XML Schema Documentation

Complex Type: Correlation

[Table of contents]

Super-types: CalculationFromObservation < Correlation (by extension)
Sub-types: None
Name Correlation
Abstract no
Documentation A type describing the correlation amount of a correlation swap
XML Instance Representation
<...>
Start Choice [1]
<initialLevel> xsd:decimal </initialLevel> [1]

'Contract will strike off this initial level'

<closingLevel> xsd:boolean </closingLevel> [1]

'If true this contract will strike off the closing level of the default exchange traded contract'

<expiringLevel> xsd:boolean </expiringLevel> [1]

'If true this contract will strike off the expiring level of the default exchange traded contract'

End Choice
<expectedN> xsd:positiveInteger </expectedN> [0..1]

'Expected number of trading days'

<notionalAmount> Money </notionalAmount> [1]

'Notional amount, which is a cash multiplier'

<correlationStrikePrice> CorrelationValue </correlationStrikePrice> [1]

'Correlation Strike Price'

<boundedCorrelation> BoundedCorrelation </boundedCorrelation> [0..1]

'Bounded Correlation'

<numberOfDataSeries> xsd:positiveInteger </numberOfDataSeries> [0..1]

'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'

</...>
Diagram
Schema Component Representation
<xsd:complexType name="Correlation">
<xsd:complexContent>
<xsd:extension base=" CalculationFromObservation ">
<xsd:sequence>
<xsd:element name="notionalAmount" type=" Money "/>
<xsd:element name="correlationStrikePrice" type=" CorrelationValue "/>
<xsd:element name="boundedCorrelation" type=" BoundedCorrelation " minOccurs="0"/>
<xsd:element name="numberOfDataSeries" type=" xsd:positiveInteger " minOccurs="0"/>
</xsd:sequence>
</xsd:extension>
</xsd:complexContent>
</xsd:complexType>

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