http://www.fpml.org/spec/fpml-4-3-10-rec-1
http://www.fpml.org/spec/fpml-4-3-10-rec-1
http://www.fpml.org/spec/fpml-4-3-9-tr-1/
http://www.fpml.org/spec/fpml-4-3-10-rec-1/html/fpml-4-3-errata.html
Document built: Thu 02/07/2008 16:14:47.16
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.
A type for defining ISDA 2002 Equity Derivative Additional Disruption Events
changeInLaw (exactly one occurrence; of the type xsd:boolean)
failureToDeliver (zero or one occurrence; of the type xsd:boolean)
insolvencyFiling (exactly one occurrence; of the type xsd:boolean)
hedgingDisruption (exactly one occurrence; of the type xsd:boolean)
lossOfStockBorrow (exactly one occurrence; of the type xsd:boolean)
increasedCostOfStockBorrow (exactly one occurrence; of the type xsd:boolean)
increasedCostOfHedging (exactly one occurrence; of the type xsd:boolean)
determiningPartyReference (exactly one occurrence; of the type PartyReference)
<xsd:complexType name="AdditionalDisruptionEvents">
<xsd:annotation>
<xsd:documentation xml:lang="en">
A type for defining ISDA 2002 Equity Derivative Additional
Disruption Events
</xsd:documentation>
</xsd:annotation>
<xsd:sequence>
<xsd:element name="changeInLaw" type="xsd:boolean">
<xsd:annotation>
<xsd:documentation xml:lang="en">
If true, then change in law is applicable
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="failureToDeliver" type="xsd:boolean" minOccurs="0">
<xsd:annotation>
<xsd:documentation xml:lang="en">
Where the underlying is shares and the transaction is
physically settled, then, if true, a failure to deliver the
shares on the settlement date will not be an event of default
for the purposes of the master agreement.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="insolvencyFiling" type="xsd:boolean">
<xsd:annotation>
<xsd:documentation xml:lang="en">
If true, then insolvency filing is applicable
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="hedgingDisruption" type="xsd:boolean">
<xsd:annotation>
<xsd:documentation xml:lang="en">
If true, then hedging disruption is applicable
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="lossOfStockBorrow" type="xsd:boolean">
<xsd:annotation>
<xsd:documentation xml:lang="en">
If true, then loss of stock borrow is applicable
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="increasedCostOfStockBorrow" type="xsd:boolean">
<xsd:annotation>
<xsd:documentation xml:lang="en">
If true, then increased cost of stock borrow is applicable
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="increasedCostOfHedging" type="xsd:boolean">
<xsd:annotation>
<xsd:documentation xml:lang="en">
If true, then increased cost of hedging is applicable
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="determiningPartyReference" type="PartyReference">
<xsd:annotation>
<xsd:documentation xml:lang="en">
A reference to the party which determines additional
disruption events
</xsd:documentation>
</xsd:annotation>
</xsd:element>
</xsd:sequence>
</xsd:complexType>
Specifies the amount of the fee along with, when applicable, the formula that supports its determination.
paymentAmount (zero or one occurrence; of the type Money)
formula (zero or one occurrence; of the type Formula)
<xsd:complexType name="AdditionalPaymentAmount">
<xsd:annotation>
<xsd:documentation xml:lang="en">
Specifies the amount of the fee along with, when applicable, the
formula that supports its determination.
</xsd:documentation>
</xsd:annotation>
<xsd:sequence>
<xsd:element name="paymentAmount" type="Money" minOccurs="0">
<xsd:annotation>
<xsd:documentation xml:lang="en">
The currency amount of the payment.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="formula" type="Formula" minOccurs="0">
<xsd:annotation>
<xsd:documentation xml:lang="en">
Specifies a formula, with its description and components.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
</xsd:sequence>
</xsd:complexType>
A type describing a date defined as subject to adjustment or defined in reference to another date through one or several date offsets.
adjustableDate (exactly one occurrence; of the type AdjustableDate)
Or
relativeDateSequence (exactly one occurrence; of the type RelativeDateSequence)
Attribute: id (xsd:ID)
<xsd:complexType name="AdjustableDateOrRelativeDateSequence">
<xsd:annotation>
<xsd:documentation xml:lang="en">
A type describing a date defined as subject to adjustment or
defined in reference to another date through one or several date
offsets.
</xsd:documentation>
</xsd:annotation>
<xsd:choice>
<xsd:element name="adjustableDate" type="AdjustableDate">
<xsd:annotation>
<xsd:documentation xml:lang="en">
A date that shall be subject to adjustment if it would
otherwise fall on a day that is not a business day in the
specified business centers, together with the convention for
adjusting the date.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="relativeDateSequence" type="RelativeDateSequence">
<xsd:annotation>
<xsd:documentation xml:lang="en">
A date specified in relation to some other date defined in
the document (the anchor date), where there is the
opportunity to specify a combination of offset rules. This
component will typically be used for defining the valuation
date in relation to the payment date, as both the currency
and the exchange holiday calendars need to be considered.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
</xsd:choice>
<xsd:attribute name="id" type="xsd:ID"/>
</xsd:complexType>
A type describing correlation bounds, which form a cap and a floor on the realized correlation.
minimumBoundaryPercent (zero or one occurrence; of the type xsd:decimal)
maximumBoundaryPercent (zero or one occurrence; of the type xsd:decimal)
<xsd:complexType name="BoundedCorrelation">
<xsd:annotation>
<xsd:documentation xml:lang="en">
A type describing correlation bounds, which form a cap and a
floor on the realized correlation.
</xsd:documentation>
</xsd:annotation>
<xsd:sequence>
<xsd:element name="minimumBoundaryPercent" type="xsd:decimal" minOccurs="0">
<xsd:annotation>
<xsd:documentation xml:lang="en">
Minimum Boundary as a percentage of the Strike Price.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="maximumBoundaryPercent" type="xsd:decimal" minOccurs="0">
<xsd:annotation>
<xsd:documentation xml:lang="en">
Maximum Boundary as a percentage of the Strike Price.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
</xsd:sequence>
</xsd:complexType>
A type describing variance bounds, which are used to exclude money price values outside of the specified range In a Up Conditional Swap Underlyer price must be equal to or higher than Lower Barrier In a Down Conditional Swap Underlyer price must be equal to or lower than Upper Barrier In a Corridor Conditional Swap Underlyer price must be equal to or higher than Lower Barrier and must be equal to or lower than Upper Barrier.
realisedVarianceMethod (exactly one occurrence; of the type RealisedVarianceMethodEnum)
daysInRangeAdjustment (exactly one occurrence; of the type xsd:boolean)
upperBarrier (zero or one occurrence; of the type NonNegativeDecimal)
lowerBarrier (zero or one occurrence; of the type NonNegativeDecimal)
<xsd:complexType name="BoundedVariance">
<xsd:annotation>
<xsd:documentation xml:lang="en">
A type describing variance bounds, which are used to exclude
money price values outside of the specified range In a Up
Conditional Swap Underlyer price must be equal to or higher than
Lower Barrier In a Down Conditional Swap Underlyer price must be
equal to or lower than Upper Barrier In a Corridor Conditional
Swap Underlyer price must be equal to or higher than Lower
Barrier and must be equal to or lower than Upper Barrier.
</xsd:documentation>
</xsd:annotation>
<xsd:sequence>
<xsd:element name="realisedVarianceMethod" type="RealisedVarianceMethodEnum">
<xsd:annotation>
<xsd:documentation xml:lang="en">
The contract specifies whether which price must satisfy the
boundary condition.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="daysInRangeAdjustment" type="xsd:boolean">
<xsd:annotation>
<xsd:documentation xml:lang="en">
The contract specifies whether the notional should be scaled
by the Number of Days in Range divided by the Expected N. The
number of Days in Ranges refers to the number of returns that
contribute to the realized volatility.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="upperBarrier" type="NonNegativeDecimal" minOccurs="0">
<xsd:annotation>
<xsd:documentation xml:lang="en">
All observations above this price level will be excluded from
the variance calculation.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="lowerBarrier" type="NonNegativeDecimal" minOccurs="0">
<xsd:annotation>
<xsd:documentation xml:lang="en">
All observations below this price level will be excluded from
the variance calculation.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
</xsd:sequence>
</xsd:complexType>
An abstract base class for all calculated money amounts, which are in the currency of the cash multiplier of the calculation.
calculationDates (zero or one occurrence; of the type AdjustableRelativeOrPeriodicDates)
observationStartDate (zero or one occurrence; of the type AdjustableOrRelativeDate)
optionsExchangeDividends (zero or one occurrence; of the type xsd:boolean)
additionalDividends (zero or one occurrence; of the type xsd:boolean)
allDividends (zero or one occurrence; of the type xsd:boolean)
<xsd:complexType name="CalculatedAmount" abstract="true">
<xsd:annotation>
<xsd:documentation xml:lang="en">
An abstract base class for all calculated money amounts, which
are in the currency of the cash multiplier of the calculation.
</xsd:documentation>
</xsd:annotation>
<xsd:sequence>
<xsd:element name="calculationDates" type="AdjustableRelativeOrPeriodicDates" minOccurs="0">
<xsd:annotation>
<xsd:documentation xml:lang="en">
Specifies the date on which a calculation or an observation
will be performed for the purpose of calculating the amount.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="observationStartDate" type="AdjustableOrRelativeDate" minOccurs="0">
<xsd:annotation>
<xsd:documentation xml:lang="en">
The start of the period over which observations are made
which are used in the calculation Used when the observation
start date differs from the trade date such as for forward
starting swaps.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="optionsExchangeDividends" type="xsd:boolean" minOccurs="0">
<xsd:annotation>
<xsd:documentation xml:lang="en">
If present and true, then options exchange dividends are
applicable.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="additionalDividends" type="xsd:boolean" minOccurs="0">
<xsd:annotation>
<xsd:documentation xml:lang="en">
If present and true, then additional dividends are
applicable.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="allDividends" type="xsd:boolean" minOccurs="0">
<xsd:annotation>
<xsd:documentation xml:lang="en">
Represents the European Master Confirmation value of 'All
Dividends' which, when applicable, signifies that, for a
given Ex-Date, the daily observed Share Price for that day is
adjusted (reduced) by the cash dividend and/or the cash value
of any non cash dividend per Share (including Extraordinary
Dividends) declared by the Issuer.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
</xsd:sequence>
</xsd:complexType>
Abstract base class for all calculation from observed values
initialLevel (exactly one occurrence; of the type xsd:decimal)
Or
closingLevel (exactly one occurrence; of the type xsd:boolean)
Or
expiringLevel (exactly one occurrence; of the type xsd:boolean)
expectedN (zero or one occurrence; of the type xsd:positiveInteger)
<xsd:complexType name="CalculationFromObservation" abstract="true">
<xsd:annotation>
<xsd:documentation xml:lang="en">
Abstract base class for all calculation from observed values
</xsd:documentation>
</xsd:annotation>
<xsd:sequence>
<xsd:choice>
<xsd:element name="initialLevel" type="xsd:decimal">
<xsd:annotation>
<xsd:documentation xml:lang="en">
Contract will strike off this initial level
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="closingLevel" type="xsd:boolean">
<xsd:annotation>
<xsd:documentation xml:lang="en">
If true this contract will strike off the closing level of
the default exchange traded contract
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="expiringLevel" type="xsd:boolean">
<xsd:annotation>
<xsd:documentation xml:lang="en">
If true this contract will strike off the expiring level of
the default exchange traded contract
</xsd:documentation>
</xsd:annotation>
</xsd:element>
</xsd:choice>
<xsd:element name="expectedN" type="xsd:positiveInteger" minOccurs="0">
<xsd:annotation>
<xsd:documentation xml:lang="en">
Expected number of trading days
</xsd:documentation>
</xsd:annotation>
</xsd:element>
</xsd:sequence>
</xsd:complexType>
Specifies the compounding method and the compounding rate.
compoundingMethod (exactly one occurrence; of the type CompoundingMethodEnum)
compoundingRate (exactly one occurrence; of the type CompoundingRate)
<xsd:complexType name="Compounding">
<xsd:annotation>
<xsd:documentation xml:lang="en">
Specifies the compounding method and the compounding rate.
</xsd:documentation>
</xsd:annotation>
<xsd:sequence>
<xsd:element name="compoundingMethod" type="CompoundingMethodEnum">
<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:element name="compoundingRate" type="CompoundingRate">
<xsd:annotation>
<xsd:documentation xml:lang="en">
Defines a compounding rate. The compounding interest can
either point back to the interest calculation node on the
Interest Leg, or be defined specifically.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
</xsd:sequence>
</xsd:complexType>
A type defining a compounding rate. The compounding interest can either point back to the interest calculation node on the Interest Leg, or be defined specifically.
interestLegRate (exactly one occurrence; of the type InterestCalculationReference)
Or
specificRate (exactly one occurrence; of the type InterestAccrualsMethod)
<xsd:complexType name="CompoundingRate">
<xsd:annotation>
<xsd:documentation xml:lang="en">
A type defining a compounding rate. The compounding interest can
either point back to the interest calculation node on the
Interest Leg, or be defined specifically.
</xsd:documentation>
</xsd:annotation>
<xsd:choice>
<xsd:element name="interestLegRate" type="InterestCalculationReference">
<xsd:annotation>
<xsd:documentation xml:lang="en">
Reference to the interest calculation node on the Interest
Leg.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="specificRate" type="InterestAccrualsMethod">
<xsd:annotation>
<xsd:documentation xml:lang="en">
Defines a specific rate.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
</xsd:choice>
</xsd:complexType>
A type describing the correlation amount of a correlation swap
Inherited element(s): (This definition inherits the content defined by the type CalculationFromObservation)
notionalAmount (exactly one occurrence; of the type Money)
correlationStrikePrice (exactly one occurrence; of the type CorrelationValue)
boundedCorrelation (zero or one occurrence; of the type BoundedCorrelation)
numberOfDataSeries (zero or one occurrence; of the type xsd:positiveInteger)
<xsd:complexType name="Correlation">
<xsd:annotation>
<xsd:documentation xml:lang="en">
A type describing the correlation amount of a correlation swap
</xsd:documentation>
</xsd:annotation>
<xsd:complexContent>
<xsd:extension base="CalculationFromObservation">
<xsd:sequence>
<xsd:element name="notionalAmount" type="Money">
<xsd:annotation>
<xsd:documentation xml:lang="en">
Notional amount, which is a cash multiplier
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="correlationStrikePrice" type="CorrelationValue">
<xsd:annotation>
<xsd:documentation xml:lang="en">
Correlation Strike Price
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="boundedCorrelation" type="BoundedCorrelation" minOccurs="0">
<xsd:annotation>
<xsd:documentation xml:lang="en">
Bounded Correlation
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="numberOfDataSeries" type="xsd:positiveInteger" minOccurs="0">
<xsd:annotation>
<xsd:documentation xml:lang="en">
Number of data series, normal market practice is that
correlation data sets are drawn from geographic market
areas, such as America, Europe and Asia Pacific, each of
these geographic areas will have its own data series to
avoid contagion
</xsd:documentation>
</xsd:annotation>
</xsd:element>
</xsd:sequence>
</xsd:extension>
</xsd:complexContent>
</xsd:complexType>
DEPRECATED This type will be removed in the next FpML major version. A type describing the variance amount of a variance swap.
initialLevel (exactly one occurrence; of the type xsd:decimal)
Or
closingLevel (exactly one occurrence; of the type xsd:boolean)
varianceAmount (exactly one occurrence; of the type Money)
volatilityStrikePrice (exactly one occurrence; of the type xsd:decimal)
Or
varianceStrikePrice (exactly one occurrence; of the type xsd:decimal)
expectedN (zero or one occurrence; of the type xsd:integer)
varianceCap (zero or one occurrence; of the type xsd:boolean)
unadjustedVarianceCap (zero or one occurrence; of the type xsd:decimal)
exchangeTradedContractNearest (zero or one occurrence; of the type ExchangeTradedContract)
vegaNotionalAmount (zero or one occurrence; of the type xsd:decimal)
<xsd:complexType name="DeprecatedVariance" fpml-annotation:deprecated="true" fpml-annotation:deprecatedReason="Use new Variance complex type">
<xsd:annotation>
<xsd:documentation xml:lang="en">
DEPRECATED This type will be removed in the next FpML major
version. A type describing the variance amount of a variance
swap.
</xsd:documentation>
</xsd:annotation>
<xsd:sequence>
<xsd:choice>
<xsd:element name="initialLevel" type="xsd:decimal"/>
<xsd:element name="closingLevel" type="xsd:boolean"/>
</xsd:choice>
<xsd:element name="varianceAmount" type="Money"/>
<xsd:choice>
<xsd:element name="volatilityStrikePrice" type="xsd:decimal"/>
<xsd:element name="varianceStrikePrice" type="xsd:decimal"/>
</xsd:choice>
<xsd:element name="expectedN" type="xsd:integer" minOccurs="0"/>
<xsd:element name="varianceCap" type="xsd:boolean" minOccurs="0"/>
<xsd:element name="unadjustedVarianceCap" type="xsd:decimal" minOccurs="0">
<xsd:annotation>
<xsd:documentation xml:lang="en">
For use when varianceCap is applicable. Contains the scaling
factor of the Variance Cap that can differ on a
trade-by-trade basis in the European market. For example, a
Variance Cap of 2.5^2 x Variance Strike Price has an
unadjustedVarianceCap of 2.5.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="exchangeTradedContractNearest" type="ExchangeTradedContract" minOccurs="0"/>
<xsd:element name="vegaNotionalAmount" type="xsd:decimal" minOccurs="0">
<xsd:annotation>
<xsd:documentation xml:lang="en">
Vega Notional represents the approximate gain/loss at
maturity for a 1% difference between RVol (realised vol) and
KVol (strike vol). It does not necessarily represent the Vega
Risk of the trade.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
</xsd:sequence>
</xsd:complexType>
DEPRECATED This type will be removed in the next FpML major version. Return Swap model should not be used for Variance Swaps, use the Variance Swap Product. Specifies, in relation to each Equity Payment Date, the amount to which the Equity Payment Date relates for Variance Swaps. Unless otherwise specified, this term has the meaning defined in the ISDA 2002 Equity Derivatives Definitions.
