Build Number: 3; Document built: Wed 09/25/2013 19:10:54.44
Copyright (c) 1999 - 2013 by International Swaps and Derivatives Association, Inc.
Financial Products Markup Language is subject to the FpML® Public License.
FpML® is a registered trademark of the International Swaps and Derivatives Association, Inc.
A copy of this license is available at http://www.fpml.org/license/license.html
The FpML specifications provided are without warranty of any kind, either expressed or implied, including, without limitation, warranties that FpML, or the FpML specifications are free of defects, merchantable, fit for a particular purpose or non-infringing. The entire risk as to the quality and performance of the specifications is with you. Should any of the FpML specifications prove defective in any respect, you assume the cost of any necessary servicing or repair. Under no circumstances and under no legal theory, whether tort (including negligence), contract, or otherwise, shall ISDA, any of its members, or any distributor of documents or software containing any of the FpML specifications, or any supplier of any of such parties, be liable to you or any other person for any indirect, special, incidental, or consequential damages of any character including, without limitation, damages for loss of goodwill, work stoppage, computer failure or malfunction, or any and all other commercial damages or losses, even if such party shall have been informed of the possibility of such damages.
1 Business Process Examples
1.1 Introduction
1.2 Allocations
1.2.1 Example 20 - Short-Form Allocation of a Credit Default Swap
1.2.2 Example 24 - Allocation Cancelled
1.2.3 Example 25 - Request Allocation
1.2.4 Example 26 - Short-Form Allocation of a Credit Default Swap (multiple allocation trade identifiers)
1.3 Confirmation
1.3.1 Example 5 - Equity Cash Share Request Confirmation
1.3.2 Example 6 - Equity Index Option Request Confirmation
1.3.3 Example 7 - Equity Physical Share Request Confirmation
1.3.4 Example 12 - Credit Default Swap Request Increase Termination
1.3.5 Example 13 - Credit Default Swap Full Termination Confirmation
1.3.6 Example 14 - Credit Default Swap Partial Termination Confirmation
1.3.7 Example 15 - Credit Default Swap Request Amendment Confirmation
1.3.8 Example 17 - Two sided swap with multiple roles and accounts
1.3.9 Example 18 - Credit Default Swap Short Form US Corporate with broker role
1.3.10 Example 26 - Alleged Novation
1.4 Consent
1.4.1 Example 4 - Equity Option Increase
1.4.2 Example 8 - Equity Option Partial Termination
1.4.3 Example 9 - Equity Option Termination
1.4.4 Example 10 - Equity Swap Partial Termination
1.4.5 Example 11 - Equity Swap Full Termination
1.4.6 Example 27 - Request Novation Consent
1.4.7 Example 100 - Request Clearing Consent, with quote
1.4.8 Example 200 - Request Clearing Consent
1.4.9 Example 201 - Grant Clearing Consent
1.4.10 Example 300 - Request Clearing Consent on a Porfolio
1.4.11 Example 301 - Request Clearing Consent on a Porfolio
1.4.12 Example 302 - Grant Clearing Consent on a Portfolio
1.4.13 Example 303 - Grant Clearing Consent on Constituent of a Portfolio
1.5 Execution Advice
1.5.1 Example 51 - Execution Advice of CDS Trade Initiation (C01-00)
1.5.2 Example 52 - Execution Advice of CDS Trade Partial Novation (C02-00)
1.5.3 Example 53 - Execution Advice of CDS Trade Partial Novation Correction (C02-10)
1.5.4 Example 54 - Execution Advice of CDS Trade Partial Termination (C11-00)
1.5.5 Example 55 - Execution Advice of CDS Trade Partial Termination Cancellation (C11-10)
1.5.6 Example 56 - Execution Advice of CDS Trade Full Termination (C12-00)
1.5.7 Example 57 - Execution Advice of CDS Trade Full Termination Correction (C12-20)
1.5.8 Example 58 - Execution Advice of CDS Trade Initiation (F01-00).xml
1.5.9 Example 59 - Execution Advice of CDS Trade Amendment (F02-00)
1.5.10 Example 60 - Execution Advice of CDS Trade Amendment Correction (F02-10)
1.5.11 Example 61 - Execution Advice of CDS Trade Change (F03-00)
1.5.12 Example 62 - Execution Advice of CDS Trade Change Correction (F03-10)
1.5.13 Example 63 - Execution Advice of IRD Trade Initiation.xml
1.5.14 Example 64 - Execution Advice of IRD Trade Initiation Correction
1.5.15 Example 65 - Execution Advice of IRD Trade Partial Termination
1.5.16 Example 66 - Execution Advice of IRD Trade Full Termination
1.5.17 Example 67 - Execution Advice of IRD Trade Full Termination Correction
1.6 Execution Notification
1.6.1 Example 19 - Long-Form Allocation of a Credit Default Swap
1.6.2 Example 22 - Allocation Created
1.6.3 Example 23 - Allocation Amendment
1.6.4 Example 90 - Trade Execution Date Time
1.7 Trade Information Update
1.7.1 Example 01 - Request Trade Information Update
1.8 Option Exercise / Expiry
1.8.1 Example 01 - Option Expiration Notification
1.8.2 Example 02a - Request to exercise options
1.8.3 Example 02b - Request NOT to exercise options
1.8.4 Example 03a - Execution notification that options were exercised (cash)
1.8.5 Example 3a - Execution notification that options were exercised (physical)
1.8.6 Example 3a - Execution notification that options were exercised (physical / security underlyer)
1.8.7 Example 3b - Request confirmation (physical)
1.8.8 Example 04 - Execution advice that options were exercised
1.8.9 Example 05 - Execution exception
1.8.10 Example 06 - Maturity notification (option expired)
1.8.11 Example 07 - Maturity notification (trade matured)
1.8.12 Example A - Request Confirmation of OTC Equity Option
1.8.13 Example B - Option Expiration Notification
1.8.14 Example C - Request Execution of Equity Options
1.8.15 Example D - Execution Notification of Equity Option Exercise
1.8.16 Example M - Confirm Bond Option
1.8.17 Example N - Expiring Bond Option
1.8.18 Example O - Request exercise OTC Bond Option
1.8.19 Example P - Exercise Notification New Trade for OTC bond option
1.8.20 Example X - Exercise Notification of FX option
1.8.21 Example Y - Exercise Notification of a swaption
1.8.22 Example 08 - Option Expiration Notification
1.9 Clearing
1.9.1 Example 01 - Clearing Status Notification
1.9.2 Example 02 - Request to de-clear
1.9.3 Example 03 - Clearing Confirmed (de-clear)
1.9.4 Example 04 - Clearing Confirmed (de-clear)
1.9.5 Example 05 - Clearing Confirmed (trade terminated due to netting)
1.9.6 Example 06 - Clearing Confirmed (trade created due to netting)
1.9.7 Example 07 - Clearing Requested (from SEF)
1.9.8 Example 08 - Clearing Status (to SEF)
1.9.9 Example 09 - Clearing Status (to broker)
1.9.10 Example 10 - Clearing Confirmed (full clearing report)
1.9.11 Example 11 - Clearing Confirmed (trade created as a result of netting and part of a portfolio)
1.9.12 Example 12 - Clearing Confirmed (trade created as a result of netting and part of a portfolio)
1.9.13 Example 100 - Request Clearing Eligibility
1.9.14 Example 101 - Clearing Eligibility (Status)
2 Interest Rate Derivative Examples
2.1 Introduction
2.2 Example 1 - Fixed/Floating Single Currency Interest Rate Swap
2.3 Example 2 - Fixed/Floating Single Currency Interest Rate Swap with Initial Stub Period and Notional Amortization
2.4 Example 3 - Fixed/Floating Single Currency Interest Rate Swap with Compounding, Payment Delay and Final Rate Rounding
