsd:documentation xml:lang="en">
Specifies the effective date of the equity leg of the
swap. When defined in relation to a date specified
somewhere else in the document (through the
relativeDate component), this element will typically
point to the effective date of the other leg of the
swap.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="terminationDate" type="AdjustableOrRelativeDate">
<xsd:annotation>
<xsd:documentation xml:lang="en">
Specifies the termination date of the equity leg of the
swap. When defined in relation to a date specified
somewhere else in the document (through the
relativeDate component), this element will typically
point to the termination date of the other leg of the
swap.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="underlyer" type="Underlyer">
<xsd:annotation>
<xsd:documentation xml:lang="en">
Specifies the underlying component of the return type
swap, which can be either one or many and consists in
either equity, index or convertible bond component, or
a combination of these.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="valuation" type="DeprecatedEquityLegValuation">
<xsd:annotation>
<xsd:documentation xml:lang="en">
Specifies the terms of the initial price of the return
type swap and of the subsequent valuations of the
equity underlyer.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="notional" type="ReturnSwapNotional">
<xsd:annotation>
<xsd:documentation xml:lang="en">
Specifies the notional of a return type swap. When used
in the equity leg, the definition will typically
combine the actual amount (using the notional component
defined by the FpML industry group) and the
determination method. When used in the interest leg,
the definition will typically point to the definition
of the equity leg.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="equityAmount" type="ReturnSwapAmount">
<xsd:annotation>
<xsd:documentation xml:lang="en">
Specifies, in relation to each Equity Payment Date, the
amount to which the Equity Payment Date relates. Unless
otherwise specified, this term has the meaning defined
in the ISDA 2002 Equity Derivatives Definitions.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="return" type="Return">
<xsd:annotation>
<xsd:documentation xml:lang="en">
Specifies the conditions under which dividend affecting
the underlyer will be paid to the receiver of the
equity amounts.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="notionalAdjustments" type="NotionalAdjustmentEnum">
<xsd:annotation>
<xsd:documentation xml:lang="en">
Specifies the conditions that govern the adjustment to
the number of units of the equity swap.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="fxFeature" type="FxFeature" minOccurs="0">
<xsd:annotation>
<xsd:documentation xml:lang="en">
A quanto or composite FX feature.
</xsd:documentation>
<xsd:documentation xml:lang="de">
Quanto- oder Komposit-Devisenbestandteil.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
</xsd:sequence>
</xsd:extension>
</xsd:complexContent>
</xsd:complexType>
<xsd:complexType name="DeprecatedEquityLegValuation">
<xsd:annotation>
<xsd:documentation xml:lang="en">
This type has been DEPRECATED. It will be removed in the next
FpML major version. A type describing the initial and final
valuation of the equity underlyer.
</xsd:documentation>
</xsd:annotation>
<xsd:sequence>
<xsd:element name="initialPrice" type="DeprecatedEquityLegValuationPrice">
<xsd:annotation>
<xsd:documentation xml:lang="en">
Specifies the initial reference price of the equity
underlyer. This price can be expressed either as an actual
amount/currency, as a determination method, or by reference
to another value specified in the swap document.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="equityNotionalReset" type="xsd:boolean">
<xsd:annotation>
<xsd:documentation xml:lang="en">
The term "Equity Notional Reset" is assumed to have the
meaning as defined in the ISDA 2002 Equity Derivatives
Definitions. The reference to the ISDA definition is either
"Applicable" or 'Inapplicable".
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="valuationPriceInterim" type="DeprecatedEquityLegValuationPrice" minOccurs="0">
<xsd:annotation>
<xsd:documentation xml:lang="en">
Specifies the interim valuation price of the equity
underlyer. This price can be expressed either as an actual
amount/currency, as a determination method, or by reference
to another value specified in the swap document.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="valuationPriceFinal" type="DeprecatedEquityLegValuationPrice">
<xsd:annotation>
<xsd:documentation xml:lang="en">
Specifies the final valuation price of the equity
underlyer. This price can be expressed either as an actual
amount/currency, as a determination method, or by reference
to another value specified in the swap document.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="equityPaymentDates" type="DeprecatedEquityPaymentDates">
<xsd:annotation>
<xsd:documentation xml:lang="en">
Specifies the equity payment dates of the swap.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
</xsd:sequence>
</xsd:complexType>
<xsd:complexType name="DeprecatedEquityLegValuationPrice">
<xsd:annotation>
<xsd:documentation xml:lang="en">
This type has been DEPRECATED. It will be removed in the next
FpML major version.