Inherited element(s): (This definition inherits the content defined by the type ReturnSwapAmount)
cashSettlementPaymentDate (zero or one occurrence; of the type AdjustableOrRelativeDate)
observationStartDate (zero or one occurrence; of the type StartingDate)
allDividends (zero or one occurrence; of the type xsd:boolean)
<xsd:complexType name="DeprecatedVarianceAmount" fpml-annotation:deprecated="true" fpml-annotation:deprecatedReason="Return Swap model should not be used for Variance Swaps, use the Variance Swap Product">
<xsd:annotation>
<xsd:documentation xml:lang="en">
DEPRECATED This type will be removed in the next FpML major
version. Return Swap model should not be used for Variance Swaps,
use the Variance Swap Product. Specifies, in relation to each
Equity Payment Date, the amount to which the Equity Payment Date
relates for Variance Swaps. Unless otherwise specified, this term
has the meaning defined in the ISDA 2002 Equity Derivatives
Definitions.
</xsd:documentation>
</xsd:annotation>
<xsd:complexContent>
<xsd:extension base="ReturnSwapAmount">
<xsd:sequence>
<xsd:element name="cashSettlementPaymentDate" type="AdjustableOrRelativeDate" minOccurs="0">
<xsd:annotation>
<xsd:documentation xml:lang="en">
Typically specified as a number of days following the
valuation date, such as one settlement cycle following
the valuation date. Number of days can vary in the
European market.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="observationStartDate" type="StartingDate" minOccurs="0">
<xsd:annotation>
<xsd:documentation xml:lang="en">
The start of the period over which observations are made
to determine the variance. Used when the date differs
from the trade date such as for forward starting variance
swaps.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="allDividends" type="xsd:boolean" minOccurs="0">
<xsd:annotation>
<xsd:documentation xml:lang="en">
Represents the European Master Confirmation value of "All
Dividends" which, when applicable, signifies that, for a
given Ex-Date, the daily observed Share Price for that
day is adjusted (reduced) by the cash dividend and/or the
cash value of any non cash dividend per Share (including
Extraordinary Dividends) declared by the Issuer.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
</xsd:sequence>
</xsd:extension>
</xsd:complexContent>
</xsd:complexType>
DEPRECATED This type will be removed in the next FpML major version. Return Swap model should not be used for Variance Swaps, use the Variance Swap Product. A type describing the variance leg of the return swap.
Inherited element(s): (This definition inherits the content defined by the type ReturnSwapLeg)
underlyer (exactly one occurrence; of the type Underlyer)
equityValuation (exactly one occurrence; of the type EquityValuation)
equityAmount (exactly one occurrence; of the type DeprecatedVarianceAmount)
<xsd:complexType name="DeprecatedVarianceLeg" fpml-annotation:deprecated="true" fpml-annotation:deprecatedReason="Return Swap model should not be used for Variance Swaps, use the Variance Swap Product">
<xsd:annotation>
<xsd:documentation xml:lang="en">
DEPRECATED This type will be removed in the next FpML major
version. Return Swap model should not be used for Variance Swaps,
use the Variance Swap Product. A type describing the variance leg
of the return swap.
</xsd:documentation>
</xsd:annotation>
<xsd:complexContent>
<xsd:extension base="ReturnSwapLeg">
<xsd:sequence>
<xsd:element name="underlyer" type="Underlyer">
<xsd:annotation>
<xsd:documentation xml:lang="en">
Specifies the underlyer of the leg.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="equityValuation" type="EquityValuation">
<xsd:annotation>
<xsd:documentation xml:lang="en">
Valuation of the underlyer.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="equityAmount" type="DeprecatedVarianceAmount">
<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:sequence>
</xsd:extension>
</xsd:complexContent>
</xsd:complexType>
An abstract base class for all directional leg types with effective date, termination date, where a payer makes a stream of payments of greater than zero value to a receiver.
Inherited element(s): (This definition inherits the content defined by the type Leg)
payerPartyReference (exactly one occurrence; of the type PartyOrAccountReference)
receiverPartyReference (exactly one occurrence; of the type PartyOrAccountReference)
effectiveDate (zero or one occurrence; of the type AdjustableOrRelativeDate)
terminationDate (zero or one occurrence; of the type AdjustableOrRelativeDate)
Attribute: id (xsd:ID)
<xsd:complexType name="DirectionalLeg" abstract="true">
<xsd:annotation>
<xsd:documentation xml:lang="en">
An abstract base class for all directional leg types with
effective date, termination date, where a payer makes a stream of
payments of greater than zero value to a receiver.
</xsd:documentation>
</xsd:annotation>
<xsd:complexContent>
<xsd:extension base="Leg">
<xsd:sequence>
<xsd:group ref="PayerReceiver.model"/>
<xsd:element name="effectiveDate" type="AdjustableOrRelativeDate" minOccurs="0">
<xsd:annotation>
<xsd:documentation xml:lang="en">
Specifies the effective date of this 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" minOccurs="0">
<xsd:annotation>
<xsd:documentation xml:lang="en">
Specifies the termination date of this 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:sequence>
<xsd:attribute name="id" type="xsd:ID"/>
</xsd:extension>
</xsd:complexContent>
</xsd:complexType>
An abstract base class for all directional leg types with effective date, termination date, and underlyer where a payer makes a stream of payments of greater than zero value to a receiver.
Inherited element(s): (This definition inherits the content defined by the type DirectionalLeg)
underlyer (exactly one occurrence; of the type Underlyer)
settlementType (exactly one occurrence; of the type SettlementTypeEnum)
settlementDate (zero or one occurrence; of the type AdjustableOrRelativeDate)
settlementAmount (exactly one occurrence; of the type Money)
Or
settlementCurrency (exactly one occurrence; of the type Currency)
fxFeature (zero or one occurrence; of the type FxFeature)
<xsd:complexType name="DirectionalLegUnderlyer" abstract="true">
<xsd:annotation>
<xsd:documentation xml:lang="en">
An abstract base class for all directional leg types with
effective date, termination date, and underlyer where a payer
makes a stream of payments of greater than zero value to a
receiver.
</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 underlyer of the leg.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:group ref="OptionSettlement.model"/>
<xsd:element name="fxFeature" type="FxFeature" minOccurs="0">
<xsd:annotation>
<xsd:documentation xml:lang="en">
Quanto, Composite, or Cross Currency FX features.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
</xsd:sequence>
</xsd:extension>
</xsd:complexContent>
</xsd:complexType>
An abstract base class for all directional leg types with effective date, termination date, and underlyer, where a payer makes a stream of payments of greater than zero value to a receiver.
Inherited element(s): (This definition inherits the content defined by the type DirectionalLegUnderlyer)
valuation (exactly one occurrence; of the type EquityValuation)
<xsd:complexType name="DirectionalLegUnderlyerValuation" abstract="true">
<xsd:annotation>
<xsd:documentation xml:lang="en">
An abstract base class for all directional leg types with
effective date, termination date, and underlyer, where a payer
makes a stream of payments of greater than zero value to a
receiver.
</xsd:documentation>
</xsd:annotation>
<xsd:complexContent>
<xsd:extension base="DirectionalLegUnderlyer">
<xsd:sequence>
<xsd:element name="valuation" type="EquityValuation">
<xsd:annotation>
<xsd:documentation xml:lang="en">
Valuation of the underlyer.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
</xsd:sequence>
</xsd:extension>
</xsd:complexContent>
</xsd:complexType>
Container for Dividend Adjustment Periods, which are used to calculate the Deviation between Expected Dividend and Actual Dividend in that Period.
dividendPeriod (one or more occurrences; of the type DividendPeriodDividend)
<xsd:complexType name="DividendAdjustment">
<xsd:annotation>
<xsd:documentation xml:lang="en">
Container for Dividend Adjustment Periods, which are used to
calculate the Deviation between Expected Dividend and Actual
Dividend in that Period.
</xsd:documentation>
</xsd:annotation>
<xsd:sequence>
<xsd:element name="dividendPeriod" type="DividendPeriodDividend" maxOccurs="unbounded">
<xsd:annotation>
<xsd:documentation xml:lang="en">
A single Dividend Adjustment Period.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
</xsd:sequence>
</xsd:complexType>
Abstract base class of all time bounded dividend period types.
unadjustedStartDate (exactly one occurrence; of the type IdentifiedDate)
unadjustedEndDate (exactly one occurrence; of the type IdentifiedDate)
dateAdjustments (exactly one occurrence; of the type BusinessDayAdjustments)
underlyerReference (zero or one occurrence; of the type AssetReference)
Attribute: id (xsd:ID)
<xsd:complexType name="DividendPeriod" abstract="true">
<xsd:annotation>
<xsd:documentation xml:lang="en">
Abstract base class of all time bounded dividend period types.
</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="underlyerReference" type="AssetReference" minOccurs="0">
<xsd:annotation>
<xsd:documentation xml:lang="en">
Reference to the underlyer which is paying dividends. This
should be used in all cases, and must be used where there are
multiple underlying assets, to avoid any ambiguity about
which asset the dividend period relates to.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
</xsd:sequence>
<xsd:attribute name="id" type="xsd:ID"/>
</xsd:complexType>
A time bounded dividend period, with an expected dividend for each period.
Inherited element(s): (This definition inherits the content defined by the type DividendPeriod)
dividend (exactly one occurrence; of the type Money)
multiplier (exactly one occurrence; of the type PositiveDecimal)
<xsd:complexType name="DividendPeriodDividend">
<xsd:annotation>
<xsd:documentation xml:lang="en">
A time bounded dividend period, with an expected dividend for
each period.
</xsd:documentation>
</xsd:annotation>
<xsd:complexContent>
<xsd:extension base="DividendPeriod">
<xsd:sequence>
<xsd:element name="dividend" type="Money">
<xsd:annotation>
<xsd:documentation xml:lang="en">
Expected dividend in this period.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="multiplier" type="PositiveDecimal">
<xsd:annotation>
<xsd:documentation xml:lang="en">
Multiplier is a percentage value which is used to produce
Deviation by multiplying the difference between Expected
Dividend and Actual Dividend Deviation = Multiplier *
(Expected Dividend — Actual Dividend).
</xsd:documentation>
</xsd:annotation>
</xsd:element>
</xsd:sequence>
</xsd:extension>
</xsd:complexContent>
</xsd:complexType>
A type for defining the merger events and their treatment.
shareForShare (exactly one occurrence; of the type ShareExtraordinaryEventEnum)
shareForOther (exactly one occurrence; of the type ShareExtraordinaryEventEnum)
shareForCombined (exactly one occurrence; of the type ShareExtraordinaryEventEnum)
<xsd:complexType name="EquityCorporateEvents">
<xsd:annotation>
<xsd:documentation xml:lang="en">
A type for defining the merger events and their treatment.
</xsd:documentation>
</xsd:annotation>
<xsd:sequence>
<xsd:element name="shareForShare" type="ShareExtraordinaryEventEnum">
<xsd:annotation>
<xsd:documentation xml:lang="en">
The consideration paid for the original shares following the
Merger Event consists wholly of new shares.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="shareForOther" type="ShareExtraordinaryEventEnum">
<xsd:annotation>
<xsd:documentation xml:lang="en">
The consideration paid for the original shares following the
Merger Event consists wholly of cash/securities other than
new shares.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="shareForCombined" type="ShareExtraordinaryEventEnum">
<xsd:annotation>
<xsd:documentation xml:lang="en">
The consideration paid for the original shares following the
Merger Event consists of both cash/securities and new shares.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
</xsd:sequence>
</xsd:complexType>
A type used to describe the amount paid for an equity option.
payerPartyReference (exactly one occurrence; of the type PartyOrAccountReference)
receiverPartyReference (exactly one occurrence; of the type PartyOrAccountReference)
premiumType (zero or one occurrence; of the type PremiumTypeEnum)
paymentAmount (zero or one occurrence; of the type Money)
paymentDate (zero or one occurrence; of the type AdjustableDate)
swapPremium (zero or one occurrence; of the type xsd:boolean)
pricePerOption (zero or one occurrence; of the type Money)
percentageOfNotional (zero or one occurrence; of the type xsd:decimal)
<xsd:complexType name="EquityPremium">
<xsd:annotation>
<xsd:documentation xml:lang="en">
A type used to describe the amount paid for an equity option.
</xsd:documentation>
</xsd:annotation>
<xsd:sequence>
<xsd:group ref="PayerReceiver.model"/>
<xsd:element name="premiumType" type="PremiumTypeEnum" minOccurs="0">
<xsd:annotation>
<xsd:documentation xml:lang="en">
Forward start Premium type
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="paymentAmount" type="Money" minOccurs="0">
<xsd:annotation>
<xsd:documentation xml:lang="en">
The currency amount of the payment.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="paymentDate" type="AdjustableDate" minOccurs="0">
<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="swapPremium" type="xsd:boolean" minOccurs="0">
<xsd:annotation>
<xsd:documentation xml:lang="en">
Specifies whether or not the premium is to be paid in the
style of payments under an interest rate swap contract.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="pricePerOption" type="Money" minOccurs="0">
<xsd:annotation>
<xsd:documentation xml:lang="en">
The amount of premium to be paid expressed as a function of
the number of options.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="percentageOfNotional" type="xsd:decimal" minOccurs="0">
<xsd:annotation>
<xsd:documentation xml:lang="en">
The amount of premium to be paid expressed as a percentage of
the notional value of the transaction. A percentage of 5%
would be expressed as 0.05.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
</xsd:sequence>
</xsd:complexType>
A type for defining the strike price for an equity option. The strike price is either: (i) in respect of an index option transaction, the level of the relevant index specified or otherwise determined in the transaction; or (ii) in respect of a share option transaction, the price per share specified or otherwise determined in the transaction. This can be expressed either as a percentage of notional amount or as an absolute value.
strikePrice (exactly one occurrence; of the type xsd:decimal)
currency (zero or one occurrence; of the type Currency)
<xsd:complexType name="EquityStrike">
<xsd:annotation>
<xsd:documentation xml:lang="en">
A type for defining the strike price for an equity option. The
strike price is either: (i) in respect of an index option
transaction, the level of the relevant index specified or
otherwise determined in the transaction; or (ii) in respect of a
share option transaction, the price per share specified or
otherwise determined in the transaction. This can be expressed
either as a percentage of notional amount or as an absolute
value.
</xsd:documentation>
</xsd:annotation>
<xsd:sequence>
<xsd:choice>
<xsd:element name="strikePrice" type="xsd:decimal">
<xsd:annotation>
<xsd:documentation xml:lang="en">
The price or level at which the option has been struck.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:sequence>
<xsd:element name="strikePercentage" type="xsd:decimal">
<xsd:annotation>
<xsd:documentation xml:lang="en">
The price or level expressed as a percentage of the
forward starting spot price.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="strikeDeterminationDate" type="AdjustableOrRelativeDate" minOccurs="0">
<xsd:annotation>
<xsd:documentation xml:lang="en">
The date on which the strike is determined, where this is
not the effective date of a forward starting option.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
</xsd:sequence>
</xsd:choice>
<xsd:element name="currency" type="Currency" minOccurs="0">
<xsd:annotation>
<xsd:documentation xml:lang="en">
The currency in which an amount is denominated.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
</xsd:sequence>
</xsd:complexType>
A type for defining how and when an equity option is to be valued.
valuationDate (exactly one occurrence; of the type AdjustableDateOrRelativeDateSequence)
Or
valuationDates (exactly one occurrence; of the type AdjustableRelativeOrPeriodicDates)
valuationTimeType (zero or one occurrence; of the type TimeTypeEnum)
valuationTime (zero or one occurrence; of the type BusinessCenterTime)
futuresPriceValuation (zero or one occurrence; of the type xsd:boolean)
optionsPriceValuation (zero or one occurrence; of the type xsd:boolean)
Attribute: id (xsd:ID)
<xsd:complexType name="EquityValuation">
<xsd:annotation>
<xsd:documentation xml:lang="en">
A type for defining how and when an equity option is to be
valued.
</xsd:documentation>
</xsd:annotation>
<xsd:sequence>
<xsd:choice minOccurs="0">
<xsd:element name="valuationDate" type="AdjustableDateOrRelativeDateSequence">
<xsd:annotation>
<xsd:documentation xml:lang="en">
The term "Valuation Date" is assumed to have the meaning as
defined in the ISDA 2002 Equity Derivatives Definitions.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="valuationDates" type="AdjustableRelativeOrPeriodicDates">
<xsd:annotation>
<xsd:documentation xml:lang="en">
Specifies the interim equity valuation dates of the swap.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
</xsd:choice>
<xsd:element name="valuationTimeType" type="TimeTypeEnum" minOccurs="0">
<xsd:annotation>
<xsd:documentation xml:lang="en">
The time of day at which the calculation agent values the
underlying, for example the official closing time of the
exchange.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="valuationTime" type="BusinessCenterTime" minOccurs="0">
<xsd:annotation>
<xsd:documentation xml:lang="en">
The specific time of day at which the calculation agent
values the underlying.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="futuresPriceValuation" type="xsd:boolean" minOccurs="0">
<xsd:annotation>
<xsd:documentation xml:lang="en">
The official settlement price as announced by the related
exchange is applicable, in accordance with the ISDA 2002
definitions.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="optionsPriceValuation" type="xsd:boolean" minOccurs="0">
<xsd:annotation>
<xsd:documentation xml:lang="en">
The official settlement price as announced by the related
exchange is applicable, in accordance with the ISDA 2002
definitions.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
</xsd:sequence>
<xsd:attribute name="id" type="xsd:ID"/>
</xsd:complexType>
Where the underlying is shares, defines market events affecting the issuer of those shares that may require the terms of the transaction to be adjusted.
mergerEvents (zero or one occurrence; of the type EquityCorporateEvents)
tenderOffer (zero or one occurrence; of the type xsd:boolean)
tenderOfferEvents (zero or one occurrence; of the type EquityCorporateEvents)
compositionOfCombinedConsideration (zero or one occurrence; of the type xsd:boolean)
indexAdjustmentEvents (zero or one occurrence; of the type IndexAdjustmentEvents)
additionalDisruptionEvents (exactly one occurrence; of the type AdditionalDisruptionEvents)
Or
failureToDeliver (exactly one occurrence; of the type xsd:boolean)
representations (zero or one occurrence; of the type Representations)
nationalisationOrInsolvency (zero or one occurrence; of the type NationalisationOrInsolvencyOrDelistingEventEnum)
delisting (zero or one occurrence; of the type NationalisationOrInsolvencyOrDelistingEventEnum)
<xsd:complexType name="ExtraordinaryEvents">
<xsd:annotation>
<xsd:documentation xml:lang="en">
Where the underlying is shares, defines market events affecting
the issuer of those shares that may require the terms of the
transaction to be adjusted.
