XML Schema "fpml-volatility-swaps-5-10.xsd"
Target Namespace:
http://www.fpml.org/FpML-5/reporting
Version:
$Revision: 11940 $
Defined Components:
elements (2 global + 11 local), complexTypes (6)
Default Namespace-Qualified Form:
Local Elements: qualified; Local Attributes: unqualified
Includes Schemas (1):
fpml-eqd-5-10.xsd [src]
Included in Schemas (1):
fpml-main-5-10.xsd [src]
All Element Summary
amount (defined in VolatilityLeg complexType)
Specifies, in relation to each Equity Payment Date, the amount to which the Equity Payment Date relates.
Type:
VolatilityAmount
Content:
complex, 6 elements
Defined:
locally within VolatilityLeg complexType; see XML source
applicable (in volatilityCap)
Indicates whether the volatility cap is applicable in accordance with the ISDA 2011 Equity Derivatives Definitions.
Type:
xsd:boolean
Content:
simple
Defined:
locally within VolatilityCap complexType; see XML source
totalVolatilityCap (in volatilityCap)
Volatility Cap Amount in accordance with the ISDA 2011 Equity Derivatives Definitions.
Type:
PositiveDecimal
Content:
simple
Defined:
locally within VolatilityCap complexType; see XML source
totalVolatilityCap (in volatilityCap)
Volatility Cap Amount in accordance with the ISDA 2011 Equity Derivatives Definitions.
Type:
PositiveDecimal
Content:
simple
Defined:
locally within VolatilityCap complexType; see XML source
vegaNotionalAmount (in volatility)
Vega Notional represents the approximate gain/loss at maturity for a 1% difference between RVol(realised vol) and KVol (strike vol).
Type:
xsd:decimal
Content:
simple
Defined:
locally within Volatility complexType; see XML source
volatility
Specifies Volatility.
Type:
Volatility
Content:
complex, 9 elements
Defined:
locally within VolatilityAmount complexType; see XML source
volatilityCap
Volatility Cap needs to be specified in accordance with the ISDA 2011 Equity Derivatives Definitions.
Type:
VolatilityCap
Content:
complex, 4 elements
Defined:
locally within Volatility complexType; see XML source
volatilityCapFactor
Volatility Cap Factor in accordance with the ISDA 2011 Equity Derivatives Definitions.
Type:
PositiveDecimal
Content:
simple
Defined:
locally within VolatilityCap complexType; see XML source
volatilityLeg (in volatilitySwap)
Type:
VolatilityLeg
Content:
complex, 1 attribute, 15 elements
Defined:
locally within VolatilitySwap complexType; see XML source
volatilityLeg (in volatilitySwapTransactionSupplement)
Type:
VolatilityLeg
Content:
complex, 1 attribute, 15 elements
Defined:
locally within VolatilitySwapTransactionSupplement complexType; see XML source
volatilityStrikePrice (in volatility)
Volatility Strike Price in accordance with the ISDA 2011 Equity Derivatives Definitions.
Type:
NonNegativeDecimal
Content:
simple
Defined:
locally within Volatility complexType; see XML source
volatilitySwap
Specifies the structure of a volatility swap.
Type:
VolatilitySwap
Content:
complex, 1 attribute, 9 elements
Subst.Gr:
may substitute for element product
Defined:
globally; see XML source
Used:
never
volatilitySwapTransactionSupplement
Type:
VolatilitySwapTransactionSupplement
Content:
complex, 1 attribute, 11 elements
Subst.Gr:
may substitute for element product
Defined:
globally; see XML source
Used:
never
Complex Type Summary
Volatility
Under 2002 Definitions, When entering into the Transaction, the parties should specify whether, for purposes of determining the initial Share price, they are agreeing to (a) a specific initial price (in which case, the initialLevel element should be populated with the price) or (b) use the price of a Share at the close of the regular trading session on the Trade Date (in which case the closingLevel element should be populated as true) or (c) in the case of a forward starting transaction only, use the Official Settlement Price of the Expiring Contract on the Observation Start Date (in which case expiring Level element should be populated as true).
