The Equity Derivative Working Group has extended the FpML 4.2 standard to cover Variance Swap
Variance Swaps, a type of volatility swap where the payout is linear to variance rather than volatility, therefore the payout will rise at a higher rate than volatility;
Variance Swap is modelled as a single netted leg.
these components provide support for:
A Variance Swap modelled using a single netted leg.
- productType - A classification of the type of product. FpML defines a simple product categorization using a coding scheme.
- productId - A product reference identifier allocated by a party. FpML does not define the domain values associated with this element. Note that the domain values for this element are not strictly an enumerated list..
- additionalPayment - Specifies additional payment(s) between the principal parties to the netted swap.
- extraordinaryEvents - 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.
- varianceLeg
VarianceLeg - A type describing return which is driven by a Variance calculation.