</xsd:documentation>
</xsd:annotation>
<xsd:sequence>
<xsd:element name="mergerEvents" type="EquityCorporateEvents" minOccurs="0">
<xsd:annotation>
<xsd:documentation xml:lang="en">
Occurs when the underlying ceases to exist following a merger
between the Issuer and another company.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="tenderOffer" type="xsd:boolean" minOccurs="0">
<xsd:annotation>
<xsd:documentation xml:lang="en">
If present and true, then tender offer is applicable.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="tenderOfferEvents" type="EquityCorporateEvents" minOccurs="0">
<xsd:annotation>
<xsd:documentation xml:lang="en">
ISDA 2002 Equity Tender Offer Events.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="compositionOfCombinedConsideration" type="xsd:boolean" minOccurs="0">
<xsd:annotation>
<xsd:documentation xml:lang="en">
If present and true, then composition of combined
consideration is applicable.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="indexAdjustmentEvents" type="IndexAdjustmentEvents" minOccurs="0">
<xsd:annotation>
<xsd:documentation xml:lang="en">
ISDA 2002 Equity Index Adjustment Events.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:choice>
<xsd:element name="additionalDisruptionEvents" type="AdditionalDisruptionEvents">
<xsd:annotation>
<xsd:documentation xml:lang="en">
ISDA 2002 Equity Additional Disruption Events.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="failureToDeliver" type="xsd:boolean">
<xsd:annotation>
<xsd:documentation xml:lang="en">
If true, failure to deliver is applicable.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
</xsd:choice>
<xsd:element name="representations" type="Representations" minOccurs="0">
<xsd:annotation>
<xsd:documentation xml:lang="en">
ISDA 2002 Equity Derivative Representations.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="nationalisationOrInsolvency" type="NationalisationOrInsolvencyOrDelistingEventEnum" minOccurs="0">
<xsd:annotation>
<xsd:documentation xml:lang="en">
The terms "Nationalisation" and "Insolvency" have the meaning
as defined in the ISDA 2002 Equity Derivatives Definitions.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="delisting" type="NationalisationOrInsolvencyOrDelistingEventEnum" minOccurs="0">
<xsd:annotation>
<xsd:documentation xml:lang="en">
The term "Delisting" has the meaning defined in the ISDA 2002
Equity Derivatives Definitions.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
</xsd:sequence>
</xsd:complexType>
Defines the specification of the consequences of Index Events as defined by the 2002 ISDA Equity Derivatives Definitions.
indexModification (exactly one occurrence; of the type IndexEventConsequenceEnum)
indexCancellation (exactly one occurrence; of the type IndexEventConsequenceEnum)
indexDisruption (exactly one occurrence; of the type IndexEventConsequenceEnum)
<xsd:complexType name="IndexAdjustmentEvents">
<xsd:annotation>
<xsd:documentation xml:lang="en">
Defines the specification of the consequences of Index Events as
defined by the 2002 ISDA Equity Derivatives Definitions.
</xsd:documentation>
</xsd:annotation>
<xsd:sequence>
<xsd:element name="indexModification" type="IndexEventConsequenceEnum">
<xsd:annotation>
<xsd:documentation xml:lang="en">
Consequence of index modification.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="indexCancellation" type="IndexEventConsequenceEnum">
<xsd:annotation>
<xsd:documentation xml:lang="en">
Consequence of index cancellation.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="indexDisruption" type="IndexEventConsequenceEnum">
<xsd:annotation>
<xsd:documentation xml:lang="en">
Consequence of index disruption.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
</xsd:sequence>
</xsd:complexType>
Specifies the calculation method of the interest rate leg of the equity swap. Includes the floating or fixed rate calculation definitions, along with the determination of the day count fraction.
Inherited element(s): (This definition inherits the content defined by the type InterestAccrualsMethod)
dayCountFraction (exactly one occurrence; of the type DayCountFraction)
compounding (zero or one occurrence; of the type Compounding)
Attribute: id (xsd:ID)
<xsd:complexType name="InterestCalculation">
<xsd:annotation>
<xsd:documentation xml:lang="en">
Specifies the calculation method of the interest rate leg of the
equity swap. Includes the floating or fixed rate calculation
definitions, along with the determination of the day count
fraction.
</xsd:documentation>
</xsd:annotation>
<xsd:complexContent>
<xsd:extension base="InterestAccrualsMethod">
<xsd:sequence>
<xsd:element name="dayCountFraction" type="DayCountFraction">
<xsd:annotation>
<xsd:documentation xml:lang="en">
The day count fraction.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="compounding" type="Compounding" minOccurs="0">
<xsd:annotation>
<xsd:documentation xml:lang="en">
Defines compounding rates on the Interest Leg.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
</xsd:sequence>
<xsd:attribute name="id" type="xsd:ID"/>
</xsd:extension>
</xsd:complexContent>
</xsd:complexType>
Reference to an interest calculation component.
Inherited element(s): (This definition inherits the content defined by the type Reference)
Attribute: href (xsd:IDREF) - required
<xsd:complexType name="InterestCalculationReference">
<xsd:annotation>
<xsd:documentation xml:lang="en">
Reference to an interest calculation component.
</xsd:documentation>
</xsd:annotation>
<xsd:complexContent>
<xsd:extension base="Reference">
<xsd:attribute name="href" type="xsd:IDREF" use="required" ecore:reference="InterestCalculation"/>
</xsd:extension>
</xsd:complexContent>
</xsd:complexType>
A type describing the fixed income leg of the equity swap.
Inherited element(s): (This definition inherits the content defined by the type ReturnSwapLeg)
interestLegCalculationPeriodDates (exactly one occurrence; of the type InterestLegCalculationPeriodDates)
notional (exactly one occurrence; of the type ReturnSwapNotional)
interestAmount (exactly one occurrence; of the type LegAmount)
interestCalculation (exactly one occurrence; of the type InterestCalculation)
stubCalculationPeriod (zero or one occurrence; of the type StubCalculationPeriod)
<xsd:complexType name="InterestLeg">
<xsd:annotation>
<xsd:documentation xml:lang="en">
A type describing the fixed income leg of the equity swap.
</xsd:documentation>
</xsd:annotation>
<xsd:complexContent>
<xsd:extension base="ReturnSwapLeg">
<xsd:sequence>
<xsd:element name="interestLegCalculationPeriodDates" type="InterestLegCalculationPeriodDates">
<xsd:annotation>
<xsd:documentation xml:lang="en">
Component that holds the various dates used to specify
the interest leg of the equity swap. It is used to define
the InterestPeriodDates identifyer.
</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="interestAmount" type="LegAmount">
<xsd:annotation>
<xsd:documentation xml:lang="en">
Specifies, in relation to each Interest Payment Date, the
amount to which the Interest Payment Date relates. Unless
otherwise specified, this term has the meaning defined in
the ISDA 2000 ISDA Definitions.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="interestCalculation" type="InterestCalculation">
<xsd:annotation>
<xsd:documentation xml:lang="en">
Specifies the calculation method of the interest rate leg
of the equity swap. Includes the floating or fixed rate
calculation definitions, along with the determination of
the day count fraction.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="stubCalculationPeriod" type="StubCalculationPeriod" minOccurs="0">
<xsd:annotation>
<xsd:documentation xml:lang="en">
Specifies the stub calculation period
</xsd:documentation>
</xsd:annotation>
</xsd:element>
</xsd:sequence>
</xsd:extension>
</xsd:complexContent>
</xsd:complexType>
Component that holds the various dates used to specify the interest leg of the equity swap. It is used to define the InterestPeriodDates identifyer.
effectiveDate (exactly one occurrence; of the type AdjustableOrRelativeDate)
terminationDate (exactly one occurrence; of the type AdjustableOrRelativeDate)
interestLegResetDates (exactly one occurrence; of the type InterestLegResetDates)
interestLegPaymentDates (exactly one occurrence; of the type AdjustableOrRelativeDates)
Attribute: id (xsd:ID) - required
<xsd:complexType name="InterestLegCalculationPeriodDates">
<xsd:annotation>
<xsd:documentation xml:lang="en">
Component that holds the various dates used to specify the
interest leg of the equity swap. It is used to define the
InterestPeriodDates identifyer.
</xsd:documentation>
</xsd:annotation>
<xsd:sequence>
<xsd:element name="effectiveDate" type="AdjustableOrRelativeDate">
<xsd:annotation>
<xsd:documentation xml:lang="en">
Specifies the effective date of the equity swap. This global
element is valid within the equity swaps namespace. Within
the FpML namespace, another effectiveDate global element has
been defined, that is different in the sense that it does not
propose the choice of refering to another date in the
document.
</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 swap. This
global element is valid within the equity swaps namespace.
Within the FpML namespace, another terminationDate global
element has been defined, that is different in the sense that
it does not propose the choice of refering to another date in
the document.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="interestLegResetDates" type="InterestLegResetDates">
<xsd:annotation>
<xsd:documentation xml:lang="en">
Specifies the reset dates of the interest leg of the swap.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="interestLegPaymentDates" type="AdjustableOrRelativeDates">
<xsd:annotation>
<xsd:documentation xml:lang="en">
Specifies the payment dates of the interest leg of the swap.
When defined in relation to a date specified somewhere else
in the document (through the relativeDates component), this
element will typically point to the payment dates of the
equity leg of the swap.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
</xsd:sequence>
<xsd:attribute name="id" type="xsd:ID" use="required"/>
</xsd:complexType>
Reference to the calculation period dates of the interest leg.
Inherited element(s): (This definition inherits the content defined by the type Reference)
Attribute: href (xsd:IDREF) - required
<xsd:complexType name="InterestLegCalculationPeriodDatesReference">
<xsd:annotation>
<xsd:documentation xml:lang="en">
Reference to the calculation period dates of the interest leg.
</xsd:documentation>
</xsd:annotation>
<xsd:complexContent>
<xsd:extension base="Reference">
<xsd:attribute name="href" type="xsd:IDREF" use="required" ecore:reference="InterestLegCalculationPeriodDates"/>
</xsd:extension>
</xsd:complexContent>
</xsd:complexType>
calculationPeriodDatesReference (exactly one occurrence; of the type InterestLegCalculationPeriodDatesReference)
resetRelativeTo (exactly one occurrence; of the type ResetRelativeToEnum)
Or
resetFrequency (exactly one occurrence; of the type ResetFrequency)
initialFixingDate (zero or one occurrence; of the type RelativeDateOffset)
fixingDates (zero or one occurrence; of the type AdjustableDatesOrRelativeDateOffset)
<xsd:complexType name="InterestLegResetDates">
<xsd:sequence>
<xsd:element name="calculationPeriodDatesReference" type="InterestLegCalculationPeriodDatesReference">
<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:choice>
<xsd:element name="resetRelativeTo" type="ResetRelativeToEnum">
<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="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:choice>
<xsd:element name="initialFixingDate" type="RelativeDateOffset" minOccurs="0">
<xsd:annotation>
<xsd:documentation xml:lang="en">
Initial fixing date expressed as an offset to another date
defined elsewhere in the document.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="fixingDates" type="AdjustableDatesOrRelativeDateOffset" minOccurs="0">
<xsd:annotation>
<xsd:documentation xml:lang="en">
Specifies the fixing date relative to the reset date in terms
of a business days offset, or by providing a series of
adjustable dates
</xsd:documentation>
</xsd:annotation>
</xsd:element>
</xsd:sequence>
</xsd:complexType>
A type describing the amount that will paid or received on each of the payment dates. This type is used to define both the Equity Amount and the Interest Amount.
currency (exactly one occurrence; of the type Currency)
Or
determinationMethod (exactly one occurrence; of the type DeterminationMethod)
Or
currencyReference (exactly one occurrence; of the type IdentifiedCurrencyReference)
paymentCurrency (zero or one occurrence; of the type PaymentCurrency)
referenceAmount (exactly one occurrence; of the type ReferenceAmount)
Or
formula (exactly one occurrence; of the type Formula)
Or
encodedDescription (exactly one occurrence; of the type xsd:base64Binary)
Or
variance (exactly one occurrence; of the type DeprecatedVariance)
calculationDates (zero or one occurrence; of the type AdjustableRelativeOrPeriodicDates)
<xsd:complexType name="LegAmount">
<xsd:annotation>
<xsd:documentation xml:lang="en">
A type describing the amount that will paid or received on each
of the payment dates. This type is used to define both the Equity
Amount and the Interest Amount.
</xsd:documentation>
</xsd:annotation>
<xsd:sequence>
<xsd:choice minOccurs="0">
<xsd:element name="currency" type="Currency">
<xsd:annotation>
<xsd:documentation xml:lang="en">
The currency in which an amount is denominated.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="determinationMethod" type="DeterminationMethod">
<xsd:annotation>
<xsd:documentation xml:lang="en">
Specifies the method according to which an amount or a date
is determined.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="currencyReference" type="IdentifiedCurrencyReference">
<xsd:annotation>
<xsd:documentation xml:lang="en">
The currency in which an amount is denominated.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
</xsd:choice>
<xsd:element name="paymentCurrency" type="PaymentCurrency" minOccurs="0" fpml-annotation:deprecated="true" fpml-annotation:deprecatedReason="The model is wrong since it has an intradocument reference that is not clear. Current PaymentCurrency model and elements using this type are deprecated. Instead, the choice above between currency, determinationMethod, and currencyReference (of type CurrencyReference) should be used.">
<xsd:annotation>
<xsd:documentation xml:lang="en">
Currency in which the payment relating to the leg amount
(equity amount or interest amount) or the dividend will be
denominated.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:choice>
<xsd:element name="referenceAmount" type="ReferenceAmount">
<xsd:annotation>
<xsd:documentation xml:lang="en">
Specifies the reference Amount when this term either
corresponds to the standard ISDA Definition (either the
2002 Equity Definition for the Equity Amount, or the 2000
Definition for the Interest Amount), or points to a term
defined elsewhere in the swap document.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="formula" type="Formula">
<xsd:annotation>
<xsd:documentation xml:lang="en">
Specifies a formula, with its description and components.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="encodedDescription" type="xsd:base64Binary">
<xsd:annotation>
<xsd:documentation xml:lang="en">
Description of the leg amount when represented through an
encoded image.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="variance" type="DeprecatedVariance" fpml-annotation:deprecated="true" fpml-annotation:deprecatedReason="Return Swap model should not be used for Variance Swaps, use the Variance Swap Product">
<xsd:annotation>
<xsd:documentation xml:lang="en">
DEPRECATED This element will be removed in the next FpML
major version. Return Swap model should not be used for
Variance Swaps, use the Variance Swap Product. Specifies
Variance for Variance Leg.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
</xsd:choice>
<xsd:element name="calculationDates" type="AdjustableRelativeOrPeriodicDates" minOccurs="0">
<xsd:annotation>
<xsd:documentation xml:lang="en">
Specifies the date on which a calculation or an observation
will be performed for the purpose of defining the Equity
Amount, and in accordance to the definition terms of this
latter.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
</xsd:sequence>
</xsd:complexType>
makeWholeDate (exactly one occurrence; of the type xsd:date)
recallSpread (exactly one occurrence; of the type xsd:decimal)
<xsd:complexType name="MakeWholeProvisions">
<xsd:annotation>
<xsd:documentation>
A type to hold early exercise provisions.
</xsd:documentation>
</xsd:annotation>
<xsd:sequence>
<xsd:element name="makeWholeDate" type="xsd:date">
<xsd:annotation>
<xsd:documentation xml:lang="en">
Date through which option can not be exercised without
penalty.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="recallSpread" type="xsd:decimal">
<xsd:annotation>
<xsd:documentation xml:lang="en">
Spread used if exercised before make whole date. Early
termination penalty. Expressed in bp, e.g. 25 bp.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
</xsd:sequence>
</xsd:complexType>
An abstract base class for all swap types which have a single netted leg, such as Variance Swaps, and Correlation Swaps.
Inherited element(s): (This definition inherits the content defined by the type Product)
additionalPayment (zero or more occurrences; of the type ClassifiedPayment)
extraordinaryEvents (zero or one occurrence; of the type ExtraordinaryEvents)
<xsd:complexType name="NettedSwapBase" abstract="true">
<xsd:annotation>
<xsd:documentation xml:lang="en">
An abstract base class for all swap types which have a single
netted leg, such as Variance Swaps, and Correlation Swaps.
</xsd:documentation>
</xsd:annotation>
<xsd:complexContent>
<xsd:extension base="Product">
<xsd:sequence>
<xsd:element name="additionalPayment" type="ClassifiedPayment" minOccurs="0" maxOccurs="unbounded">
<xsd:annotation>
<xsd:documentation xml:lang="en">
Specifies additional payment(s) between the principal
parties to the netted swap.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="extraordinaryEvents" type="ExtraordinaryEvents" minOccurs="0">
<xsd:annotation>
<xsd:documentation xml:lang="en">
Where the underlying is shares, specifies events
affecting the issuer of those shares that may require the
terms of the transaction to be adjusted.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
</xsd:sequence>
</xsd:extension>
</xsd:complexContent>
</xsd:complexType>
A type for defining option features.
asian (zero or one occurrence; of the type Asian)
barrier (zero or one occurrence; of the type Barrier)
knock (zero or one occurrence; of the type Knock)
passThrough (zero or one occurrence; of the type PassThrough)
dividendAdjustment (zero or one occurrence; of the type DividendAdjustment)
<xsd:complexType name="OptionFeatures">
<xsd:annotation>
<xsd:documentation xml:lang="en">
A type for defining option features.
</xsd:documentation>
</xsd:annotation>
<xsd:sequence>
<xsd:element name="asian" type="Asian" minOccurs="0">
<xsd:annotation>
<xsd:documentation xml:lang="en">
An option where and average price is taken on valuation.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="barrier" type="Barrier" minOccurs="0">
<xsd:annotation>
<xsd:documentation xml:lang="en">
An option with a barrier feature.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="knock" type="Knock" minOccurs="0">
<xsd:annotation>
<xsd:documentation xml:lang="en">
A knock feature.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="passThrough" type="PassThrough" minOccurs="0">
<xsd:annotation>
<xsd:documentation xml:lang="en">
Pass through payments from the underlyer, such as dividends.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="dividendAdjustment" type="DividendAdjustment" minOccurs="0">
<xsd:annotation>
<xsd:documentation xml:lang="en">
Dividend adjustment of the contract is driven by the
difference between the Expected Dividend, and the Actual
Dividend, which is multiplied by an agreed Factor to produce
a Deviation, which is used as the basis for adjusting the
contract. The parties acknowledge that in determining the
Call Strike Price of the Transaction the parties have assumed
that the Dividend scheduled to be paid by the Issuer to
holders of record of the Shares, in the period set out in
Column headed Relevant Period will equal per Share the amount
stated in respect of such Relevant Period.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
</xsd:sequence>
</xsd:complexType>
Specifies the principal exchange amount, either by explicitly defining it, or by point to an amount defined somewhere else in the swap document.
amountRelativeTo (exactly one occurrence; of the type AmountReference)
Or
determinationMethod (exactly one occurrence; of the type DeterminationMethod)
Or
principalAmount (exactly one occurrence; of the type Money)
<xsd:complexType name="PrincipalExchangeAmount">
<xsd:annotation>
<xsd:documentation xml:lang="en">
Specifies the principal exchange amount, either by explicitly
defining it, or by point to an amount defined somewhere else in
the swap document.
