FpML 4.3 Working Draft

05 July 2007

Return Swap Component Definitions

Version: 4.3

This Version:

http://www.fpml.org/spec/2007/wd-fpml-4-3-2007-07-05

Latest Version:

http://www.fpml.org/spec/2007/wd-fpml-4-3-2007-07-05

Previous Version:

http://www.fpml.org/spec/2007/wd-fpml-4-3-2007-05-14/

Errata for this Version:

http://www.fpml.org/spec/errata/wd-fpml-4-3-2007-07-05-errata.html

Document built: Mon 07/09/2007 14:43:01.39


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.


Contents

Global Simple Types

Global Complex Types
DeprecatedEquityLeg
DeprecatedEquityLegValuation
DeprecatedEquityLegValuationPrice
DeprecatedEquityPaymentDates
DividendLeg
DividendPeriodPayment
DividendSwapTransactionSupplement
EquitySwapTransactionSupplement
FixedPaymentAmount
FixedPaymentLeg

Global Elements
dividendSwapTransactionSupplement
equityLeg
equitySwap
equitySwapTransactionSupplement

Groups

Schema Listing

Global Simple Types

The schema does not contain any global simple types.


Global Complex Types

DeprecatedEquityLeg

Description:

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.

Figure:

Contents:

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)

Used by:

Extension of:

Schema Fragment:

<xsd:complexType name="DeprecatedEquityLeg" dec:deprecated="true" dec:deprecatedReason="It has been made more generic as ReturnLeg to cover return swap type products.">
  <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>

DeprecatedEquityLegValuation

Description:

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.

Figure:

Contents:

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)

Used by:

Schema Fragment:

<xsd:complexType name="DeprecatedEquityLegValuation" dec:deprecated="true" dec:deprecatedReason="It has been made more generic as ReturnLegValuation to cover return swap type products.">
  <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>

DeprecatedEquityLegValuationPrice

Description:

This type has been DEPRECATED. It will be removed in the next FpML major version.

Figure:

Contents:

Inherited element(s): (This definition inherits the content defined by the type Price)

equityValuation (zero or one occurrence; of the type EquityValuation)

Used by:

Extension of:

Schema Fragment:

<xsd:complexType name="DeprecatedEquityLegValuationPrice" dec:deprecated="true" dec:deprecatedReason="It has been made more generic as ReturnLegValuationPrice to cover return swap type products.">
  <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>

DeprecatedEquityPaymentDates

Description:

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.

Figure:

Contents:

equityPaymentDatesInterim (zero or one occurrence; of the type AdjustableOrRelativeDates)

equityPaymentDateFinal (exactly one occurrence; of the type AdjustableOrRelativeDate)

Attribute: id (xsd:ID)

Used by:

Schema Fragment:

<xsd:complexType name="DeprecatedEquityPaymentDates" dec:deprecated="true" dec:deprecatedReason="It has been made more generic as ReturnLegPaymentDates to cover return swap type products.">
  <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>

DividendLeg

Description:

Floating Payment Leg of a Dividend Swap

Figure:

Contents:

Inherited element(s): (This definition inherits the content defined by the type DirectionalLeg)

underlyer (exactly one occurrence; of the type Underlyer)

settlementCurrency (exactly one occurrence; of the type Currency)

declaredCashDividendPercentage (exactly one occurrence; of the type UnrestrictedPercentage)

declaredCashEquivalentDividendPercentage (exactly one occurrence; of the type UnrestrictedPercentage)

dividendPeriod (one or more occurrences; of the type DividendPeriodPayment)

Used by:

Extension of:

Schema Fragment:

<xsd:complexType name="DividendLeg">
  <xsd:annotation>
    <xsd:documentation xml:lang="en">
      Floating Payment Leg of a Dividend Swap
    </xsd:documentation>
  </xsd:annotation>
  <xsd:complexContent>
    <xsd:extension base="DirectionalLeg">
      <xsd:sequence>
        <xsd:element name="underlyer" type="Underlyer">
          <xsd:annotation>
            <xsd:documentation xml:lang="en">
              Specifies the underlying component of the dividend swap,
              which can be either one or many, and consists of equity,
              index, or basket underlyer.
            </xsd:documentation>
          </xsd:annotation>
        </xsd:element>
        <xsd:element name="settlementCurrency" type="Currency">
          <xsd:annotation>
            <xsd:documentation xml:lang="en">
              Settlement Currency.
            </xsd:documentation>
          </xsd:annotation>
        </xsd:element>
        <xsd:element name="declaredCashDividendPercentage" type="UnrestrictedPercentage">
          <xsd:annotation>
            <xsd:documentation xml:lang="en">
              Declared Cash Dividend Percentage.
            </xsd:documentation>
          </xsd:annotation>
        </xsd:element>
        <xsd:element name="declaredCashEquivalentDividendPercentage" type="UnrestrictedPercentage">
          <xsd:annotation>
            <xsd:documentation xml:lang="en">
              Declared Cash Equivalent Dividend Percentage.
            </xsd:documentation>
          </xsd:annotation>
        </xsd:element>
        <xsd:element name="dividendPeriod" type="DividendPeriodPayment" maxOccurs="unbounded">
          <xsd:annotation>
            <xsd:documentation xml:lang="en">
              One to many time bounded dividend payment periods, each
              with a fixed strike and dividend payment date per period.
            </xsd:documentation>
          </xsd:annotation>
        </xsd:element>
      </xsd:sequence>
    </xsd:extension>
  </xsd:complexContent>
</xsd:complexType>

DividendPeriodPayment

Description:

A time bounded dividend period, with fixed strike and a dividend payment date per period.

Figure:

Contents:

unadjustedStartDate (exactly one occurrence; of the type IdentifiedDate)

unadjustedEndDate (exactly one occurrence; of the type IdentifiedDate)

dateAdjustments (exactly one occurrence; of the type BusinessDayAdjustments)

fixedStrike (exactly one occurrence; of the type xsd:decimal)

paymentDate (exactly one occurrence; of the type AdjustableOrRelativeDate)

Attribute: id (xsd:ID)

Used by:

Schema Fragment:

<xsd:complexType name="DividendPeriodPayment">
  <xsd:annotation>
    <xsd:documentation xml:lang="en">
      A time bounded dividend period, with fixed strike and a dividend
      payment date per period.
    </xsd:documentation>
  </xsd:annotation>
  <xsd:sequence>
    <xsd:element name="unadjustedStartDate" type="IdentifiedDate">
      <xsd:annotation>
        <xsd:documentation xml:lang="en">
          Unadjusted inclusive dividend period start date.
        </xsd:documentation>
      </xsd:annotation>
    </xsd:element>
    <xsd:element name="unadjustedEndDate" type="IdentifiedDate">
      <xsd:annotation>
        <xsd:documentation xml:lang="en">
          Unadjusted inclusive dividend period end date.
        </xsd:documentation>
      </xsd:annotation>
    </xsd:element>
    <xsd:element name="dateAdjustments" type="BusinessDayAdjustments">
      <xsd:annotation>
        <xsd:documentation xml:lang="en">
          Date adjustments for all unadjusted dates in this dividend
          period.
        </xsd:documentation>
      </xsd:annotation>
    </xsd:element>
    <xsd:element name="fixedStrike" type="xsd:decimal">
      <xsd:annotation>
        <xsd:documentation xml:lang="en">
          Fixed strike.
        </xsd:documentation>
      </xsd:annotation>
    </xsd:element>
    <xsd:element name="paymentDate" type="AdjustableOrRelativeDate">
      <xsd:annotation>
        <xsd:documentation xml:lang="en">
          Dividend period amount payment date.
        </xsd:documentation>
      </xsd:annotation>
    </xsd:element>
  </xsd:sequence>
  <xsd:attribute name="id" type="xsd:ID"/>
</xsd:complexType>

DividendSwapTransactionSupplement

Description:

A Dividend Swap Transaction Supplement.

Figure:

Contents:

Inherited element(s): (This definition inherits the content defined by the type Product)

dividendLeg (exactly one occurrence; of the type DividendLeg)

fixedLeg (exactly one occurrence; of the type FixedPaymentLeg)

Used by:

Extension of:

Schema Fragment:

<xsd:complexType name="DividendSwapTransactionSupplement">
  <xsd:annotation>
    <xsd:documentation xml:lang="en">
      A Dividend Swap Transaction Supplement.
    </xsd:documentation>
  </xsd:annotation>
  <xsd:complexContent>
    <xsd:extension base="Product">
      <xsd:sequence>
        <xsd:element name="dividendLeg" type="DividendLeg">
          <xsd:annotation>
            <xsd:documentation xml:lang="en">
              Dividend leg.
            </xsd:documentation>
          </xsd:annotation>
        </xsd:element>
        <xsd:element name="fixedLeg" type="FixedPaymentLeg">
          <xsd:annotation>
            <xsd:documentation xml:lang="en">
              Fixed payment leg.
            </xsd:documentation>
          </xsd:annotation>
        </xsd:element>
      </xsd:sequence>
    </xsd:extension>
  </xsd:complexContent>
</xsd:complexType>

