complexType "FxPerformanceSwap"
Namespace:
http://www.fpml.org/FpML-5/confirmation
Content:
complex, 1 attribute, 19 elements
Defined:
globally in fpml-fx-5-8.xsd; see XML source
Includes:
definitions of 14 elements
Used:
at 2 locations
Content Model Diagram
XML Representation Summary
<...
   
 = 
xsd:ID
   
>
   
Content: 
</...>
Content Model Elements (19):
additionalPayment (defined in FxPerformanceSwap complexType),
annualizationFactor (defined in FxPerformanceSwap complexType),
assetClass,
cashSettlement (defined in FxPerformanceSwap complexType),
fixedLeg (defined in FxPerformanceSwap complexType),
fixingSchedule (defined in FxPerformanceSwap complexType),
floatingLeg (defined in FxPerformanceSwap complexType),
meanAdjustment,
notional (defined in FxPerformanceSwap complexType),
numberOfReturns,
primaryAssetClass,
productId (defined in Product.model group),
productType (defined in Product.model group),
quotedCurrencyPair (defined in FxPerformanceSwap complexType),
secondaryAssetClass,
settlementDate (defined in FxPerformanceSwap complexType),
valuationDate (defined in FxPerformanceSwap complexType),
valuationDateOffset,
vegaNotional
All Direct / Indirect Based Elements (2):
fxVarianceSwap, fxVolatilitySwap
Known Usage Locations
Annotation
Describes an FX volatility and variance swap.
Type Definition Detail
Type Derivation Tree
Product (extension)
  FxPerformanceSwap
XML Source (w/o annotations (15); see within schema source)
<xsd:complexType name="FxPerformanceSwap">
<xsd:complexContent>
<xsd:extension base="Product">
<xsd:sequence>
<!--Oct-02-2014 FpMLWG: Moved quotedCurrencyPair to the top-->
<xsd:element name="quotedCurrencyPair" type="QuotedCurrencyPair"/>
<xsd:element name="vegaNotional" type="NonNegativeMoney"/>
<xsd:element minOccurs="0" name="notional" type="NonNegativeMoney"/>
<!--Oct-02-2014 FpMLWG: renamed fixedFxRate to fixedLeg-->
<xsd:element name="fixedLeg" type="FxPerformanceFixedLeg"/>
<!--Oct-02-2014 FpMLWG: renamed floatingFxRate to floatingLeg-->
<!--is this required in the reg reporting?-->
<xsd:element name="floatingLeg" type="FxPerformanceFloatingLeg"/>
<xsd:element name="fixingSchedule" type="FxFixingScheduleSimple"/>
<xsd:choice minOccurs="0">
<xsd:element name="valuationDate" type="xsd:date"/>
<xsd:element name="valuationDateOffset" type="FxValuationDateOffset"/>
</xsd:choice>
<xsd:element name="settlementDate" type="AdjustableOrAdjustedDate"/>
<!--Confirm with the group: use FxCashSettlement type and create Business rules or recreate a new type to make fixing and settlementDate - required -->
<xsd:element minOccurs="0" name="cashSettlement" type="FxCashSettlementSimple"/>
<xsd:element minOccurs="0" name="numberOfReturns" type="xsd:nonNegativeInteger"/>
<xsd:element name="annualizationFactor" type="xsd:decimal"/>
<xsd:element name="meanAdjustment" type="xsd:boolean"/>
<!--Does it need to be "ClassifiedPayment" type? Does it need to be "unbounded"-->
<xsd:element maxOccurs="unbounded" minOccurs="0" name="additionalPayment" type="Payment"/>
</xsd:sequence>
</xsd:extension>
</xsd:complexContent>
</xsd:complexType>
Content Element Detail (all declarations; defined within this component only; 14/19)
additionalPayment
Type:
Payment, complex content
Additional Payment means, in respect of an FX Transaction, where such fee is required, and a Transaction Fee Payment Date, the amount, if any, that is specified or otherwise determined as provided in the related Confirmation and, subject to any applicable condition precedent, is payable by one party to the other as further specified or otherwise determined as provided in the related Confirmation on the Transaction Fee Payment Date or on each Transaction Fee Payment Date if more than one is specified, for value on such date.
XML Source (w/o annotations (1); see within schema source)
<xsd:element maxOccurs="unbounded" minOccurs="0" name="additionalPayment" type="Payment"/>
annualizationFactor
Type:
xsd:decimal, predefined, simple content
This specifies the numerator of an annualization factor. Frequently this number is equal to the number of observations of prices in a year e.g. 252.