</xsd:documentation>
</xsd:annotation>
<xsd:choice>
<xsd:element name="amountRelativeTo" type="AmountReference">
<xsd:annotation>
<xsd:documentation xml:lang="en">
Reference to an amount defined elsewhere in the document.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="determinationMethod" type="DeterminationMethod">
<xsd:annotation>
<xsd:documentation xml:lang="en">
Specifies the method according to which an amount or a date
is determined.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="principalAmount" type="Money">
<xsd:annotation>
<xsd:documentation xml:lang="en">
Principal exchange amount when explictly stated.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
</xsd:choice>
</xsd:complexType>
Specifies each of the characteristics of the principal exchange cashflows, in terms of paying/receiving counterparties, amounts and dates.
payerPartyReference (exactly one occurrence; of the type PartyOrAccountReference)
receiverPartyReference (exactly one occurrence; of the type PartyOrAccountReference)
principalExchangeAmount (exactly one occurrence; of the type PrincipalExchangeAmount)
principalExchangeDate (zero or one occurrence; of the type AdjustableOrRelativeDate)
<xsd:complexType name="PrincipalExchangeDescriptions">
<xsd:annotation>
<xsd:documentation xml:lang="en">
Specifies each of the characteristics of the principal exchange
cashflows, in terms of paying/receiving counterparties, amounts
and dates.
</xsd:documentation>
</xsd:annotation>
<xsd:sequence>
<xsd:group ref="PayerReceiver.model"/>
<xsd:element name="principalExchangeAmount" type="PrincipalExchangeAmount">
<xsd:annotation>
<xsd:documentation xml:lang="en">
Specifies the principal echange amount, either by explicitly
defining it, or by point to an amount defined somewhere else
in the swap document.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="principalExchangeDate" type="AdjustableOrRelativeDate" minOccurs="0">
<xsd:annotation>
<xsd:documentation xml:lang="en">
Date on which each of the principal exchanges will take
place. This date is either explictly stated, or is defined by
reference to another date in the swap document. In this
latter case, it will typically refer to one other date of the
equity leg: either the effective date (initial exchange), or
the last payment date (final exchange).
</xsd:documentation>
</xsd:annotation>
</xsd:element>
</xsd:sequence>
</xsd:complexType>
A type describing the principal exchange features of the equity swap.
principalExchanges (zero or one occurrence; of the type PrincipalExchanges)
principalExchangeDescriptions (one or more occurrences; of the type PrincipalExchangeDescriptions)
<xsd:complexType name="PrincipalExchangeFeatures">
<xsd:annotation>
<xsd:documentation xml:lang="en">
A type describing the principal exchange features of the equity
swap.
</xsd:documentation>
</xsd:annotation>
<xsd:sequence>
<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="principalExchangeDescriptions" type="PrincipalExchangeDescriptions" maxOccurs="unbounded">
<xsd:annotation>
<xsd:documentation xml:lang="en">
Specifies each of the characteristics of the principal
exchange cashflows, in terms of paying/receiving
counterparties, amounts and dates.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
</xsd:sequence>
</xsd:complexType>
A type for defining ISDA 2002 Equity Derivative Representations.
nonReliance (exactly one occurrence; of the type xsd:boolean)
agreementsRegardingHedging (exactly one occurrence; of the type xsd:boolean)
indexDisclaimer (zero or one occurrence; of the type xsd:boolean)
additionalAcknowledgements (exactly one occurrence; of the type xsd:boolean)
<xsd:complexType name="Representations">
<xsd:annotation>
<xsd:documentation xml:lang="en">
A type for defining ISDA 2002 Equity Derivative Representations.
</xsd:documentation>
</xsd:annotation>
<xsd:sequence>
<xsd:element name="nonReliance" type="xsd:boolean">
<xsd:annotation>
<xsd:documentation xml:lang="en">
If true, then non reliance is applicable.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="agreementsRegardingHedging" type="xsd:boolean">
<xsd:annotation>
<xsd:documentation xml:lang="en">
If true, then agreements regarding hedging are applicable.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="indexDisclaimer" type="xsd:boolean" minOccurs="0">
<xsd:annotation>
<xsd:documentation xml:lang="en">
If present and true, then index disclaimer is applicable
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="additionalAcknowledgements" type="xsd:boolean">
<xsd:annotation>
<xsd:documentation xml:lang="en">
If true, then additional acknowledgements are applicable.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
</xsd:sequence>
</xsd:complexType>
A type describing the dividend return conditions applicable to the swap.
returnType (exactly one occurrence; of the type ReturnTypeEnum)
dividendConditions (zero or one occurrence; of the type DividendConditions)
<xsd:complexType name="Return">
<xsd:annotation>
<xsd:documentation xml:lang="en">
A type describing the dividend return conditions applicable to
the swap.
</xsd:documentation>
</xsd:annotation>
<xsd:sequence>
<xsd:element name="returnType" type="ReturnTypeEnum">
<xsd:annotation>
<xsd:documentation xml:lang="en">
Defines the type of return associated with the equity swap.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="dividendConditions" type="DividendConditions" minOccurs="0">
<xsd:annotation>
<xsd:documentation xml:lang="en">
Specifies the conditions governing the payment of the
dividends to the receiver of the equity return. With the
exception of the dividend payout ratio, which is defined for
each of the underlying components.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
</xsd:sequence>
</xsd:complexType>
A type describing the return leg of a return type swap.
Inherited element(s): (This definition inherits the content defined by the type ReturnSwapLegUnderlyer)
rateOfReturn (exactly one occurrence; of the type ReturnLegValuation)
notional (exactly one occurrence; of the type ReturnSwapNotional)
amount (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="ReturnLeg">
<xsd:annotation>
<xsd:documentation xml:lang="en">
A type describing the return leg of a return type swap.
</xsd:documentation>
</xsd:annotation>
<xsd:complexContent>
<xsd:extension base="ReturnSwapLegUnderlyer">
<xsd:sequence>
<xsd:element name="rateOfReturn" type="ReturnLegValuation">
<xsd:annotation>
<xsd:documentation xml:lang="en">
Element named "valuation" in versions prior to FpML 4.2
Second Working Draft. Specifies the terms of the initial
price of the return type swap and of the subsequent
valuations of the 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="amount" type="ReturnSwapAmount">
<xsd:annotation>
<xsd:documentation xml:lang="en">
Element named "equityAmount" in versions prior to FpML
4.2 Second Working Draft. Specifies, in relation to each
Payment Date, the amount to which the Payment Date
relates. For equity swaps this element is equivalent to
the Equity Amount term as 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
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:annotation>
</xsd:element>
</xsd:sequence>
</xsd:extension>
</xsd:complexContent>
</xsd:complexType>
A type describing the initial and final valuation of the underlyer.
initialPrice (exactly one occurrence; of the type ReturnLegValuationPrice)
notionalReset (exactly one occurrence; of the type xsd:boolean)
valuationPriceInterim (zero or one occurrence; of the type ReturnLegValuationPrice)
valuationPriceFinal (exactly one occurrence; of the type ReturnLegValuationPrice)
paymentDates (exactly one occurrence; of the type ReturnSwapPaymentDates)
exchangeTradedContractNearest (zero or one occurrence; of the type ExchangeTradedContract)
<xsd:complexType name="ReturnLegValuation">
<xsd:annotation>
<xsd:documentation xml:lang="en">
A type describing the initial and final valuation of the
underlyer.
</xsd:documentation>
</xsd:annotation>
<xsd:sequence>
<xsd:element name="initialPrice" type="ReturnLegValuationPrice">
<xsd:annotation>
<xsd:documentation xml:lang="en">
Specifies the initial reference price of the 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="notionalReset" type="xsd:boolean">
<xsd:annotation>
<xsd:documentation xml:lang="en">
Element named "equityNotionalReset" in versions prior to FpML
4.2 Second Working Draft. For equity swaps, this element is
equivalent to the term "Equity Notional Reset" 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="ReturnLegValuationPrice" minOccurs="0">
<xsd:annotation>
<xsd:documentation xml:lang="en">
Specifies the interim valuation price of the 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="ReturnLegValuationPrice">
<xsd:annotation>
<xsd:documentation xml:lang="en">
Specifies the final valuation price of the 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="paymentDates" type="ReturnSwapPaymentDates">
<xsd:annotation>
<xsd:documentation xml:lang="en">
Element named "equityPaymentDates" in versions prior to FpML
4.2 Second Working Draft. Specifies the payment dates of the
swap.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="exchangeTradedContractNearest" type="ExchangeTradedContract" minOccurs="0">
<xsd:annotation>
<xsd:documentation xml:lang="en">
References a Contract on the Exchange.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
</xsd:sequence>
</xsd:complexType>
Inherited element(s): (This definition inherits the content defined by the type Price)
valuationRules (zero or one occurrence; of the type EquityValuation)
<xsd:complexType name="ReturnLegValuationPrice">
<xsd:complexContent>
<xsd:extension base="Price">
<xsd:sequence>
<xsd:element name="valuationRules" type="EquityValuation" minOccurs="0">
<xsd:annotation>
<xsd:documentation xml:lang="en">
Element named "equityValuation" in versions prior to FpML
4.2 Second Working Draft.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
</xsd:sequence>
</xsd:extension>
</xsd:complexContent>
</xsd:complexType>
A type describing return swaps including equity swaps (long form), total return swaps, and variance swaps.
Inherited element(s): (This definition inherits the content defined by the type ReturnSwapBase)
additionalPayment (zero or more occurrences; of the type ReturnSwapAdditionalPayment)
earlyTermination (zero or more occurrences; of the type ReturnSwapEarlyTermination)
extraordinaryEvents (zero or one occurrence; of the type ExtraordinaryEvents)
<xsd:complexType name="ReturnSwap">
<xsd:annotation>
<xsd:documentation xml:lang="en">
A type describing return swaps including equity swaps (long
form), total return swaps, and variance swaps.
</xsd:documentation>
</xsd:annotation>
<xsd:complexContent>
<xsd:extension base="ReturnSwapBase">
<xsd:sequence>
<xsd:element name="additionalPayment" type="ReturnSwapAdditionalPayment" minOccurs="0" maxOccurs="unbounded">
<xsd:annotation>
<xsd:documentation xml:lang="en">
Specifies additional payment(s) between the principal
parties to the trade. This component extends some of the
features of the additionalPayment component developed by
the FpML industry group. Appropriate discussions will
determine whether it would be appropriate to extend the
shared component in order to meet the further
requirements of equity swaps.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="earlyTermination" type="ReturnSwapEarlyTermination" minOccurs="0" maxOccurs="unbounded">
<xsd:annotation>
<xsd:documentation xml:lang="en">
Specifies, for one or for both the parties to the trade,
the date from which it can early terminate it.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="extraordinaryEvents" type="ExtraordinaryEvents" minOccurs="0">
<xsd:annotation>
<xsd:documentation xml:lang="en">
Where the underlying is shares, specifies events
affecting the issuer of those shares that may require the
terms of the transaction to be adjusted.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
</xsd:sequence>
</xsd:extension>
</xsd:complexContent>
</xsd:complexType>
A type describing the additional payment(s) between the principal parties to the trade. This component extends some of the features of the additionalPayment component previously developed in FpML. Appropriate discussions will determine whether it would be appropriate to extend the shared component in order to meet the further requirements of equity swaps.
payerPartyReference (exactly one occurrence; of the type PartyOrAccountReference)
receiverPartyReference (exactly one occurrence; of the type PartyOrAccountReference)
additionalPaymentAmount (exactly one occurrence; of the type AdditionalPaymentAmount)
additionalPaymentDate (exactly one occurrence; of the type AdjustableOrRelativeDate)
paymentType (zero or one occurrence; of the type PaymentType)
<xsd:complexType name="ReturnSwapAdditionalPayment">
<xsd:annotation>
<xsd:documentation xml:lang="en">
A type describing the additional payment(s) between the principal
parties to the trade. This component extends some of the features
of the additionalPayment component previously developed in FpML.
Appropriate discussions will determine whether it would be
appropriate to extend the shared component in order to meet the
further requirements of equity swaps.
</xsd:documentation>
</xsd:annotation>
<xsd:sequence>
<xsd:group ref="PayerReceiver.model"/>
<xsd:element name="additionalPaymentAmount" type="AdditionalPaymentAmount">
<xsd:annotation>
<xsd:documentation xml:lang="en">
Specifies the amount of the fee along with, when applicable,
the formula that supports its determination.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="additionalPaymentDate" type="AdjustableOrRelativeDate">
<xsd:annotation>
<xsd:documentation xml:lang="en">
Specifies the value date of the fee payment/receipt.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="paymentType" type="PaymentType" minOccurs="0">
<xsd:annotation>
<xsd:documentation xml:lang="en">
Classification of the payment
</xsd:documentation>
</xsd:annotation>
</xsd:element>
</xsd:sequence>
</xsd:complexType>
Specifies, in relation to each Payment Date, the amount to which the Payment Date relates. For Equity Swaps this element is equivalent to the Equity Amount term as defined in the ISDA 2002 Equity Derivatives Definitions.
Inherited element(s): (This definition inherits the content defined by the type LegAmount)
cashSettlement (exactly one occurrence; of the type xsd:boolean)
optionsExchangeDividends (zero or one occurrence; of the type xsd:boolean)
additionalDividends (zero or one occurrence; of the type xsd:boolean)
<xsd:complexType name="ReturnSwapAmount">
<xsd:annotation>
<xsd:documentation xml:lang="en">
Specifies, in relation to each Payment Date, the amount to which
the Payment Date relates. For Equity Swaps this element is
equivalent to the Equity Amount term as defined in the ISDA 2002
Equity Derivatives Definitions.
</xsd:documentation>
</xsd:annotation>
<xsd:complexContent>
<xsd:extension base="LegAmount">
<xsd:sequence>
<xsd:element name="cashSettlement" type="xsd:boolean">
<xsd:annotation>
<xsd:documentation xml:lang="en">
If true, then cash settlement is applicable.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="optionsExchangeDividends" type="xsd:boolean" minOccurs="0">
<xsd:annotation>
<xsd:documentation xml:lang="en">
If present and true, then options exchange dividends are
applicable.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="additionalDividends" type="xsd:boolean" minOccurs="0">
<xsd:annotation>
<xsd:documentation xml:lang="en">
If present and true, then additional dividends are
applicable.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
</xsd:sequence>
</xsd:extension>
</xsd:complexContent>
</xsd:complexType>
A type describing the components that are common for return type swaps, including short and long form equity swaps representations.
Inherited element(s): (This definition inherits the content defined by the type Product)
buyerPartyReference (exactly one occurrence; of the type PartyOrTradeSideReference)
sellerPartyReference (exactly one occurrence; of the type PartyOrTradeSideReference)
returnSwapLeg (one or more occurrences; of the type ReturnSwapLeg)
principalExchangeFeatures (zero or one occurrence; of the type PrincipalExchangeFeatures)
<xsd:complexType name="ReturnSwapBase" abstract="true">
<xsd:annotation>
<xsd:documentation xml:lang="en">
A type describing the components that are common for return type
swaps, including short and long form equity swaps
representations.
</xsd:documentation>
</xsd:annotation>
<xsd:complexContent>
<xsd:extension base="Product">
<xsd:sequence>
<xsd:group ref="BuyerSeller.model" minOccurs="0">
<xsd:annotation>
<xsd:documentation xml:lang="en">
BuyerSeller.model has been included as an optional child
of ReturnSwapBase to support the situation where an
implementor wishes to indicate who has manufactured the
Swap through representing them as the Seller. It may be
removed in future major revisions.
</xsd:documentation>
</xsd:annotation>
</xsd:group>
<xsd:element ref="returnSwapLeg" maxOccurs="unbounded"/>
<xsd:element name="principalExchangeFeatures" type="PrincipalExchangeFeatures" minOccurs="0">
<xsd:annotation>
<xsd:documentation xml:lang="en">
This is used to document a Fully Funded Return Swap.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
</xsd:sequence>
</xsd:extension>
</xsd:complexContent>
</xsd:complexType>
A type describing the date from which each of the party may be allowed to terminate the trade.
partyReference (exactly one occurrence; of the type PartyReference)
startingDate (exactly one occurrence; of the type StartingDate)
<xsd:complexType name="ReturnSwapEarlyTermination">
<xsd:annotation>
<xsd:documentation xml:lang="en">
A type describing the date from which each of the party may be
allowed to terminate the trade.
</xsd:documentation>
</xsd:annotation>
<xsd:sequence>
<xsd:element name="partyReference" type="PartyReference">
<xsd:annotation>
<xsd:documentation xml:lang="en">
Reference to a party defined elsewhere in this document which
may be allowed to terminate the trade.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="startingDate" type="StartingDate">
<xsd:annotation>
<xsd:documentation xml:lang="en">
Specifies the date from which the early termination clause
can be exercised.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
</xsd:sequence>
</xsd:complexType>
The abstract base class for all types of Return Swap Leg.
Inherited element(s): (This definition inherits the content defined by the type Leg)
payerPartyReference (exactly one occurrence; of the type PartyOrAccountReference)
receiverPartyReference (exactly one occurrence; of the type PartyOrAccountReference)
paymentFrequency (zero or one occurrence; of the type Interval)
Attribute: legIdentifier (xsd:ID)
<xsd:complexType name="ReturnSwapLeg" abstract="true">
<xsd:annotation>
<xsd:documentation xml:lang="en">
The abstract base class for all types of Return Swap Leg.
