4 CROSS-ASSET PRODUCT ARCHITECTURE

4.1 Overall Architecture

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

• strategy
• genericProduct
• standardProduct

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.

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.

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.