## 5 CROSS-ASSET PRODUCT ARCHITECTURE

### 5.1 Cross-Asset Products Scope

FpML has several special products that cover multiple asset classes. This includes combinations of other products and trades of non-OTC securities. In addition, the Reporting Working Group defined several products for reporting views:

- Strategies - combination of existing products.
- InstrumentTradeDetails - trade of a "cash" (non-OTC) security, such as a listed security or listed derivative, or a bond.
- Generic Products - limited representation for products not fully covered by FpML.
- Standard Products - trade of a product that is fully represented by a product ID and therefore does not require a full description.

### 5.2 Overall Architecture

There are several special, cross-asset products in FpML.

- strategy
- instrumentTradeDetails
- genericProduct
- standardProduct

### 5.3 The Strategy Component

This component defines a special kind of product that allows the structuring of trade by combining any number of products within a strategy. A trade can be of a strategy rather than of a base product; this strategy can then in turn contain other products, such as multiple options. For example, you could define a strategy consisting of an FX call and an FX put to create a straddle or strangle, and then create a trade of that strategy.

This component also defines the simple strategies of strike spread and calendar spread for Equity Options

The Strategy component makes use of a composition pattern since strategy itself is a product. This means that strategies can themselves contain strategies.

In a strategy, in addition to sub-products, there may be a "premiumProductReference" reference element. Thisreferences a product (for example a bullet payment) within the strategy that can be considered a premium for the whole strategy.

### 5.4 The InstrumentTrade Details Component

FpML is a standard that supports OTC derivative products. However, sometimes as a result of settling an OTC derivative, a trade in a non-derivative security must be performed. For example, in an OTC equity option that is physically settled, exercising the option results in a trade in the underlying equity security. For this reason, FpML has added limited coverage for representing trades in non-OTC assets. This coverage includes based information about the security that was traded, the amount that was traded, and the price at which it was traded. It does not provide full details of settlement calculations, such as fees, commissions, or taxes.

The instrumentTradeDetails component may be included in an FpML trade object in place of an OTC product. It may include several types of information.

- Information about the buyer and seller of the instrument (and optionally their accounts).
- The security that was traded.
- The amount that was traded.
- The price at which the instrument was traded, net and/or gross of fees and commissions
- The equivalent principal amount, net and/or gross of fees and commissions

The quantity of the trade indicates the number of securities that were traded, or the nominal (face value) amount.

The pricing of trade represents the gross price (price before fees and commissions) and/or the net price (pricing including fees and commissions).

The principal of trade represents the net and/or gross value that was traded, that is to say the quantity times the net and/or gross price.

### 5.5 genericProduct

The Generic product provides a placeholder representation with a few key identifying details to allow reporting of products that aren't otherwise able to be represented in FpML.

| genericProduct specifies the structure of the generic product. 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. assetClass - asset class to which the product belongs, e.g. Credit. BuyerSeller.model - holds references to the buyer and seller of the product. effectiveDate - when the product starts accruing, or in the case of an option, its first exercise date. expirationDate - for an option, the final valid exercise date. terminationDate - the final accrual date of the product or of the underlying of a product. underlyer - one or more underlying assets upon which the product is based. notional - the size/quantity of the product. optionType - for options, whether it is a call or put. settlementCurrency - the currency in which the buyer settles. priceNotation - price at which the product was transacted.

### 5.6 standardProduct

The Standard product provides a way to report on products that are fully represented by a standardized set of reference data, and therefore do not need a complete representation for activity or position reporting. For trades on standard products, typically only the size and price needs to be represented in addition to the product identifier..

standardProduct - specifies the structure of a standard product.

- productType - A classification of the type of product. FpML defines a simple product categorization using a coding scheme.
- productId - A product reference identifier typically allocated by a trading facility or reference data repository. For the Standard product, this will link to a precise product definition supported by FpML reference data.
- assetClass - asset class to which the product belongs, e.g. Credit.
- notional - quantity of the product that was traded.
- priceNotation - price at which the product was transacted.

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