XML Schema "fpml-eq-shared-5-8.xsd"
Target Namespace:
http://www.fpml.org/FpML-5/confirmation
Version:
$Revision: 11651 $
Defined Components:
elements (4 global + 207 local), complexTypes (52), element groups (7)
Default Namespace-Qualified Form:
Local Elements: qualified; Local Attributes: unqualified
Schema Location:
D:\Tradeheader\trunk\xml\confirmation\fpml-eq-shared-5-8.xsd; see XML source
Includes Schemas (1):
fpml-option-shared-5-8.xsd [src]
Included in Schemas (4):
fpml-correlation-swaps-5-8.xsd [src], fpml-eqd-5-8.xsd [src], fpml-generic-5-8.xsd [src], fpml-return-swaps-5-8.xsd [src]
All Element Summary
additionalAcknowledgements
If true, then additional acknowledgements are applicable.
Type:
xsd:boolean
Content:
simple
Defined:
locally within Representations complexType; see XML source
additionalDisruptionEvents
ISDA 2002 Equity Additional Disruption Events.
Type:
Content:
complex, 11 elements
Defined:
locally within ExtraordinaryEvents complexType; see XML source
additionalDividends
If present and true, then additional dividends are applicable.
Type:
xsd:boolean
Content:
simple
Defined:
additionalPayment (defined in NettedSwapBase complexType)
Specifies additional payment(s) between the principal parties to the netted swap.
Type:
Content:
complex, 1 attribute, 7 elements
Defined:
locally within NettedSwapBase complexType; see XML source
additionalPayment (defined in ReturnSwapBase complexType)
Specifies additional payment(s) between the principal parties to the trade.
Type:
Content:
complex, 1 attribute, 7 elements
Defined:
locally within ReturnSwapBase complexType; see XML source
additionalPaymentAmount
Specifies the amount of the fee along with, when applicable, the formula that supports its determination.
Type:
Content:
complex, 2 elements
Defined:
additionalPaymentDate
Specifies the value date of the fee payment/receipt.
Type:
Content:
complex, 1 attribute, 2 elements
Defined:
adjustableDate (defined in DividendPaymentDate complexType)
A date that shall be subject to adjustment if it would otherwise fall on a day that is not a business day in the specified business centers, together with the convention for adjusting the date.
Type:
Content:
complex, 1 attribute, 3 elements
Defined:
locally within DividendPaymentDate complexType; see XML source
adjustableDate (in startingDate in earlyTermination in returnSwap)
Date from which early termination clause can be exercised.
Type:
Content:
complex, 1 attribute, 3 elements
Defined:
locally within StartingDate complexType; see XML source
adjustableDate (in valuationDate defined in EquityValuation complexType)
A date that shall be subject to adjustment if it would otherwise fall on a day that is not a business day in the specified business centers, together with the convention for adjusting the date.
Type:
Content:
complex, 1 attribute, 3 elements
Defined:
agreementsRegardingHedging
If true, then agreements regarding hedging are applicable.
Type:
xsd:boolean
Content:
simple
Defined:
locally within Representations complexType; see XML source
allDividends
Represents the European Master Confirmation value of 'All Dividends' which, when applicable, signifies that, for a given Ex-Date, the daily observed Share Price for that day is adjusted (reduced) by the cash dividend and/or the cash value of any non cash dividend per Share (including Extraordinary Dividends) declared by the Issuer.
Type:
xsd:boolean
Content:
simple
Defined:
amount (in returnLeg)
Specifies, in relation to each Payment Date, the amount to which the Payment Date relates.
Type:
Content:
complex, 11 elements
Defined:
locally within ReturnLeg complexType; see XML source
amountRelativeTo (in principalExchangeAmount in principalExchangeDescriptions)
Reference to an amount defined elsewhere in the document.
Type:
Content:
empty, 1 attribute
Defined:
asian (in feature defined in Feature.model group)
An option where and average price is taken on valuation.
Type:
Content:
complex, 4 elements
Defined:
locally within OptionFeatures complexType; see XML source
averagingDates
Averaging Dates used in the swap.
Type:
Content:
complex, 4 elements
Defined:
locally within ReturnLeg complexType; see XML source
barrier (in feature defined in Feature.model group)
An option with a barrier feature.
Type:
Content:
complex, 2 elements
Defined:
locally within OptionFeatures complexType; see XML source
boundedCorrelation
Bounded Correlation.
Type:
Content:
complex, 2 elements
Defined:
locally within Correlation complexType; see XML source
boundedVariance
Conditions which bound variance.
Type:
Content:
complex, 4 elements
Defined:
locally within Variance complexType; see XML source
breakFeeElection
Defines the fee type.
Type:
Content:
simple
Defined:
breakFeeRate
Type:
Content:
simple
Defined:
breakFundingRecovery
A Boolean element used for specifying whether the Break Funding Recovery detailed in the agreement will apply.
Type:
xsd:boolean
Content:
simple
Defined:
calculationDates (defined in CalculatedAmount complexType)
Specifies the date on which a calculation or an observation will be performed for the purpose of calculating the amount.
Type:
Content:
complex, 1 attribute, 3 elements
Defined:
locally within CalculatedAmount complexType; see XML source
calculationDates (defined in LegAmount complexType)
Specifies the date on which a calculation or an observation will be performed for the purpose of defining the Equity Amount, and in accordance to the definition terms of this latter.
Type:
Content:
complex, 1 attribute, 3 elements
Defined:
locally within LegAmount complexType; see XML source
calculationPeriodDatesReference (in interestLegResetDates)
A pointer style reference to the associated calculation period dates component defined elsewhere in the document.
Type:
Content:
empty, 1 attribute
Defined:
locally within InterestLegResetDates complexType; see XML source
cashSettlement (in amount in returnLeg)
If true, then cash settlement is applicable.
Type:
xsd:boolean
Content:
simple
Defined:
locally within ReturnSwapAmount complexType; see XML source
changeInLaw
If true, then change in law is applicable.
Type:
xsd:boolean
Content:
simple
Defined:
closingLevel
If true this contract will strike off the closing level of the default exchange traded contract.
Type:
xsd:boolean
Content:
simple
Defined:
componentSecurityIndexAnnexFallback
For an index option transaction, a flag to indicate whether a relevant Component Security Index Annex is applicable to the transaction.
Type:
xsd:boolean
Content:
simple
Defined:
compositionOfCombinedConsideration
If present and true, then composition of combined consideration is applicable.
Type:
xsd:boolean
Content:
simple
Defined:
locally within ExtraordinaryEvents complexType; see XML source
compounding (in interestCalculation)
Defines compounding rates on the Interest Leg.
Type:
Content:
complex, 4 elements
Defined:
locally within InterestCalculation complexType; see XML source
compoundingDates
Defines the compounding dates.
Type:
Content:
complex, 1 attribute, 3 elements
Defined:
locally within Compounding complexType; see XML source
compoundingMethod (in compounding in interestCalculation)
If more that one calculation period contributes to a single payment amount this element specifies whether compounding is applicable, and if so, what compounding method is to be used.
Type:
Content:
simple
Defined:
locally within Compounding complexType; see XML source
compoundingRate
Defines a compounding rate.
Type:
Content:
complex, 2 elements
Defined:
locally within Compounding complexType; see XML source
compoundingSpread
Defines the spread to be used for compounding.
Type:
xsd:decimal
Content:
simple
Defined:
locally within Compounding complexType; see XML source
correlationStrikePrice
Correlation Strike Price.
Type:
Content:
simple
Defined:
locally within Correlation complexType; see XML source
currency (defined in CurrencyAndDeterminationMethod.model group)
The currency in which an amount is denominated.
Type:
Content:
simple, 2 attributes
Defined:
currency (defined in EquityStrike complexType)
The currency in which an amount is denominated.
Type:
Content:
simple, 1 attribute
Defined:
locally within EquityStrike complexType; see XML source
currencyReference
Reference to a currency defined elsewhere in the document
Type:
Content:
empty, 1 attribute
Defined:
dateAdjustments (defined in DividendPeriod complexType)
Date adjustments for all unadjusted dates in this dividend period.
Type:
Content:
complex, 1 attribute, 3 elements
Defined:
locally within DividendPeriod complexType; see XML source
dateRelativeTo (in startingDate in earlyTermination in returnSwap)
Reference to a date defined elswhere in the document.
Type:
Content:
empty, 1 attribute
Defined:
locally within StartingDate complexType; see XML source
dayCountFraction (in interestCalculation)
The day count fraction.
Type:
Content:
simple, 1 attribute
Defined:
locally within InterestCalculation complexType; see XML source
daysInRangeAdjustment
The contract specifies whether the notional should be scaled by the Number of Days in Range divided by the Expected N.
Type:
xsd:boolean
Content:
simple
Defined:
locally within BoundedVariance complexType; see XML source
declaredCashDividendPercentage
Declared Cash Dividend Percentage.
Type:
Content:
simple
Defined:
declaredCashEquivalentDividendPercentage
Declared Cash Equivalent Dividend Percentage.
Type:
Content:
simple
Defined:
delisting
The term "Delisting" has the meaning defined in the ISDA 2002 Equity Derivatives Definitions.
Type:
Content:
simple
Defined:
locally within ExtraordinaryEvents complexType; see XML source
determinationMethod (defined in CurrencyAndDeterminationMethod.model group)
Specifies the method according to which an amount or a date is determined.
Type:
Content:
simple, 2 attributes
Defined:
determinationMethod (defined in ReturnSwapNotional complexType)
Specifies the method according to which an amount or a date is determined.
Type:
Content:
simple, 2 attributes
Defined:
locally within ReturnSwapNotional complexType; see XML source
determinationMethod (in principalExchangeAmount in principalExchangeDescriptions)
Specifies the method according to which an amount or a date is determined.
Type:
Content:
simple, 2 attributes
Defined:
determiningPartyReference
A reference to the party which determines additional disruption events.
Type:
Content:
empty, 1 attribute
Defined:
dividend
Expected dividend in this period.
Type:
Content:
complex, 1 attribute, 2 elements
Defined:
locally within DividendPeriodDividend complexType; see XML source
dividendAdjustment
Dividend adjustment of the contract is driven by the difference between the Expected Dividend, and the Actual Dividend, which is multiplied by an agreed Factor to produce a Deviation, which is used as the basis for adjusting the contract.
Type:
Content:
complex, 1 element
Defined:
locally within OptionFeatures complexType; see XML source
dividendAmount
Type:
Content:
simple
Defined:
locally within DividendConditions complexType; see XML source
dividendComposition
Defines how the composition of Dividends is to be determined.
Type:
Content:
simple
Defined:
locally within DividendConditions complexType; see XML source
dividendConditions (in return)
Specifies the conditions governing the payment of the dividends to the receiver of the equity return.
Type:
Content:
complex, 20 elements
Defined:
locally within Return complexType; see XML source
dividendDateReference
Specification of the dividend date using an enumeration, with values such as the pay date, the ex date or the record date.
Type:
Content:
simple
Defined:
locally within DividendPaymentDate complexType; see XML source
dividendEntitlement
Defines the date on which the receiver on the equity return is entitled to the dividend.
Type:
Content:
simple
Defined:
locally within DividendConditions complexType; see XML source
dividendFxTriggerDate
Specifies the date on which the FX rate will be considered in the case of a Composite FX swap.
Type:
Content:
complex, 3 elements
Defined:
locally within DividendConditions complexType; see XML source
dividendPaymentDate
Specifies when the dividend will be paid to the receiver of the equity return.
Type:
Content:
complex, 3 elements
Defined:
locally within DividendConditions complexType; see XML source
dividendPeriod (defined in DividendConditions complexType)
Defines the First Period or the Second Period, as defined in the 2002 ISDA Equity Derivatives Definitions.
Type:
Content:
simple
Defined:
locally within DividendConditions complexType; see XML source
dividendPeriod (in dividendAdjustment)
A single Dividend Adjustment Period.
Type:
Content:
complex, 1 attribute, 6 elements
Defined:
locally within DividendAdjustment complexType; see XML source
dividendPeriodEffectiveDate
Dividend period has the meaning as defined in the ISDA 2002 Equity Derivatives Definitions.
Type:
Content:
empty, 1 attribute
Defined:
locally within DividendConditions complexType; see XML source
dividendPeriodEndDate
Dividend period has the meaning as defined in the ISDA 2002 Equity Derivatives Definitions.
Type:
Content:
empty, 1 attribute
Defined:
locally within DividendConditions complexType; see XML source
dividendReinvestment
Boolean element that defines whether the dividend will be reinvested or not.
Type:
xsd:boolean
Content:
simple
Defined:
locally within DividendConditions complexType; see XML source
dividendValuationDates
Specifies the dividend valuation dates of the swap.
Type:
Content:
complex, 1 attribute, 3 elements
Defined:
locally within EquityValuation complexType; see XML source
earlyTermination (in returnSwap)
Specifies, for one or for both the parties to the trade, the date from which it can early terminate it.
Type:
Content:
complex, 2 elements
Defined:
locally within ReturnSwap complexType; see XML source
effectiveDate (in interestLegCalculationPeriodDates)
Specifies the effective date of the return swap.
Type:
Content:
complex, 1 attribute, 2 elements
Defined:
encodedDescription
Description of the leg amount when represented through an encoded image.
Type:
xsd:base64Binary
Content:
simple
Defined:
locally within LegAmount complexType; see XML source
excessDividendAmount
Determination of Gross Cash Dividend per Share.
Type:
Content:
simple
Defined:
locally within DividendConditions complexType; see XML source
exchangeTradedContractNearest (in rateOfReturn)
References a Contract on the Exchange.
Type:
Content:
complex, 1 attribute, 12 elements
Defined:
locally within ReturnLegValuation complexType; see XML source
exchangeTradedContractNearest (in variance)
Specification of the exchange traded contract nearest.
Type:
Content:
complex, 1 attribute, 12 elements
Defined:
locally within Variance complexType; see XML source
expectedN
Expected number of trading days.
Type:
xsd:positiveInteger
Content:
simple
Defined:
expiringLevel
If true this contract will strike off the expiring level of the default exchange traded contract.
Type:
xsd:boolean
Content:
simple
Defined:
extraOrdinaryDividends
Reference to the party which determines if dividends are extraordinary in relation to normal levels.
Type:
Content:
empty, 1 attribute
Defined:
locally within DividendConditions complexType; see XML source
extraordinaryEvents (defined in NettedSwapBase complexType)
Where the underlying is shares, specifies events affecting the issuer of those shares that may require the terms of the transaction to be adjusted.
Type:
Content:
complex, 13 elements
Defined:
locally within NettedSwapBase complexType; see XML source
extraordinaryEvents (in returnSwap)
Where the underlying is shares, specifies events affecting the issuer of those shares that may require the terms of the transaction to be adjusted.
Type:
Content:
complex, 13 elements
Defined:
locally within ReturnSwap complexType; see XML source
failureToDeliver (defined in ExtraordinaryEvents complexType)
If true, failure to deliver is applicable.
Type:
xsd:boolean
Content:
simple
Defined:
locally within ExtraordinaryEvents complexType; see XML source
failureToDeliver (in additionalDisruptionEvents)
Where the underlying is shares and the transaction is physically settled, then, if true, a failure to deliver the shares on the settlement date will not be an event of default for the purposes of the master agreement.
Type:
xsd:boolean
Content:
simple
Defined:
feature (defined in Feature.model group)
Asian, Barrier, Knock and Pass Through features.