2.5 Example 4 - Fixed/Floating Single Currency Interest Rate Swap with Arrears Reset, Step-Up Coupon and Upfront Fee
2.6 Example 5 - Fixed/Floating Single Currency Interest Rate Swap with Long Initial Stub and Short Final Stub
2.7 Example 6 - Fixed/Floating Cross Currency Interest Rate Swap
2.8 Example 7 - Fixed/Floating Overnight Interest Rate Swap (OIS)
2.9 Example 8 - Forward Rate Agreement
2.10 Example 9 - European Swaption, Physical Settlement, Explicit Underlying Effective Date
2.11 Example 10 - European Swaption, Physical Settlement, Relative Underlying Effective Date
2.12 Example 11 - European Swaption, Physical Settlement, Partial Exercise, Automatic Exercise
2.13 Example 12 - European Swaption, Cash Settlement, Swaption Straddle
2.14 Example 13 - European Swaption, Cash Settled, cashflows included
2.15 Example 14 - Bermuda Swaption, Physical Settlement.
2.16 Example 15 - American Swaption, Physical Settlement.
2.17 Example 16 - Fixed/Floating Single Currency IRS With Mandatory Early Termination.
2.18 Example 17 - Fixed/Floating Single Currency IRS With European Style Optional Early Termination.
2.19 Example 18 - Fixed/Floating Single Currency IRS With Bermuda Style Optional Early Termination, Cashflows + optionalEarlyTerminationAdjustedDates.
2.20 Example 19 - Fixed/Floating Single Currency IRS With American Style Optional Early Termination.
2.21 Example 20 - Fixed/Floating Single Currency IRS With European Cancelable Provision.
2.22 Example 21 - Fixed/Floating Single Currency IRS With European Extendible Provision.
2.23 Example 22 - Interest Rate Cap
2.24 Example 23 - Interest Rate Floor
2.25 Example 24 - Interest Rate Collar
2.26 Example 25 - Fixed/Floating IRS Where The Floating Stream Notional Is Reset Based On Prevailing Spot Exchange Rate
2.27 Example 26 - Fixed/Floating IRS Where The Floating Stream Notional Is Reset Based On Prevailing Spot Exchange Rate - Cashflows.
2.28 Example 27 - Inverse Floater
2.29 Example 28 - Bullet Payments
2.30 Example 29 - Swap with Non-Deliverable Settlement Provision
2.31 Example 30 - Compounding and Averaging Swap with Relative Dates
2.32 Example 31 - Swap with Non-Deliverable Settlement Provision
2.33 Example 32 - Zero Coupon Swap
2.34 Example 33 - Brazilian Interest Rate Swap
2.35 Example 34 - Mexican Interest Rate Swap
2.36 Example 35 - Inverse Floater vs. Floating
3 Inflation Swaps Examples
3.1 Introduction
3.2 Example 1 - Year-on-Year
3.3 Example 2 - Year-on-Year with Bond Reference
3.4 Example 3 - Year-on-Year Initial Level
3.5 Example 4 - Year-on-Year with Interpolation
3.6 Example 5 - Zero-Coupon
4 Credit Derivative Examples
4.1 Credit Default Swap
4.1.1 Example 1 - Asian Corporate, Long Form, Fixed Regular Payment Schedule
4.1.2 Example 2 - Asian Corporate, Short Form, Fixed Regular Payment Schedule
4.1.3 Example 3 - Australian Corporate, Long Form, Fixed Regular Payment Schedule
4.1.4 Example 4 - Australian Corporate, Short Form, Fixed Regular Payment Schedule
4.1.5 Example 5 - Emerging Markets Asian Corporate, Long Form, Fixed Regular Payment Schedule
4.1.6 Example 6 - Emerging Markets European Sovereign, Long Form, Fixed Regular Payment Schedule
4.1.7 Example 7 - European Corporate, Long Form, Fixed Regular Payment Schedule
4.1.8 Example 8 - European Corporate, Short Form, Fixed Regular Payment Schedule
4.1.9 Example 9 - European Sovereign, Long Form, Fixed Regular Payment Schedule
4.1.10 Example 10 - US Corporate, Long Form, Fixed Regular Payment Schedule
4.1.11 Example 11 - US Corporate, Short Form, Fixed Regular Payment Schedule
4.1.12 Example 12 - Emerging Markets Asian Sovereign, Long Form, Fixed Regular Payment Schedule
4.1.13 Example 13 - Asia Sovereign, Long Form, Fixed Regular Payment Schedule
4.1.14 Example 14 - Emerging Markets Latin American Corporate, Long Form, Fixed Regular Payment Schedule
4.1.15 Example 15 - Emerging Markets Latin American Sovereign, Long Form, Fixed Regular Payment Schedule
4.1.16 Example 16 - US Corporate, Short Form, Fixed Regular Payment Schedule, Recovery Factor
4.1.17 Example 17 - US Corporate, Short Form, Fixed Regular Payment Schedule, Portfolio Compression
4.1.18 Example 18 - Standard North American Corporate
4.2 Credit Default Swap Index
4.2.1 Example 1 - CDX Example
4.2.2 Example 2 - iTraxx Example
4.2.3 Example 3 - iTraxx Contractual Supplement Example
4.2.4 Example 4 - CDS Index Tranche
4.3 Credit Default Swap Basket
4.3.1 Example 1 - CDS Basket
4.3.2 Example 2 - CDS Custom Basket
4.3.3 Example 3 - CDS Basket Tranche
4.4 Mortgage Derivatives
4.4.1 Example 1 - CDS on CMBS
4.4.2 Example 2 - CDS on RMBS
4.5 Loan Derivatives
4.5.1 Example 1 - CDS Loan Secured List
4.5.2 Example 2 - CDS Loan Reference Obligation
4.5.3 Example 3 - European CDS on Leveraged Loans Reference Obligation
4.6 Credit Default Swap Option
4.6.1 Example 1 - CDS Option
4.6.2 Example 2 - CDS Option
4.6.3 Example 3 - CDX Index Option
4.6.4 Example 4 - iTraxx Index Option
4.7 Independent Amount
4.7.1 Example 1 - Independent Amount
5 Foreign Exchange Examples
5.1 Introduction
5.2 Example 1 - FX Spot
5.3 Example 2 - FX Spot 'Cross' (non-base currency) with Cross Rates
5.4 Example 3 - FX Forward
5.5 Example 4 - FX Forward with specific Settlement Instructions
5.6 Example 5 - FX Forward identified as using standard settlement instructions
5.7 Example 6 - FX Forward with split settlement
5.8 Example 7 - Non-deliverable FX Forward
5.9 Example 8 - FX Swap
5.10 Example 9 - FX OTC Option - European exercise
5.11 Example 10 - FX OTC Option - American exercise
5.12 Example 11 - Non-deliverable FX OTC Option
5.13 Example 12 - FX OTC Barrier Option
5.14 Example 13 - FX OTC Double Barrier Option
5.15 Example 14 - FX OTC Digital/Binary Option -- Euro Binary
5.16 Example 15 - FX OTC Digital/Binary Option -- Euro Range Digital
5.17 Example 16 - FX OTC Digital/Binary Option -- One-Touch
5.18 Example 17 - FX OTC Digital/Binary Option -- No-Touch
5.19 Example 18 - FX OTC Digital/Binary Option -- Double One-Touch
5.20 Example 19 - FX OTC Digital/Binary Option -- Double No-Touch
5.21 Example 20 - FX OTC Average Rate Option with Parametric Schedule
5.22 Example 21 - FX OTC Average Rate Option with Parametric Schedule with Rate Observation
5.23 Example 22 - FX OTC Average Rate Option with Specific Date Schedule
5.24 Example 23 - Straddle (sample usage of Strategy)
5.25 Example 24 - Delta Hedge (sample usage of Strategy)
5.26 Example 25 - FX Option Strategy Component Identifier
5.27 Example 26 - FX Swap with Multiple USI(s)
5.28 Example 27 - FX Flexible Term Forward
5.29 Example 28 - - Non-deliverable FX Forward with disruption events
5.30 Term Deposit Example 1 - Simple Term Deposit
