11 DIVIDEND PRODUCT ARCHITECTURE

11.1 Dividend Derivatives Scope

The Equity Derivative Working Group extended FpML to cover:

11.2 Overall Architecture

Dividend Swaps (Transaction Supplement form) are modelled using the following product element in FpML: dividendSwapTransactionSupplement.

images/dividend-swaps/ClassHierarchy.gif

11.2.1 dividendSwapTransactionSupplement

images/dividend-swaps/dividendSwapTransactionSupplement.jpg

  • 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.
  • dividendLeg - Dividend leg.
  • fixedLeg - Fixed payment leg.

11.2.2 dividendLeg

dividendLeg - Floating Payment Leg of a Dividend Swap.

images/dividend-swaps/dividendLeg.jpg

11.2.3 fixedLeg

fixedLeg - Fixed Payment Leg of a Dividend Swap.

images/dividend-swaps/fixedLeg.jpg

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