</xsd:documentation>
</xsd:annotation>
<xsd:complexContent>
<xsd:extension base="Price">
<xsd:sequence>
<xsd:element name="equityValuation" type="EquityValuation" minOccurs="0"/>
</xsd:sequence>
</xsd:extension>
</xsd:complexContent>
</xsd:complexType>
<xsd:complexType name="DeprecatedEquityPaymentDates">
<xsd:annotation>
<xsd:documentation xml:lang="en">
This type has been DEPRECATED. It will be removed in the next
FpML major version. A type describing the equity payment dates
of the swap.
</xsd:documentation>
</xsd:annotation>
<xsd:sequence>
<xsd:element name="equityPaymentDatesInterim" type="AdjustableOrRelativeDates" minOccurs="0">
<xsd:annotation>
<xsd:documentation xml:lang="en">
Specifies the interim payment dates of the swap. When
defined in relation to a date specified somewhere else in
the document (through the relativeDates component), this
element will typically refer to the valuation dates and add
a lag corresponding to the settlement cycle of the
underlyer.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="equityPaymentDateFinal" type="AdjustableOrRelativeDate">
<xsd:annotation>
<xsd:documentation xml:lang="en">
Specifies the final payment date of the swap. When defined
in relation to a date specified somewhere else in the
document (through the relativeDate component), this element
will typically refer to the final valuation date and add a
lag corresponding to the settlement cycle of the underlyer.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
</xsd:sequence>
<xsd:attribute name="id" type="xsd:ID"/>
</xsd:complexType>
<xsd:complexType name="EquitySwapTransactionSupplement">
<xsd:annotation>
<xsd:documentation xml:lang="en">
A type for defining Equity Swap Transaction Supplement
</xsd:documentation>
</xsd:annotation>
<xsd:complexContent>
<xsd:extension base="ReturnSwapBase">
<xsd:sequence>
<xsd:element name="mutualEarlyTermination" type="xsd:boolean" minOccurs="0">
<xsd:annotation>
<xsd:documentation xml:lang="en">
Used for specifying whether the Mutual Early
Termination Right that is detailed in the Master
Confirmation will apply.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="multipleExchangeIndexAnnexFallback" type="xsd:boolean" minOccurs="0">
<xsd:annotation>
<xsd:documentation xml:lang="en">
Used for specifying whether additional annex terms for
trades with underlyers that are listed on multiple
exchanges, as defined in the European Master
Confirmation, will apply.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
</xsd:sequence>
</xsd:extension>
</xsd:complexContent>
</xsd:complexType>
<xsd:element name="equityLeg" type="DeprecatedEquityLeg" substitutionGroup="returnSwapLeg">
<xsd:annotation>
<xsd:documentation xml:lang="en">
This element has been DEPRECATED and it will be removed in the
next FpML major version (5.0) - please use returnLeg element to
represent long form equity swaps, total return swaps. The
equity amounts of the equity swap
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="equitySwap" type="ReturnSwap" substitutionGroup="product">
<xsd:annotation>
<xsd:documentation xml:lang="en">
This element has been DEPRECATED and it will be removed in the
next FpML major version (5.0) - please use returnSwap element
to represent long form equity swaps, total return swaps, and
variance swaps.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="equitySwapTransactionSupplement" type="EquitySwapTransactionSupplement" substitutionGroup="product">
<xsd:annotation>
<xsd:documentation xml:lang="en">
Specifies the structure of the equity swap transaction
supplement
</xsd:documentation>
</xsd:annotation>
</xsd:element>
</xsd:schema>