Type:
Content:
complex, 5 elements
Defined:
locally within Feature.model group; see XML source
finalStub (in stubCalculationPeriod)
Type:
Content:
complex, 5 elements
Defined:
locally within StubCalculationPeriod complexType; see XML source
finalStub (in stubCalculationPeriod)
Type:
Content:
complex, 5 elements
Defined:
locally within StubCalculationPeriod complexType; see XML source
fixingDates (in interestLegResetDates)
Specifies the fixing date relative to the reset date in terms of a business days offset, or by providing a series of adjustable dates.
Type:
Content:
complex, 2 elements
Defined:
locally within InterestLegResetDates complexType; see XML source
foreignOwnershipEvent
If true, then foreign ownership event is applicable.
Type:
xsd:boolean
Content:
simple
Defined:
formula (defined in LegAmount complexType)
Specifies a formula, with its description and components.
Type:
Content:
complex, 3 elements
Defined:
locally within LegAmount complexType; see XML source
formula (in additionalPaymentAmount)
Specifies a formula, with its description and components.
Type:
Content:
complex, 3 elements
Defined:
fPVFinalPriceElectionFallback
Specifies the fallback provisions for Hedging Party in the determination of the Final Price.
Type:
Content:
simple
Defined:
locally within EquityValuation complexType; see XML source
futuresPriceValuation
The official settlement price as announced by the related exchange is applicable, in accordance with the ISDA 2002 definitions.
Type:
xsd:boolean
Content:
simple
Defined:
locally within EquityValuation complexType; see XML source
fxFeature (defined in DirectionalLegUnderlyer complexType)
Quanto, Composite, or Cross Currency FX features.
Type:
Content:
complex, 4 elements
Defined:
fxFeature (defined in Feature.model group)
Quanto, Composite, or Cross Currency FX features.
Type:
Content:
complex, 4 elements
Defined:
locally within Feature.model group; see XML source
fxFeature (in returnLeg)
A quanto or composite FX feature.
Type:
Content:
complex, 4 elements
Defined:
locally within ReturnLeg complexType; see XML source
hedgingDisruption
If true, then hedging disruption is applicable.
Type:
xsd:boolean
Content:
simple
Defined:
increasedCostOfHedging
If true, then increased cost of hedging is applicable.
Type:
xsd:boolean
Content:
simple
Defined:
indexAdjustmentEvents
ISDA 2002 Equity Index Adjustment Events.
Type:
Content:
complex, 3 elements
Defined:
locally within ExtraordinaryEvents complexType; see XML source
indexCancellation
Consequence of index cancellation.
Type:
Content:
simple
Defined:
locally within IndexAdjustmentEvents complexType; see XML source
indexDisclaimer
If present and true, then index disclaimer is applicable.
Type:
xsd:boolean
Content:
simple
Defined:
locally within Representations complexType; see XML source
indexDisruption
Consequence of index disruption.
Type:
Content:
simple
Defined:
locally within IndexAdjustmentEvents complexType; see XML source
indexModification
Consequence of index modification.
Type:
Content:
simple
Defined:
locally within IndexAdjustmentEvents complexType; see XML source
initialFixingDate (in interestLegResetDates)
Initial fixing date expressed as an offset to another date defined elsewhere in the document.
Type:
Content:
complex, 1 attribute, 8 elements
Defined:
locally within InterestLegResetDates complexType; see XML source
initialLevel
Contract will strike off this initial level.
Type:
xsd:decimal
Content:
simple
Defined:
initialLevelSource
Specifies whether the Initial Index Level should be the Closing Price Level, the Expiring Contract Level, VWAPPrice, TWAPPrice, NAV or Open Price.
Type:
Content:
simple, 2 attributes
Defined:
initialPrice (in rateOfReturn)
Specifies the initial reference price of the underlyer.
Type:
Content:
complex, 10 elements
Defined:
locally within ReturnLegValuation complexType; see XML source
initialStub (in stubCalculationPeriod)
Type:
Content:
complex, 5 elements
Defined:
locally within StubCalculationPeriod complexType; see XML source
insolvencyFiling
If true, then insolvency filing is applicable.
Type:
xsd:boolean
Content:
simple
Defined:
interestAccrualsMethod
Defines the way in which interests are accrued: the applicable rate (fixed or floating reference) and the compounding method.
Type:
Content:
complex, 3 elements
Defined:
locally within DividendConditions complexType; see XML source
interestAmount
Specifies, in relation to each Interest Payment Date, the amount to which the Interest Payment Date relates.
Type:
Content:
complex, 7 elements
Defined:
locally within InterestLeg complexType; see XML source
interestCalculation
Specifies the calculation method of the interest rate leg of the equity swap.
Type:
Content:
complex, 1 attribute, 6 elements
Defined:
locally within InterestLeg complexType; see XML source
interestLeg
The fixed income amounts of the return type swap.
Type:
Content:
complex, 1 attribute, 12 elements
Subst.Gr:
may substitute for element returnSwapLeg
Defined:
globally; see XML source
Used:
never
interestLegCalculationPeriodDates
Component that holds the various dates used to specify the interest leg of the equity swap.
Type:
Content:
complex, 1 attribute, 4 elements
Defined:
locally within InterestLeg complexType; see XML source
interestLegPaymentDates
Specifies the payment dates of the interest leg of the swap.
Type:
Content:
complex, 1 attribute, 3 elements
Defined:
interestLegRate
Reference to the floating rate calculation of interest calculation node on the Interest Leg.
Type:
Content:
empty, 1 attribute
Defined:
locally within CompoundingRate complexType; see XML source
interestLegResetDates
Specifies the reset dates of the interest leg of the swap.
Type:
Content:
complex, 5 elements
Defined:
interpolationMethod (in interestCalculation)
Specifies the type of interpolation used.
Type:
Content:
simple, 1 attribute
Defined:
locally within InterestCalculation complexType; see XML source
interpolationPeriod
Defines applicable periods for interpolation.
Type:
Content:
simple
Defined:
locally within InterestCalculation complexType; see XML source
knock (in feature defined in Feature.model group)
A knock feature.
Type:
Content:
complex, 2 elements
Defined:
locally within OptionFeatures complexType; see XML source
localJurisdiction (defined in EquityUnderlyerProvisions.model group)
Local Jurisdiction is a term used in the AEJ Master Confirmation, which is used to determine local taxes, which shall mean taxes, duties, and similar charges imposed by the taxing authority of the Local Jurisdiction If this element is not present Local Jurisdiction is Not Applicable.
Type:
Content:
simple, 1 attribute
Defined:
lowerBarrier
All observations below this price level will be excluded from the variance calculation.
Type:
Content:
simple
Defined:
locally within BoundedVariance complexType; see XML source
makeWholeDate
Date through which option can not be exercised without penalty.
Type:
xsd:date
Content:
simple
Defined:
locally within MakeWholeProvisions complexType; see XML source
maximumBoundaryPercent
Maximum Boundary as a percentage of the Strike Price.
Type:
xsd:decimal
Content:
simple
Defined:
locally within BoundedCorrelation complexType; see XML source
mergerEvents
Occurs when the underlying ceases to exist following a merger between the Issuer and another company.
Type:
Content:
complex, 3 elements
Defined:
locally within ExtraordinaryEvents complexType; see XML source
minimumBoundaryPercent
Minimum Boundary as a percentage of the Strike Price.
Type:
xsd:decimal
Content:
simple
Defined:
locally within BoundedCorrelation complexType; see XML source
multipleExchangeIndexAnnexFallback
For an index option transaction, a flag to indicate whether a relevant Multiple Exchange Index Annex is applicable to the transaction.
Type:
xsd:boolean
Content:
simple
Defined:
multiplier (in dividendPeriod in dividendAdjustment)
Multiplier is a percentage value which is used to produce Deviation by multiplying the difference between Expected Dividend and Actual Dividend Deviation = Multiplier * (Expected Dividend — Actual Dividend).
Type:
Content:
simple
Defined:
locally within DividendPeriodDividend complexType; see XML source
mutualEarlyTermination
Used for specifying whether the Mutual Early Termination Right that is detailed in the Master Confirmation will apply.
Type:
xsd:boolean
Content:
simple
Defined:
nationalisationOrInsolvency
The terms "Nationalisation" and "Insolvency" have the meaning as defined in the ISDA 2002 Equity Derivatives Definitions.
Type:
Content:
simple
Defined:
locally within ExtraordinaryEvents complexType; see XML source
nonCashDividendTreatment
Defines treatment of Non-Cash Dividends.
Type:
Content:
simple
Defined:
locally within DividendConditions complexType; see XML source
nonReliance (in representations)
If true, then non reliance is applicable.
Type:
xsd:boolean
Content:
simple
Defined:
locally within Representations complexType; see XML source
notional (in interestLeg)
Specifies the notional of a return type swap.
Type:
Content:
complex, 1 attribute, 4 elements
Defined:
locally within InterestLeg complexType; see XML source
notional (in returnLeg)
Specifies the notional of a return type swap.
Type:
Content:
complex, 1 attribute, 4 elements
Defined:
locally within ReturnLeg complexType; see XML source
notionalAdjustments
Specifies the conditions that govern the adjustment to the number of units of the return swap.
Type:
Content:
simple
Defined:
locally within ReturnLeg complexType; see XML source
notionalAmount (defined in ReturnSwapNotional complexType)
The notional amount.
Type:
Content:
complex, 1 attribute, 2 elements
Defined:
locally within ReturnSwapNotional complexType; see XML source
notionalAmount (in correlation)
Notional amount, which is a cash multiplier.
Type:
Content:
complex, 1 attribute, 2 elements
Defined:
locally within Correlation complexType; see XML source
notionalReset
For return swaps, this element is equivalent to the term "Equity Notional Reset" as defined in the ISDA 2002 Equity Derivatives Definitions.
Type:
xsd:boolean
Content:
simple
Defined:
locally within ReturnLegValuation complexType; see XML source
numberOfDataSeries
Number of data series, normal market practice is that correlation data sets are drawn from geographic market areas, such as America, Europe and Asia Pacific, each of these geographic areas will have its own data series to avoid contagion.
Type:
xsd:positiveInteger
Content:
simple
Defined:
locally within Correlation complexType; see XML source
numberOfIndexUnits
Defines the Number Of Index Units applicable to a Dividend.
Type:
Content:
simple
Defined:
locally within DividendConditions complexType; see XML source
numberOfValuationDates
The number of valuation dates between valuation start date and valuation end date.
Type:
xsd:nonNegativeInteger
Content:
simple
Defined:
locally within EquityValuation complexType; see XML source
observationStartDate (defined in CalculatedAmount complexType)
The start of the period over which observations are made which are used in the calculation Used when the observation start date differs from the trade date such as for forward starting swaps.
Type:
Content:
complex, 1 attribute, 2 elements
Defined:
locally within CalculatedAmount complexType; see XML source
optionalEarlyTermination (in equitySwapTransactionSupplement)
A Boolean element used for specifying whether the Optional Early Termination clause detailed in the agreement will apply.
Type:
xsd:boolean
Content:
simple
Defined:
optionalEarlyTerminationDate
Optional Early Termination Date
Type:
Content:
simple
Defined:
optionalEarlyTerminationElectingPartyReference
Optional Early Termination Electing Party Reference
Type:
Content:
empty, 1 attribute
Defined:
optionsExchangeDividends
If present and true, then options exchange dividends are applicable.
Type:
xsd:boolean
Content:
simple
Defined:
optionsPriceValuation
The official settlement price as announced by the related exchange is applicable, in accordance with the ISDA 2002 definitions.
Type:
xsd:boolean
Content:
simple
Defined:
locally within EquityValuation complexType; see XML source
partyReference (in earlyTermination in returnSwap)
Reference to a party defined elsewhere in this document which may be allowed to terminate the trade.
Type:
Content:
empty, 1 attribute
Defined:
passThrough (in feature defined in Feature.model group)
Pass through payments from the underlyer, such as dividends.
Type:
Content:
complex, 1 element
Defined:
locally within OptionFeatures complexType; see XML source
paymentAmount (defined in EquityPremium complexType)
The currency amount of the payment.
Type:
Content:
complex, 1 attribute, 2 elements
Defined:
locally within EquityPremium complexType; see XML source
paymentAmount (in additionalPaymentAmount)
The currency amount of the payment.
Type:
Content:
complex, 1 attribute, 2 elements
Defined:
paymentDate (defined in EquityPremium complexType)
The payment date.
Type:
Content:
complex, 1 attribute, 3 elements
Defined:
locally within EquityPremium complexType; see XML source
paymentDateFinal
Specifies the final payment date of the swap.
Type:
Content:
complex, 1 attribute, 2 elements
Defined:
locally within ReturnSwapPaymentDates complexType; see XML source
paymentDateOffset
Only to be used when SharePayment has been specified in the dividendDateReference element.
Type:
Content:
complex, 1 attribute, 3 elements
Defined:
locally within DividendPaymentDate complexType; see XML source
paymentDates (in rateOfReturn)
Specifies the payment dates of the swap.
Type:
Content:
complex, 1 attribute, 2 elements
Defined:
locally within ReturnLegValuation complexType; see XML source
paymentDatesInterim
Specifies the interim payment dates of the swap.
Type:
Content:
complex, 1 attribute, 2 elements
Defined:
locally within ReturnSwapPaymentDates complexType; see XML source
paymentType (in additionalPayment defined in ReturnSwapBase complexType)
Classification of the payment.
Type:
Content:
simple, 1 attribute
Defined:
percentageOfNotional (defined in EquityPremium complexType)
The amount of premium to be paid expressed as a percentage of the notional value of the transaction.
Type:
Content:
simple
Defined:
locally within EquityPremium complexType; see XML source
premiumType (defined in EquityPremium complexType)
Forward start Premium type
Type:
Content:
simple
Defined:
locally within EquityPremium complexType; see XML source
pricePerOption (defined in EquityPremium complexType)
The amount of premium to be paid expressed as a function of the number of options.
Type:
Content:
complex, 1 attribute, 2 elements
Defined:
locally within EquityPremium complexType; see XML source
principalAmount (in principalExchangeAmount in principalExchangeDescriptions)
Principal exchange amount when explictly stated.
Type:
Content:
complex, 1 attribute, 2 elements
Defined:
principalExchangeAmount (in principalExchangeDescriptions)
Specifies the principal echange amount, either by explicitly defining it, or by point to an amount defined somewhere else in the swap document.
Type:
Content:
complex, 3 elements
Defined:
principalExchangeDate
Date on which each of the principal exchanges will take place.
Type:
Content:
complex, 1 attribute, 2 elements
Defined:
principalExchangeDescriptions
Specifies each of the characteristics of the principal exchange cashflows, in terms of paying/receiving counterparties, amounts and dates.
Type:
Content:
complex, 6 elements
Defined:
principalExchangeFeatures
This is used to document a Fully Funded Return Swap.
Type:
Content:
complex, 2 elements
Defined:
locally within ReturnSwapBase complexType; see XML source
principalExchanges (in principalExchangeFeatures)
The true/false flags indicating whether initial, intermediate or final exchanges of principal should occur.
Type:
Content:
complex, 1 attribute, 3 elements
Defined:
rateOfReturn
Specifies the terms of the initial price of the return type swap and of the subsequent valuations of the underlyer.
Type:
Content:
complex, 6 elements
Defined:
locally within ReturnLeg complexType; see XML source
realisedVarianceMethod
The contract specifies whether which price must satisfy the boundary condition.