</xsd:documentation>
</xsd:annotation>
<xsd:complexContent>
<xsd:extension base="Leg">
<xsd:sequence>
<xsd:group ref="PayerReceiver.model"/>
<xsd:element name="paymentFrequency" type="Interval" minOccurs="0" fpml-annotation:deprecated="true" fpml-annotation:deprecatedReason="Payment Frequency is controlled by the implementations of this abstract base class">
<xsd:annotation>
<xsd:documentation xml:lang="en">
DEPRECATED This element will be removed in the next FpML
major version. Frequency at which this leg pays.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
</xsd:sequence>
<xsd:attribute name="legIdentifier" type="xsd:ID" fpml-annotation:deprecated="true" fpml-annotation:deprecatedReason="All attributes of type=xsd:ID should have name=id following FpML Architecture">
<xsd:annotation>
<xsd:documentation xml:lang="en">
DEPRECATED This element will be renamed to id in the next
major FpML version.
</xsd:documentation>
</xsd:annotation>
</xsd:attribute>
</xsd:extension>
</xsd:complexContent>
</xsd:complexType>
A base class for all return leg types with an underlyer.
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)
<xsd:complexType name="ReturnSwapLegUnderlyer" abstract="true">
<xsd:annotation>
<xsd:documentation xml:lang="en">
A base class for all return leg types with an underlyer.
</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 this 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 this 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 leg, 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:sequence>
</xsd:extension>
</xsd:complexContent>
</xsd:complexType>
Specifies the notional of 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.
amountRelativeTo (exactly one occurrence; of the type AmountReference)
Or
determinationMethod (exactly one occurrence; of the type DeterminationMethod)
Or
notionalAmount (exactly one occurrence; of the type Money)
Attribute: id (xsd:ID)
<xsd:complexType name="ReturnSwapNotional">
<xsd:annotation>
<xsd:documentation xml:lang="en">
Specifies the notional of 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:choice>
<xsd:element name="amountRelativeTo" type="AmountReference">
<xsd:annotation>
<xsd:documentation xml:lang="en">
Reference to an amount defined elsewhere in this document.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="determinationMethod" type="DeterminationMethod">
<xsd:annotation>
<xsd:documentation xml:lang="en">
Specifies the method according to which an amount or a date
is determined.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="notionalAmount" type="Money">
<xsd:annotation>
<xsd:documentation xml:lang="en">
The notional amount.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
</xsd:choice>
<xsd:attribute name="id" type="xsd:ID"/>
</xsd:complexType>
A type describing the return payment dates of the swap.
paymentDatesInterim (zero or one occurrence; of the type AdjustableOrRelativeDates)
paymentDateFinal (exactly one occurrence; of the type AdjustableOrRelativeDate)
Attribute: id (xsd:ID)
<xsd:complexType name="ReturnSwapPaymentDates">
<xsd:annotation>
<xsd:documentation xml:lang="en">
A type describing the return payment dates of the swap.
</xsd:documentation>
</xsd:annotation>
<xsd:sequence>
<xsd:element name="paymentDatesInterim" type="AdjustableOrRelativeDates" minOccurs="0">
<xsd:annotation>
<xsd:documentation xml:lang="en">
Element named "equityPaymentDatesInterim" in versions prior
to FpML 4.2 Second Working Draft. 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="paymentDateFinal" type="AdjustableOrRelativeDate">
<xsd:annotation>
<xsd:documentation xml:lang="en">
Element named "equityPaymentDateFinal" in versions prior to
FpML 4.2 Second Working Draft. 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 specifying the date from which the early termination clause can be exercised.
dateRelativeTo (exactly one occurrence; of the type DateReference)
Or
adjustableDate (exactly one occurrence; of the type AdjustableDate)
<xsd:complexType name="StartingDate">
<xsd:annotation>
<xsd:documentation xml:lang="en">
A type specifying the date from which the early termination
clause can be exercised.
</xsd:documentation>
</xsd:annotation>
<xsd:choice>
<xsd:element name="dateRelativeTo" type="DateReference">
<xsd:annotation>
<xsd:documentation xml:lang="en">
Reference to a date defined elswhere in the document
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="adjustableDate" type="AdjustableDate">
<xsd:annotation>
<xsd:documentation xml:lang="en">
Date from which early termination clause can be exercised
</xsd:documentation>
</xsd:annotation>
</xsd:element>
</xsd:choice>
</xsd:complexType>
A type describing the Stub Calculation Period
finalStub (exactly one occurrence; of the type Stub)
<xsd:complexType name="StubCalculationPeriod">
<xsd:annotation>
<xsd:documentation xml:lang="en">
A type describing the Stub Calculation Period
</xsd:documentation>
</xsd:annotation>
<xsd:choice>
<xsd:annotation>
<xsd:documentation xml:lang="en">
Choice group between mandatory specification of initial stub
and optional specification of final stub, or mandatory final
stub.
</xsd:documentation>
</xsd:annotation>
<xsd:sequence>
<xsd:element name="initialStub" type="Stub"/>
<xsd:element name="finalStub" type="Stub" minOccurs="0"/>
</xsd:sequence>
<xsd:element name="finalStub" type="Stub"/>
</xsd:choice>
</xsd:complexType>
A type describing the variance amount of a variance swap
Inherited element(s): (This definition inherits the content defined by the type CalculationFromObservation)
varianceAmount (exactly one occurrence; of the type Money)
volatilityStrikePrice (exactly one occurrence; of the type NonNegativeDecimal)
Or
varianceStrikePrice (exactly one occurrence; of the type NonNegativeDecimal)
varianceCap (zero or one occurrence; of the type xsd:boolean)
unadjustedVarianceCap (zero or one occurrence; of the type PositiveDecimal)
boundedVariance (zero or one occurrence; of the type BoundedVariance)
exchangeTradedContractNearest (zero or one occurrence; of the type ExchangeTradedContract)
vegaNotionalAmount (zero or one occurrence; of the type xsd:decimal)
<xsd:complexType name="Variance">
<xsd:annotation>
<xsd:documentation xml:lang="en">
A type describing the variance amount of a variance swap
</xsd:documentation>
</xsd:annotation>
<xsd:complexContent>
<xsd:extension base="CalculationFromObservation">
<xsd:sequence>
<xsd:element name="varianceAmount" type="Money">
<xsd:annotation>
<xsd:documentation xml:lang="en">
Variance amount, which is a cash multiplier.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:choice>
<xsd:annotation>
<xsd:documentation xml:lang="en">
Choice between expressing the strike as volatility or
variance.
</xsd:documentation>
</xsd:annotation>
<xsd:element name="volatilityStrikePrice" type="NonNegativeDecimal"/>
<xsd:element name="varianceStrikePrice" type="NonNegativeDecimal"/>
</xsd:choice>
<xsd:element name="varianceCap" type="xsd:boolean" minOccurs="0">
<xsd:annotation>
<xsd:documentation xml:lang="en">
If present and true, then variance cap is applicable.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="unadjustedVarianceCap" type="PositiveDecimal" minOccurs="0">
<xsd:annotation>
<xsd:documentation xml:lang="en">
For use when varianceCap is applicable. Contains the
scaling factor of the Variance Cap that can differ on a
trade-by-trade basis in the European market. For example,
a Variance Cap of 2.5^2 x Variance Strike Price has an
unadjustedVarianceCap of 2.5.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="boundedVariance" type="BoundedVariance" minOccurs="0">
<xsd:annotation>
<xsd:documentation xml:lang="en">
Conditions which bound variance. The contract specifies
one or more boundary levels. These levels are expressed
as prices for confirmation purposes Underlyer price must
be equal to or higher than Lower Barrier is known as Up
Conditional Swap Underlyer price must be equal to or
lower than Upper Barrier is known as Down Conditional
Swap Underlyer price must be equal to or higher than
Lower Barrier and must be equal to or lower than Upper
Barrier is known as Barrier Conditional Swap.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="exchangeTradedContractNearest" type="ExchangeTradedContract" minOccurs="0">
<xsd:annotation>
<xsd:documentation xml:lang="en">
Specification of the exchange traded contract nearest.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="vegaNotionalAmount" type="xsd:decimal" minOccurs="0">
<xsd:annotation>
<xsd:documentation xml:lang="en">
Vega Notional represents the approximate gain/loss at
maturity for a 1% difference between RVol (realised vol)
and KVol (strike vol). It does not necessarily represent
the Vega Risk of the trade.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
</xsd:sequence>
</xsd:extension>
</xsd:complexContent>
</xsd:complexType>
The fixed income amounts of the return type swap.
Element interestLeg is defined by the complex type InterestLeg
<xsd:element name="interestLeg" type="InterestLeg" substitutionGroup="returnSwapLeg">
<xsd:annotation>
<xsd:documentation xml:lang="en">
The fixed income amounts of the return type swap.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
Return amounts of the return type swap.
Element returnLeg is defined by the complex type ReturnLeg
<xsd:element name="returnLeg" type="ReturnLeg" substitutionGroup="returnSwapLeg">
<xsd:annotation>
<xsd:documentation xml:lang="en">
Return amounts of the return type swap.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
Specifies the structure of a return type swap. It can represent equity swaps, total return swaps, variance swaps.
Element returnSwap is defined by the complex type ReturnSwap
<xsd:element name="returnSwap" type="ReturnSwap" substitutionGroup="product">
<xsd:annotation>
<xsd:documentation xml:lang="en">
Specifies the structure of a return type swap. It can represent
equity swaps, total return swaps, variance swaps.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
An placeholder for the actual Return Swap Leg definition.
Element returnSwapLeg is defined by the complex type ReturnSwapLeg
<xsd:element name="returnSwapLeg" type="ReturnSwapLeg" abstract="true">
<xsd:annotation>
<xsd:documentation xml:lang="en">
An placeholder for the actual Return Swap Leg definition.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
DEPRECATED This element will be removed in the next FpML major version. Return Swap model should not be used for Variance Swaps, use the Variance Swap Product. The variance leg of the return swap.
Element varianceLeg is defined by the complex type DeprecatedVarianceLeg
<xsd:element name="varianceLeg" type="DeprecatedVarianceLeg" substitutionGroup="returnSwapLeg" fpml-annotation:deprecated="true" fpml-annotation:deprecatedReason="Return Swap model should not be used for Variance Swaps, use the Variance Swap Product">
<xsd:annotation>
<xsd:documentation xml:lang="en">
DEPRECATED This element will be removed in the next FpML major
version. Return Swap model should not be used for Variance Swaps,
use the Variance Swap Product. The variance leg of the return
swap.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
A group containing Swap and Derivative features
feature (zero or one occurrence; of the type OptionFeatures)
fxFeature (zero or one occurrence; of the type FxFeature)
<xsd:group name="Feature.model">
<xsd:annotation>
<xsd:documentation xml:lang="en">
A group containing Swap and Derivative features
</xsd:documentation>
</xsd:annotation>
<xsd:sequence>
<xsd:element name="feature" type="OptionFeatures" minOccurs="0">
<xsd:annotation>
<xsd:documentation xml:lang="en">
Asian, Barrier, Knock and Pass Through features
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="fxFeature" type="FxFeature" minOccurs="0">
<xsd:annotation>
<xsd:documentation xml:lang="en">
Quanto, Composite, or Cross Currency FX features
</xsd:documentation>
</xsd:annotation>
</xsd:element>
</xsd:sequence>
</xsd:group>
<xsd:schema ecore:nsPrefix="fpml" ecore:package="org.fpml" ecore:documentRoot="FpML" targetNamespace="http://www.fpml.org/2007/FpML-4-3" version="$Revision: 2653 $" attributeFormDefault="unqualified" elementFormDefault="qualified">
<xsd:include schemaLocation="fpml-option-shared-4-3.xsd"/>
<xsd:complexType name="AdditionalDisruptionEvents">
<xsd:annotation>
<xsd:documentation xml:lang="en">
A type for defining ISDA 2002 Equity Derivative Additional
Disruption Events
</xsd:documentation>
</xsd:annotation>
<xsd:sequence>
<xsd:element name="changeInLaw" type="xsd:boolean">
<xsd:annotation>
<xsd:documentation xml:lang="en">
If true, then change in law is applicable
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="failureToDeliver" type="xsd:boolean" minOccurs="0">
<xsd:annotation>
<xsd:documentation xml:lang="en">
Where the underlying is shares and the transaction is
physically settled, then, if true, a failure to deliver the
shares on the settlement date will not be an event of
default for the purposes of the master agreement.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="insolvencyFiling" type="xsd:boolean">
<xsd:annotation>
<xsd:documentation xml:lang="en">
If true, then insolvency filing is applicable
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="hedgingDisruption" type="xsd:boolean">
<xsd:annotation>
<xsd:documentation xml:lang="en">
If true, then hedging disruption is applicable
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="lossOfStockBorrow" type="xsd:boolean">
<xsd:annotation>
<xsd:documentation xml:lang="en">
If true, then loss of stock borrow is applicable
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="increasedCostOfStockBorrow" type="xsd:boolean">
<xsd:annotation>
<xsd:documentation xml:lang="en">
If true, then increased cost of stock borrow is applicable
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="increasedCostOfHedging" type="xsd:boolean">
<xsd:annotation>
<xsd:documentation xml:lang="en">
If true, then increased cost of hedging is applicable
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="determiningPartyReference" type="PartyReference">
<xsd:annotation>
<xsd:documentation xml:lang="en">
A reference to the party which determines additional
disruption events
</xsd:documentation>
</xsd:annotation>
</xsd:element>
</xsd:sequence>
</xsd:complexType>
<xsd:complexType name="AdditionalPaymentAmount">
<xsd:annotation>
<xsd:documentation xml:lang="en">
Specifies the amount of the fee along with, when applicable,
the formula that supports its determination.
</xsd:documentation>
</xsd:annotation>
<xsd:sequence>
<xsd:element name="paymentAmount" type="Money" minOccurs="0">
<xsd:annotation>
<xsd:documentation xml:lang="en">
The currency amount of the payment.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="formula" type="Formula" minOccurs="0">
<xsd:annotation>
<xsd:documentation xml:lang="en">
Specifies a formula, with its description and components.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
</xsd:sequence>
</xsd:complexType>
<xsd:complexType name="AdjustableDateOrRelativeDateSequence">
<xsd:annotation>
<xsd:documentation xml:lang="en">
A type describing a date defined as subject to adjustment or
defined in reference to another date through one or several
date offsets.
</xsd:documentation>
</xsd:annotation>
<xsd:choice>
<xsd:element name="adjustableDate" type="AdjustableDate">
<xsd:annotation>
<xsd:documentation xml:lang="en">
A date that shall be subject to adjustment if it would
otherwise fall on a day that is not a business day in the
specified business centers, together with the convention
for adjusting the date.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="relativeDateSequence" type="RelativeDateSequence">
<xsd:annotation>
<xsd:documentation xml:lang="en">
A date specified in relation to some other date defined in
the document (the anchor date), where there is the
opportunity to specify a combination of offset rules. This
component will typically be used for defining the valuation
date in relation to the payment date, as both the currency
and the exchange holiday calendars need to be considered.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
</xsd:choice>
<xsd:attribute name="id" type="xsd:ID"/>
</xsd:complexType>
<xsd:complexType name="BoundedCorrelation">
<xsd:annotation>
<xsd:documentation xml:lang="en">
A type describing correlation bounds, which form a cap and a
floor on the realized correlation.
</xsd:documentation>
</xsd:annotation>
<xsd:sequence>
<xsd:element name="minimumBoundaryPercent" type="xsd:decimal" minOccurs="0">
<xsd:annotation>
<xsd:documentation xml:lang="en">
Minimum Boundary as a percentage of the Strike Price.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="maximumBoundaryPercent" type="xsd:decimal" minOccurs="0">
<xsd:annotation>
<xsd:documentation xml:lang="en">
Maximum Boundary as a percentage of the Strike Price.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
</xsd:sequence>
</xsd:complexType>
<xsd:complexType name="BoundedVariance">
<xsd:annotation>
<xsd:documentation xml:lang="en">
A type describing variance bounds, which are used to exclude
money price values outside of the specified range In a Up
Conditional Swap Underlyer price must be equal to or higher
than Lower Barrier In a Down Conditional Swap Underlyer price
must be equal to or lower than Upper Barrier In a Corridor
Conditional Swap Underlyer price must be equal to or higher
than Lower Barrier and must be equal to or lower than Upper
Barrier.
</xsd:documentation>
</xsd:annotation>
<xsd:sequence>
<xsd:element name="realisedVarianceMethod" type="RealisedVarianceMethodEnum">
<xsd:annotation>
<xsd:documentation xml:lang="en">
The contract specifies whether which price must satisfy the
boundary condition.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="daysInRangeAdjustment" type="xsd:boolean">
<xsd:annotation>
<xsd:documentation xml:lang="en">
The contract specifies whether the notional should be
scaled by the Number of Days in Range divided by the
Expected N. The number of Days in Ranges refers to the
number of returns that contribute to the realized
volatility.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="upperBarrier" type="NonNegativeDecimal" minOccurs="0">
<xsd:annotation>
<xsd:documentation xml:lang="en">
All observations above this price level will be excluded
from the variance calculation.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="lowerBarrier" type="NonNegativeDecimal" minOccurs="0">
<xsd:annotation>
<xsd:documentation xml:lang="en">
All observations below this price level will be excluded
from the variance calculation.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
</xsd:sequence>
</xsd:complexType>
<xsd:complexType name="CalculatedAmount" abstract="true">
<xsd:annotation>
<xsd:documentation xml:lang="en">
An abstract base class for all calculated money amounts, which
are in the currency of the cash multiplier of the calculation.
