13 CORRELATION PRODUCT ARCHITECTURE

13.1 Correlation Derivatives Scope

The Equity Derivative Working Group extended FpML to cover:

13.2 Overall Architecture

Correlation Swaps are modelled using the following product element in FpML:

images/equity-options/ClassHierarchy.gif

13.2.1 correlationSwap

The correlationSwap product is modelled as a single netted leg.

schemaDocumentation/schemas/fpml-correlation-swaps-5-3_xsd/elements/correlationSwap.png

    • productType - A classification of the type of product. FpML defines a simple product categorization using a coding scheme.
    • productId - A product reference identifier allocated by a party. FpML does not define the domain values associated with this element. Note that the domain values for this element are not strictly an enumerated list.
    • additionalPayment - Specifies additional payment(s) between the principal parties to the netted swap.
    • extraordinaryEvents - Where the underlying is shares, defines market events affecting the issuer of those shares that may require the terms of the transaction to be adjusted.
    • correlationLeg - A type describing return which is driven by a Correlation calculation.

13.2.2 correlationLeg

The correlationLeg - A type describing return which is driven by a Correlation calculation.

schemaDocumentation/schemas/fpml-correlation-swaps-5-3_xsd/complexTypes/CorrelationSwap/correlationLeg.png

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