5.31 Term Deposit Example 2 - Term Deposit with Settlement Instructions
5.32 Term Deposit Example 2 - Term Deposit with Dual Currency feature
6 Equity Options Examples
6.1 Introduction
6.2 Example 1 - American Call Stock Long Form
6.3 Example 2 - Calendar Spread Short Form
6.4 Example 3 - Call or Put Spread Short Form
6.5 Example 4 - European Call Index Long Form
6.6 Example 5 - Asian Option Long Form
6.7 Example 6 - Averaging In Long Form
6.8 Example 7 - Barrier Knockout with Rebate Long Form
6.9 Example 8 - Basket Long Form
6.10 Example 9 - Bermuda Long Form
6.11 Example 10 - Binary Barrier Long Form
6.12 Example 11 - Quanto Long Form
6.13 Example 12 - Vanilla Short Form
6.14 Example 13 - 1996 American Call Stock
6.15 Example 14 - American Call Stock Passthrough Long Form
6.16 Example 15 - Basket Passthrough Long Form
6.17 Example 16 - Equity Option Transaction Supplement
6.18 Example 17 - Equity Option Transaction Supplement Non-Deliverable Share
6.19 Example 18 - Equity Option Transaction Supplement Non-Deliverable Index
6.20 Example 19 - Dividend Adjustment
6.21 Example 20 - Nested Basket
6.22 Example 21 - Nested Basket
6.23 Example 22 - Equity Option Transaction Supplement (Index Option) Asian Dates
6.24 Example 23 - Equity Option Transaction Supplement (Index Option) Cliquet
6.25 Example 24 -Equity Option Transaction Supplement (Index Option) Asian Schedule
6.26 Example 25 -Equity Option Transaction Supplement (Index Option) Knock-In-Knock-Out Features
6.27 Example 26 -Equity Option Mixed Asset Basket
6.28 Example 27 - Equity Option Transaction Supplement EMEA EM (Interdealer)
7 Bond and Convertible Bond Option Examples
7.1 Introduction
7.2 Example 1 - Bond Option
7.3 Example 2 - Convertible Bond Option
7.4 Example 3 - Convertible Bond Option
8 Equity Swaps Examples
8.1 Introduction
8.2 Example 1 - Single Underlyer Execution Swap Long Form
8.3 Example 2 - Composite Basket Swap Long Form
8.4 Example 3 - Index Swap With a Quanto Feature Long Form
8.5 Example 4 - Zero-strike Equity Swap
8.6 Example 5 - Single Underlyer Swap with an Upfront Fee as well as a Brokerage Fee Long Form
8.7 Example 6 - Single Index Long Form
8.8 Example 7 - Single Underlyer Swap with both an Initial and a Final Stub
8.9 Example 8 - Composite basket long form with separate spreads
8.10 Example 9 - Compounding Swap
8.11 Example 10 - Short form Interest Leg driving schedule dates
8.12 Example 11 - Equity Accrual Swap on European Index Underlyer Short Form
8.13 Example 12 - Equity Accrual Swap on European Index Underlyer Short Form
8.14 Example 13 - Pan-Asia Interdealer Share Swap Short Form
8.15 Example 14 - European Interdealer Share Swap Short Form
8.16 Example 15 and 16 - Forward Starting European Interdealer Share Swap Short Form
8.17 Example 17 - Contract For Difference (CFD)
8.18 Example 18 - Pan Asia Interdealer Index Swap Short Form
8.19 Example 19 - European Interdealer Fair Value Share Swap Short Form
8.20 Example 1 - Total Return Swaps on Equity Basket
8.21 Example 2 - Total Return Swaps on Single Equity
8.22 Example 3 - Total Return Swaps on Single Stock Execution Swap with Fixing Dates and Dividend Payment Date
8.23 Example 4 - Total Return Swaps on Markit IOS Index
9 Equity Forwards Examples
9.1 Introduction
9.2 Example 1 - Equity Forward Stock Long Form
10 Variance Derivatives Examples
10.1 Introduction
10.2 Example 1 - Variance Swap Index
10.3 Example 2 - Variance Swap Single Stock
10.4 Example 3 - Conditional Variance Swap
10.5 Example 4 - Dispersion Variance Swap Long Form
10.6 Example 5 - Dispersion Variance Swap Transaction Supplemen
10.7 Example 6 - Variance Option Transaction Supplemen
11 Correlation Derivatives Examples
11.1 Introduction
11.2 Example 1 - Correlation Swap
11.3 Example 2 - Correlation Swap Confirmation
11.4 Example 3 - Correlation Swap Confirmation
11.5 Example 4 - Correlation Swap Confirmation
12 Dividend Derivatives Examples
12.1 Introduction
12.2 Example 1 - Dividend Swap
12.3 Example 2 - Dividend Swap Collateral
12.4 Example 3 - Short Form Dividend Swap for Japanese Underlyer
13 Securities Examples
13.1 Introduction
13.2 Example 1 - Future
13.3 Example 2 - Exchange Traded Option
14 Commodity Derivative Examples
14.1 Introduction
14.2 Example 1 - Gas Swap (North America) Daily Delivery - Prices Last Day
14.3 Example 2 - Gas Swap (North America) Prices First Day
14.4 Example 3 - Gas Swap (North America) Prices Last Three Days
14.5 Example 4 - Electricity Swap (North America) Hourly Off Peak
14.6 Example 5 - Gas v Electricity Spark Spread
14.7 Example 6 - Gas Call Option
14.8 Example 7 - Gas Put Option
14.9 Example 8 - Oil Call Option Strip
14.10 Example 9 - Oil Put Option American
14.11 Example 10 - Physical Oil Pipeline Crude WTI Floating Price (ISDA or LEAP)
14.12 Example 11 - Physical Oil Pipeline Heating Oil Fixed Price (ISDA or LEAP)
14.13 Example 12 - Physical Gas Europe ZBT Fixed Price (ISDA)
14.14 Example 13 - Physical Gas US TW West Texas Pool Floating Price 4 Days (ISDA)
14.15 Example 14 - Physical Gas Europe TTF Fixed Price (EFET)
14.16 Example 15 - Physical Oil Pipeline Crude WCS Fixed Price
14.17 Example 16 - Physical Power US EEI Floating Price
14.18 Example 17 - Physical Power UK GTMA Fixed Price
14.19 Example 18 - Physical Power US EEI Fixed Price Shaped Volume
14.20 Example 19 - Physical Bullion Forward
14.21 Example 20 - Physical Coal US Fixed Pprice
14.22 Example 21 - Physical Power US EEI Fixed Price Shaped Volume and Price
14.23 Example 22 - Physical Gas Option Multiple Expiration
14.24 Example 23 - Physical Power Option Daily Expiration - EFET
14.25 Example 24 - Physical CDD Weather Index Swap
14.26 Example 25 - Physical Bullion Average Price Forward
14.27 Example 26 - Physical Metal Forward
14.28 Example 27 - WTI Put Option Asian Listedoption Date
14.29 Example 28 - Gas Swap Daily Delivery Prices Option last
14.30 Example 29 - Physical EU Emissions Option
14.31 Example 30 - Physical EU Emissions Forward
14.32 Example 31 - Physical US Emissions Option
14.33 Example 32 - CPD Weather Option
14.34 Example 34 - Gas Put European Floating Strike Option
14.35 Example 35 - Gas Power Heat Rate Daily Call Option
14.36 Example 36 - Gas Call Option European with Spread, Negative Premium and Floating Strike Price
14.37 Example 37 - Gold Forward Offered Rate
14.38 Example 39 - Basket Option Confirmation
14.39 Example 40 - Gas Digital Option Storage Volume Trigger
14.40 Example 41 - Oil Asian Barrier Option Strip
This section contains example FpML documents for several message types related to different business processes. Each demonstrates how different message exchanges are modeled in FpML.
