complexType "Correlation"
Namespace:
http://www.fpml.org/FpML-5/reporting
Content:
complex, 10 elements
Defined:
globally in fpml-eq-shared-5-10.xsd; see XML source
Includes:
definitions of 4 elements
Used:
at 1 location
Content Model Diagram
XML Representation Summary
<...>
   
Content: 
(((initialLevel, initialLevelSource?) | initialLevelSource)? | closingLevel | expiringLevel)?, expectedN?, notionalAmount?, correlationStrikePrice?, boundedCorrelation?, numberOfDataSeries?
</...>
Content Model Elements (10):
boundedCorrelation,
closingLevel,
correlationStrikePrice,
expectedN,
expiringLevel,
initialLevel,
initialLevelSource (defined in CalculationFromObservation complexType),
initialLevelSource (defined in CalculationFromObservation complexType),
notionalAmount (in correlation),
numberOfDataSeries
All Direct / Indirect Based Elements (1):
correlation
Known Usage Locations
Annotation
A type describing the correlation amount of a correlation swap.
Type Definition Detail
Type Derivation Tree
CalculationFromObservation (extension)
  Correlation
XML Source (w/o annotations (5); see within schema source)
<xsd:complexType name="Correlation">
<xsd:complexContent>
<xsd:extension base="CalculationFromObservation">
<xsd:sequence>
<xsd:element minOccurs="0" name="notionalAmount" type="NonNegativeMoney"/>
<xsd:element minOccurs="0" name="correlationStrikePrice" type="CorrelationValue"/>
<xsd:element minOccurs="0" name="boundedCorrelation" type="BoundedCorrelation"/>
<xsd:element minOccurs="0" name="numberOfDataSeries" type="xsd:positiveInteger"/>
</xsd:sequence>
</xsd:extension>
</xsd:complexContent>
</xsd:complexType>
Content Element Detail (all declarations; defined within this component only; 4/10)
boundedCorrelation
Type:
BoundedCorrelation, complex content
Bounded Correlation.
XML Source (w/o annotations (1); see within schema source)
<xsd:element minOccurs="0" name="boundedCorrelation" type="BoundedCorrelation"/>
correlationStrikePrice
Type:
CorrelationValue, simple content
Correlation Strike Price.
Simple Content
xsd:decimal
maxInclusive:
1
minInclusive:
-1
XML Source (w/o annotations (1); see within schema source)
<xsd:element minOccurs="0" name="correlationStrikePrice" type="CorrelationValue"/>
notionalAmount
Type:
NonNegativeMoney, complex content
Notional amount, which is a cash multiplier.
XML Source (w/o annotations (1); see within schema source)
<xsd:element minOccurs="0" name="notionalAmount" type="NonNegativeMoney"/>
numberOfDataSeries
Type:
xsd:positiveInteger, predefined, simple content
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.
XML Source (w/o annotations (1); see within schema source)
<xsd:element minOccurs="0" name="numberOfDataSeries" type="xsd:positiveInteger"/>
XML schema documentation generated with DocFlex/XML 1.10b5 using DocFlex/XML XSDDoc 2.8.1 template set. All content model diagrams generated by Altova XMLSpy via DocFlex/XML XMLSpy Integration.