XML Source (w/o annotations (1); see within schema source)
<xsd:element name="annualizationFactor" type="xsd:decimal"/>
cashSettlement
Type:
FxCashSettlementSimple, complex content
Specifies the currency and fixing details for cash settlement.
XML Source (w/o annotations (1); see within schema source)
<xsd:element minOccurs="0" name="cashSettlement" type="FxCashSettlementSimple"/>
fixedLeg
Type:
FxPerformanceFixedLeg, complex content
Fixed FX Rate component describes the Fixed FX Rate and Fixed FX Rate Payer as such in the Confirmation for the Non-Deliverable Swap FX Transaction.
XML Source (w/o annotations (1); see within schema source)
<xsd:element name="fixedLeg" type="FxPerformanceFixedLeg"/>
fixingSchedule
Type:
FxFixingScheduleSimple, complex content
Parametric schedule of rate observations.
XML Source (w/o annotations (1); see within schema source)
<xsd:element name="fixingSchedule" type="FxFixingScheduleSimple"/>
floatingLeg
Type:
FxPerformanceFloatingLeg, complex content
Floating FX Rate component describes the Flaoting FX Rate Payer of the rate determined in accordance with the Floating FX Rate Option specified in the Confirmation.
XML Source (w/o annotations (1); see within schema source)
<xsd:element name="floatingLeg" type="FxPerformanceFloatingLeg"/>
meanAdjustment
Type:
xsd:boolean, predefined, simple content
Specifies whether "Mean Adjustment" is applicable or not in calculation of the Realized Volatility.
XML Source (w/o annotations (1); see within schema source)
<xsd:element name="meanAdjustment" type="xsd:boolean"/>
notional
Type:
NonNegativeMoney, complex content
Notional Amount means, in the case of Transaction Type Variance Swap, the currency and amount specified as such in the related Confirmation or an amount calculated in accordance with the following: Notional Amount = Vega Notional Amount / (0.02 x Fixed FX Rate). This element is mandatory in case of Variance Swap transaction.
XML Source (w/o annotations (1); see within schema source)
<xsd:element minOccurs="0" name="notional" type="NonNegativeMoney"/>
numberOfReturns
Type:
xsd:nonNegativeInteger, predefined, simple content
Number of Returns is the number of Observation Dates in the Observation Period, excluding the Initial Observation Date (where the Observation Rate on the Initial Observation Date shall equal S0).
XML Source (w/o annotations (1); see within schema source)
<xsd:element minOccurs="0" name="numberOfReturns" type="xsd:nonNegativeInteger"/>
quotedCurrencyPair
Type:
QuotedCurrencyPair, complex content
Currency Pair means, (a) in respect of a Deliverable FX Transaction, the currencies specified as being deliverable for a Transaction in the related Confirmation, (b) in respect of a Non-Deliverable FX Transaction, the Reference Currency and the Settlement Currency.
XML Source (w/o annotations (1); see within schema source)
<xsd:element name="quotedCurrencyPair" type="QuotedCurrencyPair"/>
settlementDate
Type:
AdjustableOrAdjustedDate, complex content
XML Source (see within schema source)
<xsd:element name="settlementDate" type="AdjustableOrAdjustedDate"/>
valuationDate
Type:
xsd:date, predefined, simple content
Rate calculation date.
XML Source (w/o annotations (1); see within schema source)
<xsd:element name="valuationDate" type="xsd:date"/>
valuationDateOffset
Type:
FxValuationDateOffset, complex content
Valuation date offset always relative to the Final Observation Date and can be: [Final Observation Date][The first Business Day following the Final Observation Date]
XML Source (w/o annotations (1); see within schema source)
<xsd:element name="valuationDateOffset" type="FxValuationDateOffset"/>
vegaNotional
Type:
NonNegativeMoney, complex content
Vega Notional Amount means the currency and amount specified as such in the related Confirmation or, in the case of Transaction Type Variance Swap, may be calculated in accordance with the following: Vega Notional Amount = Notional Amount x 0.02 x Fixed FX Rate.
XML Source (w/o annotations (1); see within schema source)
<xsd:element name="vegaNotional" type="NonNegativeMoney"/>
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.