NOTE: The following examples have validation issue due to missing fxSingleLeg model which is in process of being redesigned and be added in the next version - 57, 63, 65-67, 69, 70, 73, 75-89.
File: msg-ex20-cds-request-allocation.xml
This example shows a "short-form" representation of allocations for a Credit Default Swap. This means that only the block trade has a full FpML representation. The allocated trades are described with parameters (percentage of notional, amount) contained in the allocations element
File: msg-ex24-cds-request-allocation-retracted.xml
This example shows the allocation created in example 20 being cancelled. The message thread between two parties.
File: msg-ex25-cds-request-allocation.xml
This examples shows the usage of the RequestAllocation message and a thread between two parties.
File: msg-ex26-cds-request-allocation-(multiple-allocationTradeIds).xml
This example shows a "short-form" representation of allocations for a Credit Default Swap using multiple allocation trade identifiers.
File: msg-ex17-two-sided-swap-roles-accounts.xml
This example shows a RequestTradeConfirmation message of a two sided swap trade with multiple roles and accounts.
File: msg-ex18-cds-2003-short-us-corp-broker-role.xml
This example shows how to model a TradeConfirmed message of a trade with broker parties using the tradeSide structure instead of using the brokerPartyReference element.
File: msg-ex26-cds-alleged-novation.xml
This example shows the usage of the NovationAlleged message and a thread between two parties. The previous trade is a reference Credit Default Swap and the payment is a closeout between the outgoing and incoming parties.
File: msg-ex27-request-consent-novation.xml
This example shows the usage of the NovationConsentRequest message and a thread between the two parties in example 26. The entire CDS transaction being novated is exposed while the payment between the incoming and outgoing parties is removed.
File: msg-ex100-request-consent-clearing-with-quote.xml
This show a request from a clearing service to a member firm to consent to a trade's being cleared, with quotes showing the trade's NPV and PV01.
File: msg-ex200-request-consent-clearing.xml
This show a request from a clearing service to a member firm to consent to a trade's being cleared.
File: msg-ex200-grant-consent.xml
This show a message from a clearing member firm to a clearing service to consent to a trade's being cleared.
File: msg-ex300-request-consent-clearing-portfolio-msg1.xml
This show a request from a clearing service to a member firm to consent to a portfolio being cleared.
File: msg-ex301-request-consent-clearing-portfolio-msg2.xml
This show a request from a clearing service to a member firm to consent to a portfolio being cleared.
File: msg-ex302-grant-consent-to-portfolio.xml
This show a message from a clearing member firm to a clearing service to consent to a portfolio being cleared.
File: msg-ex303-grant-consent-to-constituent-of-portfolio.xml
This show a message from a clearing member firm to a clearing service to consent to one trade of a portfolio being cleared.
Examples to show the notification of execution advice and post-trade events between asset managers and custodians.
Sequence and description of below (Examples 51-62) execution advice notifications from Investment Manager to Custodian: Message Sequence Examples
File: msg-ex63-execution-advice-trade-initiation.xml
Execution Advice Notification from Investment Manager to Custodian of an IRS Trade Initiation.
File: msg-ex64-execution-advice-trade-initiation-correction.xml
Execution Advice Notification Notification from Investment Manager to Custodian about Correction of a IRD Trade Initiation Notification (in Example 63). A payment amount of 10% is added.
File: msg-ex65-execution-advice-trade-partial-termination.xml
Execution Advice Notification from Investment Manager to Custodian of the Partial Termination of an IRD Trade (in Example 63 and 64). A payment amount of 10% is added.
File: msg-ex66-execution-advice-trade-full-termination.xml
Execution Advice Notification from Investment Manager to Custodian of the Full Termination of an IRS Trade (in Example 63, 64 and 65).
File: msg-ex67-execution-advice-trade-full-termination-correction.xml
Execution Advice Notification from Investment Manager to Custodian about Correction of a Full Termination Notification (in Example 63, 64, 65 and 66). A payment amount of 10% is added.
File: msg-ex19-cds-execution-allocations.xml
This example shows a "long-form" representation of allocations for a Credit Default Swap. This means that the block and the allocated trades have a full FpML representation.
File: msg-ex22-cds-execution-allocations.xml
This example shows an allocation being created with the AllocationCreated message. It also notes the beginning of a messaging thread between two parties.
File: msg-ex23-cds-execution-allocation-amended.xml
This example shows a change to the allocation that was created in example 22. The AllocationAmended message continues a thread between two parties.
File: msg-ex90-trade-execution-date-time.xml
This example shows the representation of the trade execution date time, which is a requirement for MiFID.
File: trade-info-ex01-request-info-update.xml
This example shows a request to update some information about a trade, specifically to add a trade identifier.
File: msg-ex01-option-expiry-notification.xml
This example shows an notification that options are about to expire
File: msg-ex02-request-execution-1-interest-rate-swaption.xml
This example shows a request to exercise options
File: msg-ex02-request-execution-2-do-not-exercise.xml
This example shows a request NOT to exercise options
File: msg-ex03a-execution-notification-option-exercised-1-cash.xml
This example shows an execution notification that options were excercised (cash)
File: msg-ex03a-execution-notification-option-exercised-2-physical-trade.xml
This example shows an execution notification that options were excercised (physical)
File: msg-ex03a-execution-notification-option-exercised-3-physical-security.xml
This example shows an execution notification that options were excercised (physical / security underlyer)
File: msg-ex03b-request-confirmation-physical.xml
This example shows a request confirmation (physical)
File: msg-ex04-execution-advice-option-exercised.xml
This example shows an execution advice that options were exercised
File: msg-ex06-maturity-notification-option-expired.xml
This example shows a message that reports an option has expired.
File: msg-ex07-maturity-notification-trade-matured.xml
This example shows a message that reports a trade has matured (passed its scheduled termination date and last payment.).
File: msg-exA-confirm-otc-equity-option.xml
This example shows a confirmation for an OTC Equity Option
File: msg-exB-expiring-otc-equity-option.xml
This example shows an notification that equity options are about to expire
File: msg-exC-request-execution-exercise-otc-equity-option.xml
This example shows a request to exercise the equity options
File: msg-exD-exercise-notification-otc-equity-option.xml
This example shows a notification that the physically settled OTC equity option has been exercised, showing the resulting instrument trade (of the equity).
File: msg-exN-expiring-otc-bond-option.xml
This example shows a notification that the above bond option is about to expire.
File: msg-exO-request-exercise-otc-bond-option.xml
This example shows a request to exercise the bond options
File: msg-exP-exercise-notification-new-trade-for-otc-bond-option.xml
This example shows a notification that the physically settled OTC bond option has been exercised, showing the resulting instrument trade (of the bond).
File: msg-exX-exercise-notification-fx-option.xml
This example shows a notification that an FX option has been exercised, showing the resulting spot FX trade.
File: msg-exY-exercise-notification-ir-swaption.xml
This example shows a notification that an interest rate swaption has been exercised, showing the resulting swap position.
File: msg-ex08-option-expiry-notification-with-original-trade.xml
This example shows an notification that options are about to expire, and includes a copy of the original trade.
File: msg-ex03-clearingConfirmed-declear-sample1.xml
This example shows a clearing confirmation for de-clear
File: msg-ex04-clearingConfirmed-declear-sample2.xml
This example shows a clearing confirmation for de-clear
File: msg-ex05-clearingConfirmed-trade-terminated-due-to-netting.xml
This example shows a clearing confirmation for trade that was terminated due to netting activity
File: msg-ex06-clearingConfirmed-trade-created-due-to-netting.xml
This example shows a clearing confirmation for trade that was created due to netting activity
File: msg-ex07-clearingRequested-from-sef.xml
This example shows a request for clearing from a SEF to a clearing house
File: msg-ex08-clearingStatus-to-sef.xml
This example shows a clearing status message from a clearing house to a SEF
File: msg-ex09-clearingStatus-to-broker.xml
This example shows a clearing status message from a clearing house to a broker (clearing firm)
File: msg-ex10-clearingConfirmed-clearing-performed.xml
This example shows a clearing confirmation to a SEF showing the original trade and information about the cleared trades that were created.