Content:
complex, 9 elements
Defined:
globally; see XML source
Includes:
definitions of 3 elements
Used:
at 1 location
VolatilityAmount
Content:
complex, 6 elements
Defined:
globally; see XML source
Includes:
definition of 1 element
Used:
at 1 location
VolatilityCap
Content:
complex, 4 elements
Defined:
globally; see XML source
Includes:
definitions of 4 elements
Used:
at 1 location
VolatilityLeg
Content:
complex, 1 attribute, 15 elements
Defined:
globally; see XML source
Includes:
definition of 1 element
Used:
at 2 locations
VolatilitySwap
A Volatility Swap.
Content:
complex, 1 attribute, 9 elements
Defined:
globally; see XML source
Includes:
definition of 1 element
Used:
at 1 location
VolatilitySwapTransactionSupplement
Content:
complex, 1 attribute, 11 elements
Defined:
globally; see XML source
Includes:
definition of 1 element
Used:
at 1 location
XML Source
<?xml version="1.0" encoding="utf-8"?>
<!--
== Copyright (c) 2002-2018 All rights reserved.
== Financial Products Markup Language is subject to the FpML public license.
== A copy of this license is available at http://www.fpml.org/license/license.html
-->
<xsd:schema attributeFormDefault="unqualified" ecore:documentRoot="FpML" ecore:nsPrefix="rpt" ecore:package="org.fpml.reporting" elementFormDefault="qualified" targetNamespace="http://www.fpml.org/FpML-5/reporting" version="$Revision: 11940 $" xmlns="http://www.fpml.org/FpML-5/reporting" xmlns:dsig="http://www.w3.org/2000/09/xmldsig#" xmlns:ecore="http://www.eclipse.org/emf/2002/Ecore" xmlns:fpml-annotation="http://www.fpml.org/annotation" xmlns:xsd="http://www.w3.org/2001/XMLSchema">
<xsd:include schemaLocation="fpml-eqd-5-10.xsd"/>
<xsd:complexType name="Volatility">
<xsd:annotation>
<xsd:documentation xml:lang="en">
Under 2002 Definitions, When entering into the Transaction, the parties should specify whether, for purposes of determining the initial Share price, they are agreeing to (a) a specific initial price (in which case, the initialLevel element should be populated with the price) or (b) use the price of a Share at the close of the regular trading session on the Trade Date (in which case the closingLevel element should be populated as true) or (c) in the case of a forward starting transaction only, use the Official Settlement Price of the Expiring Contract on the Observation Start Date (in which case expiring Level element should be populated as true). Under 2011 definitions, When entering into the Transaction, the parties should specify whether, for purposes of determining the OPSD Pricing Election, they are agreeing to (a) an agreed price (in which case, the initialLevel element should be populated with the price) or (b) use the Index Close Pricing (Official), (in which case closingLevel element should be populated as true) or (c) use OSP Pricing (in which case the initialLevelSource element should be populated with &#8220;OSPPrice&#8221;).
</xsd:documentation>
</xsd:annotation>
<xsd:complexContent>
<xsd:extension base="CalculationFromObservation">
<xsd:sequence>
<xsd:element minOccurs="0" name="volatilityCap" type="VolatilityCap">
<xsd:annotation>
<xsd:documentation>
Volatility Cap needs to be specified in accordance with the ISDA 2011 Equity Derivatives Definitions.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element minOccurs="0" name="volatilityStrikePrice" type="NonNegativeDecimal">
<xsd:annotation>
<xsd:documentation>
Volatility Strike Price in accordance with the ISDA 2011 Equity Derivatives Definitions.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element minOccurs="0" name="vegaNotionalAmount" type="xsd:decimal">
<xsd:annotation>
<xsd:documentation xml:lang="en">
Vega Notional represents the approximate gain/loss at maturity for a 1% difference between RVol(realised vol) and KVol (strike vol). It does not necessarily represent the Vega Risk of the trade. Volatility Amount means the Vega Notional Amount. In accordance with the ISDA 2002 and 2011 Equity Derivatives Definitions.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
</xsd:sequence>
</xsd:extension>
</xsd:complexContent>
</xsd:complexType>
<xsd:complexType name="VolatilityAmount">
<xsd:complexContent>
<xsd:extension base="CalculatedAmount">
<xsd:sequence>
<xsd:element minOccurs="0" name="volatility" type="Volatility">
<xsd:annotation>
<xsd:documentation xml:lang="en">Specifies Volatility.</xsd:documentation>
</xsd:annotation>
</xsd:element>
</xsd:sequence>
</xsd:extension>
</xsd:complexContent>
</xsd:complexType>
<xsd:complexType name="VolatilityCap">
<xsd:sequence>
<xsd:element minOccurs="0" name="applicable" type="xsd:boolean">
<xsd:annotation>
<xsd:documentation xml:lang="en">
Indicates whether the volatility cap is applicable in accordance with the ISDA 2011 Equity Derivatives Definitions. Setting the element 'applicable' to 'False' - means No Volatility Cap and no 'totalVolatilityCap' or 'volatilityCapFactor' should be provided. Setting the element 'applicable' to 'True' - means Volatility Cap election, then 'totalVolatilityCap' or 'volatilityCapFactor' should be provided, otherwise it defaults to volatilityCapFactor=2.5.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:choice minOccurs="0">
<xsd:annotation>
<xsd:documentation xml:lang="en">
If volatilityCap is not populated or false totalVolatilityCap and/or volatilityCapFactor should not be populated. If volatilityCap is true, specify either totalVolatilityCap OR volatilityCapFactor OR neither on inbound messages. The totalVolatilityCap OR volatilityCapFactor needs to be on inbound, but both can be populated on outbound MSG.