EquitySwapTransactionSupplement

Description:

A type for defining Equity Swap Transaction Supplement

Figure:

Contents:

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)

localJurisdiction (zero or one occurrence; of the type Country)

Used by:

Extension of:

Schema Fragment:

<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:element name="localJurisdiction" type="Country" minOccurs="0">
          <xsd:annotation>
            <xsd:documentation xml:lang="en">
              Local Jurisdiction is a term used in the AEJ Master
              Confirmation, which is used to determine local taxes,
              which shall mean taxes, duties, and similar charges
              imposed by the taxing authority of the Local Jurisdiction
              If this element is not present Local Jurisdiction is Not
              Applicable
            </xsd:documentation>
          </xsd:annotation>
        </xsd:element>
      </xsd:sequence>
    </xsd:extension>
  </xsd:complexContent>
</xsd:complexType>

FixedPaymentAmount

Description:

Fixed payment amount

Figure:

Contents:

paymentAmount (exactly one occurrence; of the type Money)

paymentDate (exactly one occurrence; of the type RelativeDateOffset)

Used by:

Schema Fragment:

<xsd:complexType name="FixedPaymentAmount">
  <xsd:annotation>
    <xsd:documentation xml:lang="en">
      Fixed payment amount
    </xsd:documentation>
  </xsd:annotation>
  <xsd:sequence>
    <xsd:element name="paymentAmount" type="Money">
      <xsd:annotation>
        <xsd:documentation xml:lang="en">
          Payment amount.
        </xsd:documentation>
      </xsd:annotation>
    </xsd:element>
    <xsd:element name="paymentDate" type="RelativeDateOffset">
      <xsd:annotation>
        <xsd:documentation xml:lang="en">
          Payment date relative to another date.
        </xsd:documentation>
      </xsd:annotation>
    </xsd:element>
  </xsd:sequence>
</xsd:complexType>

FixedPaymentLeg

Description:

Fixed Payment Leg of a Dividend Swap.

Figure:

Contents:

Inherited element(s): (This definition inherits the content defined by the type DirectionalLeg)

fixedPayment (one or more occurrences; of the type FixedPaymentAmount)

Used by:

Extension of:

Schema Fragment:

<xsd:complexType name="FixedPaymentLeg">
  <xsd:annotation>
    <xsd:documentation xml:lang="en">
      Fixed Payment Leg of a Dividend Swap.
    </xsd:documentation>
  </xsd:annotation>
  <xsd:complexContent>
    <xsd:extension base="DirectionalLeg">
      <xsd:sequence>
        <xsd:element name="fixedPayment" type="FixedPaymentAmount" maxOccurs="unbounded">
          <xsd:annotation>
            <xsd:documentation xml:lang="en">
              Fixed payment of a dividend swap, payment date is
              relative to a dividend period payment date. Commonly the
              dividend leg and the fixed payment leg will pay out on
              the same date, and the payments will be netted.
            </xsd:documentation>
          </xsd:annotation>
        </xsd:element>
      </xsd:sequence>
    </xsd:extension>
  </xsd:complexContent>
</xsd:complexType>

Global Elements

dividendSwapTransactionSupplement

Description:

Specifies the structure of the dividend swap transaction supplement.

Figure:

Contents:

Element dividendSwapTransactionSupplement is defined by the complex type DividendSwapTransactionSupplement

Used by:

Schema Fragment:

<xsd:element name="dividendSwapTransactionSupplement" type="DividendSwapTransactionSupplement" substitutionGroup="product">
  <xsd:annotation>
    <xsd:documentation xml:lang="en">
      Specifies the structure of the dividend swap transaction
      supplement.
    </xsd:documentation>
  </xsd:annotation>
</xsd:element>

equityLeg

Description:

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

Figure:

Contents:

Element equityLeg is defined by the complex type DeprecatedEquityLeg

Used by:

Schema Fragment:

<xsd:element name="equityLeg" type="DeprecatedEquityLeg" substitutionGroup="returnSwapLeg" dec:deprecated="true" dec:deprecatedReason="It has been made more generic as returnLeg to cover return swap type products.">
  <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>

equitySwap

Description:

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.