File: msg-ex11-clearingConfirmed-trade-created-due-to-netting-portfolio-msg1.xml
This example shows a trade that was created because of a netting operation. The new trade is part of a portfolio.
File: msg-ex12-clearingConfirmed-trade-created-due-to-netting-portfolio-msg2.xml
This example shows a trade that was created because of a netting operation. The new trade is part of a portfolio.
File: msg-ex100-request-clearing-eligibility.xml
This example shows a request to check the mandatory clearing status of a trade with respect to regulatory bodies.
File: msg-ex101-clearing-eligiblity.xml
This example shows the mandatory clearing status of a trade with respect to different regulatory bodies.
This section contains twenty eight example FpML trades. Each example illustrates how different product features are modeled in FpML.
Example 5 shows the defaulted 'type' attributes as part of the sample document. This illustrates the additional content model information available to a validating parser when processing an FpML document.
The sample xml document are available for download from the fpml.org website.
File: ird-ex01-vanilla-swap.xml
On 12 December, 1994 Chase New York and Barclays Bank London enter into an ISDA swap agreement with each other. The terms of the contract are:
Note the following:
File: ird-ex02-stub-amort-swap.xml
The swap contract is identical to Example 1 except that there is an initial stub period and the notional amortizes.
The rate for the stub period is the linear interpolation between the 4-month and 5-month EUR-LIBOR-BBA rates.
The stub period on the floating stream runs from 16 January, 1995 to 14 June, 1995, and on the fixed stream from 16 January, 1995 to 14 December, 1995.
The notional amount is decreased by EUR 10,000,000 each year.
Note the following:
File: ird-ex03-compound-swap.xml
On 25 April, 2000 Morgan Stanley Dean Witter and JPMorgan enter into an ISDA swap agreement with each other. The terms of the contract are:
Note the following:
File: ird-ex04-arrears-stepup-fee-swap.xml
On 25 April, 2000 Morgan Stanley Dean Witter and JPMorgan enter into an ISDA swap agreement with each other. The terms of the contract are:
Note the following:
File: ird-ex05-long-stub-swap.xml
On 3 April, 2000 Chase and UBS Warburg enter into an ISDA swap agreement with each other. The terms of the contract are:
Note the following:
File: ird-ex06-xccy-swap.xml
On 12 December, 1994 Chase New York and Barclays Bank London enter into an ISDA cross-currency swap agreement with each other. The terms of the contract are:
Note the following:
File: ird-ex07-ois-swap.xml
On 25 January, 2001 Citibank and Mizuho Capital enter into an ISDA swap agreement with each other. The terms of the contract are:
Note the following:
File: ird-ex08-fra.xml
On 14 May, 1991 ABN AMRO Bank and Midland Bank enter a Forward Rate Agreement in which ABN AMRO is the seller of the notional contract amount and Midland the buyer. The terms of the contract are:
Note the following:
File: ird-ex09-euro-swaption-explicit.xml
On 30 August, 2000 Party buys from PartyB an option to exercise into an underlying ISDA swap. The terms of the contract are:
Note the following:
File: ird-ex10-euro-swaption-relative.xml
On 30 August, 2000 Party buys from PartyB an option to exercise into an underlying ISDA swap. The terms of the contract are:
File: ird-ex11-euro-swaption-partial-auto-ex.xml
On 30 August, 2000 Party buys from PartyB an option to exercise into an underlying ISDA swap. The terms of the contract are:
File: ird-ex12-euro-swaption-straddle-cash.xml
On 30 August, 2000 Party buys from PartyB an option to exercise into an underlying ISDA swap. The terms of the contract are:
File: ird-ex13-euro-swaption-cash-with-cfs.xml
On 30 August, 2000 Party buys from PartyB an option to exercise into an underlying ISDA swap. The terms of the contract are:
Note the following:
File: ird-ex14-berm-swaption.xml
On 30 August, 2000 Party buys from PartyB an option to exercise into an underlying ISDA swap. The terms of the contract are:
Note the following:
File: ird-ex15-amer-swaption.xml
On 30 August, 2000 Party buys from PartyB an option to exercise into an underlying ISDA swap. The terms of the contract are:
Note the following:
File: ird-ex16-mand-term-swap.xml
On 30 August, 2000 PartyA and PartyB agree to enter into an ISDA swap with early termination provision. The terms of the contract are:
Note the following:
File: ird-ex17-opt-euro-term-swap.xml
On 30 August, 2000 PartyA and PartyB agree to enter into an ISDA swap with early termination provision. The terms of the contract are:
File: ird-ex18-opt-berm-term-swap.xml
On 30 August, 2000 PartyA and PartyB agree to enter into an ISDA swap with early termination provision. The terms of the contract are:
Note the following:
File: ird-ex19-opt-amer-term-swap.xml
On 30 August, 2000 PartyA and PartyB agree to enter into an ISDA swap with early termination provision. The terms of the contract are:
File: ird-ex20-euro-cancel-swap.xml
On 30 August, 2000 PartyA and PartyB agree to enter into an ISDA swap with Cancelable provision. The terms of the contract are:
File: ird-ex21-euro-extend-swap.xml
On 30 August, 2000 PartyA and PartyB agree to enter into an ISDA swap with Extendible provision. The terms of the contract are:
File: ird-ex22-cap.xml
On 29 April, 2001 PartyA sells to PartyB an interest rate cap. The terms of the contract are:
Note the following:
File: ird-ex23-floor.xml
On 29 April, 2001 PartyA sells to PartyB an interest rate floor. The terms of the contract are:
Note the following:
File: ird-ex24-collar.xml
On 29 April, 2001 PartyB sells to PartyA an interest rate collar (PartyA buys a cap and sells a floor). The terms of the contract are:
Note the following:
File: ird-ex25-fxnotional-swap.xml
On 9 January, 2001 PartyA and PartyB agree to enter into an FX Reseting interest rate swap. The terms of the contract are:
File: ird-ex26-fxnotional-swap-with-cfs.xml
On 9 January, 2001 PartyA and PartyB agree to enter into a forward starting FX Reseting interest rate swap. The terms of the contract are:
Things to note:
File: ird-ex27-inverse-floater.xml
On 30 August, 2000 PartyA and PartyB agree to enter into an ISDA. The terms of the contract are:
Things to note:
File: ird-ex28-bullet-payments.xml
On 29 April, 2000 PartyA agrees the payment of a single cashlow to PartyB. The terms of the contract are:
File: ird-ex29-non-deliverable-settlement-swap.xml
Example that shows non-deliverable terms of an interest rate swap.
These non-deliverable terms specify the conditions under which the cashflows will be made in a different currency (the "settlement currency") than the currency in which a given leg is denominated (the "reference currency").
File: ird-ex30-swap-comp-avg-relative-date.xml
Compounding and averaging interest rate swap with relative effective dates and relative termination dates.
Effective dates equal the trade date plus two London business days. The resulting date is adjusted using the London and New York calendars and the modified following rule.
Termination dates equal the effective date plus two years. The resulting date is adjusted using the London and New York calendars and the modified following rule.
File: ird-ex31-non-deliverable-settlement-swap.xml
Example that shows within the non-deliverable terms the procedure to get a new quote when the primary settlement rate option is disrupted.
File: ird-ex32-zero-coupon-swap.xml
Example that shows a zero coupon swap with the following characteristics:
File: ird-ex33-BRL-CDI-swap.xml
Example that shows a Brazilian Interest Rate swap. It consists of a fixed and a floating leg, both zero coupon and quoted in Brazilian Reals, but settled in US Dollars.
File: ird-ex34-MXN-swap.xml
Example of a Mexican swap with lunar rolls. Some characteristics:
File: ird-ex35-inverse-floater-inverse-vs-floating.xml
On 29 April, 2009 PartyA and PartyB agree to enter into an ISDA. The terms of the contract are:
Things to note:
This section contains example FpML trades for Inflation Swaps. Each example illustrates how different product features are modeled in FpML.