</xsd:documentation>
</xsd:annotation>
<xsd:sequence>
<xsd:element name="calculationDates" type="AdjustableRelativeOrPeriodicDates" minOccurs="0">
<xsd:annotation>
<xsd:documentation xml:lang="en">
Specifies the date on which a calculation or an observation
will be performed for the purpose of calculating the
amount.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="observationStartDate" type="AdjustableOrRelativeDate" minOccurs="0">
<xsd:annotation>
<xsd:documentation xml:lang="en">
The start of the period over which observations are made
which are used in the calculation Used when the observation
start date differs from the trade date such as for forward
starting swaps.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="optionsExchangeDividends" type="xsd:boolean" minOccurs="0">
<xsd:annotation>
<xsd:documentation xml:lang="en">
If present and true, then options exchange dividends are
applicable.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="additionalDividends" type="xsd:boolean" minOccurs="0">
<xsd:annotation>
<xsd:documentation xml:lang="en">
If present and true, then additional dividends are
applicable.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="allDividends" type="xsd:boolean" minOccurs="0">
<xsd:annotation>
<xsd:documentation xml:lang="en">
Represents the European Master Confirmation value of 'All
Dividends' which, when applicable, signifies that, for a
given Ex-Date, the daily observed Share Price for that day
is adjusted (reduced) by the cash dividend and/or the cash
value of any non cash dividend per Share (including
Extraordinary Dividends) declared by the Issuer.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
</xsd:sequence>
</xsd:complexType>
<xsd:complexType name="CalculationFromObservation" abstract="true">
<xsd:annotation>
<xsd:documentation xml:lang="en">
Abstract base class for all calculation from observed values
</xsd:documentation>
</xsd:annotation>
<xsd:sequence>
<xsd:choice>
<xsd:element name="initialLevel" type="xsd:decimal">
<xsd:annotation>
<xsd:documentation xml:lang="en">
Contract will strike off this initial level
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="closingLevel" type="xsd:boolean">
<xsd:annotation>
<xsd:documentation xml:lang="en">
If true this contract will strike off the closing level
of the default exchange traded contract
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="expiringLevel" type="xsd:boolean">
<xsd:annotation>
<xsd:documentation xml:lang="en">
If true this contract will strike off the expiring level
of the default exchange traded contract
</xsd:documentation>
</xsd:annotation>
</xsd:element>
</xsd:choice>
<xsd:element name="expectedN" type="xsd:positiveInteger" minOccurs="0">
<xsd:annotation>
<xsd:documentation xml:lang="en">
Expected number of trading days
</xsd:documentation>
</xsd:annotation>
</xsd:element>
</xsd:sequence>
</xsd:complexType>
<xsd:complexType name="Compounding">
<xsd:annotation>
<xsd:documentation xml:lang="en">
Specifies the compounding method and the compounding rate.
</xsd:documentation>
</xsd:annotation>
<xsd:sequence>
<xsd:element name="compoundingMethod" type="CompoundingMethodEnum">
<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:element name="compoundingRate" type="CompoundingRate">
<xsd:annotation>
<xsd:documentation xml:lang="en">
Defines a compounding rate. The compounding interest can
either point back to the interest calculation node on the
Interest Leg, or be defined specifically.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
</xsd:sequence>
</xsd:complexType>
<xsd:complexType name="CompoundingRate">
<xsd:annotation>
<xsd:documentation xml:lang="en">
A type defining a compounding rate. The compounding interest
can either point back to the interest calculation node on the
Interest Leg, or be defined specifically.
</xsd:documentation>
</xsd:annotation>
<xsd:choice>
<xsd:element name="interestLegRate" type="InterestCalculationReference">
<xsd:annotation>
<xsd:documentation xml:lang="en">
Reference to the interest calculation node on the Interest
Leg.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="specificRate" type="InterestAccrualsMethod">
<xsd:annotation>
<xsd:documentation xml:lang="en">
Defines a specific rate.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
</xsd:choice>
</xsd:complexType>
<xsd:complexType name="Correlation">
<xsd:annotation>
<xsd:documentation xml:lang="en">
A type describing the correlation amount of a correlation swap
</xsd:documentation>
</xsd:annotation>
<xsd:complexContent>
<xsd:extension base="CalculationFromObservation">
<xsd:sequence>
<xsd:element name="notionalAmount" type="Money">
<xsd:annotation>
<xsd:documentation xml:lang="en">
Notional amount, which is a cash multiplier
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="correlationStrikePrice" type="CorrelationValue">
<xsd:annotation>
<xsd:documentation xml:lang="en">
Correlation Strike Price
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="boundedCorrelation" type="BoundedCorrelation" minOccurs="0">
<xsd:annotation>
<xsd:documentation xml:lang="en">
Bounded Correlation
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="numberOfDataSeries" type="xsd:positiveInteger" minOccurs="0">
<xsd:annotation>
<xsd:documentation xml:lang="en">
Number of data series, normal market practice is that
correlation data sets are drawn from geographic market
areas, such as America, Europe and Asia Pacific, each
of these geographic areas will have its own data series
to avoid contagion
</xsd:documentation>
</xsd:annotation>
</xsd:element>
</xsd:sequence>
</xsd:extension>
</xsd:complexContent>
</xsd:complexType>
<xsd:complexType name="DeprecatedVariance" fpml-annotation:deprecated="true" fpml-annotation:deprecatedReason="Use new Variance complex type">
<xsd:annotation>
<xsd:documentation xml:lang="en">
DEPRECATED This type will be removed in the next FpML major
version. A type describing the variance amount of a variance
swap.
</xsd:documentation>
</xsd:annotation>
<xsd:sequence>
<xsd:choice>
<xsd:element name="initialLevel" type="xsd:decimal"/>
<xsd:element name="closingLevel" type="xsd:boolean"/>
</xsd:choice>
<xsd:element name="varianceAmount" type="Money"/>
<xsd:choice>
<xsd:element name="volatilityStrikePrice" type="xsd:decimal"/>
<xsd:element name="varianceStrikePrice" type="xsd:decimal"/>
</xsd:choice>
<xsd:element name="expectedN" type="xsd:integer" minOccurs="0"/>
<xsd:element name="varianceCap" type="xsd:boolean" minOccurs="0"/>
<xsd:element name="unadjustedVarianceCap" type="xsd:decimal" minOccurs="0">
<xsd:annotation>
<xsd:documentation xml:lang="en">
For use when varianceCap is applicable. Contains the
scaling factor of the Variance Cap that can differ on a
trade-by-trade basis in the European market. For example, a
Variance Cap of 2.5^2 x Variance Strike Price has an
unadjustedVarianceCap of 2.5.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="exchangeTradedContractNearest" type="ExchangeTradedContract" minOccurs="0"/>
<xsd:element name="vegaNotionalAmount" type="xsd:decimal" minOccurs="0">
<xsd:annotation>
<xsd:documentation xml:lang="en">
Vega Notional represents the approximate gain/loss at
maturity for a 1% difference between RVol (realised vol)
and KVol (strike vol). It does not necessarily represent
the Vega Risk of the trade.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
</xsd:sequence>
</xsd:complexType>
<xsd:complexType name="DeprecatedVarianceAmount" fpml-annotation:deprecated="true" fpml-annotation:deprecatedReason="Return Swap model should not be used for Variance Swaps, use the Variance Swap Product">
<xsd:annotation>
<xsd:documentation xml:lang="en">
DEPRECATED This type will be removed in the next FpML major
version. Return Swap model should not be used for Variance
Swaps, use the Variance Swap Product. Specifies, in relation to
each Equity Payment Date, the amount to which the Equity
Payment Date relates for Variance Swaps. Unless otherwise
specified, this term has the meaning defined in the ISDA 2002
Equity Derivatives Definitions.
</xsd:documentation>
</xsd:annotation>
<xsd:complexContent>
<xsd:extension base="ReturnSwapAmount">
<xsd:sequence>
<xsd:element name="cashSettlementPaymentDate" type="AdjustableOrRelativeDate" minOccurs="0">
<xsd:annotation>
<xsd:documentation xml:lang="en">
Typically specified as a number of days following the
valuation date, such as one settlement cycle following
the valuation date. Number of days can vary in the
European market.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="observationStartDate" type="StartingDate" minOccurs="0">
<xsd:annotation>
<xsd:documentation xml:lang="en">
The start of the period over which observations are
made to determine the variance. Used when the date
differs from the trade date such as for forward
starting variance swaps.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="allDividends" type="xsd:boolean" minOccurs="0">
<xsd:annotation>
<xsd:documentation xml:lang="en">
Represents the European Master Confirmation value of
"All Dividends" which, when applicable, signifies that,
for a given Ex-Date, the daily observed Share Price for
that day is adjusted (reduced) by the cash dividend
and/or the cash value of any non cash dividend per
Share (including Extraordinary Dividends) declared by
the Issuer.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
</xsd:sequence>
</xsd:extension>
</xsd:complexContent>
</xsd:complexType>
<xsd:complexType name="DeprecatedVarianceLeg" fpml-annotation:deprecated="true" fpml-annotation:deprecatedReason="Return Swap model should not be used for Variance Swaps, use the Variance Swap Product">
<xsd:annotation>
<xsd:documentation xml:lang="en">
DEPRECATED This type will be removed in the next FpML major
version. Return Swap model should not be used for Variance
Swaps, use the Variance Swap Product. A type describing the
variance leg of the return swap.
</xsd:documentation>
</xsd:annotation>
<xsd:complexContent>
<xsd:extension base="ReturnSwapLeg">
<xsd:sequence>
<xsd:element name="underlyer" type="Underlyer">
<xsd:annotation>
<xsd:documentation xml:lang="en">
Specifies the underlyer of the leg.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="equityValuation" type="EquityValuation">
<xsd:annotation>
<xsd:documentation xml:lang="en">
Valuation of the underlyer.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="equityAmount" type="DeprecatedVarianceAmount">
<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:sequence>
</xsd:extension>
</xsd:complexContent>
</xsd:complexType>
<xsd:complexType name="DirectionalLeg" abstract="true">
<xsd:annotation>
<xsd:documentation xml:lang="en">
An abstract base class for all directional leg types with
effective date, termination date, where a payer makes a stream
of payments of greater than zero value to a receiver.
</xsd:documentation>
</xsd:annotation>
<xsd:complexContent>
<xsd:extension base="Leg">
<xsd:sequence>
<xsd:group ref="PayerReceiver.model"/>
<xsd:element name="effectiveDate" type="AdjustableOrRelativeDate" minOccurs="0">
<xsd:annotation>
<xsd:documentation xml:lang="en">
Specifies the effective date of this 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" minOccurs="0">
<xsd:annotation>
<xsd:documentation xml:lang="en">
Specifies the termination date of this 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:sequence>
<xsd:attribute name="id" type="xsd:ID"/>
</xsd:extension>
</xsd:complexContent>
</xsd:complexType>
<xsd:complexType name="DirectionalLegUnderlyer" abstract="true">
<xsd:annotation>
<xsd:documentation xml:lang="en">
An abstract base class for all directional leg types with
effective date, termination date, and underlyer where a payer
makes a stream of payments of greater than zero value to a
receiver.
</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 underlyer of the leg.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:group ref="OptionSettlement.model"/>
<xsd:element name="fxFeature" type="FxFeature" minOccurs="0">
<xsd:annotation>
<xsd:documentation xml:lang="en">
Quanto, Composite, or Cross Currency FX features.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
</xsd:sequence>
</xsd:extension>
</xsd:complexContent>
</xsd:complexType>
<xsd:complexType name="DirectionalLegUnderlyerValuation" abstract="true">
<xsd:annotation>
<xsd:documentation xml:lang="en">
An abstract base class for all directional leg types with
effective date, termination date, and underlyer, where a payer
makes a stream of payments of greater than zero value to a
receiver.
</xsd:documentation>
</xsd:annotation>
<xsd:complexContent>
<xsd:extension base="DirectionalLegUnderlyer">
<xsd:sequence>
<xsd:element name="valuation" type="EquityValuation">
<xsd:annotation>
<xsd:documentation xml:lang="en">
Valuation of the underlyer.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
</xsd:sequence>
</xsd:extension>
</xsd:complexContent>
</xsd:complexType>
<xsd:complexType name="DividendAdjustment">
<xsd:annotation>
<xsd:documentation xml:lang="en">
Container for Dividend Adjustment Periods, which are used to
calculate the Deviation between Expected Dividend and Actual
Dividend in that Period.
</xsd:documentation>
</xsd:annotation>
<xsd:sequence>
<xsd:element name="dividendPeriod" type="DividendPeriodDividend" maxOccurs="unbounded">
<xsd:annotation>
<xsd:documentation xml:lang="en">
A single Dividend Adjustment Period.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
</xsd:sequence>
</xsd:complexType>
<xsd:complexType name="DividendPeriod" abstract="true">
<xsd:annotation>
<xsd:documentation xml:lang="en">
Abstract base class of all time bounded dividend period types.
</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="underlyerReference" type="AssetReference" minOccurs="0">
<xsd:annotation>
<xsd:documentation xml:lang="en">
Reference to the underlyer which is paying dividends. This
should be used in all cases, and must be used where there
are multiple underlying assets, to avoid any ambiguity
about which asset the dividend period relates to.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
</xsd:sequence>
<xsd:attribute name="id" type="xsd:ID"/>
</xsd:complexType>
<xsd:complexType name="DividendPeriodDividend">
<xsd:annotation>
<xsd:documentation xml:lang="en">
A time bounded dividend period, with an expected dividend for
each period.
</xsd:documentation>
</xsd:annotation>
<xsd:complexContent>
<xsd:extension base="DividendPeriod">
<xsd:sequence>
<xsd:element name="dividend" type="Money">
<xsd:annotation>
<xsd:documentation xml:lang="en">
Expected dividend in this period.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="multiplier" type="PositiveDecimal">
<xsd:annotation>
<xsd:documentation xml:lang="en">
Multiplier is a percentage value which is used to
produce Deviation by multiplying the difference between
Expected Dividend and Actual Dividend Deviation =
Multiplier * (Expected Dividend — Actual Dividend).
</xsd:documentation>
</xsd:annotation>
</xsd:element>
</xsd:sequence>
</xsd:extension>
</xsd:complexContent>
</xsd:complexType>
<xsd:complexType name="EquityCorporateEvents">
<xsd:annotation>
<xsd:documentation xml:lang="en">
A type for defining the merger events and their treatment.
</xsd:documentation>
</xsd:annotation>
<xsd:sequence>
<xsd:element name="shareForShare" type="ShareExtraordinaryEventEnum">
<xsd:annotation>
<xsd:documentation xml:lang="en">
The consideration paid for the original shares following
the Merger Event consists wholly of new shares.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="shareForOther" type="ShareExtraordinaryEventEnum">
<xsd:annotation>
<xsd:documentation xml:lang="en">
The consideration paid for the original shares following
the Merger Event consists wholly of cash/securities other
than new shares.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="shareForCombined" type="ShareExtraordinaryEventEnum">
<xsd:annotation>
<xsd:documentation xml:lang="en">
The consideration paid for the original shares following
the Merger Event consists of both cash/securities and new
shares.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
</xsd:sequence>
</xsd:complexType>
<xsd:complexType name="EquityPremium">
<xsd:annotation>
<xsd:documentation xml:lang="en">
A type used to describe the amount paid for an equity option.
</xsd:documentation>
</xsd:annotation>
<xsd:sequence>
<xsd:group ref="PayerReceiver.model"/>
<xsd:element name="premiumType" type="PremiumTypeEnum" minOccurs="0">
<xsd:annotation>
<xsd:documentation xml:lang="en">
Forward start Premium type
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="paymentAmount" type="Money" minOccurs="0">
<xsd:annotation>
<xsd:documentation xml:lang="en">
The currency amount of the payment.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="paymentDate" type="AdjustableDate" minOccurs="0">
<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="swapPremium" type="xsd:boolean" minOccurs="0">
<xsd:annotation>
<xsd:documentation xml:lang="en">
Specifies whether or not the premium is to be paid in the
style of payments under an interest rate swap contract.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="pricePerOption" type="Money" minOccurs="0">
<xsd:annotation>
<xsd:documentation xml:lang="en">
The amount of premium to be paid expressed as a function of
the number of options.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="percentageOfNotional" type="xsd:decimal" minOccurs="0">
<xsd:annotation>
<xsd:documentation xml:lang="en">
The amount of premium to be paid expressed as a percentage
of the notional value of the transaction. A percentage of
5% would be expressed as 0.05.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
</xsd:sequence>
</xsd:complexType>
<xsd:complexType name="EquityStrike">
<xsd:annotation>
<xsd:documentation xml:lang="en">
A type for defining the strike price for an equity option. The
strike price is either: (i) in respect of an index option
transaction, the level of the relevant index specified or
otherwise determined in the transaction; or (ii) in respect of
a share option transaction, the price per share specified or
otherwise determined in the transaction. This can be expressed
either as a percentage of notional amount or as an absolute
value.
</xsd:documentation>
</xsd:annotation>
<xsd:sequence>
<xsd:choice>
<xsd:element name="strikePrice" type="xsd:decimal">
<xsd:annotation>
<xsd:documentation xml:lang="en">
The price or level at which the option has been struck.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:sequence>
<xsd:element name="strikePercentage" type="xsd:decimal">
<xsd:annotation>
<xsd:documentation xml:lang="en">
The price or level expressed as a percentage of the
forward starting spot price.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="strikeDeterminationDate" type="AdjustableOrRelativeDate" minOccurs="0">
<xsd:annotation>
<xsd:documentation xml:lang="en">
The date on which the strike is determined, where this
is not the effective date of a forward starting option.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
</xsd:sequence>
</xsd:choice>
<xsd:element name="currency" type="Currency" minOccurs="0">
<xsd:annotation>
<xsd:documentation xml:lang="en">
The currency in which an amount is denominated.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
</xsd:sequence>
</xsd:complexType>
<xsd:complexType name="EquityValuation">
<xsd:annotation>
<xsd:documentation xml:lang="en">
A type for defining how and when an equity option is to be
valued.
</xsd:documentation>
</xsd:annotation>
<xsd:sequence>
<xsd:choice minOccurs="0">
<xsd:element name="valuationDate" type="AdjustableDateOrRelativeDateSequence">
<xsd:annotation>
<xsd:documentation xml:lang="en">
The term "Valuation Date" is assumed to have the meaning
as defined in the ISDA 2002 Equity Derivatives
Definitions.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="valuationDates" type="AdjustableRelativeOrPeriodicDates">
<xsd:annotation>
<xsd:documentation xml:lang="en">
Specifies the interim equity valuation dates of the swap.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
</xsd:choice>
<xsd:element name="valuationTimeType" type="TimeTypeEnum" minOccurs="0">
<xsd:annotation>
<xsd:documentation xml:lang="en">
The time of day at which the calculation agent values the
underlying, for example the official closing time of the
exchange.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="valuationTime" type="BusinessCenterTime" minOccurs="0">
<xsd:annotation>
<xsd:documentation xml:lang="en">
The specific time of day at which the calculation agent
values the underlying.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="futuresPriceValuation" type="xsd:boolean" minOccurs="0">
<xsd:annotation>
<xsd:documentation xml:lang="en">
The official settlement price as announced by the related
exchange is applicable, in accordance with the ISDA 2002
definitions.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="optionsPriceValuation" type="xsd:boolean" minOccurs="0">
<xsd:annotation>
<xsd:documentation xml:lang="en">
The official settlement price as announced by the related
exchange is applicable, in accordance with the ISDA 2002
definitions.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
</xsd:sequence>
<xsd:attribute name="id" type="xsd:ID"/>
</xsd:complexType>
<xsd:complexType name="ExtraordinaryEvents">
<xsd:annotation>
<xsd:documentation xml:lang="en">
Where the underlying is shares, defines market events affecting
the issuer of those shares that may require the terms of the
transaction to be adjusted.