Figure:

Contents:

Element equitySwap is defined by the complex type ReturnSwap

Used by:

Schema Fragment:

<xsd:element name="equitySwap" type="ReturnSwap" substitutionGroup="product" dec:deprecated="true" dec:deprecatedReason="It has been made more generic as returnSwap to cover return swap type products.">
  <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>

equitySwapTransactionSupplement

Description:

Specifies the structure of the equity swap transaction supplement

Figure:

Contents:

Element equitySwapTransactionSupplement is defined by the complex type EquitySwapTransactionSupplement

Used by:

Schema Fragment:

<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>

Groups

The schema does not contain any groups.


Full XML Schema

<xsd:schema targetNamespace="http://www.fpml.org/2007/FpML-4-3" elementFormDefault="qualified" attributeFormDefault="unqualified" version="$Revision: 918 $" ecore:nsPrefix="fpml" ecore:package="org.fpml" ecore:documentRoot="FpML">
  <xsd:include schemaLocation="fpml-ird.xsd"/>
  <xsd:include schemaLocation="fpml-eq-shared.xsd"/>
  <xsd:complexType name="DeprecatedEquityLeg" dec:deprecated="true" dec:deprecatedReason="It has been made more generic as ReturnLeg to cover return swap type products.">
    <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" dec:deprecated="true" dec:deprecatedReason="It has been made more generic as ReturnLegValuation to cover return swap type products.">
    <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" dec:deprecated="true" dec:deprecatedReason="It has been made more generic as ReturnLegValuationPrice to cover return swap type products.">
    <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" dec:deprecated="true" dec:deprecatedReason="It has been made more generic as ReturnLegPaymentDates to cover return swap type products.">
    <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="DividendLeg">
    <xsd:annotation>
      <xsd:documentation xml:lang="en">
        Floating Payment Leg of a Dividend Swap
      </xsd:documentation>
    </xsd:annotation>
    <xsd:complexContent>
      <xsd:extension base="DirectionalLeg">
        <xsd:sequence>
          <xsd:element name="underlyer" type="Underlyer">
            <xsd:annotation>
              <xsd:documentation xml:lang="en">
                Specifies the underlying component of the dividend
                swap, which can be either one or many, and consists of
                equity, index, or basket underlyer.
              </xsd:documentation>
            </xsd:annotation>
          </xsd:element>
          <xsd:element name="settlementCurrency" type="Currency">
            <xsd:annotation>
              <xsd:documentation xml:lang="en">
                Settlement Currency.
              </xsd:documentation>
            </xsd:annotation>
          </xsd:element>
          <xsd:element name="declaredCashDividendPercentage" type="UnrestrictedPercentage">
            <xsd:annotation>
              <xsd:documentation xml:lang="en">
                Declared Cash Dividend Percentage.
              </xsd:documentation>
            </xsd:annotation>
          </xsd:element>
          <xsd:element name="declaredCashEquivalentDividendPercentage" type="UnrestrictedPercentage">
            <xsd:annotation>
              <xsd:documentation xml:lang="en">
                Declared Cash Equivalent Dividend Percentage.
              </xsd:documentation>
            </xsd:annotation>
          </xsd:element>
          <xsd:element name="dividendPeriod" type="DividendPeriodPayment" maxOccurs="unbounded">
            <xsd:annotation>
              <xsd:documentation xml:lang="en">
                One to many time bounded dividend payment periods, each
                with a fixed strike and dividend payment date per
                period.
              </xsd:documentation>
            </xsd:annotation>
          </xsd:element>
        </xsd:sequence>
      </xsd:extension>
    </xsd:complexContent>
  </xsd:complexType>
  <xsd:complexType name="DividendPeriodPayment">
    <xsd:annotation>
      <xsd:documentation xml:lang="en">
        A time bounded dividend period, with fixed strike and a
        dividend payment date per period.
      </xsd:documentation>
    </xsd:annotation>
    <xsd:sequence>
      <xsd:element name="unadjustedStartDate" type="IdentifiedDate">
        <xsd:annotation>
          <xsd:documentation xml:lang="en">
            Unadjusted inclusive dividend period start date.
          </xsd:documentation>
        </xsd:annotation>
      </xsd:element>
      <xsd:element name="unadjustedEndDate" type="IdentifiedDate">
        <xsd:annotation>
          <xsd:documentation xml:lang="en">
            Unadjusted inclusive dividend period end date.
          </xsd:documentation>
        </xsd:annotation>
      </xsd:element>
      <xsd:element name="dateAdjustments" type="BusinessDayAdjustments">