Type:
Content:
simple
Defined:
locally within BoundedVariance complexType; see XML source
recallSpread
Spread used if exercised before make whole date.
Type:
xsd:decimal
Content:
simple
Defined:
locally within MakeWholeProvisions complexType; see XML source
referenceAmount (defined in LegAmount complexType)
Specifies the reference Amount when this term either corresponds to the standard ISDA Definition (either the 2002 Equity Definition for the Equity Amount, or the 2000 Definition for the Interest Amount), or points to a term defined elsewhere in the swap document.
Type:
Content:
simple, 1 attribute
Defined:
locally within LegAmount complexType; see XML source
relativeDateSequence (in valuationDate defined in EquityValuation complexType)
A date specified in relation to some other date defined in the document (the anchor date), where there is the opportunity to specify a combination of offset rules.
Type:
Content:
complex, 4 elements
Defined:
relativeDeterminationMethod
A reference to the return swap notional determination method defined elsewhere in this document.
Type:
Content:
empty, 1 attribute
Defined:
locally within ReturnSwapNotional complexType; see XML source
relativeNotionalAmount
A reference to the return swap notional amount defined elsewhere in this document.
Type:
Content:
empty, 1 attribute
Defined:
locally within ReturnSwapNotional complexType; see XML source
relevantJurisdiction
Relevent Jurisdiction is a term used in the AEJ Master Confirmation, which is used to determine local taxes, which shall mean taxes, duties and similar charges that would be imposed by the taxing authority of the Country of Underlyer on a Hypothetical Broker Dealer assuming the Applicable Hedge Positions are held by its office in the Relevant Jurisdiction.
Type:
Content:
simple, 1 attribute
Defined:
representations
ISDA 2002 Equity Derivative Representations.
Type:
Content:
complex, 4 elements
Defined:
locally within ExtraordinaryEvents complexType; see XML source
resetFrequency (in interestLegResetDates)
The frequency at which reset dates occur.
Type:
Content:
complex, 1 attribute, 3 elements
Defined:
locally within InterestLegResetDates complexType; see XML source
resetRelativeTo (in interestLegResetDates)
Specifies whether the reset dates are determined with respect to each adjusted calculation period start date or adjusted calculation period end date.
Type:
Content:
simple
Defined:
locally within InterestLegResetDates complexType; see XML source
return
Specifies the conditions under which dividend affecting the underlyer will be paid to the receiver of the amounts.
Type:
Content:
complex, 2 elements
Defined:
locally within ReturnLeg complexType; see XML source
returnLeg
Return amounts of the return type swap.
Type:
Content:
complex, 1 attribute, 20 elements
Subst.Gr:
may substitute for element returnSwapLeg
Defined:
globally; see XML source
Used:
never
returnSwap
Specifies the structure of a return type swap.
Type:
Content:
complex, 1 attribute, 14 elements
Subst.Gr:
may substitute for element product
Defined:
globally; see XML source
Used:
never
returnSwapLeg
An placeholder for the actual Return Swap Leg definition.
Type:
Content:
complex, 1 attribute, 7 elements
Abstract:
(may not be used directly in instance XML documents)
Subst.Gr:
may be substituted with 2 elements
Defined:
globally; see XML source
Used:
returnType
Defines the type of return associated with the return swap.
Type:
Content:
simple
Defined:
locally within Return complexType; see XML source
shareForCombined
The consideration paid for the original shares following the Merger Event consists of both cash/securities and new shares.
Type:
Content:
simple
Defined:
locally within EquityCorporateEvents complexType; see XML source
shareForOther
The consideration paid for the original shares following the Merger Event consists wholly of cash/securities other than new shares.
Type:
Content:
simple
Defined:
locally within EquityCorporateEvents complexType; see XML source
shareForShare
The consideration paid for the original shares following the Merger Event consists wholly of new shares.
Type:
Content:
simple
Defined:
locally within EquityCorporateEvents complexType; see XML source
specialDividends (defined in DividendConditions complexType)
Specifies the method according to which special dividends are determined.
Type:
xsd:boolean
Content:
simple
Defined:
locally within DividendConditions complexType; see XML source
specificRate
Defines a specific rate.
Type:
Content:
complex, 2 elements
Defined:
locally within CompoundingRate complexType; see XML source
startingDate (in earlyTermination in returnSwap)
Specifies the date from which the early termination clause can be exercised.
Type:
Content:
complex, 2 elements
Defined:
strikeDate
Specifies the strike date of this leg of the swap, used for forward starting swaps.
Type:
Content:
complex, 1 attribute, 2 elements
Defined:
locally within ReturnSwapLegUnderlyer complexType; see XML source
strikeDeterminationDate
The date on which the strike is determined, where this is not the effective date of a forward starting option.
Type:
Content:
complex, 1 attribute, 2 elements
Defined:
locally within EquityStrike complexType; see XML source
strikePercentage (defined in EquityStrike complexType)
The price or level expressed as a percentage of the forward starting spot price.
Type:
xsd:decimal
Content:
simple
Defined:
locally within EquityStrike complexType; see XML source
strikePrice (defined in EquityStrike complexType)
The price or level at which the option has been struck.
Type:
xsd:decimal
Content:
simple
Defined:
locally within EquityStrike complexType; see XML source
stubCalculationPeriod
Specifies the stub calculation period.
Type:
Content:
complex, 3 elements
Defined:
locally within InterestLeg complexType; see XML source
swapPremium
Specifies whether or not the premium is to be paid in the style of payments under an interest rate swap contract.
Type:
xsd:boolean
Content:
simple
Defined:
locally within EquityPremium complexType; see XML source
tenderOffer
If present and true, then tender offer is applicable.
Type:
xsd:boolean
Content:
simple
Defined:
locally within ExtraordinaryEvents complexType; see XML source
tenderOfferEvents
ISDA 2002 Equity Tender Offer Events.
Type:
Content:
complex, 3 elements
Defined:
locally within ExtraordinaryEvents complexType; see XML source
terminationDate (in interestLegCalculationPeriodDates)
Specifies the termination date of the return swap.
Type:
Content:
complex, 1 attribute, 2 elements
Defined:
unadjustedEndDate (defined in DividendPeriod complexType)
Unadjusted inclusive dividend period end date.
Type:
Content:
simple, 1 attribute
Defined:
locally within DividendPeriod complexType; see XML source
unadjustedStartDate (defined in DividendPeriod complexType)
Unadjusted inclusive dividend period start date.
Type:
Content:
simple, 1 attribute
Defined:
locally within DividendPeriod complexType; see XML source
unadjustedVarianceCap
For use when varianceCap is applicable.
Type:
Content:
simple
Defined:
locally within Variance complexType; see XML source
underlyer (defined in DirectionalLegUnderlyer complexType)
Specifies the underlyer of the leg.
Type:
Content:
complex, 2 elements
Defined:
underlyer (in returnLeg)
Specifies the underlying component of the leg, which can be either one or many and consists in either equity, index or convertible bond component, or a combination of these.
Type:
Content:
complex, 2 elements
Defined:
locally within ReturnSwapLegUnderlyer complexType; see XML source
underlyerReference (defined in DividendPeriod complexType)
Reference to the underlyer which is paying dividends.
Type:
Content:
empty, 1 attribute
Defined:
locally within DividendPeriod complexType; see XML source
upperBarrier
All observations above this price level will be excluded from the variance calculation.
Type:
Content:
simple
Defined:
locally within BoundedVariance complexType; see XML source
valuation
Valuation of the underlyer.
Type:
Content:
complex, 1 attribute, 9 elements
Defined:
valuationDate (defined in EquityValuation complexType)
The term "Valuation Date" is assumed to have the meaning as defined in the ISDA 2002 Equity Derivatives Definitions.
Type:
Content:
complex, 1 attribute, 2 elements
Defined:
locally within EquityValuation complexType; see XML source
valuationDates (defined in EquityValuation complexType)
Specifies the interim equity valuation dates of a swap.
Type:
Content:
complex, 1 attribute, 3 elements
Defined:
locally within EquityValuation complexType; see XML source
valuationPriceFinal
Specifies the final valuation price of the underlyer.
Type:
Content:
complex, 10 elements
Defined:
locally within ReturnLegValuation complexType; see XML source
valuationPriceInterim
Specifies the final valuation price of the underlyer.
Type:
Content:
complex, 10 elements
Defined:
locally within ReturnLegValuation complexType; see XML source
valuationRules
Specifies valuation.
Type:
Content:
complex, 1 attribute, 9 elements
Defined:
valuationTime (defined in EquityValuation complexType)
The specific time of day at which the calculation agent values the underlying.
Type:
Content:
complex, 2 elements
Defined:
locally within EquityValuation complexType; see XML source
valuationTimeType
The time of day at which the calculation agent values the underlying, for example the official closing time of the exchange.
Type:
Content:
simple
Defined:
locally within EquityValuation complexType; see XML source
varianceAmount
Variance amount, which is a cash multiplier.
Type:
Content:
complex, 1 attribute, 2 elements
Defined:
locally within Variance complexType; see XML source
varianceCap
If present and true, then variance cap is applicable.
Type:
xsd:boolean
Content:
simple
Defined:
locally within Variance complexType; see XML source
varianceStrikePrice (in variance)
Type:
Content:
simple
Defined:
locally within Variance complexType; see XML source
vegaNotionalAmount
Vega Notional represents the approximate gain/loss at maturity for a 1% difference between RVol (realised vol) and KVol (strike vol).
Type:
xsd:decimal
Content:
simple
Defined:
locally within Variance complexType; see XML source
volatilityStrikePrice (in variance)
Type:
Content:
simple
Defined:
locally within Variance complexType; see XML source
Complex Type Summary
A type for defining ISDA 2002 Equity Derivative Additional Disruption Events.
Content:
complex, 11 elements
Defined:
globally; see XML source
Includes:
definitions of 7 elements
Used:
Specifies the amount of the fee along with, when applicable, the formula that supports its determination.
Content:
complex, 2 elements
Defined:
globally; see XML source
Includes:
definitions of 2 elements
Used:
A type describing a date defined as subject to adjustment or defined in reference to another date through one or several date offsets.
Content:
complex, 1 attribute, 2 elements
Defined:
globally; see XML source
Includes:
definitions of 1 attribute, 2 elements
Used:
A type describing correlation bounds, which form a cap and a floor on the realized correlation.
Content:
complex, 2 elements
Defined:
globally; see XML source
Includes:
definitions of 2 elements
Used:
A type describing variance bounds, which are used to exclude money price values outside of the specified range In a Up Conditional Swap Underlyer price must be equal to or higher than Lower Barrier In a Down Conditional Swap Underlyer price must be equal to or lower than Upper Barrier In a Corridor Conditional Swap Underlyer price must be equal to or higher than Lower Barrier and must be equal to or lower than Upper Barrier.
Content:
complex, 4 elements
Defined:
globally; see XML source
Includes:
definitions of 4 elements
Used:
An abstract base class for all calculated money amounts, which are in the currency of the cash multiplier of the calculation.
Content:
complex, 5 elements
Abstract:
(cannot be assigned directly to elements used in instance XML documents)
Defined:
globally; see XML source
Includes:
definitions of 2 elements
Used:
Abstract base class for all calculation from observed values.
Content:
complex, 5 elements
Abstract:
(cannot be assigned directly to elements used in instance XML documents)
Defined:
globally; see XML source
Includes:
definitions of 5 elements
Used:
Specifies the compounding method and the compounding rate.
Content:
complex, 4 elements
Defined:
globally; see XML source
Includes:
definitions of 4 elements
Used:
A type defining a compounding rate.
Content:
complex, 2 elements
Defined:
globally; see XML source
Includes:
definitions of 2 elements
Used:
A type describing the correlation amount of a correlation swap.
Content:
complex, 9 elements
Defined:
globally; see XML source
Includes:
definitions of 4 elements
Used:
An abstract base class for all directional leg types with effective date, termination date, and underlyer where a payer makes a stream of payments of greater than zero value to a receiver.
Content:
complex, 1 attribute, 13 elements
Abstract:
(cannot be assigned directly to elements used in instance XML documents)
Defined:
globally; see XML source
Includes:
definitions of 2 elements
Used:
An abstract base class for all directional leg types with effective date, termination date, and underlyer, where a payer makes a stream of payments of greater than zero value to a receiver.
Content:
complex, 1 attribute, 14 elements
Abstract:
(cannot be assigned directly to elements used in instance XML documents)
Defined:
globally; see XML source
Includes:
definition of 1 element
Used:
Container for Dividend Adjustment Periods, which are used to calculate the Deviation between Expected Dividend and Actual Dividend in that Period.
Content:
complex, 1 element
Defined:
globally; see XML source
Includes:
definition of 1 element
Used:
A type describing the conditions governing the payment of dividends to the receiver of the equity return.
Content:
complex, 20 elements
Defined:
globally; see XML source
Includes:
definitions of 15 elements
Used:
A type describing the date on which the dividend will be paid/received.
Content:
complex, 3 elements
Defined:
globally; see XML source
Includes:
definitions of 3 elements
Used:
Abstract base class of all time bounded dividend period types.
Content:
complex, 1 attribute, 4 elements
Abstract:
(cannot be assigned directly to elements used in instance XML documents)
Defined:
globally; see XML source
Includes:
definitions of 1 attribute, 4 elements
Used:
A time bounded dividend period, with an expected dividend for each period.
Content:
complex, 1 attribute, 6 elements
Defined:
globally; see XML source
Includes:
definitions of 2 elements
Used:
A type for defining the merger events and their treatment.
Content:
complex, 3 elements
Defined:
globally; see XML source
Includes:
definitions of 3 elements
Used:
A type used to describe the amount paid for an equity option.
Content:
complex, 1 attribute, 10 elements
Defined:
globally; see XML source
Includes:
definitions of 6 elements
Used:
A type for defining the strike price for an equity option.
Content:
complex, 4 elements
Defined:
globally; see XML source
Includes:
definitions of 4 elements
Used:
A type for defining how and when an equity option is to be valued.
Content:
complex, 1 attribute, 9 elements
Defined:
globally; see XML source
Includes:
definitions of 1 attribute, 9 elements
Used:
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.
Content:
complex, 13 elements
Defined:
globally; see XML source
Includes:
definitions of 10 elements
Used:
Reference to a floating rate calculation of interest calculation component.
Content:
empty, 1 attribute
Defined:
globally; see XML source
Includes:
definition of 1 attribute
Used:
Defines the specification of the consequences of Index Events as defined by the 2002 ISDA Equity Derivatives Definitions.
Content:
complex, 3 elements
Defined:
globally; see XML source
Includes:
definitions of 3 elements
Used:
Specifies the calculation method of the interest rate leg of the return swap.
Content:
complex, 1 attribute, 6 elements
Defined:
globally; see XML source
Includes:
definitions of 1 attribute, 4 elements
Used:
A type describing the fixed income leg of the equity swap.
Content:
complex, 1 attribute, 12 elements
Defined:
globally; see XML source
Includes:
definitions of 5 elements
Used:
Component that holds the various dates used to specify the interest leg of the return swap.
Content:
complex, 1 attribute, 4 elements
Defined:
globally; see XML source
Includes:
definitions of 1 attribute, 4 elements
Used:
Reference to the calculation period dates of the interest leg.
Content:
empty, 1 attribute
Defined:
globally; see XML source
Includes:
definition of 1 attribute
Used:
Content:
complex, 5 elements
Defined:
globally; see XML source
Includes:
definitions of 5 elements
Used:
A type describing the amount that will paid or received on each of the payment dates.
