complexType "FxForwardVolatilityAgreement"

Namespace:	http://www.fpml.org/FpML-5/reporting
Content:	complex, 1 attribute, 16 elements
Defined:	globally in fpml-fx-5-10.xsd; see XML source
Includes:	definitions of 6 elements
Used:	at 1 location

Content Model Diagram

XML Representation Summary

<...

xsd:ID

Content:

(primaryAssetClass?, secondaryAssetClass*, (productType*, productId*)?, assetClass*, embeddedOptionType[0..2])?, buyerPartyReference?, buyerAccountReference?, sellerPartyReference?, sellerAccountReference?, quotedCurrencyPair?, fixingDate, fixingTime?, forwardVolatilityStrikePrice?, straddle, additionalPayment*

</...>

Content Model Elements (16):

additionalPayment (in fxForwardVolatilityAgreement),

assetClass (defined in Product.model group),

buyerAccountReference,

buyerPartyReference (defined in BuyerSeller.model group),

embeddedOptionType,

fixingDate (in fxForwardVolatilityAgreement),

fixingTime (in fxForwardVolatilityAgreement),

forwardVolatilityStrikePrice,

primaryAssetClass (defined in Product.model group),

productId (defined in Product.model group),

productType (defined in Product.model group),

quotedCurrencyPair (in fxForwardVolatilityAgreement),

secondaryAssetClass (defined in Product.model group),

sellerAccountReference,

sellerPartyReference (defined in BuyerSeller.model group),

straddle

All Direct / Indirect Based Elements (1):

fxForwardVolatilityAgreement

Known Usage Locations

As direct type of elements (1):

fxForwardVolatilityAgreement

Annotation

Describes a contract on future levels of implied volatility. The main characteristic of this product is that the underlying is a straddle (underlying options) with a specific tenor starting from the fixing (effective or pricing) date, and are priced on that fixing date using a level of volatility that is agreed at the time of execution of the volatility agreement.

Type Definition Detail

Type Derivation Tree

Product (extension)

FxForwardVolatilityAgreement

XML Source (w/o annotations (8); see within schema source)

<xsd:complexType name="FxForwardVolatilityAgreement">

<xsd:complexContent>

<xsd:extension base="Product">

<xsd:sequence>

<xsd:group ref="BuyerSeller.model"/>

<xsd:element minOccurs="0" name="quotedCurrencyPair" type="QuotedCurrencyPair"/>

<xsd:element name="fixingDate" type="xsd:date"/>

<xsd:element minOccurs="0" name="fixingTime" type="BusinessCenterTime"/>

<xsd:element minOccurs="0" name="forwardVolatilityStrikePrice" type="PositiveDecimal"/>

<xsd:element name="straddle" type="FxStraddle"/>

<xsd:element maxOccurs="unbounded" minOccurs="0" name="additionalPayment" type="Payment"/>

</xsd:sequence>

</xsd:extension>

</xsd:complexContent>

</xsd:complexType>

Content Element Detail (all declarations; defined within this component only; 6/16)

additionalPayment

Type:

Payment, complex content

The currency, amount and payment details for the Forward Volatility Agreement, as agreed at the time of execution.

XML Source (w/o annotations (1); see within schema source)

<xsd:element maxOccurs="unbounded" minOccurs="0" name="additionalPayment" type="Payment"/>

fixingDate

Type:

xsd:date, predefined, simple content

The date when the underlying options are priced using the agreed forwardVolatilityStrikePrice and other market factors as agreed by the parties. Also known as "Effective Date" or "Reference Date".

XML Source (w/o annotations (1); see within schema source)

<xsd:element name="fixingDate" type="xsd:date"/>

fixingTime

Type:

BusinessCenterTime, complex content

The time of the fixing date when the underlying options are priced using the agreed forwardVolatilityStrikePrice and other market factors as agreed by the parties.

XML Source (w/o annotations (1); see within schema source)

<xsd:element minOccurs="0" name="fixingTime" type="BusinessCenterTime"/>

forwardVolatilityStrikePrice

Type:

PositiveDecimal, simple content

the Volatility level as agreed on the Trade Date.

Simple Content

xsd:decimal

minExclusive:

XML Source (w/o annotations (1); see within schema source)

<xsd:element minOccurs="0" name="forwardVolatilityStrikePrice" type="PositiveDecimal"/>

quotedCurrencyPair

Type:

QuotedCurrencyPair, complex content

A currency Pair the straddle is based on.

XML Source (w/o annotations (1); see within schema source)

<xsd:element minOccurs="0" name="quotedCurrencyPair" type="QuotedCurrencyPair"/>

straddle

Type:

FxStraddle, complex content

details of the straddle (underlying options).

XML Source (w/o annotations (1); see within schema source)

<xsd:element name="straddle" type="FxStraddle"/>

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.