        <xsd:annotation>
          <xsd:documentation xml:lang="en">
            Date adjustments for all unadjusted dates in this dividend
            period.
          </xsd:documentation>
        </xsd:annotation>
      </xsd:element>
      <xsd:element name="fixedStrike" type="xsd:decimal">
        <xsd:annotation>
          <xsd:documentation xml:lang="en">
            Fixed strike.
          </xsd:documentation>
        </xsd:annotation>
      </xsd:element>
      <xsd:element name="paymentDate" type="AdjustableOrRelativeDate">
        <xsd:annotation>
          <xsd:documentation xml:lang="en">
            Dividend period amount payment date.
          </xsd:documentation>
        </xsd:annotation>
      </xsd:element>
    </xsd:sequence>
    <xsd:attribute name="id" type="xsd:ID"/>
  </xsd:complexType>
  <xsd:complexType name="DividendSwapTransactionSupplement">
    <xsd:annotation>
      <xsd:documentation xml:lang="en">
        A Dividend Swap Transaction Supplement.
      </xsd:documentation>
    </xsd:annotation>
    <xsd:complexContent>
      <xsd:extension base="Product">
        <xsd:sequence>
          <xsd:element name="dividendLeg" type="DividendLeg">
            <xsd:annotation>
              <xsd:documentation xml:lang="en">
                Dividend leg.
              </xsd:documentation>
            </xsd:annotation>
          </xsd:element>
          <xsd:element name="fixedLeg" type="FixedPaymentLeg">
            <xsd:annotation>
              <xsd:documentation xml:lang="en">
                Fixed payment leg.
              </xsd:documentation>
            </xsd:annotation>
          </xsd:element>
        </xsd:sequence>
      </xsd:extension>
    </xsd:complexContent>
  </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:element name="localJurisdiction" type="Country" minOccurs="0">
            <xsd:annotation>
              <xsd:documentation xml:lang="en">
                Local Jurisdiction is a term used in the AEJ Master
                Confirmation, which is used to determine local taxes,
                which shall mean taxes, duties, and similar charges
                imposed by the taxing authority of the Local
                Jurisdiction If this element is not present Local
                Jurisdiction is Not Applicable
              </xsd:documentation>
            </xsd:annotation>
          </xsd:element>
        </xsd:sequence>
      </xsd:extension>
    </xsd:complexContent>
  </xsd:complexType>
  <xsd:complexType name="FixedPaymentAmount">
    <xsd:annotation>
      <xsd:documentation xml:lang="en">
        Fixed payment amount
      </xsd:documentation>
    </xsd:annotation>
    <xsd:sequence>
      <xsd:element name="paymentAmount" type="Money">
        <xsd:annotation>
          <xsd:documentation xml:lang="en">
            Payment amount.
          </xsd:documentation>
        </xsd:annotation>
      </xsd:element>
      <xsd:element name="paymentDate" type="RelativeDateOffset">
        <xsd:annotation>
          <xsd:documentation xml:lang="en">
            Payment date relative to another date.
          </xsd:documentation>
        </xsd:annotation>
      </xsd:element>
    </xsd:sequence>
  </xsd:complexType>
  <xsd:complexType name="FixedPaymentLeg">
    <xsd:annotation>
      <xsd:documentation xml:lang="en">
        Fixed Payment Leg of a Dividend Swap.
      </xsd:documentation>
    </xsd:annotation>
    <xsd:complexContent>
      <xsd:extension base="DirectionalLeg">
        <xsd:sequence>
          <xsd:element name="fixedPayment" type="FixedPaymentAmount" maxOccurs="unbounded">
            <xsd:annotation>
              <xsd:documentation xml:lang="en">
                Fixed payment of a dividend swap, payment date is
                relative to a dividend period payment date. Commonly
                the dividend leg and the fixed payment leg will pay out
                on the same date, and the payments will be netted.
              </xsd:documentation>
            </xsd:annotation>
          </xsd:element>
        </xsd:sequence>
      </xsd:extension>
    </xsd:complexContent>
  </xsd:complexType>
  <xsd:element name="dividendSwapTransactionSupplement" type="DividendSwapTransactionSupplement" substitutionGroup="product">
    <xsd:annotation>
      <xsd:documentation xml:lang="en">
        Specifies the structure of the dividend swap transaction
        supplement.
      </xsd:documentation>
    </xsd:annotation>
  </xsd:element>
  <xsd:element name="equityLeg" type="DeprecatedEquityLeg" substitutionGroup="returnSwapLeg" dec:deprecated="true" dec:deprecatedReason="It has been made more generic as returnLeg to cover return swap type products.">
    <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" dec:deprecated="true" dec:deprecatedReason="It has been made more generic as returnSwap to cover return swap type products.">
    <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>