Content:
complex, 7 elements
Defined:
globally; see XML source
Includes:
definitions of 4 elements
Used:
A type to hold early exercise provisions.
Content:
complex, 2 elements
Defined:
globally; see XML source
Includes:
definitions of 2 elements
Used:
An abstract base class for all swap types which have a single netted leg, such as Variance Swaps, and Correlation Swaps.
Content:
complex, 1 attribute, 7 elements
Abstract:
(cannot be assigned directly to elements used in instance XML documents)
Defined:
globally; see XML source
Includes:
definitions of 2 elements
Used:
A type for defining option features.
Content:
complex, 5 elements
Defined:
globally; see XML source
Includes:
definitions of 5 elements
Used:
Specifies the principal exchange amount, either by explicitly defining it, or by point to an amount defined somewhere else in the swap document.
Content:
complex, 3 elements
Defined:
globally; see XML source
Includes:
definitions of 3 elements
Used:
Specifies each of the characteristics of the principal exchange cashflows, in terms of paying/receiving counterparties, amounts and dates.
Content:
complex, 6 elements
Defined:
globally; see XML source
Includes:
definitions of 2 elements
Used:
A type describing the principal exchange features of the return swap.
Content:
complex, 2 elements
Defined:
globally; see XML source
Includes:
definitions of 2 elements
Used:
A type for defining ISDA 2002 Equity Derivative Representations.
Content:
complex, 4 elements
Defined:
globally; see XML source
Includes:
definitions of 4 elements
Used:
A type describing the dividend return conditions applicable to the swap.
Content:
complex, 2 elements
Defined:
globally; see XML source
Includes:
definitions of 2 elements
Used:
A type describing the return leg of a return type swap.
Content:
complex, 1 attribute, 20 elements
Defined:
globally; see XML source
Includes:
definitions of 7 elements
Used:
A type describing the initial and final valuation of the underlyer.
Content:
complex, 6 elements
Defined:
globally; see XML source
Includes:
definitions of 6 elements
Used:
Content:
complex, 10 elements
Defined:
globally; see XML source
Includes:
definition of 1 element
Used:
A type describing return swaps including return swaps (long form), total return swaps, and variance swaps.
Content:
complex, 1 attribute, 14 elements
Defined:
globally; see XML source
Includes:
definitions of 2 elements
Used:
A type describing the additional payment(s) between the principal parties to the trade.
Content:
complex, 1 attribute, 7 elements
Defined:
globally; see XML source
Includes:
definitions of 3 elements
Used:
Specifies, in relation to each Payment Date, the amount to which the Payment Date relates.
Content:
complex, 11 elements
Defined:
globally; see XML source
Includes:
definition of 1 element
Used:
A type describing the components that are common for return type swaps, including short and long form return swaps representations.
Content:
complex, 1 attribute, 12 elements
Abstract:
(cannot be assigned directly to elements used in instance XML documents)
Defined:
globally; see XML source
Includes:
definitions of 3 elements
Used:
A type describing the date from which each of the party may be allowed to terminate the trade.
Content:
complex, 2 elements
Defined:
globally; see XML source
Includes:
definitions of 2 elements
Used:
A base class for all return leg types with an underlyer.
Content:
complex, 1 attribute, 13 elements
Abstract:
(cannot be assigned directly to elements used in instance XML documents)
Defined:
globally; see XML source
Includes:
definitions of 2 elements
Used:
Specifies the notional of return type swap.
Content:
complex, 1 attribute, 4 elements
Defined:
globally; see XML source
Includes:
definitions of 1 attribute, 4 elements
Used:
A type describing the return payment dates of the swap.
Content:
complex, 1 attribute, 2 elements
Defined:
globally; see XML source
Includes:
definitions of 1 attribute, 2 elements
Used:
A type specifying the date from which the early termination clause can be exercised.
Content:
complex, 2 elements
Defined:
globally; see XML source
Includes:
definitions of 2 elements
Used:
A type describing the Stub Calculation Period.
Content:
complex, 3 elements
Defined:
globally; see XML source
Includes:
definitions of 3 elements
Used:
A type describing the variance amount of a variance swap.
Content:
complex, 13 elements
Defined:
globally; see XML source
Includes:
definitions of 8 elements
Used:
Element Group Summary
A group containing return swap amount currency definition methods
Content:
Defined:
globally; see XML source
Includes:
definitions of 3 elements
Used:
Content:
Defined:
globally; see XML source
Includes:
definitions of 2 elements
Used:
A group containing Dividend content
Content:
Defined:
globally; see XML source
Includes:
definitions of 3 elements
Used:
A group containing Equity Underlyer provisions.
Content:
Defined:
globally; see XML source
Includes:
definitions of 2 elements
Used:
A group containing Swap and Derivative features.
Content:
Defined:
globally; see XML source
Includes:
definitions of 2 elements
Used:
Content:
Defined:
globally; see XML source
Includes:
definitions of 2 elements
Used:
Content:
Defined:
globally; see XML source
Includes:
definitions of 7 elements
Used:
XML Source
<?xml version="1.0" encoding="utf-8"?>
<!--
== Copyright (c) 2002- All rights reserved.
== Financial Products Markup Language is subject to the FpML public license.
== A copy of this license is available at http://www.fpml.org/license/license.html
-->
<xsd:schema attributeFormDefault="unqualified" ecore:documentRoot="FpML" ecore:nsPrefix="conf" ecore:package="org.fpml.confirmation" elementFormDefault="qualified" targetNamespace="http://www.fpml.org/FpML-5/confirmation" version="$Revision: 11651 $" xmlns="http://www.fpml.org/FpML-5/confirmation" xmlns:ecore="http://www.eclipse.org/emf/2002/Ecore" xmlns:fpml-annotation="http://www.fpml.org/annotation" xmlns:xsd="http://www.w3.org/2001/XMLSchema">
<xsd:include schemaLocation="fpml-option-shared-5-8.xsd"/>
<xsd:complexType name="AdditionalDisruptionEvents">
<xsd:annotation>
<xsd:documentation xml:lang="en">
A type for defining ISDA 2002 Equity Derivative Additional Disruption Events.
</xsd:documentation>
</xsd:annotation>
<xsd:sequence>
<xsd:element minOccurs="0" name="changeInLaw" type="xsd:boolean">
<xsd:annotation>
<xsd:documentation xml:lang="en">If true, then change in law is applicable.</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element minOccurs="0" name="failureToDeliver" type="xsd:boolean">
<xsd:annotation>
<xsd:documentation xml:lang="en">
Where the underlying is shares and the transaction is physically settled, then, if true, a failure to deliver the shares on the settlement date will not be an event of default for the purposes of the master agreement.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element minOccurs="0" name="insolvencyFiling" type="xsd:boolean">
<xsd:annotation>
<xsd:documentation xml:lang="en">If true, then insolvency filing is applicable.</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element minOccurs="0" name="hedgingDisruption" type="xsd:boolean">
<xsd:annotation>
<xsd:documentation xml:lang="en">If true, then hedging disruption is applicable.</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:group ref="StockLoan.model"/>
<xsd:element minOccurs="0" name="increasedCostOfHedging" type="xsd:boolean">
<xsd:annotation>
<xsd:documentation xml:lang="en">
If true, then increased cost of hedging is applicable.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element minOccurs="0" name="determiningPartyReference" type="PartyReference">
<xsd:annotation>
<xsd:documentation xml:lang="en">
A reference to the party which determines additional disruption events.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element minOccurs="0" name="foreignOwnershipEvent" type="xsd:boolean">
<xsd:annotation>
<xsd:documentation xml:lang="en">
If true, then foreign ownership event is applicable.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
</xsd:sequence>
</xsd:complexType>
<xsd:complexType name="AdditionalPaymentAmount">
<xsd:annotation>
<xsd:documentation xml:lang="en">
Specifies the amount of the fee along with, when applicable, the formula that supports its determination.
</xsd:documentation>
</xsd:annotation>
<xsd:sequence>
<xsd:element minOccurs="0" name="paymentAmount" type="NonNegativeMoney">
<xsd:annotation>
<xsd:documentation xml:lang="en">The currency amount of the payment.</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element minOccurs="0" name="formula" type="Formula">
<xsd:annotation>
<xsd:documentation xml:lang="en">
Specifies a formula, with its description and components.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
</xsd:sequence>
</xsd:complexType>
<xsd:complexType name="AdjustableDateOrRelativeDateSequence">
<xsd:annotation>
<xsd:documentation xml:lang="en">
A type describing a date defined as subject to adjustment or defined in reference to another date through one or several date offsets.
</xsd:documentation>
</xsd:annotation>
<xsd:choice>
<xsd:element name="adjustableDate" type="AdjustableDate">
<xsd:annotation>
<xsd:documentation xml:lang="en">
A date that shall be subject to adjustment if it would otherwise fall on a day that is not a business day in the specified business centers, together with the convention for adjusting the date.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="relativeDateSequence" type="RelativeDateSequence">
<xsd:annotation>
<xsd:documentation xml:lang="en">
A date specified in relation to some other date defined in the document (the anchor date), where there is the opportunity to specify a combination of offset rules. This component will typically be used for defining the valuation date in relation to the payment date, as both the currency and the exchange holiday calendars need to be considered.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
</xsd:choice>
<xsd:attribute name="id" type="xsd:ID"/>
</xsd:complexType>
<xsd:complexType name="BoundedCorrelation">
<xsd:annotation>
<xsd:documentation xml:lang="en">
A type describing correlation bounds, which form a cap and a floor on the realized correlation.
</xsd:documentation>
</xsd:annotation>
<xsd:sequence>
<xsd:element minOccurs="0" name="minimumBoundaryPercent" type="xsd:decimal">
<xsd:annotation>
<xsd:documentation xml:lang="en">
Minimum Boundary as a percentage of the Strike Price.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element minOccurs="0" name="maximumBoundaryPercent" type="xsd:decimal">
<xsd:annotation>
<xsd:documentation xml:lang="en">
Maximum Boundary as a percentage of the Strike Price.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
</xsd:sequence>
</xsd:complexType>
<xsd:complexType name="BoundedVariance">
<xsd:annotation>
<xsd:documentation xml:lang="en">
A type describing variance bounds, which are used to exclude money price values outside of the specified range In a Up Conditional Swap Underlyer price must be equal to or higher than Lower Barrier In a Down Conditional Swap Underlyer price must be equal to or lower than Upper Barrier In a Corridor Conditional Swap Underlyer price must be equal to or higher than Lower Barrier and must be equal to or lower than Upper Barrier.
</xsd:documentation>
</xsd:annotation>
<xsd:sequence>
<xsd:element name="realisedVarianceMethod" type="RealisedVarianceMethodEnum">
<xsd:annotation>
<xsd:documentation xml:lang="en">
The contract specifies whether which price must satisfy the boundary condition.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="daysInRangeAdjustment" type="xsd:boolean">
<xsd:annotation>
<xsd:documentation xml:lang="en">
The contract specifies whether the notional should be scaled by the Number of Days in Range divided by the Expected N. The number of Days in Ranges refers to the number of returns that contribute to the realized volatility.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element minOccurs="0" name="upperBarrier" type="NonNegativeDecimal">
<xsd:annotation>
<xsd:documentation xml:lang="en">
All observations above this price level will be excluded from the variance calculation.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element minOccurs="0" name="lowerBarrier" type="NonNegativeDecimal">
<xsd:annotation>
<xsd:documentation xml:lang="en">
All observations below this price level will be excluded from the variance calculation.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
</xsd:sequence>
</xsd:complexType>
<xsd:complexType abstract="true" name="CalculatedAmount">
<xsd:annotation>
<xsd:documentation xml:lang="en">
An abstract base class for all calculated money amounts, which are in the currency of the cash multiplier of the calculation.
</xsd:documentation>
</xsd:annotation>
<xsd:sequence>
<xsd:element minOccurs="0" name="calculationDates" type="AdjustableRelativeOrPeriodicDates">
<xsd:annotation>
<xsd:documentation xml:lang="en">
Specifies the date on which a calculation or an observation will be performed for the purpose of calculating the amount.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element minOccurs="0" name="observationStartDate" type="AdjustableOrRelativeDate">
<xsd:annotation>
<xsd:documentation xml:lang="en">
The start of the period over which observations are made which are used in the calculation Used when the observation start date differs from the trade date such as for forward starting swaps.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:group ref="Dividends.model"/>
</xsd:sequence>
</xsd:complexType>
<xsd:complexType abstract="true" name="CalculationFromObservation">
<xsd:annotation>
<xsd:documentation xml:lang="en">
Abstract base class for all calculation from observed values.
</xsd:documentation>
</xsd:annotation>
<xsd:sequence>
<xsd:choice>
<xsd:sequence minOccurs="1">
<xsd:annotation>
<xsd:documentation xml:lang="en">
Specifies whether the Initial Index Level should be the Closing Price Level, the Expiring Contract Level, VWAPPrice, TWAPPrice, NAV or Open Price and/or a specified Initial Index Level.
</xsd:documentation>
</xsd:annotation>
<xsd:element minOccurs="0" name="initialLevel" type="xsd:decimal">
<xsd:annotation>
<xsd:documentation xml:lang="en">Contract will strike off this initial level.</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element minOccurs="0" name="initialLevelSource" type="DeterminationMethod">
<xsd:annotation>
<xsd:documentation xml:lang="en">
Specifies whether the Initial Index Level should be the Closing Price Level, the Expiring Contract Level, VWAPPrice, TWAPPrice, NAV or Open Price.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
</xsd:sequence>
<xsd:element fpml-annotation:deprecated="true" fpml-annotation:deprecatedReason="The value is added to the determinationMethod coding Scheme list. Element 'closingLevel' is deprecated and will be removed in the next major FpML version. Element 'initialLevelSource' with value 'ClosingPrice' should be used instead." name="closingLevel" type="xsd:boolean">
<xsd:annotation>
<xsd:documentation xml:lang="en">
If true this contract will strike off the closing level of the default exchange traded contract.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element fpml-annotation:deprecated="true" fpml-annotation:deprecatedReason="The value is added to the determinationMethod coding Scheme list. Element 'expiringLevel' is deprecated and will be removed in the next major FpML version. Element 'initialLevelSource' with value 'ExpiringContractLevel' should be used instead." name="expiringLevel" type="xsd:boolean">
<xsd:annotation>
<xsd:documentation xml:lang="en">
If true this contract will strike off the expiring level of the default exchange traded contract.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
</xsd:choice>
<xsd:element minOccurs="0" name="expectedN" type="xsd:positiveInteger">
<xsd:annotation>
<xsd:documentation xml:lang="en">Expected number of trading days.</xsd:documentation>
</xsd:annotation>
</xsd:element>
</xsd:sequence>
</xsd:complexType>
<xsd:complexType name="Compounding">
<xsd:annotation>
<xsd:documentation xml:lang="en">
Specifies the compounding method and the compounding rate.
