group "FloatingRateCalculation.model"
Namespace:
http://www.fpml.org/FpML-5/confirmation
Content:
4 elements
Defined:
globally in fpml-shared-5-13.xsd; see XML source
Includes:
definitions of 4 elements
Used:
at 2 locations
Component Diagram
Complex Content Model
initialRate?, finalRateRounding?, averagingMethod?, negativeInterestRateTreatment?
Content Model Elements (4):
averagingMethod (defined in FloatingRateCalculation.model group),
finalRateRounding,
initialRate,
negativeInterestRateTreatment
Known Usage Locations
Annotation
Elements representing the daily calculated rate and fallback rate definitions.
XML Source (w/o annotations (5); see within schema source)
<xsd:group name="FloatingRateCalculation.model">
<xsd:sequence>
<xsd:element minOccurs="0" name="initialRate" type="xsd:decimal"/>
<xsd:element minOccurs="0" name="finalRateRounding" type="Rounding"/>
<xsd:element minOccurs="0" name="averagingMethod" type="AveragingMethodEnum"/>
<xsd:element minOccurs="0" name="negativeInterestRateTreatment" type="NegativeInterestRateTreatmentEnum"/>
</xsd:sequence>
</xsd:group>
Content Element Detail (all declarations; defined within this component only; 4/4)
averagingMethod
Type:
AveragingMethodEnum, simple content
If averaging is applicable, this component specifies whether a weighted or unweighted average method of calculation is to be used. The component must only be included when averaging applies.
Simple Content
enumeration of xsd:token
Enumeration:
"Unweighted"
 - 
The arithmetic mean of the relevant rates for each reset date.
See:  http://www.FpML.org
"Weighted"
 - 
The arithmetic mean of the relevant rates in effect for each day in a calculation period calculated by multiplying each relevant rate by the number of days such relevant rate is in effect, determining the sum of such products and dividing such sum by the number of days in the calculation period.
See:  http://www.FpML.org
XML Source (w/o annotations (1); see within schema source)
<xsd:element minOccurs="0" name="averagingMethod" type="AveragingMethodEnum"/>
finalRateRounding
Type:
Rounding, complex content
The rounding convention to apply to the final rate used in determination of a calculation period amount.
XML Source (w/o annotations (1); see within schema source)
<xsd:element minOccurs="0" name="finalRateRounding" type="Rounding"/>
initialRate
Type:
xsd:decimal, predefined, simple content
The initial floating rate reset agreed between the principal parties involved in the trade. This is assumed to be the first required reset rate for the first regular calculation period. It should only be included when the rate is not equal to the rate published on the source implied by the floating rate index. An initial rate of 5% would be represented as 0.05.
XML Source (w/o annotations (1); see within schema source)
<xsd:element minOccurs="0" name="initialRate" type="xsd:decimal"/>
negativeInterestRateTreatment
Type:
NegativeInterestRateTreatmentEnum, simple content
The specification of any provisions for calculating payment obligations when a floating rate is negative (either due to a quoted negative floating rate or by operation of a spread that is subtracted from the floating rate).
Simple Content
enumeration of xsd:token
Enumeration:
"NegativeInterestRateMethod"
 - 
Negative Interest Rate Method. Per 2021 ISDA Definitions, Section 6.8.2 and 6.8.3. Per 2000 ISDA Definitions, Section 6.4 Negative Interest Rates, paragraphs (b) and (c).
See:  http://www.FpML.org
"ZeroInterestRateMethod"
 - 
Zero Interest Rate Method. Per 2021 ISDA Definitions, Section 6.8.4 and 6.8.5. Per 2000 ISDA Definitions, Section 6.4. Negative Interest Rates, paragraphs (d) and (e).
See:  http://www.FpML.org
"ZeroInterestRateMethodExcludingSpread"
 - 
Zero Interest Rate Method Excluding Spread. Per 2021 ISDA Definitions, Section 6.8.6.
See:  http://www.FpML.org
XML Source (w/o annotations (1); see within schema source)
<xsd:element minOccurs="0" name="negativeInterestRateTreatment" type="NegativeInterestRateTreatmentEnum"/>
XML schema documentation generated with FlexDoc/XML 1.12.2 using FlexDoc/XML XSDDoc 2.9.1 template set. All XSD diagrams generated by FlexDoc/XML DiagramKit.