The sample xml documents are available for download from the fpml.org website.
This section contains example credit default swap trades expressed in FpML. These examples cover typical trades in the various regions and sectors that constitute the global credit default swap market.
Each example is fully described by the ISDA confirm which accompanies it. Note that the ISDA confirms represent example transactions documented under the 1999 ISDA Credit Derivatives Definitions. For the short form examples 2, 8 and 11 and the long form examples 7 and 10 additional FpML example files have been included illustrating how the deal would typically be documented under the 2003 ISDA Credit Derivatives Definitions.
The name of each example consists of three components:
In some cases there is an example that uses the 2003 ISDA definitions.
FpML File: cd-ex02-short-asia-corp-fixreg.xml
FpML File (2003 version): cd-ex02-2003-short-asia-corp-fixreg.xml
ISDA Confirm: cd-ex02-short-asia-corp-fixreg.pdf
File: cd-ex07-long-euro-corp-fixreg.xml
File (2003 version): cd-ex07-2003-long-euro-corp-fixreg.xml
ISDA Confirm: cd-ex07-long-euro-corp-fixreg.pdf
File: cd-ex08-short-euro-corp-fixreg.xml
File (2003 version): cd-ex08-2003-short-euro-corp-fixreg.xml
ISDA Confirm: cd-ex08-short-euro-corp-fixreg.pdf
File: cd-ex10-long-us-corp-fixreg.xml
File (2003 version): cd-ex10-2003-long-us-corp-fixreg.xml
ISDA Confirm: cd-ex10-long-us-corp-fixreg.pdf
File: cd-ex11-short-us-corp-fixreg.xml
File (2003 version): cd-ex11-2003-short-us-corp-fixreg.xml
ISDA Confirm: cd-ex11-short-us-corp-fixreg.pdf
This section contains twenty three example FpML trades related to FX and FX OTC options. Each example illustrates how different product features are modeled in FpML.
The sample xml documents are available for download from the fpml.org website.
File: fx-ex01-fx-spot.xml
On 23 October, 2001, Citibank New York and Barclay's London agree to a foreign exchange trade. The terms of the contract are:
Matching Service sends a TradeConfirmed message to CITI with the details of the confirmation.
File: fx-ex02-spot-cross-w-side-rates.xml
On 23 October, 2001, Chase New York and CSFB New York agree to a foreign exchange trade. The terms of the contract are similar to Example 1, but in this case, the currencies exchanged are EUR and GBP. Both of these institutions are USD-based, so rates against the base currency (USD) have been captured as well. The terms of the contract are:
Chase sends a RequestTradeConfirmation message to Matching Service with the details of the confirmation.
File: fx-ex03-fx-fwd.xml
On 19 November, 2001, ABN Amro and DeutscheBank agree to a one-month forward foreign exchange contract. The terms of the contract are:
ABN sends a RequestTradeConfirmation message to Matching Service with the details of the confirmation.
File: fx-ex04-fx-fwd-w-settlement.xml
On 12 November, 2001, UBS Zurich and Citibank New York agree to a foreign exchange contract. The terms of the contract are:
Matching Service sends a TradeConfirmed message to CITI with the details of the confirmation.
Settlement is highlighted in this example. In this case, UBS pays the GBP from their account at UBS London to Citi's GBP account at Citi London, with the ultimate beneficiary being Citi New York.
For the USD, Citi pays the USD to ultimate beneficiary UBS Zurich, but in this case, UBS Zurich holds its USD at Citibank, and therefore UBS' account as Citibank is credited.
File: fx-ex05-fx-fwd-w-ssi.xml
This is identical to Example 3, but the standard settlement scheme is used to highlight that this trade will be paid using standard, pre-agreed settlement instructions.
ABN sends a RequestTradeConfirmation message to Matching Service with the details of the confirmation.
File: fx-ex06-fx-fwd-w-splits.xml
On 12 November, 2001, DeutscheBank Frankfurt and ABN Amro Amsterdam agree to a forward foreign exchange contract. The terms of the contract are:
Deutsche Bank sends a TradeConfirmed message to ABN Amro with the details of the confirmation.
In this example, the exchange rate has been quoted as an "inverted" rate.
Split settlement is highlighted in this example in the payment of the USD. Here, the following has been specified:
The ultimate beneficiary is ABNANL2A for all USD payments, but 3 different accounts have been specified for settlement.
For the EUR, ABN pays all EUR to Deutsche, but specifies settlement of the EUR via a debit of ABN's account in EUR with Deutsche.
File: fx-ex07-non-deliverable-forward.xml
On 09 January, 2002, Chase New York and CSFB New York agree to a FX non-deliverable forward contract. The terms of the contract are:
Chase sends a RequestTradeConfirmation message to CSFB with the details of the confirmation.
File: fx-ex08-fx-swap.xml
On 23 January, 2002, Chase New York and Deutsche Frankfurt agree to an FX swap contract. The terms of the contract are:
Deutsche Bank sends a TradeConfirmed message to Chase with the details of the confirmation.
File: fx-ex09-euro-opt.xml
On 4 December, 2001, Chase agrees to purchase a standard FX OTC option from ABN Amro. The terms of the contract are:
ABN Amro sends a RequestTradeConfirmation message to Chase with the details of the confirmation.
File: fx-ex10-amer-opt.xml
On 4 December, 2001, Chase agrees to purchase a standard FX OTC option from ABN Amro. The terms of the contract are:
ABN Amro sends a TradeConfirmed message to Chase with the details of the confirmation.
File: fx-ex11-non-deliverable-option.xml
On 15 January, 2001, Chase agrees to purchase a non-deliverable FX OTC USD / VEB option from ABN Amro. The terms of the contract are:
ABN Amro sends a TradeConfirmed message to Chase with the details of the confirmation.
File: fx-ex12-fx-barrier-option.xml
On 16 August, 2001, DB agrees to purchase a EUR call against USD put barrier option with a knock-in
Chase sends a RequestTradeConfirmation message to DB with the details of the confirmation.
File: fx-ex13-fx-dbl-barrier-option.xml
On 3 January, 2001, DB agrees to purchase a 2-month double knockout FX OTC JPY put / USD call option from Chase The terms of the contract are:
DB sends a RequestTradeConfirmation message to Chase with the details of the confirmation.
File: fx-ex14-euro-digital-option.xml
On 12 November, 2001, UBS agrees to purchase a two-week GBP/USD European binary option and pays a premium. At expiry, if the spot rate is above the trigger rate, UBS receives a payout.
CITI sends a TradeConfirmed message to UBS with the details of the confirmation.
File: fx-ex15-euro-range-digital-option.xml
On 12 November, 2001, UBS agrees to purchase a two-week GBP/USD European range binary option and pays a premium. At expiry, if below the higher trigger rate and above the lower trigger rate, UBS receives a payout.
CITI sends a RequestTradeConfirmation message to UBS with the details of the confirmation.
File: fx-ex16-one-touch-option.xml
On 12 November, 2001, UBS agrees to purchase a two-week GBP/USD one-touch option and pays a premium. At any time before expiry, if the spot rate is above the trigger rate, UBS receives a payout, but this payout is deferred until the value date of the option.
CITI sends a TradeConfirmed message to UBS with the details of the confirmation.
File: fx-ex17-no-touch-option.xml
On 12 November, 2001, UBS agrees to purchase a two-week GBP/USD no-touch option and pays a premium. If the spot rate remains below the trigger rate at all times until expiry, UBS receives a payout.
CITI sends a TradeConfirmed message to UBS with the details of the confirmation.
File: fx-ex18-double-one-touch-option.xml
On 12 November, 2001, UBS agrees to purchase a two-week GBP/USD double one-touch option and pays a premium. UBS receives a payout at maturity if the spot rate has crossed either trigger rate at some time during the lifetime of the option.