</xsd:documentation>
</xsd:annotation>
<xsd:sequence>
<xsd:element minOccurs="0" name="compoundingMethod" type="CompoundingMethodEnum">
<xsd:annotation>
<xsd:documentation xml:lang="en">
If more that one calculation period contributes to a single payment amount this element specifies whether compounding is applicable, and if so, what compounding method is to be used. This element must only be included when more that one calculation period contributes to a single payment amount.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="compoundingRate" type="CompoundingRate">
<xsd:annotation>
<xsd:documentation xml:lang="en">
Defines a compounding rate. The compounding interest can either point back to the interest calculation node on the Interest Leg, or be defined specifically.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element minOccurs="0" name="compoundingSpread" type="xsd:decimal">
<xsd:annotation>
<xsd:documentation xml:lang="en">
Defines the spread to be used for compounding. This field should be used in scenarios where the interest payment is based on a compounding formula that uses a compounding spread in addition to the regular spread.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element minOccurs="0" name="compoundingDates" type="AdjustableRelativeOrPeriodicDates2">
<xsd:annotation>
<xsd:documentation xml:lang="en">Defines the compounding dates.</xsd:documentation>
</xsd:annotation>
</xsd:element>
</xsd:sequence>
</xsd:complexType>
<xsd:complexType name="CompoundingRate">
<xsd:annotation>
<xsd:documentation xml:lang="en">
A type defining a compounding rate. The compounding interest can either point back to the floating rate calculation of interest calculation node on the Interest Leg, or be defined specifically.
</xsd:documentation>
</xsd:annotation>
<xsd:choice>
<xsd:element name="interestLegRate" type="FloatingRateCalculationReference">
<xsd:annotation>
<xsd:documentation xml:lang="en">
Reference to the floating rate calculation of interest calculation node on the Interest Leg.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="specificRate" type="InterestAccrualsMethod">
<xsd:annotation>
<xsd:documentation xml:lang="en">Defines a specific rate.</xsd:documentation>
</xsd:annotation>
</xsd:element>
</xsd:choice>
</xsd:complexType>
<xsd:complexType name="Correlation">
<xsd:annotation>
<xsd:documentation xml:lang="en">
A type describing the correlation amount of a correlation swap.
</xsd:documentation>
</xsd:annotation>
<xsd:complexContent>
<xsd:extension base="CalculationFromObservation">
<xsd:sequence>
<xsd:element name="notionalAmount" type="NonNegativeMoney">
<xsd:annotation>
<xsd:documentation xml:lang="en">Notional amount, which is a cash multiplier.</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="correlationStrikePrice" type="CorrelationValue">
<xsd:annotation>
<xsd:documentation xml:lang="en">Correlation Strike Price.</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element minOccurs="0" name="boundedCorrelation" type="BoundedCorrelation">
<xsd:annotation>
<xsd:documentation xml:lang="en">Bounded Correlation.</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element minOccurs="0" name="numberOfDataSeries" type="xsd:positiveInteger">
<xsd:annotation>
<xsd:documentation xml:lang="en">
Number of data series, normal market practice is that correlation data sets are drawn from geographic market areas, such as America, Europe and Asia Pacific, each of these geographic areas will have its own data series to avoid contagion.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
</xsd:sequence>
</xsd:extension>
</xsd:complexContent>
</xsd:complexType>
<xsd:complexType abstract="true" name="DirectionalLegUnderlyer">
<xsd:annotation>
<xsd:documentation xml:lang="en">
An abstract base class for all directional leg types with effective date, termination date, and underlyer where a payer makes a stream of payments of greater than zero value to a receiver.
</xsd:documentation>
</xsd:annotation>
<xsd:complexContent>
<xsd:extension base="DirectionalLeg">
<xsd:sequence>
<xsd:element name="underlyer" type="Underlyer">
<xsd:annotation>
<xsd:documentation xml:lang="en">Specifies the underlyer of the leg.</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:group ref="OptionSettlement.model"/>
<xsd:element minOccurs="0" name="fxFeature" type="FxFeature">
<xsd:annotation>
<xsd:documentation xml:lang="en">Quanto, Composite, or Cross Currency FX features.</xsd:documentation>
</xsd:annotation>
</xsd:element>
</xsd:sequence>
</xsd:extension>
</xsd:complexContent>
</xsd:complexType>
<xsd:complexType abstract="true" name="DirectionalLegUnderlyerValuation">
<xsd:annotation>
<xsd:documentation xml:lang="en">
An abstract base class for all directional leg types with effective date, termination date, and underlyer, where a payer makes a stream of payments of greater than zero value to a receiver.
</xsd:documentation>
</xsd:annotation>
<xsd:complexContent>
<xsd:extension base="DirectionalLegUnderlyer">
<xsd:sequence>
<xsd:element name="valuation" type="EquityValuation">
<xsd:annotation>
<xsd:documentation xml:lang="en">Valuation of the underlyer.</xsd:documentation>
</xsd:annotation>
</xsd:element>
</xsd:sequence>
</xsd:extension>
</xsd:complexContent>
</xsd:complexType>
<xsd:complexType name="DividendAdjustment">
<xsd:annotation>
<xsd:documentation xml:lang="en">
Container for Dividend Adjustment Periods, which are used to calculate the Deviation between Expected Dividend and Actual Dividend in that Period.
</xsd:documentation>
</xsd:annotation>
<xsd:sequence>
<xsd:element maxOccurs="unbounded" name="dividendPeriod" type="DividendPeriodDividend">
<xsd:annotation>
<xsd:documentation xml:lang="en">A single Dividend Adjustment Period.</xsd:documentation>
</xsd:annotation>
</xsd:element>
</xsd:sequence>
</xsd:complexType>
<xsd:complexType name="DividendConditions">
<xsd:annotation>
<xsd:documentation xml:lang="en">
A type describing the conditions governing the payment of dividends to the receiver of the equity return. With the exception of the dividend payout ratio, which is defined for each of the underlying components.
</xsd:documentation>
</xsd:annotation>
<xsd:sequence>
<xsd:element minOccurs="0" name="dividendReinvestment" type="xsd:boolean">
<xsd:annotation>
<xsd:documentation xml:lang="en">
Boolean element that defines whether the dividend will be reinvested or not.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element minOccurs="0" name="dividendEntitlement" type="DividendEntitlementEnum">
<xsd:annotation>
<xsd:documentation xml:lang="en">
Defines the date on which the receiver on the equity return is entitled to the dividend.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element minOccurs="0" name="dividendAmount" type="DividendAmountTypeEnum"/>
<xsd:element minOccurs="0" name="dividendPaymentDate" type="DividendPaymentDate">
<xsd:annotation>
<xsd:documentation xml:lang="en">
Specifies when the dividend will be paid to the receiver of the equity return. Has the meaning as defined in the ISDA 2002 Equity Derivatives Definitions. Is not applicable in the case of a dividend reinvestment election.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:choice>
<xsd:sequence>
<xsd:element minOccurs="0" name="dividendPeriodEffectiveDate" type="DateReference">
<xsd:annotation>
<xsd:documentation xml:lang="en">
Dividend period has the meaning as defined in the ISDA 2002 Equity Derivatives Definitions. This element specifies the date on which the dividend period will commence.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element minOccurs="0" name="dividendPeriodEndDate" type="DateReference">
<xsd:annotation>
<xsd:documentation xml:lang="en">
Dividend period has the meaning as defined in the ISDA 2002 Equity Derivatives Definitions. This element specifies the date on which the dividend period will end. It includes a boolean attribute for defining whether this end date is included or excluded from the dividend period.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
</xsd:sequence>
<xsd:element name="dividendPeriod" type="DividendPeriodEnum">
<xsd:annotation>
<xsd:documentation xml:lang="en">
Defines the First Period or the Second Period, as defined in the 2002 ISDA Equity Derivatives Definitions.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
</xsd:choice>
<xsd:element minOccurs="0" name="extraOrdinaryDividends" type="PartyReference">
<xsd:annotation>
<xsd:documentation xml:lang="en">
Reference to the party which determines if dividends are extraordinary in relation to normal levels.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element minOccurs="0" name="excessDividendAmount" type="DividendAmountTypeEnum">
<xsd:annotation>
<xsd:documentation xml:lang="en">Determination of Gross Cash Dividend per Share.</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:group minOccurs="0" ref="CurrencyAndDeterminationMethod.model"/>
<xsd:element minOccurs="0" name="dividendFxTriggerDate" type="DividendPaymentDate">
<xsd:annotation>
<xsd:documentation xml:lang="en">
Specifies the date on which the FX rate will be considered in the case of a Composite FX swap.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element minOccurs="0" name="interestAccrualsMethod" type="InterestAccrualsCompoundingMethod">
<xsd:annotation>
<xsd:documentation xml:lang="en">
Defines the way in which interests are accrued: the applicable rate (fixed or floating reference) and the compounding method.
</xsd:documentation>
<xsd:documentation xml:lang="en">FpML entity</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element minOccurs="0" name="numberOfIndexUnits" type="NonNegativeDecimal">
<xsd:annotation>
<xsd:documentation xml:lang="en">
Defines the Number Of Index Units applicable to a Dividend.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element minOccurs="0" name="nonCashDividendTreatment" type="NonCashDividendTreatmentEnum">
<xsd:annotation>
<xsd:documentation xml:lang="en">Defines treatment of Non-Cash Dividends.</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element minOccurs="0" name="dividendComposition" type="DividendCompositionEnum">
<xsd:annotation>
<xsd:documentation xml:lang="en">
Defines how the composition of Dividends is to be determined.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element minOccurs="0" name="specialDividends" type="xsd:boolean">
<xsd:annotation>
<xsd:documentation xml:lang="en">
Specifies the method according to which special dividends are determined.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
</xsd:sequence>
</xsd:complexType>
<xsd:complexType name="DividendPaymentDate">
<xsd:annotation>
<xsd:documentation xml:lang="en">
A type describing the date on which the dividend will be paid/received. This type is also used to specify the date on which the FX rate will be determined, when applicable.
</xsd:documentation>
</xsd:annotation>
<xsd:sequence>
<xsd:choice>
<xsd:sequence>
<xsd:element name="dividendDateReference" type="DividendDateReferenceEnum">
<xsd:annotation>
<xsd:documentation xml:lang="en">
Specification of the dividend date using an enumeration, with values such as the pay date, the ex date or the record date.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element minOccurs="0" name="paymentDateOffset" type="Offset">
<xsd:annotation>
<xsd:documentation xml:lang="en">
Only to be used when SharePayment has been specified in the dividendDateReference element. The number of Currency Business Days following the day on which the Issuer of the Shares pays the relevant dividend to holders of record of the Shares.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
</xsd:sequence>
<xsd:element name="adjustableDate" type="AdjustableDate">
<xsd:annotation>
<xsd:documentation xml:lang="en">
A date that shall be subject to adjustment if it would otherwise fall on a day that is not a business day in the specified business centers, together with the convention for adjusting the date.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
</xsd:choice>
</xsd:sequence>
</xsd:complexType>
<xsd:complexType abstract="true" name="DividendPeriod">
<xsd:annotation>
<xsd:documentation xml:lang="en">
Abstract base class of all time bounded dividend period types.
</xsd:documentation>
</xsd:annotation>
<xsd:sequence>
<xsd:element name="unadjustedStartDate" type="IdentifiedDate">
<xsd:annotation>
<xsd:documentation xml:lang="en">Unadjusted inclusive dividend period start date.</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="unadjustedEndDate" type="IdentifiedDate">
<xsd:annotation>
<xsd:documentation xml:lang="en">Unadjusted inclusive dividend period end date.</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="dateAdjustments" type="BusinessDayAdjustments">
<xsd:annotation>
<xsd:documentation xml:lang="en">
Date adjustments for all unadjusted dates in this dividend period.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element minOccurs="0" name="underlyerReference" type="AssetReference">
<xsd:annotation>
<xsd:documentation xml:lang="en">
Reference to the underlyer which is paying dividends. This should be used in all cases, and must be used where there are multiple underlying assets, to avoid any ambiguity about which asset the dividend period relates to.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
</xsd:sequence>
<xsd:attribute name="id" type="xsd:ID"/>
</xsd:complexType>
<xsd:complexType name="DividendPeriodDividend">
<xsd:annotation>
<xsd:documentation xml:lang="en">
A time bounded dividend period, with an expected dividend for each period.
</xsd:documentation>
</xsd:annotation>
<xsd:complexContent>
<xsd:extension base="DividendPeriod">
<xsd:sequence>
<xsd:element name="dividend" type="NonNegativeMoney">
<xsd:annotation>
<xsd:documentation xml:lang="en">Expected dividend in this period.</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="multiplier" type="PositiveDecimal">
<xsd:annotation>
<xsd:documentation xml:lang="en">
Multiplier is a percentage value which is used to produce Deviation by multiplying the difference between Expected Dividend and Actual Dividend Deviation = Multiplier * (Expected Dividend &#8212; Actual Dividend).
</xsd:documentation>
</xsd:annotation>
</xsd:element>
</xsd:sequence>
</xsd:extension>
</xsd:complexContent>
</xsd:complexType>
<xsd:complexType name="EquityCorporateEvents">
<xsd:annotation>
<xsd:documentation xml:lang="en">
A type for defining the merger events and their treatment.
</xsd:documentation>
</xsd:annotation>
<xsd:sequence>
<xsd:element name="shareForShare" type="ShareExtraordinaryEventEnum">
<xsd:annotation>
<xsd:documentation xml:lang="en">
The consideration paid for the original shares following the Merger Event consists wholly of new shares.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="shareForOther" type="ShareExtraordinaryEventEnum">
<xsd:annotation>
<xsd:documentation xml:lang="en">
The consideration paid for the original shares following the Merger Event consists wholly of cash/securities other than new shares.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="shareForCombined" type="ShareExtraordinaryEventEnum">
<xsd:annotation>
<xsd:documentation xml:lang="en">
The consideration paid for the original shares following the Merger Event consists of both cash/securities and new shares.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
</xsd:sequence>
</xsd:complexType>
<xsd:complexType name="EquityPremium">
<xsd:annotation>
<xsd:documentation xml:lang="en">
A type used to describe the amount paid for an equity option.
</xsd:documentation>
</xsd:annotation>
<xsd:complexContent>
<xsd:extension base="PaymentBase">
<xsd:sequence>
<xsd:group ref="PayerReceiver.model"/>
<xsd:element minOccurs="0" name="premiumType" type="PremiumTypeEnum">
<xsd:annotation>
<xsd:documentation xml:lang="en">Forward start Premium type</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element minOccurs="0" name="paymentAmount" type="NonNegativeMoney">
<xsd:annotation>
<xsd:documentation xml:lang="en">The currency amount of the payment.</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element minOccurs="0" name="paymentDate" type="AdjustableDate">
<xsd:annotation>
<xsd:documentation xml:lang="en">
The payment date. This date is subject to adjustment in accordance with any applicable business day convention.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element minOccurs="0" name="swapPremium" type="xsd:boolean">
<xsd:annotation>
<xsd:documentation xml:lang="en">
Specifies whether or not the premium is to be paid in the style of payments under an interest rate swap contract.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element minOccurs="0" name="pricePerOption" type="NonNegativeMoney">
<xsd:annotation>
<xsd:documentation xml:lang="en">
The amount of premium to be paid expressed as a function of the number of options.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element minOccurs="0" name="percentageOfNotional" type="NonNegativeDecimal">
<xsd:annotation>
<xsd:documentation xml:lang="en">
The amount of premium to be paid expressed as a percentage of the notional value of the transaction. A percentage of 5% would be expressed as 0.05.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
</xsd:sequence>
</xsd:extension>
</xsd:complexContent>
</xsd:complexType>
<xsd:complexType name="EquityStrike">
<xsd:annotation>
<xsd:documentation xml:lang="en">
A type for defining the strike price for an equity option. The strike price is either: (i) in respect of an index option transaction, the level of the relevant index specified or otherwise determined in the transaction; or (ii) in respect of a share option transaction, the price per share specified or otherwise determined in the transaction. This can be expressed either as a percentage of notional amount or as an absolute value.