</xsd:documentation>
</xsd:annotation>
<xsd:sequence>
<xsd:element name="mergerEvents" type="EquityCorporateEvents" minOccurs="0">
<xsd:annotation>
<xsd:documentation xml:lang="en">
Occurs when the underlying ceases to exist following a
merger between the Issuer and another company.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="tenderOffer" type="xsd:boolean" minOccurs="0">
<xsd:annotation>
<xsd:documentation xml:lang="en">
If present and true, then tender offer is applicable.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="tenderOfferEvents" type="EquityCorporateEvents" minOccurs="0">
<xsd:annotation>
<xsd:documentation xml:lang="en">
ISDA 2002 Equity Tender Offer Events.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="compositionOfCombinedConsideration" type="xsd:boolean" minOccurs="0">
<xsd:annotation>
<xsd:documentation xml:lang="en">
If present and true, then composition of combined
consideration is applicable.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="indexAdjustmentEvents" type="IndexAdjustmentEvents" minOccurs="0">
<xsd:annotation>
<xsd:documentation xml:lang="en">
ISDA 2002 Equity Index Adjustment Events.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:choice>
<xsd:element name="additionalDisruptionEvents" type="AdditionalDisruptionEvents">
<xsd:annotation>
<xsd:documentation xml:lang="en">
ISDA 2002 Equity Additional Disruption Events.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="failureToDeliver" type="xsd:boolean">
<xsd:annotation>
<xsd:documentation xml:lang="en">
If true, failure to deliver is applicable.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
</xsd:choice>
<xsd:element name="representations" type="Representations" minOccurs="0">
<xsd:annotation>
<xsd:documentation xml:lang="en">
ISDA 2002 Equity Derivative Representations.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="nationalisationOrInsolvency" type="NationalisationOrInsolvencyOrDelistingEventEnum" minOccurs="0">
<xsd:annotation>
<xsd:documentation xml:lang="en">
The terms "Nationalisation" and "Insolvency" have the
meaning as defined in the ISDA 2002 Equity Derivatives
Definitions.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="delisting" type="NationalisationOrInsolvencyOrDelistingEventEnum" minOccurs="0">
<xsd:annotation>
<xsd:documentation xml:lang="en">
The term "Delisting" has the meaning defined in the ISDA
2002 Equity Derivatives Definitions.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
</xsd:sequence>
</xsd:complexType>
<xsd:complexType name="IndexAdjustmentEvents">
<xsd:annotation>
<xsd:documentation xml:lang="en">
Defines the specification of the consequences of Index Events
as defined by the 2002 ISDA Equity Derivatives Definitions.
</xsd:documentation>
</xsd:annotation>
<xsd:sequence>
<xsd:element name="indexModification" type="IndexEventConsequenceEnum">
<xsd:annotation>
<xsd:documentation xml:lang="en">
Consequence of index modification.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="indexCancellation" type="IndexEventConsequenceEnum">
<xsd:annotation>
<xsd:documentation xml:lang="en">
Consequence of index cancellation.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="indexDisruption" type="IndexEventConsequenceEnum">
<xsd:annotation>
<xsd:documentation xml:lang="en">
Consequence of index disruption.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
</xsd:sequence>
</xsd:complexType>
<xsd:complexType name="InterestCalculation">
<xsd:annotation>
<xsd:documentation xml:lang="en">
Specifies the calculation method of the interest rate leg of
the equity swap. Includes the floating or fixed rate
calculation definitions, along with the determination of the
day count fraction.
</xsd:documentation>
</xsd:annotation>
<xsd:complexContent>
<xsd:extension base="InterestAccrualsMethod">
<xsd:sequence>
<xsd:element name="dayCountFraction" type="DayCountFraction">
<xsd:annotation>
<xsd:documentation xml:lang="en">
The day count fraction.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="compounding" type="Compounding" minOccurs="0">
<xsd:annotation>
<xsd:documentation xml:lang="en">
Defines compounding rates on the Interest Leg.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
</xsd:sequence>
<xsd:attribute name="id" type="xsd:ID"/>
</xsd:extension>
</xsd:complexContent>
</xsd:complexType>
<xsd:complexType name="InterestCalculationReference">
<xsd:annotation>
<xsd:documentation xml:lang="en">
Reference to an interest calculation component.
</xsd:documentation>
</xsd:annotation>
<xsd:complexContent>
<xsd:extension base="Reference">
<xsd:attribute name="href" type="xsd:IDREF" use="required" ecore:reference="InterestCalculation"/>
</xsd:extension>
</xsd:complexContent>
</xsd:complexType>
<xsd:complexType name="InterestLeg">
<xsd:annotation>
<xsd:documentation xml:lang="en">
A type describing the fixed income leg of the equity swap.
</xsd:documentation>
</xsd:annotation>
<xsd:complexContent>
<xsd:extension base="ReturnSwapLeg">
<xsd:sequence>
<xsd:element name="interestLegCalculationPeriodDates" type="InterestLegCalculationPeriodDates">
<xsd:annotation>
<xsd:documentation xml:lang="en">
Component that holds the various dates used to specify
the interest leg of the equity swap. It is used to
define the InterestPeriodDates identifyer.
</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="interestAmount" type="LegAmount">
<xsd:annotation>
<xsd:documentation xml:lang="en">
Specifies, in relation to each Interest Payment Date,
the amount to which the Interest Payment Date relates.
Unless otherwise specified, this term has the meaning
defined in the ISDA 2000 ISDA Definitions.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="interestCalculation" type="InterestCalculation">
<xsd:annotation>
<xsd:documentation xml:lang="en">
Specifies the calculation method of the interest rate
leg of the equity swap. Includes the floating or fixed
rate calculation definitions, along with the
determination of the day count fraction.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="stubCalculationPeriod" type="StubCalculationPeriod" minOccurs="0">
<xsd:annotation>
<xsd:documentation xml:lang="en">
Specifies the stub calculation period
</xsd:documentation>
</xsd:annotation>
</xsd:element>
</xsd:sequence>
</xsd:extension>
</xsd:complexContent>
</xsd:complexType>
<xsd:complexType name="InterestLegCalculationPeriodDates">
<xsd:annotation>
<xsd:documentation xml:lang="en">
Component that holds the various dates used to specify the
interest leg of the equity swap. It is used to define the
InterestPeriodDates identifyer.
</xsd:documentation>
</xsd:annotation>
<xsd:sequence>
<xsd:element name="effectiveDate" type="AdjustableOrRelativeDate">
<xsd:annotation>
<xsd:documentation xml:lang="en">
Specifies the effective date of the equity swap. This
global element is valid within the equity swaps namespace.
Within the FpML namespace, another effectiveDate global
element has been defined, that is different in the sense
that it does not propose the choice of refering to another
date in the document.
</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 swap. This
global element is valid within the equity swaps namespace.
Within the FpML namespace, another terminationDate global
element has been defined, that is different in the sense
that it does not propose the choice of refering to another
date in the document.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="interestLegResetDates" type="InterestLegResetDates">
<xsd:annotation>
<xsd:documentation xml:lang="en">
Specifies the reset dates of the interest leg of the swap.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="interestLegPaymentDates" type="AdjustableOrRelativeDates">
<xsd:annotation>
<xsd:documentation xml:lang="en">
Specifies the payment dates of the interest leg of the
swap. When defined in relation to a date specified
somewhere else in the document (through the relativeDates
component), this element will typically point to the
payment dates of the equity leg of the swap.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
</xsd:sequence>
<xsd:attribute name="id" type="xsd:ID" use="required"/>
</xsd:complexType>
<xsd:complexType name="InterestLegCalculationPeriodDatesReference">
<xsd:annotation>
<xsd:documentation xml:lang="en">
Reference to the calculation period dates of the interest leg.
</xsd:documentation>
</xsd:annotation>
<xsd:complexContent>
<xsd:extension base="Reference">
<xsd:attribute name="href" type="xsd:IDREF" use="required" ecore:reference="InterestLegCalculationPeriodDates"/>
</xsd:extension>
</xsd:complexContent>
</xsd:complexType>
<xsd:complexType name="InterestLegResetDates">
<xsd:sequence>
<xsd:element name="calculationPeriodDatesReference" type="InterestLegCalculationPeriodDatesReference">
<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:choice>
<xsd:element name="resetRelativeTo" type="ResetRelativeToEnum">
<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="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:choice>
<xsd:element name="initialFixingDate" type="RelativeDateOffset" minOccurs="0">
<xsd:annotation>
<xsd:documentation xml:lang="en">
Initial fixing date expressed as an offset to another date
defined elsewhere in the document.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="fixingDates" type="AdjustableDatesOrRelativeDateOffset" minOccurs="0">
<xsd:annotation>
<xsd:documentation xml:lang="en">
Specifies the fixing date relative to the reset date in
terms of a business days offset, or by providing a series
of adjustable dates
</xsd:documentation>
</xsd:annotation>
</xsd:element>
</xsd:sequence>
</xsd:complexType>
<xsd:complexType name="LegAmount">
<xsd:annotation>
<xsd:documentation xml:lang="en">
A type describing the amount that will paid or received on each
of the payment dates. This type is used to define both the
Equity Amount and the Interest Amount.
</xsd:documentation>
</xsd:annotation>
<xsd:sequence>
<xsd:choice minOccurs="0">
<xsd:element name="currency" type="Currency">
<xsd:annotation>
<xsd:documentation xml:lang="en">
The currency in which an amount is denominated.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="determinationMethod" type="DeterminationMethod">
<xsd:annotation>
<xsd:documentation xml:lang="en">
Specifies the method according to which an amount or a
date is determined.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="currencyReference" type="IdentifiedCurrencyReference">
<xsd:annotation>
<xsd:documentation xml:lang="en">
The currency in which an amount is denominated.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
</xsd:choice>
<xsd:element name="paymentCurrency" type="PaymentCurrency" minOccurs="0" fpml-annotation:deprecated="true" fpml-annotation:deprecatedReason="The model is wrong since it has an intradocument reference that is not clear. Current PaymentCurrency model and elements using this type are deprecated. Instead, the choice above between currency, determinationMethod, and currencyReference (of type CurrencyReference) should be used.">
<xsd:annotation>
<xsd:documentation xml:lang="en">
Currency in which the payment relating to the leg amount
(equity amount or interest amount) or the dividend will be
denominated.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:choice>
<xsd:element name="referenceAmount" type="ReferenceAmount">
<xsd:annotation>
<xsd:documentation xml:lang="en">
Specifies the reference Amount when this term either
corresponds to the standard ISDA Definition (either the
2002 Equity Definition for the Equity Amount, or the 2000
Definition for the Interest Amount), or points to a term
defined elsewhere in the swap document.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="formula" type="Formula">
<xsd:annotation>
<xsd:documentation xml:lang="en">
Specifies a formula, with its description and components.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="encodedDescription" type="xsd:base64Binary">
<xsd:annotation>
<xsd:documentation xml:lang="en">
Description of the leg amount when represented through an
encoded image.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="variance" type="DeprecatedVariance" fpml-annotation:deprecated="true" fpml-annotation:deprecatedReason="Return Swap model should not be used for Variance Swaps, use the Variance Swap Product">
<xsd:annotation>
<xsd:documentation xml:lang="en">
DEPRECATED This element will be removed in the next FpML
major version. Return Swap model should not be used for
Variance Swaps, use the Variance Swap Product. Specifies
Variance for Variance Leg.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
</xsd:choice>
<xsd:element name="calculationDates" type="AdjustableRelativeOrPeriodicDates" minOccurs="0">
<xsd:annotation>
<xsd:documentation xml:lang="en">
Specifies the date on which a calculation or an observation
will be performed for the purpose of defining the Equity
Amount, and in accordance to the definition terms of this
latter.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
</xsd:sequence>
</xsd:complexType>
<xsd:complexType name="MakeWholeProvisions">
<xsd:annotation>
<xsd:documentation>
A type to hold early exercise provisions.
</xsd:documentation>
</xsd:annotation>
<xsd:sequence>
<xsd:element name="makeWholeDate" type="xsd:date">
<xsd:annotation>
<xsd:documentation xml:lang="en">
Date through which option can not be exercised without
penalty.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="recallSpread" type="xsd:decimal">
<xsd:annotation>
<xsd:documentation xml:lang="en">
Spread used if exercised before make whole date. Early
termination penalty. Expressed in bp, e.g. 25 bp.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
</xsd:sequence>
</xsd:complexType>
<xsd:complexType name="NettedSwapBase" abstract="true">
<xsd:annotation>
<xsd:documentation xml:lang="en">
An abstract base class for all swap types which have a single
netted leg, such as Variance Swaps, and Correlation Swaps.
</xsd:documentation>
</xsd:annotation>
<xsd:complexContent>
<xsd:extension base="Product">
<xsd:sequence>
<xsd:element name="additionalPayment" type="ClassifiedPayment" minOccurs="0" maxOccurs="unbounded">
<xsd:annotation>
<xsd:documentation xml:lang="en">
Specifies additional payment(s) between the principal
parties to the netted swap.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="extraordinaryEvents" type="ExtraordinaryEvents" minOccurs="0">
<xsd:annotation>
<xsd:documentation xml:lang="en">
Where the underlying is shares, specifies events
affecting the issuer of those shares that may require
the terms of the transaction to be adjusted.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
</xsd:sequence>
</xsd:extension>
</xsd:complexContent>
</xsd:complexType>
<xsd:complexType name="OptionFeatures">
<xsd:annotation>
<xsd:documentation xml:lang="en">
A type for defining option features.
</xsd:documentation>
</xsd:annotation>
<xsd:sequence>
<xsd:element name="asian" type="Asian" minOccurs="0">
<xsd:annotation>
<xsd:documentation xml:lang="en">
An option where and average price is taken on valuation.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="barrier" type="Barrier" minOccurs="0">
<xsd:annotation>
<xsd:documentation xml:lang="en">
An option with a barrier feature.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="knock" type="Knock" minOccurs="0">
<xsd:annotation>
<xsd:documentation xml:lang="en">
A knock feature.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="passThrough" type="PassThrough" minOccurs="0">
<xsd:annotation>
<xsd:documentation xml:lang="en">
Pass through payments from the underlyer, such as
dividends.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="dividendAdjustment" type="DividendAdjustment" minOccurs="0">
<xsd:annotation>
<xsd:documentation xml:lang="en">
Dividend adjustment of the contract is driven by the
difference between the Expected Dividend, and the Actual
Dividend, which is multiplied by an agreed Factor to
produce a Deviation, which is used as the basis for
adjusting the contract. The parties acknowledge that in
determining the Call Strike Price of the Transaction the
parties have assumed that the Dividend scheduled to be paid
by the Issuer to holders of record of the Shares, in the
period set out in Column headed Relevant Period will equal
per Share the amount stated in respect of such Relevant
Period.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
</xsd:sequence>
</xsd:complexType>
<xsd:complexType name="PrincipalExchangeAmount">
<xsd:annotation>
<xsd:documentation xml:lang="en">
Specifies the principal exchange amount, either by explicitly
defining it, or by point to an amount defined somewhere else in
the swap document.
</xsd:documentation>
</xsd:annotation>
<xsd:choice>
<xsd:element name="amountRelativeTo" type="AmountReference">
<xsd:annotation>
<xsd:documentation xml:lang="en">
Reference to an amount defined elsewhere in the document.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="determinationMethod" type="DeterminationMethod">
<xsd:annotation>
<xsd:documentation xml:lang="en">
Specifies the method according to which an amount or a date
is determined.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="principalAmount" type="Money">
<xsd:annotation>
<xsd:documentation xml:lang="en">
Principal exchange amount when explictly stated.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
</xsd:choice>
</xsd:complexType>
<xsd:complexType name="PrincipalExchangeDescriptions">
<xsd:annotation>
<xsd:documentation xml:lang="en">
Specifies each of the characteristics of the principal exchange
cashflows, in terms of paying/receiving counterparties, amounts
and dates.
</xsd:documentation>
</xsd:annotation>
<xsd:sequence>
<xsd:group ref="PayerReceiver.model"/>
<xsd:element name="principalExchangeAmount" type="PrincipalExchangeAmount">
<xsd:annotation>
<xsd:documentation xml:lang="en">
Specifies the principal echange amount, either by
explicitly defining it, or by point to an amount defined
somewhere else in the swap document.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="principalExchangeDate" type="AdjustableOrRelativeDate" minOccurs="0">
<xsd:annotation>
<xsd:documentation xml:lang="en">
Date on which each of the principal exchanges will take
place. This date is either explictly stated, or is defined
by reference to another date in the swap document. In this
latter case, it will typically refer to one other date of
the equity leg: either the effective date (initial
exchange), or the last payment date (final exchange).
</xsd:documentation>
</xsd:annotation>
</xsd:element>
</xsd:sequence>
</xsd:complexType>
<xsd:complexType name="PrincipalExchangeFeatures">
<xsd:annotation>
<xsd:documentation xml:lang="en">
A type describing the principal exchange features of the equity
swap.
</xsd:documentation>
</xsd:annotation>
<xsd:sequence>
<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="principalExchangeDescriptions" type="PrincipalExchangeDescriptions" maxOccurs="unbounded">
<xsd:annotation>
<xsd:documentation xml:lang="en">
Specifies each of the characteristics of the principal
exchange cashflows, in terms of paying/receiving
counterparties, amounts and dates.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
</xsd:sequence>
</xsd:complexType>
<xsd:complexType name="Representations">
<xsd:annotation>
<xsd:documentation xml:lang="en">
A type for defining ISDA 2002 Equity Derivative
Representations.
</xsd:documentation>
</xsd:annotation>
<xsd:sequence>
<xsd:element name="nonReliance" type="xsd:boolean">
<xsd:annotation>
<xsd:documentation xml:lang="en">
If true, then non reliance is applicable.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="agreementsRegardingHedging" type="xsd:boolean">
<xsd:annotation>
<xsd:documentation xml:lang="en">
If true, then agreements regarding hedging are applicable.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="indexDisclaimer" type="xsd:boolean" minOccurs="0">
<xsd:annotation>
<xsd:documentation xml:lang="en">
If present and true, then index disclaimer is applicable
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="additionalAcknowledgements" type="xsd:boolean">
<xsd:annotation>
<xsd:documentation xml:lang="en">
If true, then additional acknowledgements are applicable.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
</xsd:sequence>
</xsd:complexType>
<xsd:complexType name="Return">
<xsd:annotation>
<xsd:documentation xml:lang="en">
A type describing the dividend return conditions applicable to
the swap.