UBS sends a RequestTradeConfirmation message to Citi with the details of the confirmation.
File: fx-ex19-double-no-touch-option.xml
On 12 November, 2001, UBS agrees to purchase a two-week GBP/USD double no-touch option and pays a premium. If the spot rate remains below the upper trigger rate and above the lower trigger rate at all times until expiry, UBS receives a payout.
Chase sends a RequestTradeConfirmation message to DB with the details of the confirmation.
File: fx-ex20-avg-rate-option-parametric.xml
On 16 August, 2001, DB agrees to purchase an average rate option from Chase and pays a premium. The terms of the contract are:
Chase sends a TradeConfirmed message to DB with the details of the confirmation.
File: fx-ex21-avg-rate-option-parametric-plus-rate-observation.xml
This example is identical to Example 20. In addition, specific dates within the schedule have been specified for which rates have been observed.
Chase sends a RequestTradeConfirmation message to DB with the details of the confirmation.
File: fx-ex22-avg-rate-option-specific.xml
This example is identical to Example 20. Instead of using a parametric frequency (e.g., daily), each specific observation date has been specified. All weighting factors are 1.0, since all rates would be weighted evenly when the average rate is computed upon expiry.
Chase sends a RequestTradeConfirmation message to DB with the details of the confirmation.
File: fx-ex23-straddle.xml
On 20 November 2001, Chase agrees to purchase a straddle from ABN Amro. A straddle consists of buying a call and a put for the same currency pair, at the same strike price.
This contains two instances of the fxSimpleOption structure within strategy. Note that this is used when a single trade reference number is desired.
ABN Amro sends a RequestTradeConfirmation message to Chase with the details of the confirmation.
File: fx-ex24-delta-hedge.xml
On 4 December, 2001, Chase agrees to purchase an FX OTC European option from ABN Amro. At the same time, they agree to hedge their FX spot risk by doing a FX spot transaction. This is all part of a single trade strategy.
ABN Amro sends a TradeConfirmed message to Chase with the details of the confirmation.
File: td-ex01-simple-term-deposit.xml
ABN Amro pays 4% CHF fixed rate loan on ACT/360 basis a for 25 million Deposit from Midland starting February 14, 2002 and maturing February 15, 2002.
ABN Amro sends a TradeConfirmed message to Midland with the details of the confirmation.
File: td-ex02-term-deposit-w-settlement-etc.xml
ABN Amro pays 4% CHF fixed rate loan on ACT/360 basis a for 25 million Deposit from Midland starting February 14, 2002 and maturing February 15, 2002. This example also demonstrates setting explicit settlement instructions for each cash flow.
ABN Amro sends a TradeConfirmed message to Midland with the details of the confirmation.
File: dcd-ex01-dual-currency-deposit.xml
ABN Amro pays 8% USD fixed rate loan on ACT/360 basis for 1 million Deposit from Midland starting June-24-2008 and maturing July 24, 2008. The principal can be repaid after being converted into the JPY (alternative currency) at 109.48 strike rate at maturity (depending on the spot foreign exchange rate.) Quote: 109.48m 1-month JPY Put on 1m USD @ strike of 109.48
ABN Amro sends a TradeConfirmed message to Midland with the details of the confirmation.
Note: this Dual Currency Deposit in FpML 4.x is represented using the Strategy component in order to bundle an instance of fxSimpleOption and termDeposit.
This section contains examples of FpML trades for Equity Options products. Each example illustrates how different product features are modeled in FpML.
The sample xml documents are available for download from the fpml.org website.
File: eqd-ex01-american-call-stock-long-form.xml
On 13 July, 2001, Party A and Party B agree to an equity option trade. The terms of the contract are:
File: eqd-ex02-calendar-spread-short-form.xml
On 13 July, 2001, Party A and Party B agree to an equity option trade. The terms of the contract are:
File: eqd-ex04-european-call-index-long-form.xml
On 4 September, 2001, Party A and Party B agree to an equity option trade. The terms of the contract are:
File: eqd-ex05-asian-long-form.xml
On 28 June, 2000, Party A and Party B agree to an equity option trade. The terms of the contract are:
This example shows a RequestTradeConfirmation message of this trade sent by Party A to Party B.
File: eqd-ex06-averaging-in-long-form.xml
A RequestTradeConfirmation message of an averaging long form equity option.
File: eqd-ex07-barrier-knockout-rebate-long-form.xml
A TradeConfirmed message of an European Call on Eurostoxx 50 Index traded on 1 July 2002.
File: eqd-ex08-basket-long-form.xml
A RequestTradeConfirmation message of an European call option on a basket of stocks.
File: eqd-ex09-bermuda-long-form.xml
This example shows a TradeConfirmed message of a bermuda long form equity option trade.
File: eqd-ex10-binary-barrier-long-form.xml
This example shows a RequestTradeConfirmation message of a binary barrier long form equity option trade.
A European Call on S&P500 Index trade 25 March 2002:
File: eqd-ex20-nested-basket.xml
An example illustrating a nested basket underlyer.
File: eqd-ex21-flat-weight-basket.xml
An example illustrating flat basket weights.
File: eqd-ex22-equityOptionTransactionSupplement-index-option-asian-dates.xml
An example illustrating asian dates.
File: eqd-ex23-equityOptionTransactionSupplement-index-option-cliquet.xml
An example illustrating cliquet.
File: eqd-ex24-equityOptionTransactionSupplement-index-option-asian-schedule.xml
An example illustrating Asian schedule.
File: eqd-ex25-equityOptionTransactionSupplement-index-option-knock-in-knock-out-features.xml
An example illustrating Knock-In-Knock-Out Features.
File: eqd-ex26-mixed-asset-basket.xml
An example illustrating mixed basket underlyer.
File: eqd-ex-27-equityOptionTransactionSupplement-EMEA-interdealer.xml
An example illustrating EMEA EM (Interdealer) MCA with Foreign Ownership Event as additional disruption event.
This section contains examples of FpML trades for Bond and Convertible Bond products. Each example illustrates how different product features are modeled in FpML.
The sample xml documents are available for download from the fpml.org website.
This section contains example FpML trades for Equity Swaps, including Total Return Swaps. Each example illustrates how different product features are modeled in FpML.
The sample xml documents are available for download from the fpml.org website.
File: eqs-ex01-single-underlyer-execution-long-form.xml
On 24th September, 2002, Party A and Party B agree to an equity swap trade. The terms of the contract are:
Party A sends a RequestTradeConfirmation message to Party B with the details of the agreement.
File: eqs-ex02-composite-basket-long-form.xml
On 17th July, 2002, Party A and Party B agree to an equity swap trade. The terms of the contract are:
Party A sends a TradeConfirmed message to Party B with the details of the agreement.
File: eqs-ex03-index-quanto-long-form.xml
On 19th July, 2002, Party A and Party B agree to an equity swap trade. The terms of the contract are:
Party A sends a RequestTradeConfirmation message to Party B with the details of the agreement.
File: eqs-ex04-zero-strike-long-form.xml
On 17th October, 2002, Party A and Party B agree to an equity swap trade. The terms of the contract are:
Party A sends a TradeConfirmed message to Party B with the details of the agreement.
File: eqs-ex05-single-stock-plus-fee-long-form.xml
On 10th September, 2002, Party A and Party B agree to an equity swap trade. The terms of the contract are:
Party A sends a RequestTradeConfirmation message to Party B with the details of the agreement.
File: eqs-ex06-single-index-long-form.xml
Party A sends a TradeConfirmed message to Party B with the details of the agreement.
File: eqs-ex07-long-form-with-stub.xml
On 17th July, 2002, Party A and Party B agree to an equity swap trade. The terms of the contract are:
Party A sends a TradeConfirmed message to Party B with the details of the agreement.
File: eqs-ex08-composite-basket-long-form-separate-spreads.xml
Party A sends a RequestTradeConfirmation message to Party B with the details of the agreement.