</xsd:documentation>
</xsd:annotation>
<xsd:sequence>
<xsd:choice>
<xsd:element name="strikePrice" type="xsd:decimal">
<xsd:annotation>
<xsd:documentation xml:lang="en">
The price or level at which the option has been struck.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:sequence>
<xsd:element name="strikePercentage" type="xsd:decimal">
<xsd:annotation>
<xsd:documentation xml:lang="en">
The price or level expressed as a percentage of the forward starting spot price.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element minOccurs="0" name="strikeDeterminationDate" type="AdjustableOrRelativeDate">
<xsd:annotation>
<xsd:documentation xml:lang="en">
The date on which the strike is determined, where this is not the effective date of a forward starting option.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
</xsd:sequence>
</xsd:choice>
<xsd:element minOccurs="0" name="currency" type="Currency">
<xsd:annotation>
<xsd:documentation xml:lang="en">The currency in which an amount is denominated.</xsd:documentation>
</xsd:annotation>
</xsd:element>
</xsd:sequence>
</xsd:complexType>
<xsd:complexType name="EquityValuation">
<xsd:annotation>
<xsd:documentation xml:lang="en">
A type for defining how and when an equity option is to be valued.
</xsd:documentation>
</xsd:annotation>
<xsd:sequence>
<xsd:choice minOccurs="0">
<xsd:element name="valuationDate" type="AdjustableDateOrRelativeDateSequence">
<xsd:annotation>
<xsd:documentation xml:lang="en">
The term "Valuation Date" is assumed to have the meaning as defined in the ISDA 2002 Equity Derivatives Definitions.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:annotation>
<xsd:documentation xml:lang="en">
Specifies the interim equity valuation dates of a swap.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
</xsd:choice>
<xsd:element minOccurs="0" name="valuationTimeType" type="TimeTypeEnum">
<xsd:annotation>
<xsd:documentation xml:lang="en">
The time of day at which the calculation agent values the underlying, for example the official closing time of the exchange.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element minOccurs="0" name="valuationTime" type="BusinessCenterTime">
<xsd:annotation>
<xsd:documentation xml:lang="en">
The specific time of day at which the calculation agent values the underlying.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element minOccurs="0" name="futuresPriceValuation" type="xsd:boolean">
<xsd:annotation>
<xsd:documentation xml:lang="en">
The official settlement price as announced by the related exchange is applicable, in accordance with the ISDA 2002 definitions.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element minOccurs="0" name="optionsPriceValuation" type="xsd:boolean">
<xsd:annotation>
<xsd:documentation xml:lang="en">
The official settlement price as announced by the related exchange is applicable, in accordance with the ISDA 2002 definitions.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element minOccurs="0" name="numberOfValuationDates" type="xsd:nonNegativeInteger">
<xsd:annotation>
<xsd:documentation xml:lang="en">
The number of valuation dates between valuation start date and valuation end date.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element minOccurs="0" name="dividendValuationDates" type="AdjustableRelativeOrPeriodicDates">
<xsd:annotation>
<xsd:documentation xml:lang="en">
Specifies the dividend valuation dates of the swap.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element minOccurs="0" name="fPVFinalPriceElectionFallback" type="FPVFinalPriceElectionFallbackEnum">
<xsd:annotation>
<xsd:documentation xml:lang="en">
Specifies the fallback provisions for Hedging Party in the determination of the Final Price.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
</xsd:sequence>
<xsd:attribute name="id" type="xsd:ID"/>
</xsd:complexType>
<xsd:complexType name="ExtraordinaryEvents">
<xsd:annotation>
<xsd:documentation xml:lang="en">
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.
</xsd:documentation>
</xsd:annotation>
<xsd:sequence>
<xsd:element minOccurs="0" name="mergerEvents" type="EquityCorporateEvents">
<xsd:annotation>
<xsd:documentation xml:lang="en">
Occurs when the underlying ceases to exist following a merger between the Issuer and another company.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element minOccurs="0" name="tenderOffer" type="xsd:boolean">
<xsd:annotation>
<xsd:documentation xml:lang="en">
If present and true, then tender offer is applicable.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element minOccurs="0" name="tenderOfferEvents" type="EquityCorporateEvents">
<xsd:annotation>
<xsd:documentation xml:lang="en">ISDA 2002 Equity Tender Offer Events.</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element minOccurs="0" name="compositionOfCombinedConsideration" type="xsd:boolean">
<xsd:annotation>
<xsd:documentation xml:lang="en">
If present and true, then composition of combined consideration is applicable.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element minOccurs="0" name="indexAdjustmentEvents" type="IndexAdjustmentEvents">
<xsd:annotation>
<xsd:documentation xml:lang="en">ISDA 2002 Equity Index Adjustment Events.</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:choice>
<xsd:element name="additionalDisruptionEvents" type="AdditionalDisruptionEvents">
<xsd:annotation>
<xsd:documentation xml:lang="en">ISDA 2002 Equity Additional Disruption Events.</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="failureToDeliver" type="xsd:boolean">
<xsd:annotation>
<xsd:documentation xml:lang="en">If true, failure to deliver is applicable.</xsd:documentation>
</xsd:annotation>
</xsd:element>
</xsd:choice>
<xsd:element minOccurs="0" name="representations" type="Representations">
<xsd:annotation>
<xsd:documentation xml:lang="en">ISDA 2002 Equity Derivative Representations.</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:annotation>
<xsd:documentation xml:lang="en">
The terms "Nationalisation" and "Insolvency" have the meaning as defined in the ISDA 2002 Equity Derivatives Definitions.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element minOccurs="0" name="delisting" type="NationalisationOrInsolvencyOrDelistingEventEnum">
<xsd:annotation>
<xsd:documentation xml:lang="en">
The term "Delisting" has the meaning defined in the ISDA 2002 Equity Derivatives Definitions.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:group minOccurs="0" ref="ExchangeIdentifier.model">
<xsd:annotation>
<xsd:documentation xml:lang="en">
In order for a contract to be considered a 'Designated Contract', the Related Exchange that the contract is traded on must also be a Specified Exchange (i.e. the Related Exchange specified for the underlier contract must be either Eure, Euronext, MEF, or IDEM or an exchange specified in the Transaction Supplement, in order for the contract to qualify as a Designated Contract). If the Related Exchange is not one of the Specified Exchanges, then no Designated Contract is deemed to exist.
</xsd:documentation>
</xsd:annotation>
</xsd:group>
</xsd:sequence>
</xsd:complexType>
<xsd:complexType name="FloatingRateCalculationReference">
<xsd:annotation>
<xsd:documentation xml:lang="en">
Reference to a floating rate calculation of interest calculation component.
</xsd:documentation>
</xsd:annotation>
<xsd:complexContent>
<xsd:extension base="Reference">
<xsd:attribute ecore:reference="FloatingRateCalculation" name="href" type="xsd:IDREF" use="required"/>
</xsd:extension>
</xsd:complexContent>
</xsd:complexType>
<xsd:complexType name="IndexAdjustmentEvents">
<xsd:annotation>
<xsd:documentation xml:lang="en">
Defines the specification of the consequences of Index Events as defined by the 2002 ISDA Equity Derivatives Definitions.
</xsd:documentation>
</xsd:annotation>
<xsd:sequence>
<xsd:element name="indexModification" type="IndexEventConsequenceEnum">
<xsd:annotation>
<xsd:documentation xml:lang="en">Consequence of index modification.</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="indexCancellation" type="IndexEventConsequenceEnum">
<xsd:annotation>
<xsd:documentation xml:lang="en">Consequence of index cancellation.</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="indexDisruption" type="IndexEventConsequenceEnum">
<xsd:annotation>
<xsd:documentation xml:lang="en">Consequence of index disruption.</xsd:documentation>
</xsd:annotation>
</xsd:element>
</xsd:sequence>
</xsd:complexType>
<xsd:complexType name="InterestCalculation">
<xsd:annotation>
<xsd:documentation xml:lang="en">
Specifies the calculation method of the interest rate leg of the return swap. Includes the floating or fixed rate calculation definitions, along with the determination of the day count fraction.
</xsd:documentation>
</xsd:annotation>
<xsd:complexContent>
<xsd:extension base="InterestAccrualsMethod">
<xsd:sequence>
<xsd:element name="dayCountFraction" type="DayCountFraction">
<xsd:annotation>
<xsd:documentation xml:lang="en">The day count fraction.</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element minOccurs="0" name="compounding" type="Compounding">
<xsd:annotation>
<xsd:documentation xml:lang="en">Defines compounding rates on the Interest Leg.</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:sequence minOccurs="0">
<xsd:element name="interpolationMethod" type="InterpolationMethod">
<xsd:annotation>
<xsd:documentation xml:lang="en">Specifies the type of interpolation used.</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element minOccurs="0" name="interpolationPeriod" type="InterpolationPeriodEnum">
<xsd:annotation>
<xsd:documentation xml:lang="en">Defines applicable periods for interpolation.</xsd:documentation>
</xsd:annotation>
</xsd:element>
</xsd:sequence>
</xsd:sequence>
<xsd:attribute name="id" type="xsd:ID"/>
</xsd:extension>
</xsd:complexContent>
</xsd:complexType>
<xsd:complexType name="InterestLeg">
<xsd:annotation>
<xsd:documentation xml:lang="en">
A type describing the fixed income leg of the equity swap.
</xsd:documentation>
</xsd:annotation>
<xsd:complexContent>
<xsd:extension base="DirectionalLeg">
<xsd:sequence>
<xsd:element name="interestLegCalculationPeriodDates" type="InterestLegCalculationPeriodDates">
<xsd:annotation>
<xsd:documentation xml:lang="en">
Component that holds the various dates used to specify the interest leg of the equity swap. It is used to define the InterestPeriodDates identifyer.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="notional" type="ReturnSwapNotional">
<xsd:annotation>
<xsd:documentation xml:lang="en">
Specifies the notional of a return type swap. When used in the equity leg, the definition will typically combine the actual amount (using the notional component defined by the FpML industry group) and the determination method. When used in the interest leg, the definition will typically point to the definition of the equity leg.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="interestAmount" type="LegAmount">
<xsd:annotation>
<xsd:documentation xml:lang="en">
Specifies, in relation to each Interest Payment Date, the amount to which the Interest Payment Date relates. Unless otherwise specified, this term has the meaning defined in the ISDA 2000 ISDA Definitions.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="interestCalculation" type="InterestCalculation">
<xsd:annotation>
<xsd:documentation xml:lang="en">
Specifies the calculation method of the interest rate leg of the equity swap. Includes the floating or fixed rate calculation definitions, along with the determination of the day count fraction.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element minOccurs="0" name="stubCalculationPeriod" type="StubCalculationPeriod">
<xsd:annotation>
<xsd:documentation xml:lang="en">Specifies the stub calculation period.</xsd:documentation>
</xsd:annotation>
</xsd:element>
</xsd:sequence>
</xsd:extension>
</xsd:complexContent>
</xsd:complexType>
<xsd:complexType name="InterestLegCalculationPeriodDates">
<xsd:annotation>
<xsd:documentation xml:lang="en">
Component that holds the various dates used to specify the interest leg of the return swap. It is used to define the InterestPeriodDates identifyer.
</xsd:documentation>
</xsd:annotation>
<xsd:sequence>
<xsd:element name="effectiveDate" type="AdjustableOrRelativeDate">
<xsd:annotation>
<xsd:documentation xml:lang="en">
Specifies the effective date of the return swap. This global element is valid within the return swaps namespace. Within the FpML namespace, another effectiveDate global element has been defined, that is different in the sense that it does not propose the choice of refering to another date in the document.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="terminationDate" type="AdjustableOrRelativeDate">
<xsd:annotation>
<xsd:documentation xml:lang="en">
Specifies the termination date of the return swap. This global element is valid within the return swaps namespace. Within the FpML namespace, another terminationDate global element has been defined, that is different in the sense that it does not propose the choice of refering to another date in the document.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="interestLegResetDates" type="InterestLegResetDates">
<xsd:annotation>
<xsd:documentation xml:lang="en">
Specifies the reset dates of the interest leg of the swap.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:annotation>
<xsd:documentation xml:lang="en">
Specifies the payment dates of the interest leg of the swap. When defined in relation to a date specified somewhere else in the document (through the relativeDates component), this element will typically point to the payment dates of the equity leg of the swap.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
</xsd:sequence>
<xsd:attribute name="id" type="xsd:ID" use="required"/>
</xsd:complexType>
<xsd:annotation>
<xsd:documentation xml:lang="en">
Reference to the calculation period dates of the interest leg.
</xsd:documentation>
</xsd:annotation>
<xsd:complexContent>
<xsd:extension base="Reference">
<xsd:attribute ecore:reference="InterestLegCalculationPeriodDates" name="href" type="xsd:IDREF" use="required"/>
</xsd:extension>
</xsd:complexContent>
</xsd:complexType>
<xsd:complexType name="InterestLegResetDates">
<xsd:sequence>
<xsd:element name="calculationPeriodDatesReference" type="InterestLegCalculationPeriodDatesReference">
<xsd:annotation>
<xsd:documentation xml:lang="en">
A pointer style reference to the associated calculation period dates component defined elsewhere in the document.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:choice>
<xsd:element name="resetRelativeTo" type="ResetRelativeToEnum">
<xsd:annotation>
<xsd:documentation xml:lang="en">
Specifies whether the reset dates are determined with respect to each adjusted calculation period start date or adjusted calculation period end date. If the reset frequency is specified as daily this element must not be included.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="resetFrequency" type="ResetFrequency">
<xsd:annotation>
<xsd:documentation xml:lang="en">
The frequency at which reset dates occur. In the case of a weekly reset frequency, also specifies the day of the week that the reset occurs. If the reset frequency is greater than the calculation period frequency then this implies that more than one reset date is established for each calculation period and some form of rate averaging is applicable.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
</xsd:choice>
<xsd:element minOccurs="0" name="initialFixingDate" type="RelativeDateOffset">
<xsd:annotation>
<xsd:documentation xml:lang="en">
Initial fixing date expressed as an offset to another date defined elsewhere in the document.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element minOccurs="0" name="fixingDates" type="AdjustableDatesOrRelativeDateOffset">
<xsd:annotation>
<xsd:documentation xml:lang="en">
Specifies the fixing date relative to the reset date in terms of a business days offset, or by providing a series of adjustable dates.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
</xsd:sequence>
</xsd:complexType>
<xsd:complexType name="LegAmount">
<xsd:annotation>
<xsd:documentation xml:lang="en">
A type describing the amount that will paid or received on each of the payment dates. This type is used to define both the Equity Amount and the Interest Amount.
