complexType "Variance"
Namespace:
http://www.fpml.org/FpML-5/confirmation
Content:
complex, 13 elements
Defined:
globally in fpml-eq-shared-5-8.xsd; see XML source
Includes:
definitions of 8 elements
Used:
at 1 location
Content Model Diagram
XML Representation Summary
<...>
   
Content: 
</...>
Content Model Elements (13):
All Direct / Indirect Based Elements (1):
variance
Known Usage Locations
Annotation
A type describing the variance amount of a variance swap.
Type Definition Detail
Type Derivation Tree
CalculationFromObservation (extension)
  Variance
XML Source (w/o annotations (8); see within schema source)
<xsd:complexType name="Variance">
<xsd:complexContent>
<xsd:extension base="CalculationFromObservation">
<xsd:sequence>
<xsd:element name="varianceAmount" type="NonNegativeMoney"/>
<xsd:choice>
<xsd:element name="volatilityStrikePrice" type="NonNegativeDecimal"/>
<xsd:element name="varianceStrikePrice" type="NonNegativeDecimal"/>
</xsd:choice>
<xsd:element minOccurs="0" name="varianceCap" type="xsd:boolean"/>
<xsd:element minOccurs="0" name="unadjustedVarianceCap" type="PositiveDecimal"/>
<xsd:element minOccurs="0" name="boundedVariance" type="BoundedVariance"/>
<xsd:element minOccurs="0" name="exchangeTradedContractNearest" type="ExchangeTradedContract"/>
<xsd:element minOccurs="0" name="vegaNotionalAmount" type="xsd:decimal"/>
</xsd:sequence>
</xsd:extension>
</xsd:complexContent>
</xsd:complexType>
Content Element Detail (all declarations; defined within this component only; 8/13)
boundedVariance
Type:
BoundedVariance, complex content
Conditions which bound variance. The contract specifies one or more boundary levels. These levels are expressed as prices for confirmation purposes Underlyer price must be equal to or higher than Lower Barrier is known as Up Conditional Swap Underlyer price must be equal to or lower than Upper Barrier is known as Down Conditional Swap Underlyer price must be equal to or higher than Lower Barrier and must be equal to or lower than Upper Barrier is known as Barrier Conditional Swap.
XML Source (w/o annotations (1); see within schema source)
<xsd:element minOccurs="0" name="boundedVariance" type="BoundedVariance"/>
exchangeTradedContractNearest
Type:
ExchangeTradedContract, complex content
Specification of the exchange traded contract nearest.
XML Source (w/o annotations (1); see within schema source)
<xsd:element minOccurs="0" name="exchangeTradedContractNearest" type="ExchangeTradedContract"/>
unadjustedVarianceCap
Type:
PositiveDecimal, simple content
For use when varianceCap is applicable. Contains the scaling factor of the Variance Cap that can differ on a trade-by-trade basis in the European market. For example, a Variance Cap of 2.5^2 x Variance Strike Price has an unadjustedVarianceCap of 2.5.
Simple Content
xsd:decimal
minExclusive:
0
XML Source (w/o annotations (1); see within schema source)
<xsd:element minOccurs="0" name="unadjustedVarianceCap" type="PositiveDecimal"/>
varianceAmount
Type:
NonNegativeMoney, complex content
Variance amount, which is a cash multiplier.
XML Source (w/o annotations (1); see within schema source)
<xsd:element name="varianceAmount" type="NonNegativeMoney"/>
varianceCap
Type:
xsd:boolean, predefined, simple content
If present and true, then variance cap is applicable.
XML Source (w/o annotations (1); see within schema source)
<xsd:element minOccurs="0" name="varianceCap" type="xsd:boolean"/>
varianceStrikePrice
Type:
NonNegativeDecimal, simple content
Simple Content
xsd:decimal
minInclusive:
0
XML Source (see within schema source)
<xsd:element name="varianceStrikePrice" type="NonNegativeDecimal"/>
vegaNotionalAmount
Type:
xsd:decimal, predefined, simple content
Vega Notional represents the approximate gain/loss at maturity for a 1% difference between RVol (realised vol) and KVol (strike vol). It does not necessarily represent the Vega Risk of the trade.
XML Source (w/o annotations (1); see within schema source)
<xsd:element minOccurs="0" name="vegaNotionalAmount" type="xsd:decimal"/>
volatilityStrikePrice
Type:
NonNegativeDecimal, simple content
Simple Content
xsd:decimal
minInclusive:
0
XML Source (see within schema source)
<xsd:element name="volatilityStrikePrice" type="NonNegativeDecimal"/>
XML schema documentation generated with DocFlex/XML 1.9.0 using DocFlex/XML XSDDoc 2.8.0 template set. All content model diagrams generated by Altova XMLSpy via DocFlex/XML XMLSpy Integration.