</xsd:documentation>
</xsd:annotation>
<xsd:element name="totalVolatilityCap" type="PositiveDecimal">
<xsd:annotation>
<xsd:documentation>
Volatility Cap Amount in accordance with the ISDA 2011 Equity Derivatives Definitions. This means the Volatility Cap Amount election is a number.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:sequence>
<xsd:element name="volatilityCapFactor" type="PositiveDecimal">
<xsd:annotation>
<xsd:documentation>
Volatility Cap Factor in accordance with the ISDA 2011 Equity Derivatives Definitions. This means the Volatility Cap Amount election is Calculated VolCapAmt ('volatilityCapFactor' * 'volatilityStrikePrice'). By specifying a decimal for 'volatilityCapFactor', means the default value of 2.5 does not apply.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element minOccurs="0" name="totalVolatilityCap" type="PositiveDecimal">
<xsd:annotation>
<xsd:documentation>
Volatility Cap Amount in accordance with the ISDA 2011 Equity Derivatives Definitions. The Calculated VolCapAmt can be optionally provided.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
</xsd:sequence>
</xsd:choice>
</xsd:sequence>
</xsd:complexType>
<xsd:complexType name="VolatilityLeg">
<xsd:complexContent>
<xsd:extension base="DirectionalLegUnderlyerValuation">
<xsd:sequence>
<xsd:element minOccurs="0" name="amount" type="VolatilityAmount">
<xsd:annotation>
<xsd:documentation xml:lang="en">
Specifies, in relation to each Equity Payment Date, the amount to which the Equity Payment Date relates. Unless otherwise specified, this term has the meaning defined in the ISDA 2011 and 2002 Equity Derivatives Definitions.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
</xsd:sequence>
</xsd:extension>
</xsd:complexContent>
</xsd:complexType>
<xsd:complexType name="VolatilitySwap">
<xsd:annotation>
<xsd:documentation xml:lang="en">A Volatility Swap.</xsd:documentation>
</xsd:annotation>
<xsd:complexContent>
<xsd:extension base="NettedSwapBase">
<xsd:sequence>
<xsd:element maxOccurs="unbounded" minOccurs="0" name="volatilityLeg" type="VolatilityLeg"/>
</xsd:sequence>
</xsd:extension>
</xsd:complexContent>
</xsd:complexType>
<xsd:complexType name="VolatilitySwapTransactionSupplement">
<xsd:complexContent>
<xsd:extension base="Product">
<xsd:sequence>
<xsd:element maxOccurs="unbounded" minOccurs="0" name="volatilityLeg" type="VolatilityLeg"/>
<xsd:group minOccurs="0" ref="EquityUnderlyerProvisions.model"/>
</xsd:sequence>
</xsd:extension>
</xsd:complexContent>
</xsd:complexType>
<xsd:element name="volatilitySwap" substitutionGroup="product" type="VolatilitySwap">
<xsd:annotation>
<xsd:documentation xml:lang="en">Specifies the structure of a volatility swap.</xsd:documentation>
</xsd:annotation>
</xsd:element>
</xsd:schema>
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.