</xsd:documentation>
</xsd:annotation>
<xsd:sequence>
<xsd:group minOccurs="0" ref="CurrencyAndDeterminationMethod.model"/>
<xsd:choice>
<xsd:element name="referenceAmount" type="ReferenceAmount">
<xsd:annotation>
<xsd:documentation xml:lang="en">
Specifies the reference Amount when this term either corresponds to the standard ISDA Definition (either the 2002 Equity Definition for the Equity Amount, or the 2000 Definition for the Interest Amount), or points to a term defined elsewhere in the swap document.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="formula" type="Formula">
<xsd:annotation>
<xsd:documentation xml:lang="en">
Specifies a formula, with its description and components.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="encodedDescription" type="xsd:base64Binary">
<xsd:annotation>
<xsd:documentation xml:lang="en">
Description of the leg amount when represented through an encoded image.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
</xsd:choice>
<xsd:element minOccurs="0" name="calculationDates" type="AdjustableRelativeOrPeriodicDates">
<xsd:annotation>
<xsd:documentation xml:lang="en">
Specifies the date on which a calculation or an observation will be performed for the purpose of defining the Equity Amount, and in accordance to the definition terms of this latter.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
</xsd:sequence>
</xsd:complexType>
<xsd:complexType name="MakeWholeProvisions">
<xsd:annotation>
<xsd:documentation xml:lang="en">A type to hold early exercise provisions.</xsd:documentation>
</xsd:annotation>
<xsd:sequence>
<xsd:element name="makeWholeDate" type="xsd:date">
<xsd:annotation>
<xsd:documentation xml:lang="en">
Date through which option can not be exercised without penalty.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="recallSpread" type="xsd:decimal">
<xsd:annotation>
<xsd:documentation xml:lang="en">
Spread used if exercised before make whole date. Early termination penalty. Expressed in bp, e.g. 25 bp.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
</xsd:sequence>
</xsd:complexType>
<xsd:complexType abstract="true" name="NettedSwapBase">
<xsd:annotation>
<xsd:documentation xml:lang="en">
An abstract base class for all swap types which have a single netted leg, such as Variance Swaps, and Correlation Swaps.
</xsd:documentation>
</xsd:annotation>
<xsd:complexContent>
<xsd:extension base="Product">
<xsd:sequence>
<xsd:element maxOccurs="unbounded" minOccurs="0" name="additionalPayment" type="ClassifiedPayment">
<xsd:annotation>
<xsd:documentation xml:lang="en">
Specifies additional payment(s) between the principal parties to the netted swap.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element minOccurs="0" name="extraordinaryEvents" type="ExtraordinaryEvents">
<xsd:annotation>
<xsd:documentation xml:lang="en">
Where the underlying is shares, specifies events affecting the issuer of those shares that may require the terms of the transaction to be adjusted.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
</xsd:sequence>
</xsd:extension>
</xsd:complexContent>
</xsd:complexType>
<xsd:complexType name="OptionFeatures">
<xsd:annotation>
<xsd:documentation xml:lang="en">A type for defining option features.</xsd:documentation>
</xsd:annotation>
<xsd:sequence>
<xsd:element minOccurs="0" name="asian" type="Asian">
<xsd:annotation>
<xsd:documentation xml:lang="en">
An option where and average price is taken on valuation.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element minOccurs="0" name="barrier" type="Barrier">
<xsd:annotation>
<xsd:documentation xml:lang="en">An option with a barrier feature.</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element minOccurs="0" name="knock" type="Knock">
<xsd:annotation>
<xsd:documentation xml:lang="en">A knock feature.</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element minOccurs="0" name="passThrough" type="PassThrough">
<xsd:annotation>
<xsd:documentation xml:lang="en">
Pass through payments from the underlyer, such as dividends.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element minOccurs="0" name="dividendAdjustment" type="DividendAdjustment">
<xsd:annotation>
<xsd:documentation xml:lang="en">
Dividend adjustment of the contract is driven by the difference between the Expected Dividend, and the Actual Dividend, which is multiplied by an agreed Factor to produce a Deviation, which is used as the basis for adjusting the contract. The parties acknowledge that in determining the Call Strike Price of the Transaction the parties have assumed that the Dividend scheduled to be paid by the Issuer to holders of record of the Shares, in the period set out in Column headed Relevant Period will equal per Share the amount stated in respect of such Relevant Period.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
</xsd:sequence>
</xsd:complexType>
<xsd:complexType name="PrincipalExchangeAmount">
<xsd:annotation>
<xsd:documentation xml:lang="en">
Specifies the principal exchange amount, either by explicitly defining it, or by point to an amount defined somewhere else in the swap document.
</xsd:documentation>
</xsd:annotation>
<xsd:choice>
<xsd:element name="amountRelativeTo" type="AmountReference">
<xsd:annotation>
<xsd:documentation xml:lang="en">
Reference to an amount defined elsewhere in the document.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="determinationMethod" type="DeterminationMethod">
<xsd:annotation>
<xsd:documentation xml:lang="en">
Specifies the method according to which an amount or a date is determined.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="principalAmount" type="NonNegativeMoney">
<xsd:annotation>
<xsd:documentation xml:lang="en">Principal exchange amount when explictly stated.</xsd:documentation>
</xsd:annotation>
</xsd:element>
</xsd:choice>
</xsd:complexType>
<xsd:complexType name="PrincipalExchangeDescriptions">
<xsd:annotation>
<xsd:documentation xml:lang="en">
Specifies each of the characteristics of the principal exchange cashflows, in terms of paying/receiving counterparties, amounts and dates.
</xsd:documentation>
</xsd:annotation>
<xsd:sequence>
<xsd:group ref="PayerReceiver.model"/>
<xsd:annotation>
<xsd:documentation xml:lang="en">
Specifies the principal echange amount, either by explicitly defining it, or by point to an amount defined somewhere else in the swap document.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element minOccurs="0" name="principalExchangeDate" type="AdjustableOrRelativeDate">
<xsd:annotation>
<xsd:documentation xml:lang="en">
Date on which each of the principal exchanges will take place. This date is either explictly stated, or is defined by reference to another date in the swap document. In this latter case, it will typically refer to one other date of the equity leg: either the effective date (initial exchange), or the last payment date (final exchange).
</xsd:documentation>
</xsd:annotation>
</xsd:element>
</xsd:sequence>
</xsd:complexType>
<xsd:complexType name="PrincipalExchangeFeatures">
<xsd:annotation>
<xsd:documentation xml:lang="en">
A type describing the principal exchange features of the return swap.
</xsd:documentation>
</xsd:annotation>
<xsd:sequence>
<xsd:element minOccurs="0" name="principalExchanges" type="PrincipalExchanges">
<xsd:annotation>
<xsd:documentation xml:lang="en">
The true/false flags indicating whether initial, intermediate or final exchanges of principal should occur.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element maxOccurs="unbounded" name="principalExchangeDescriptions" type="PrincipalExchangeDescriptions">
<xsd:annotation>
<xsd:documentation xml:lang="en">
Specifies each of the characteristics of the principal exchange cashflows, in terms of paying/receiving counterparties, amounts and dates.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
</xsd:sequence>
</xsd:complexType>
<xsd:complexType name="Representations">
<xsd:annotation>
<xsd:documentation xml:lang="en">
A type for defining ISDA 2002 Equity Derivative Representations.
</xsd:documentation>
</xsd:annotation>
<xsd:sequence>
<xsd:element name="nonReliance" type="xsd:boolean">
<xsd:annotation>
<xsd:documentation xml:lang="en">If true, then non reliance is applicable.</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="agreementsRegardingHedging" type="xsd:boolean">
<xsd:annotation>
<xsd:documentation xml:lang="en">
If true, then agreements regarding hedging are applicable.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element minOccurs="0" name="indexDisclaimer" type="xsd:boolean">
<xsd:annotation>
<xsd:documentation xml:lang="en">
If present and true, then index disclaimer is applicable.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="additionalAcknowledgements" type="xsd:boolean">
<xsd:annotation>
<xsd:documentation xml:lang="en">
If true, then additional acknowledgements are applicable.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
</xsd:sequence>
</xsd:complexType>
<xsd:complexType name="Return">
<xsd:annotation>
<xsd:documentation xml:lang="en">
A type describing the dividend return conditions applicable to the swap.
</xsd:documentation>
</xsd:annotation>
<xsd:sequence>
<xsd:element name="returnType" type="ReturnTypeEnum">
<xsd:annotation>
<xsd:documentation xml:lang="en">
Defines the type of return associated with the return swap.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element minOccurs="0" name="dividendConditions" type="DividendConditions">
<xsd:annotation>
<xsd:documentation xml:lang="en">
Specifies the conditions governing the payment of the dividends to the receiver of the equity return. With the exception of the dividend payout ratio, which is defined for each of the underlying components.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
</xsd:sequence>
</xsd:complexType>
<xsd:complexType name="ReturnLeg">
<xsd:annotation>
<xsd:documentation xml:lang="en">
A type describing the return leg of a return type swap.
</xsd:documentation>
</xsd:annotation>
<xsd:complexContent>
<xsd:extension base="ReturnSwapLegUnderlyer">
<xsd:sequence>
<xsd:element name="rateOfReturn" type="ReturnLegValuation">
<xsd:annotation>
<xsd:documentation xml:lang="en">
Specifies the terms of the initial price of the return type swap and of the subsequent valuations of the underlyer.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="notional" type="ReturnSwapNotional">
<xsd:annotation>
<xsd:documentation xml:lang="en">
Specifies the notional of a return type swap. When used in the equity leg, the definition will typically combine the actual amount (using the notional component defined by the FpML industry group) and the determination method. When used in the interest leg, the definition will typically point to the definition of the equity leg.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="amount" type="ReturnSwapAmount">
<xsd:annotation>
<xsd:documentation xml:lang="en">
Specifies, in relation to each Payment Date, the amount to which the Payment Date relates. For return swaps this element is equivalent to the Equity Amount term as defined in the ISDA 2002 Equity Derivatives Definitions.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="return" type="Return">
<xsd:annotation>
<xsd:documentation xml:lang="en">
Specifies the conditions under which dividend affecting the underlyer will be paid to the receiver of the amounts.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="notionalAdjustments" type="NotionalAdjustmentEnum">
<xsd:annotation>
<xsd:documentation xml:lang="en">
Specifies the conditions that govern the adjustment to the number of units of the return swap.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element minOccurs="0" name="fxFeature" type="FxFeature">
<xsd:annotation>
<xsd:documentation xml:lang="en">A quanto or composite FX feature.</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element minOccurs="0" name="averagingDates" type="AveragingPeriod">
<xsd:annotation>
<xsd:documentation xml:lang="en">Averaging Dates used in the swap.</xsd:documentation>
</xsd:annotation>
</xsd:element>
</xsd:sequence>
</xsd:extension>
</xsd:complexContent>
</xsd:complexType>
<xsd:complexType name="ReturnLegValuation">
<xsd:annotation>
<xsd:documentation xml:lang="en">
A type describing the initial and final valuation of the underlyer.
</xsd:documentation>
</xsd:annotation>
<xsd:sequence>
<xsd:element name="initialPrice" type="ReturnLegValuationPrice">
<xsd:annotation>
<xsd:documentation xml:lang="en">
Specifies the initial reference price of the underlyer. This price can be expressed either as an actual amount/currency, as a determination method, or by reference to another value specified in the swap document.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element minOccurs="0" name="notionalReset" type="xsd:boolean">
<xsd:annotation>
<xsd:documentation xml:lang="en">
For return swaps, this element is equivalent to the term "Equity Notional Reset" as defined in the ISDA 2002 Equity Derivatives Definitions. The reference to the ISDA definition is either "Applicable" or 'Inapplicable".
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element minOccurs="0" name="valuationPriceInterim" type="ReturnLegValuationPrice">
<xsd:annotation>
<xsd:documentation xml:lang="en">
Specifies the final valuation price of the underlyer. This price can be expressed either as an actual amount/currency, as a determination method, or by reference to another value specified in the swap document.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="valuationPriceFinal" type="ReturnLegValuationPrice">
<xsd:annotation>
<xsd:documentation xml:lang="en">
Specifies the final valuation price of the underlyer. This price can be expressed either as an actual amount/currency, as a determination method, or by reference to another value specified in the swap document.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="paymentDates" type="ReturnSwapPaymentDates">
<xsd:annotation>
<xsd:documentation xml:lang="en">Specifies the payment dates of the swap.</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element minOccurs="0" name="exchangeTradedContractNearest" type="ExchangeTradedContract">
<xsd:annotation>
<xsd:documentation xml:lang="en">References a Contract on the Exchange.</xsd:documentation>
</xsd:annotation>
</xsd:element>
</xsd:sequence>
</xsd:complexType>
<xsd:complexType name="ReturnLegValuationPrice">
<xsd:complexContent>
<xsd:extension base="Price">
<xsd:sequence>
<xsd:element minOccurs="0" name="valuationRules" type="EquityValuation">
<xsd:annotation>
<xsd:documentation xml:lang="en">Specifies valuation.</xsd:documentation>
</xsd:annotation>
</xsd:element>
</xsd:sequence>
</xsd:extension>
</xsd:complexContent>
</xsd:complexType>
<xsd:complexType name="ReturnSwap">
<xsd:annotation>
<xsd:documentation xml:lang="en">
A type describing return swaps including return swaps (long form), total return swaps, and variance swaps.
</xsd:documentation>
</xsd:annotation>
<xsd:complexContent>
<xsd:extension base="ReturnSwapBase">
<xsd:sequence>
<xsd:element maxOccurs="unbounded" minOccurs="0" name="earlyTermination" type="ReturnSwapEarlyTermination">
<xsd:annotation>
<xsd:documentation xml:lang="en">
Specifies, for one or for both the parties to the trade, the date from which it can early terminate it.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element minOccurs="0" name="extraordinaryEvents" type="ExtraordinaryEvents">
<xsd:annotation>
<xsd:documentation xml:lang="en">
Where the underlying is shares, specifies events affecting the issuer of those shares that may require the terms of the transaction to be adjusted.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
</xsd:sequence>
</xsd:extension>
</xsd:complexContent>
</xsd:complexType>
<xsd:complexType name="ReturnSwapAdditionalPayment">
<xsd:annotation>
<xsd:documentation xml:lang="en">
A type describing the additional payment(s) between the principal parties to the trade. This component extends some of the features of the additionalPayment component previously developed in FpML. Appropriate discussions will determine whether it would be appropriate to extend the shared component in order to meet the further requirements of equity swaps.
</xsd:documentation>
</xsd:annotation>
<xsd:complexContent>
<xsd:extension base="PaymentBase">
<xsd:sequence>
<xsd:group ref="PayerReceiver.model"/>
<xsd:annotation>
<xsd:documentation xml:lang="en">
Specifies the amount of the fee along with, when applicable, the formula that supports its determination.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:annotation>
<xsd:documentation xml:lang="en">
Specifies the value date of the fee payment/receipt.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element minOccurs="0" name="paymentType" type="PaymentType">
<xsd:annotation>
<xsd:documentation xml:lang="en">Classification of the payment.</xsd:documentation>
</xsd:annotation>
</xsd:element>
</xsd:sequence>
</xsd:extension>
</xsd:complexContent>
</xsd:complexType>
<xsd:complexType name="ReturnSwapAmount">
<xsd:annotation>
<xsd:documentation xml:lang="en">
Specifies, in relation to each Payment Date, the amount to which the Payment Date relates. For Equity Swaps this element is equivalent to the Equity Amount term as defined in the ISDA 2002 Equity Derivatives Definitions.
</xsd:documentation>
</xsd:annotation>
<xsd:complexContent>
<xsd:extension base="LegAmount">
<xsd:sequence>
<xsd:element name="cashSettlement" type="xsd:boolean">
<xsd:annotation>
<xsd:documentation xml:lang="en">If true, then cash settlement is applicable.</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:group ref="Dividends.model"/>
</xsd:sequence>
</xsd:extension>
</xsd:complexContent>
</xsd:complexType>
<xsd:complexType abstract="true" name="ReturnSwapBase">
<xsd:annotation>
<xsd:documentation xml:lang="en">
A type describing the components that are common for return type swaps, including short and long form return swaps representations.