</xsd:documentation>
</xsd:annotation>
<xsd:sequence>
<xsd:element name="returnType" type="ReturnTypeEnum">
<xsd:annotation>
<xsd:documentation xml:lang="en">
Defines the type of return associated with the equity swap.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="dividendConditions" type="DividendConditions" minOccurs="0">
<xsd:annotation>
<xsd:documentation xml:lang="en">
Specifies the conditions governing the payment of the
dividends to the receiver of the equity return. With the
exception of the dividend payout ratio, which is defined
for each of the underlying components.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
</xsd:sequence>
</xsd:complexType>
<xsd:complexType name="ReturnLeg">
<xsd:annotation>
<xsd:documentation xml:lang="en">
A type describing the return leg of a return type swap.
</xsd:documentation>
</xsd:annotation>
<xsd:complexContent>
<xsd:extension base="ReturnSwapLegUnderlyer">
<xsd:sequence>
<xsd:element name="rateOfReturn" type="ReturnLegValuation">
<xsd:annotation>
<xsd:documentation xml:lang="en">
Element named "valuation" in versions prior to FpML 4.2
Second Working Draft. Specifies the terms of the
initial price of the return type swap and of the
subsequent valuations of the 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="amount" type="ReturnSwapAmount">
<xsd:annotation>
<xsd:documentation xml:lang="en">
Element named "equityAmount" in versions prior to FpML
4.2 Second Working Draft. Specifies, in relation to
each Payment Date, the amount to which the Payment Date
relates. For equity swaps this element is equivalent to
the Equity Amount term as 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
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:annotation>
</xsd:element>
</xsd:sequence>
</xsd:extension>
</xsd:complexContent>
</xsd:complexType>
<xsd:complexType name="ReturnLegValuation">
<xsd:annotation>
<xsd:documentation xml:lang="en">
A type describing the initial and final valuation of the
underlyer.
</xsd:documentation>
</xsd:annotation>
<xsd:sequence>
<xsd:element name="initialPrice" type="ReturnLegValuationPrice">
<xsd:annotation>
<xsd:documentation xml:lang="en">
Specifies the initial reference price of the 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="notionalReset" type="xsd:boolean">
<xsd:annotation>
<xsd:documentation xml:lang="en">
Element named "equityNotionalReset" in versions prior to
FpML 4.2 Second Working Draft. For equity swaps, this
element is equivalent to the term "Equity Notional Reset"
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="ReturnLegValuationPrice" minOccurs="0">
<xsd:annotation>
<xsd:documentation xml:lang="en">
Specifies the interim valuation price of the 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="ReturnLegValuationPrice">
<xsd:annotation>
<xsd:documentation xml:lang="en">
Specifies the final valuation price of the 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="paymentDates" type="ReturnSwapPaymentDates">
<xsd:annotation>
<xsd:documentation xml:lang="en">
Element named "equityPaymentDates" in versions prior to
FpML 4.2 Second Working Draft. Specifies the payment dates
of the swap.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="exchangeTradedContractNearest" type="ExchangeTradedContract" minOccurs="0">
<xsd:annotation>
<xsd:documentation xml:lang="en">
References a Contract on the Exchange.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
</xsd:sequence>
</xsd:complexType>
<xsd:complexType name="ReturnLegValuationPrice">
<xsd:complexContent>
<xsd:extension base="Price">
<xsd:sequence>
<xsd:element name="valuationRules" type="EquityValuation" minOccurs="0">
<xsd:annotation>
<xsd:documentation xml:lang="en">
Element named "equityValuation" in versions prior to
FpML 4.2 Second Working Draft.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
</xsd:sequence>
</xsd:extension>
</xsd:complexContent>
</xsd:complexType>
<xsd:complexType name="ReturnSwap">
<xsd:annotation>
<xsd:documentation xml:lang="en">
A type describing return swaps including equity swaps (long
form), total return swaps, and variance swaps.
</xsd:documentation>
</xsd:annotation>
<xsd:complexContent>
<xsd:extension base="ReturnSwapBase">
<xsd:sequence>
<xsd:element name="additionalPayment" type="ReturnSwapAdditionalPayment" minOccurs="0" maxOccurs="unbounded">
<xsd:annotation>
<xsd:documentation xml:lang="en">
Specifies additional payment(s) between the principal
parties to the trade. This component extends some of
the features of the additionalPayment component
developed by the FpML industry group. Appropriate
discussions will determine whether it would be
appropriate to extend the shared component in order to
meet the further requirements of equity swaps.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="earlyTermination" type="ReturnSwapEarlyTermination" minOccurs="0" maxOccurs="unbounded">
<xsd:annotation>
<xsd:documentation xml:lang="en">
Specifies, for one or for both the parties to the
trade, the date from which it can early terminate it.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="extraordinaryEvents" type="ExtraordinaryEvents" minOccurs="0">
<xsd:annotation>
<xsd:documentation xml:lang="en">
Where the underlying is shares, specifies events
affecting the issuer of those shares that may require
the terms of the transaction to be adjusted.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
</xsd:sequence>
</xsd:extension>
</xsd:complexContent>
</xsd:complexType>
<xsd:complexType name="ReturnSwapAdditionalPayment">
<xsd:annotation>
<xsd:documentation xml:lang="en">
A type describing the additional payment(s) between the
principal parties to the trade. This component extends some of
the features of the additionalPayment component previously
developed in FpML. Appropriate discussions will determine
whether it would be appropriate to extend the shared component
in order to meet the further requirements of equity swaps.
</xsd:documentation>
</xsd:annotation>
<xsd:sequence>
<xsd:group ref="PayerReceiver.model"/>
<xsd:element name="additionalPaymentAmount" type="AdditionalPaymentAmount">
<xsd:annotation>
<xsd:documentation xml:lang="en">
Specifies the amount of the fee along with, when
applicable, the formula that supports its determination.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="additionalPaymentDate" type="AdjustableOrRelativeDate">
<xsd:annotation>
<xsd:documentation xml:lang="en">
Specifies the value date of the fee payment/receipt.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="paymentType" type="PaymentType" minOccurs="0">
<xsd:annotation>
<xsd:documentation xml:lang="en">
Classification of the payment
</xsd:documentation>
</xsd:annotation>
</xsd:element>
</xsd:sequence>
</xsd:complexType>
<xsd:complexType name="ReturnSwapAmount">
<xsd:annotation>
<xsd:documentation xml:lang="en">
Specifies, in relation to each Payment Date, the amount to
which the Payment Date relates. For Equity Swaps this element
is equivalent to the Equity Amount term as defined in the ISDA
2002 Equity Derivatives Definitions.
</xsd:documentation>
</xsd:annotation>
<xsd:complexContent>
<xsd:extension base="LegAmount">
<xsd:sequence>
<xsd:element name="cashSettlement" type="xsd:boolean">
<xsd:annotation>
<xsd:documentation xml:lang="en">
If true, then cash settlement is applicable.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="optionsExchangeDividends" type="xsd:boolean" minOccurs="0">
<xsd:annotation>
<xsd:documentation xml:lang="en">
If present and true, then options exchange dividends
are applicable.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="additionalDividends" type="xsd:boolean" minOccurs="0">
<xsd:annotation>
<xsd:documentation xml:lang="en">
If present and true, then additional dividends are
applicable.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
</xsd:sequence>
</xsd:extension>
</xsd:complexContent>
</xsd:complexType>
<xsd:complexType name="ReturnSwapBase" abstract="true">
<xsd:annotation>
<xsd:documentation xml:lang="en">
A type describing the components that are common for return
type swaps, including short and long form equity swaps
representations.
</xsd:documentation>
</xsd:annotation>
<xsd:complexContent>
<xsd:extension base="Product">
<xsd:sequence>
<xsd:group ref="BuyerSeller.model" minOccurs="0">
<xsd:annotation>
<xsd:documentation xml:lang="en">
BuyerSeller.model has been included as an optional
child of ReturnSwapBase to support the situation where
an implementor wishes to indicate who has manufactured
the Swap through representing them as the Seller. It
may be removed in future major revisions.
</xsd:documentation>
</xsd:annotation>
</xsd:group>
<xsd:element ref="returnSwapLeg" maxOccurs="unbounded"/>
<xsd:element name="principalExchangeFeatures" type="PrincipalExchangeFeatures" minOccurs="0">
<xsd:annotation>
<xsd:documentation xml:lang="en">
This is used to document a Fully Funded Return Swap.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
</xsd:sequence>
</xsd:extension>
</xsd:complexContent>
</xsd:complexType>
<xsd:complexType name="ReturnSwapEarlyTermination">
<xsd:annotation>
<xsd:documentation xml:lang="en">
A type describing the date from which each of the party may be
allowed to terminate the trade.
</xsd:documentation>
</xsd:annotation>
<xsd:sequence>
<xsd:element name="partyReference" type="PartyReference">
<xsd:annotation>
<xsd:documentation xml:lang="en">
Reference to a party defined elsewhere in this document
which may be allowed to terminate the trade.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="startingDate" type="StartingDate">
<xsd:annotation>
<xsd:documentation xml:lang="en">
Specifies the date from which the early termination clause
can be exercised.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
</xsd:sequence>
</xsd:complexType>
<xsd:complexType name="ReturnSwapLeg" abstract="true">
<xsd:annotation>
<xsd:documentation xml:lang="en">
The abstract base class for all types of Return Swap Leg.
</xsd:documentation>
</xsd:annotation>
<xsd:complexContent>
<xsd:extension base="Leg">
<xsd:sequence>
<xsd:group ref="PayerReceiver.model"/>
<xsd:element name="paymentFrequency" type="Interval" minOccurs="0" fpml-annotation:deprecated="true" fpml-annotation:deprecatedReason="Payment Frequency is controlled by the implementations of this abstract base class">
<xsd:annotation>
<xsd:documentation xml:lang="en">
DEPRECATED This element will be removed in the next
FpML major version. Frequency at which this leg pays.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
</xsd:sequence>
<xsd:attribute name="legIdentifier" type="xsd:ID" fpml-annotation:deprecated="true" fpml-annotation:deprecatedReason="All attributes of type=xsd:ID should have name=id following FpML Architecture">
<xsd:annotation>
<xsd:documentation xml:lang="en">
DEPRECATED This element will be renamed to id in the next
major FpML version.
</xsd:documentation>
</xsd:annotation>
</xsd:attribute>
</xsd:extension>
</xsd:complexContent>
</xsd:complexType>
<xsd:complexType name="ReturnSwapLegUnderlyer" abstract="true">
<xsd:annotation>
<xsd:documentation xml:lang="en">
A base class for all return leg types with an underlyer.
</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 this 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 this 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 leg, 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:sequence>
</xsd:extension>
</xsd:complexContent>
</xsd:complexType>
<xsd:complexType name="ReturnSwapNotional">
<xsd:annotation>
<xsd:documentation xml:lang="en">
Specifies the notional of 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:choice>
<xsd:element name="amountRelativeTo" type="AmountReference">
<xsd:annotation>
<xsd:documentation xml:lang="en">
Reference to an amount defined elsewhere in this document.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="determinationMethod" type="DeterminationMethod">
<xsd:annotation>
<xsd:documentation xml:lang="en">
Specifies the method according to which an amount or a date
is determined.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="notionalAmount" type="Money">
<xsd:annotation>
<xsd:documentation xml:lang="en">
The notional amount.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
</xsd:choice>
<xsd:attribute name="id" type="xsd:ID"/>
</xsd:complexType>
<xsd:complexType name="ReturnSwapPaymentDates">
<xsd:annotation>
<xsd:documentation xml:lang="en">
A type describing the return payment dates of the swap.
</xsd:documentation>
</xsd:annotation>
<xsd:sequence>
<xsd:element name="paymentDatesInterim" type="AdjustableOrRelativeDates" minOccurs="0">
<xsd:annotation>
<xsd:documentation xml:lang="en">
Element named "equityPaymentDatesInterim" in versions prior
to FpML 4.2 Second Working Draft. 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="paymentDateFinal" type="AdjustableOrRelativeDate">
<xsd:annotation>
<xsd:documentation xml:lang="en">
Element named "equityPaymentDateFinal" in versions prior to
FpML 4.2 Second Working Draft. 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="StartingDate">
<xsd:annotation>
<xsd:documentation xml:lang="en">
A type specifying the date from which the early termination
clause can be exercised.
</xsd:documentation>
</xsd:annotation>
<xsd:choice>
<xsd:element name="dateRelativeTo" type="DateReference">
<xsd:annotation>
<xsd:documentation xml:lang="en">
Reference to a date defined elswhere in the document
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="adjustableDate" type="AdjustableDate">
<xsd:annotation>
<xsd:documentation xml:lang="en">
Date from which early termination clause can be exercised
</xsd:documentation>
</xsd:annotation>
</xsd:element>
</xsd:choice>
</xsd:complexType>
<xsd:complexType name="StubCalculationPeriod">
<xsd:annotation>
<xsd:documentation xml:lang="en">
A type describing the Stub Calculation Period
</xsd:documentation>
</xsd:annotation>
<xsd:choice>
<xsd:annotation>
<xsd:documentation xml:lang="en">
Choice group between mandatory specification of initial stub
and optional specification of final stub, or mandatory final
stub.
</xsd:documentation>
</xsd:annotation>
<xsd:sequence>
<xsd:element name="initialStub" type="Stub"/>
<xsd:element name="finalStub" type="Stub" minOccurs="0"/>
</xsd:sequence>
<xsd:element name="finalStub" type="Stub"/>
</xsd:choice>
</xsd:complexType>
<xsd:complexType name="Variance">
<xsd:annotation>
<xsd:documentation xml:lang="en">
A type describing the variance amount of a variance swap
</xsd:documentation>
</xsd:annotation>
<xsd:complexContent>
<xsd:extension base="CalculationFromObservation">
<xsd:sequence>
<xsd:element name="varianceAmount" type="Money">
<xsd:annotation>
<xsd:documentation xml:lang="en">
Variance amount, which is a cash multiplier.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:choice>
<xsd:annotation>
<xsd:documentation xml:lang="en">
Choice between expressing the strike as volatility or
variance.
</xsd:documentation>
</xsd:annotation>
<xsd:element name="volatilityStrikePrice" type="NonNegativeDecimal"/>
<xsd:element name="varianceStrikePrice" type="NonNegativeDecimal"/>
</xsd:choice>
<xsd:element name="varianceCap" type="xsd:boolean" minOccurs="0">
<xsd:annotation>
<xsd:documentation xml:lang="en">
If present and true, then variance cap is applicable.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="unadjustedVarianceCap" type="PositiveDecimal" minOccurs="0">
<xsd:annotation>
<xsd:documentation xml:lang="en">
For use when varianceCap is applicable. Contains the
scaling factor of the Variance Cap that can differ on a
trade-by-trade basis in the European market. For
example, a Variance Cap of 2.5^2 x Variance Strike
Price has an unadjustedVarianceCap of 2.5.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="boundedVariance" type="BoundedVariance" minOccurs="0">
<xsd:annotation>
<xsd:documentation xml:lang="en">
Conditions which bound variance. The contract specifies
one or more boundary levels. These levels are expressed
as prices for confirmation purposes Underlyer price
must be equal to or higher than Lower Barrier is known
as Up Conditional Swap Underlyer price must be equal to
or lower than Upper Barrier is known as Down
Conditional Swap Underlyer price must be equal to or
higher than Lower Barrier and must be equal to or lower
than Upper Barrier is known as Barrier Conditional
Swap.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="exchangeTradedContractNearest" type="ExchangeTradedContract" minOccurs="0">
<xsd:annotation>
<xsd:documentation xml:lang="en">
Specification of the exchange traded contract nearest.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="vegaNotionalAmount" type="xsd:decimal" minOccurs="0">
<xsd:annotation>
<xsd:documentation xml:lang="en">
Vega Notional represents the approximate gain/loss at
maturity for a 1% difference between RVol (realised
vol) and KVol (strike vol). It does not necessarily
represent the Vega Risk of the trade.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
</xsd:sequence>
</xsd:extension>
</xsd:complexContent>
</xsd:complexType>
<xsd:element name="interestLeg" type="InterestLeg" substitutionGroup="returnSwapLeg">
<xsd:annotation>
<xsd:documentation xml:lang="en">
The fixed income amounts of the return type swap.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="returnLeg" type="ReturnLeg" substitutionGroup="returnSwapLeg">
<xsd:annotation>
<xsd:documentation xml:lang="en">
Return amounts of the return type swap.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="returnSwap" type="ReturnSwap" substitutionGroup="product">
<xsd:annotation>
<xsd:documentation xml:lang="en">
Specifies the structure of a return type swap. It can represent
equity swaps, total return swaps, variance swaps.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="returnSwapLeg" type="ReturnSwapLeg" abstract="true">
<xsd:annotation>
<xsd:documentation xml:lang="en">
An placeholder for the actual Return Swap Leg definition.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="varianceLeg" type="DeprecatedVarianceLeg" substitutionGroup="returnSwapLeg" fpml-annotation:deprecated="true" fpml-annotation:deprecatedReason="Return Swap model should not be used for Variance Swaps, use the Variance Swap Product">
<xsd:annotation>
<xsd:documentation xml:lang="en">
DEPRECATED This element will be removed in the next FpML major
version. Return Swap model should not be used for Variance
Swaps, use the Variance Swap Product. The variance leg of the
return swap.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:group name="Feature.model">
<xsd:annotation>
<xsd:documentation xml:lang="en">
A group containing Swap and Derivative features
</xsd:documentation>
</xsd:annotation>
<xsd:sequence>
<xsd:element name="feature" type="OptionFeatures" minOccurs="0">
<xsd:annotation>
<xsd:documentation xml:lang="en">
Asian, Barrier, Knock and Pass Through features
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="fxFeature" type="FxFeature" minOccurs="0">
<xsd:annotation>
<xsd:documentation xml:lang="en">
Quanto, Composite, or Cross Currency FX features
</xsd:documentation>
</xsd:annotation>
</xsd:element>
</xsd:sequence>
</xsd:group>
</xsd:schema>