The deal needs to be updated on/after the strike date to add Initial Price and Equity Notional numeric values:
File: eqs-ex15-forward-starting-pre-european-interdealer-share-swap-short-form.xml
The deal needs is updated on/after the strike date - add Initial Price and replaced Equity Notional determination method with Equity Notional numeric values:
File: eqs-ex16-forward-starting-post-european-interdealer-share-swap-short-form.xml
The Markit IOS is a synthetic total return swap index referencing the interest component of 30-year fixed-rate Fannie Mae residential mortgage pools
File: trs-ex04-index-ios.xml
This section contains example FpML trades for Equity Forwards. Each example illustrates how different product features are modeled in FpML.
The sample xml documents are available for download from the fpml.org website.
File: eqf-ex01-forward-stock-long-form.xml
TradeCancelled message of an Equity Forward Stock Long Form trade.
This section contains example FpML transactions for Variance Swaps and Options. Each example illustrates how different product features are modeled in FpML.
The sample xml documents are available for download from the fpml.org website.
This section contains example FpML trades for Correlation Swaps. Each example illustrates how different product features are modeled in FpML.
The sample xml documents are available for download from the fpml.org website.
This section contains examples of FpML transactions for Dividend Swap product. Each example illustrates how different product features are modeled in FpML.
The sample xml documents are available for download from the fpml.org website.
This section contains example FpML trades for securities.
This section contains examples of FpML trades for Commodity Derivative products. Each example illustrates how different product features are modeled in FpML.
The sample xml documents are available for download from the fpml.org website.
FpML File: com-ex1-gas-swap-daily-delivery-prices-last.xml
ISDA Confirm: com-ex1-gas-swap-daily-delivery-prices-last-day.pdf
27 June 06: Party A buys from Party B a July '06 floating swap on Henry Hub Nymex at USD 6.2950/MMBTU for 2,500 MMBTU/cal day. The terms of the agreement are:
Assumptions made regarding the contractual relationship between the parties for the purpose of this example only:
FpML File: com-ex2-gas-swap-prices-first-day.xml
ISDA Confirm: com-ex2-gas-swap-prices-first-day.pdf
26 June 06: Party A buys from Party B a September '06 floating swap on CGPR AECO C/NIT (US$/MMBTU) at USD 5.55/MMBTU for 5,000 MMBTU. The terms of the agreement are:
Assumptions made regarding the contractual relationship between the parties for the purpose of this example only:
FpML File: com-ex2-gas-swap-prices-first-day.xml
ISDA Confirm: com-ex3-gas-swap-prices-last-three-days.pdf
24 August 06: Party A buys from Party B a cal '09 floating swap on Henry Hub Nymex at USD 9.64/MMBTU for 5,000 MMBTU/cal day. The terms of the agreement are:
Assumptions made regarding the contractual relationship between the parties for the purpose of this example only:
FpML File: com-ex4-electricity-swap-hourly-off-peak.xml
ISDA Confirm: com-ex4-electricity-swap-hourly-off-peak.pdf
FpML File: com-ex5-gas-v-electricity-spark-spread.xml
ISDA Confirm: com-ex5-gas-v-electricity-spark-spread.pdf
FpML File: com-ex6-gas-call-option.xml
ISDA Confirm: com-ex6-gas-call-option.pdf
FpML File: com-ex7-gas-put-option.xml
ISDA Confirm: com-ex7-gas-put-option.pdf
FpML File: com-ex8-oil-call-option-strip.xml
ISDA Confirm: com-ex8-oil-call-option-strip.pdf
FpML File: com-ex10-physical-oil-pipeline-crude-wti-floating-price.xml
ISDA Confirm: com-ex10-physical-oil-pipeline-crude-wti-floating-price (ISDA or LEAP).pdf
FpML File: com-ex11-physical-oil-pipeline-heating-oil-fixed-price.xml
ISDA Confirm: com-ex11-physical-oil-pipeline-heating-oil-fixed-price (ISDA or LEAP).pdf
FpML File: com-ex12-physical-gas-europe-zbt-fixed-price.xml
ISDA Confirm: com-ex12-physical-gas-europe-zbt-fixed-price (ISDA).pdf
FpML File: com-ex13-physical-gas-us-tw-west-texas-pool-floating-price-4-days.xml
ISDA Confirm: com-ex13-physical-gas-us-tw-west-texas-pool-floating-price-4-days (ISDA).pdf
FpML File: com-ex14-physical-gas-europe-ttf-fixed-price.xml
ISDA Confirm: com-ex14-physical-gas-europe-ttf-fixed-price (EFET).pdf
FpML File: com-ex15-physical-oil-pipeline-crude-wcs-fixed-price.xml
ISDA Confirm: com-ex15-physical-oil-pipeline-crude-wcs-fixed-price (other docs).pdf
FpML File: com-ex16-physical-power-us-eei-floating-price.xml
ISDA Confirm: com-ex16-physical-power-us-eei-floating-price.pdf
FpML File: com-ex17-physical-power-uk-gtma-fixed-price.xml
ISDA Confirm: com-ex17-physical-power-uk-gtma-fixed-price.pdf
FpML File: com-ex18-physical-power-us-eei-fixed-price-shaped-volume.xml
ISDA Confirm: com-ex18-physical-power-us-eei-fixed-price-shaped-volume.pdf
FpML File: com-ex20-physical-coal-us-fixed-price.xml
FpML File: com-ex20-physical-coal-us-fixed-price.pdf
FpML File: com-ex21-physical-power-us-eei-fixed-price-shaped-volume-and-price.xml
FpML File: com-ex21-physical-power-us-eei-fixed-price-shaped-volume-and-price.pdf
FpML File: com-ex22-physical-gas-option-multiple-expiration.xml
ISDA Confirm: com-ex22-physical-gas-option-multiple-expiration.pdf
FpML File: com-ex23-physical-power-option-daily-expiration-efet.xml
EFET Confirm: com-ex23-physical-power-option-daily-expiration-efet.pdf
FpML File: com-ex24-weather-index-swap.xml
Confirm: com-ex24-CDD-weather-index-swap.pdf
FpML File: com-ex26-physical-metal-forward.xml
Confirm: com-ex26-physical-metal-forward.pdf
FpML File: com-ex27-wti-put-option-asian-listedoption-date.xml
Calendar Source will allow the description of price observations based on a related product calendar.
e.g. Calendar of the WTI NYMEX Listed Option which is based on the WTI NYMEX Futures contract as defined by OIL-WTI-NYMEX.
Alternately, we can not list the calendarSource or explicitly describe the pricing dates to be based off the futures contract with: Future
FpML File: com-ex28-gas-swap-daily-delivery-prices-option-last.xml
Calendar Source will allow the description of price observations based on a related product calendar.
e.g. Calendar of the Henry Hub NAT GAS Listed Option which is based on the NYMEX NAT GAS Futures contract as defined by NATURAL GAS-HENRY HUB-NYMEX.
FpML File: com-ex29-physical-eu-emissions-option.xml
FpML File: com-ex30-physical-eu-emissions-forward.xml
FpML File: com-ex31-physical-us-emissions-option.xml
FpML File: com-ex32-CPD-weather-option.xml
Confirm: com-ex32-CPD-weather-option.pdf
FpML File: com-ex34-gas-put-option-european-floating-strike.xml
Confirm: com-ex34-gas-put-option-european-floating-strike.pdf
FpML File: com-ex36-gas-call-option-european-spread-negative-premium-floating-strike.xml
Confirm: com-ex36-gas-call-option-european-spread-negative-premium-floating-strike.pdf
FpML File: com-ex37-gold-forward-offered-rate.xml
Gold Metal Lease Interest Rate Swap
Lease will be on 100ozt of Gold for a period of one year
Quarterly Calculations
Fixed Rate of -0.01%
Floating rate of 3 Month Libor - GOFO
Representation is 3 Month Libor vs. GOFO - 0.01%
FpML File: WIP