</xsd:documentation>
</xsd:annotation>
<xsd:complexContent>
<xsd:extension base="Product">
<xsd:sequence>
<xsd:group minOccurs="0" ref="BuyerSeller.model">
<xsd:annotation>
<xsd:documentation xml:lang="en">
BuyerSeller.model has been included as an optional child of ReturnSwapBase to support the situation where an implementor wishes to indicate who has manufactured the Swap through representing them as the Seller. It may be removed in future major revisions.
</xsd:documentation>
</xsd:annotation>
</xsd:group>
<xsd:element maxOccurs="unbounded" ref="returnSwapLeg"/>
<xsd:element minOccurs="0" name="principalExchangeFeatures" type="PrincipalExchangeFeatures">
<xsd:annotation>
<xsd:documentation xml:lang="en">
This is used to document a Fully Funded Return Swap.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element maxOccurs="unbounded" minOccurs="0" name="additionalPayment" type="ReturnSwapAdditionalPayment">
<xsd:annotation>
<xsd:documentation xml:lang="en">
Specifies additional payment(s) between the principal parties to the trade.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
</xsd:sequence>
</xsd:extension>
</xsd:complexContent>
</xsd:complexType>
<xsd:complexType name="ReturnSwapEarlyTermination">
<xsd:annotation>
<xsd:documentation xml:lang="en">
A type describing the date from which each of the party may be allowed to terminate the trade.
</xsd:documentation>
</xsd:annotation>
<xsd:sequence>
<xsd:element name="partyReference" type="PartyReference">
<xsd:annotation>
<xsd:documentation xml:lang="en">
Reference to a party defined elsewhere in this document which may be allowed to terminate the trade.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="startingDate" type="StartingDate">
<xsd:annotation>
<xsd:documentation xml:lang="en">
Specifies the date from which the early termination clause can be exercised.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
</xsd:sequence>
</xsd:complexType>
<xsd:complexType abstract="true" name="ReturnSwapLegUnderlyer">
<xsd:annotation>
<xsd:documentation xml:lang="en">
A base class for all return leg types with an underlyer.
</xsd:documentation>
</xsd:annotation>
<xsd:complexContent>
<xsd:extension base="DirectionalLeg">
<xsd:sequence>
<xsd:element minOccurs="0" name="strikeDate" type="AdjustableOrRelativeDate">
<xsd:annotation>
<xsd:documentation xml:lang="en">
Specifies the strike date of this leg of the swap, used for forward starting swaps. When defined in relation to a date specified somewhere else in the document (through the relativeDate component), this element will typically by relative to the trade date of the swap.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="underlyer" type="Underlyer">
<xsd:annotation>
<xsd:documentation xml:lang="en">
Specifies the underlying component of the leg, which can be either one or many and consists in either equity, index or convertible bond component, or a combination of these.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:group ref="OptionSettlement.model"/>
</xsd:sequence>
</xsd:extension>
</xsd:complexContent>
</xsd:complexType>
<xsd:complexType name="ReturnSwapNotional">
<xsd:annotation>
<xsd:documentation xml:lang="en">
Specifies the notional of return type swap. When used in the equity leg, the definition will typically combine the actual amount (using the notional component defined by the FpML industry group) and the determination method. When used in the interest leg, the definition will typically point to the definition of the equity leg.
</xsd:documentation>
</xsd:annotation>
<xsd:choice>
<xsd:element name="relativeNotionalAmount" type="ReturnSwapNotionalAmountReference">
<xsd:annotation>
<xsd:documentation xml:lang="en">
A reference to the return swap notional amount defined elsewhere in this document.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:annotation>
<xsd:documentation xml:lang="en">
A reference to the return swap notional determination method defined elsewhere in this document.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="determinationMethod" type="DeterminationMethod">
<xsd:annotation>
<xsd:documentation xml:lang="en">
Specifies the method according to which an amount or a date is determined.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="notionalAmount" type="NotionalAmount">
<xsd:annotation>
<xsd:documentation xml:lang="en">The notional amount.</xsd:documentation>
</xsd:annotation>
</xsd:element>
</xsd:choice>
<xsd:attribute name="id" type="xsd:ID"/>
</xsd:complexType>
<xsd:complexType name="ReturnSwapPaymentDates">
<xsd:annotation>
<xsd:documentation xml:lang="en">
A type describing the return payment dates of the swap.
</xsd:documentation>
</xsd:annotation>
<xsd:sequence>
<xsd:element minOccurs="0" name="paymentDatesInterim" type="AdjustableOrRelativeDates">
<xsd:annotation>
<xsd:documentation xml:lang="en">
Specifies the interim payment dates of the swap. When defined in relation to a date specified somewhere else in the document (through the relativeDates component), this element will typically refer to the valuation dates and add a lag corresponding to the settlement cycle of the underlyer.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="paymentDateFinal" type="AdjustableOrRelativeDate">
<xsd:annotation>
<xsd:documentation xml:lang="en">
Specifies the final payment date of the swap. When defined in relation to a date specified somewhere else in the document (through the relativeDate component), this element will typically refer to the final valuation date and add a lag corresponding to the settlement cycle of the underlyer.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
</xsd:sequence>
<xsd:attribute name="id" type="xsd:ID"/>
</xsd:complexType>
<xsd:complexType name="StartingDate">
<xsd:annotation>
<xsd:documentation xml:lang="en">
A type specifying the date from which the early termination clause can be exercised.
</xsd:documentation>
</xsd:annotation>
<xsd:choice>
<xsd:element name="dateRelativeTo" type="DateReference">
<xsd:annotation>
<xsd:documentation xml:lang="en">
Reference to a date defined elswhere in the document.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="adjustableDate" type="AdjustableDate">
<xsd:annotation>
<xsd:documentation xml:lang="en">
Date from which early termination clause can be exercised.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
</xsd:choice>
</xsd:complexType>
<xsd:complexType name="StubCalculationPeriod">
<xsd:annotation>
<xsd:documentation xml:lang="en">A type describing the Stub Calculation Period.</xsd:documentation>
</xsd:annotation>
<xsd:choice>
<xsd:annotation>
<xsd:documentation xml:lang="en">
Choice group between mandatory specification of initial stub and optional specification of final stub, or mandatory final stub.
</xsd:documentation>
</xsd:annotation>
<xsd:sequence>
<xsd:element name="initialStub" type="Stub"/>
<xsd:element minOccurs="0" name="finalStub" type="Stub"/>
</xsd:sequence>
<xsd:element name="finalStub" type="Stub"/>
</xsd:choice>
</xsd:complexType>
<xsd:complexType name="Variance">
<xsd:annotation>
<xsd:documentation xml:lang="en">
A type describing the variance amount of a variance swap.
</xsd:documentation>
</xsd:annotation>
<xsd:complexContent>
<xsd:extension base="CalculationFromObservation">
<xsd:sequence>
<xsd:element name="varianceAmount" type="NonNegativeMoney">
<xsd:annotation>
<xsd:documentation xml:lang="en">Variance amount, which is a cash multiplier.</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:choice>
<xsd:annotation>
<xsd:documentation xml:lang="en">
Choice between expressing the strike as volatility or variance.
</xsd:documentation>
</xsd:annotation>
<xsd:element name="volatilityStrikePrice" type="NonNegativeDecimal"/>
<xsd:element name="varianceStrikePrice" type="NonNegativeDecimal"/>
</xsd:choice>
<xsd:element minOccurs="0" name="varianceCap" type="xsd:boolean">
<xsd:annotation>
<xsd:documentation xml:lang="en">
If present and true, then variance cap is applicable.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element minOccurs="0" name="unadjustedVarianceCap" type="PositiveDecimal">
<xsd:annotation>
<xsd:documentation xml:lang="en">
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.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element minOccurs="0" name="boundedVariance" type="BoundedVariance">
<xsd:annotation>
<xsd:documentation xml:lang="en">
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.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element minOccurs="0" name="exchangeTradedContractNearest" type="ExchangeTradedContract">
<xsd:annotation>
<xsd:documentation xml:lang="en">
Specification of the exchange traded contract nearest.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element minOccurs="0" name="vegaNotionalAmount" type="xsd:decimal">
<xsd:annotation>
<xsd:documentation xml:lang="en">
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.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
</xsd:sequence>
</xsd:extension>
</xsd:complexContent>
</xsd:complexType>
<xsd:element name="interestLeg" substitutionGroup="returnSwapLeg" type="InterestLeg">
<xsd:annotation>
<xsd:documentation xml:lang="en">The fixed income amounts of the return type swap.</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="returnLeg" substitutionGroup="returnSwapLeg" type="ReturnLeg">
<xsd:annotation>
<xsd:documentation xml:lang="en">Return amounts of the return type swap.</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="returnSwap" substitutionGroup="product" type="ReturnSwap">
<xsd:annotation>
<xsd:documentation xml:lang="en">
Specifies the structure of a return type swap. It can represent return swaps, total return swaps, variance swaps.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element abstract="true" name="returnSwapLeg" type="DirectionalLeg">
<xsd:annotation>
<xsd:documentation xml:lang="en">
An placeholder for the actual Return Swap Leg definition.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:annotation>
<xsd:documentation xml:lang="en">
A group containing return swap amount currency definition methods
</xsd:documentation>
</xsd:annotation>
<xsd:choice>
<xsd:element name="currency" type="IdentifiedCurrency">
<xsd:annotation>
<xsd:documentation xml:lang="en">The currency in which an amount is denominated.</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="determinationMethod" type="DeterminationMethod">
<xsd:annotation>
<xsd:documentation xml:lang="en">
Specifies the method according to which an amount or a date is determined.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:annotation>
<xsd:documentation xml:lang="en">
Reference to a currency defined elsewhere in the document
</xsd:documentation>
</xsd:annotation>
</xsd:element>
</xsd:choice>
</xsd:group>
<xsd:sequence>
<xsd:element minOccurs="0" name="declaredCashDividendPercentage" type="NonNegativeDecimal">
<xsd:annotation>
<xsd:documentation xml:lang="en">Declared Cash Dividend Percentage.</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element minOccurs="0" name="declaredCashEquivalentDividendPercentage" type="NonNegativeDecimal">
<xsd:annotation>
<xsd:documentation xml:lang="en">Declared Cash Equivalent Dividend Percentage.</xsd:documentation>
</xsd:annotation>
</xsd:element>
</xsd:sequence>
</xsd:group>
<xsd:group name="Dividends.model">
<xsd:annotation>
<xsd:documentation xml:lang="en">A group containing Dividend content</xsd:documentation>
</xsd:annotation>
<xsd:sequence>
<xsd:element minOccurs="0" name="optionsExchangeDividends" type="xsd:boolean">
<xsd:annotation>
<xsd:documentation xml:lang="en">
If present and true, then options exchange dividends are applicable.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element minOccurs="0" name="additionalDividends" type="xsd:boolean">
<xsd:annotation>
<xsd:documentation xml:lang="en">
If present and true, then additional dividends are applicable.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element minOccurs="0" name="allDividends" type="xsd:boolean">
<xsd:annotation>
<xsd:documentation xml:lang="en">
Represents the European Master Confirmation value of 'All Dividends' which, when applicable, signifies that, for a given Ex-Date, the daily observed Share Price for that day is adjusted (reduced) by the cash dividend and/or the cash value of any non cash dividend per Share (including Extraordinary Dividends) declared by the Issuer.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
</xsd:sequence>
</xsd:group>
<xsd:annotation>
<xsd:documentation xml:lang="en">A group containing Equity Underlyer provisions.</xsd:documentation>
</xsd:annotation>
<xsd:sequence>
<xsd:group minOccurs="0" ref="IndexAnnexFallback.model"/>
<xsd:element minOccurs="0" name="localJurisdiction" type="CountryCode">
<xsd:annotation>
<xsd:documentation xml:lang="en">
Local Jurisdiction is a term used in the AEJ Master Confirmation, which is used to determine local taxes, which shall mean taxes, duties, and similar charges imposed by the taxing authority of the Local Jurisdiction If this element is not present Local Jurisdiction is Not Applicable.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element minOccurs="0" name="relevantJurisdiction" type="CountryCode">
<xsd:annotation>
<xsd:documentation xml:lang="en">
Relevent Jurisdiction is a term used in the AEJ Master Confirmation, which is used to determine local taxes, which shall mean taxes, duties and similar charges that would be imposed by the taxing authority of the Country of Underlyer on a Hypothetical Broker Dealer assuming the Applicable Hedge Positions are held by its office in the Relevant Jurisdiction. If this element is not present Relevant Jurisdiction is Not Applicable.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
</xsd:sequence>
</xsd:group>
<xsd:group name="Feature.model">
<xsd:annotation>
<xsd:documentation xml:lang="en">A group containing Swap and Derivative features.</xsd:documentation>
</xsd:annotation>
<xsd:sequence>
<xsd:element minOccurs="0" name="feature" type="OptionFeatures">
<xsd:annotation>
<xsd:documentation xml:lang="en">Asian, Barrier, Knock and Pass Through features.</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element minOccurs="0" name="fxFeature" type="FxFeature">
<xsd:annotation>
<xsd:documentation xml:lang="en">Quanto, Composite, or Cross Currency FX features.</xsd:documentation>
</xsd:annotation>
</xsd:element>
</xsd:sequence>
</xsd:group>
<xsd:group name="IndexAnnexFallback.model">
<xsd:choice>
<xsd:element name="multipleExchangeIndexAnnexFallback" type="xsd:boolean">
<xsd:annotation>
<xsd:documentation xml:lang="en">
For an index option transaction, a flag to indicate whether a relevant Multiple Exchange Index Annex is applicable to the transaction. This annex defines additional provisions which are applicable where an index is comprised of component securities that are traded on multiple exchanges.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="componentSecurityIndexAnnexFallback" type="xsd:boolean">
<xsd:annotation>
<xsd:documentation xml:lang="en">
For an index option transaction, a flag to indicate whether a relevant Component Security Index Annex is applicable to the transaction.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
</xsd:choice>
</xsd:group>
<xsd:choice>
<xsd:element minOccurs="0" name="mutualEarlyTermination" type="xsd:boolean">
<xsd:annotation>
<xsd:documentation xml:lang="en">
Used for specifying whether the Mutual Early Termination Right that is detailed in the Master Confirmation will apply.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:sequence>
<xsd:element name="optionalEarlyTermination" type="xsd:boolean">
<xsd:annotation>
<xsd:documentation xml:lang="en">
A Boolean element used for specifying whether the Optional Early Termination clause detailed in the agreement will apply.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element minOccurs="0" name="optionalEarlyTerminationDate" type="EarlyTerminationDateEnum">
<xsd:annotation>
<xsd:documentation xml:lang="en">Optional Early Termination Date</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element minOccurs="0" name="optionalEarlyTerminationElectingPartyReference" type="PartyReference">
<xsd:annotation>
<xsd:documentation xml:lang="en">
Optional Early Termination Electing Party Reference
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element minOccurs="0" name="breakFundingRecovery" type="xsd:boolean">
<xsd:annotation>
<xsd:documentation xml:lang="en">
A Boolean element used for specifying whether the Break Funding Recovery detailed in the agreement will apply.
</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:sequence minOccurs="0">
<xsd:element name="breakFeeElection" type="FeeElectionEnum">
<xsd:annotation>
<xsd:documentation xml:lang="en">Defines the fee type.</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element minOccurs="0" name="breakFeeRate" type="NonNegativeDecimal"/>
</xsd:sequence>
</xsd:sequence>
</xsd:choice>
</xsd:group>
</xsd:schema>

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.