complexType "FxAccrualForward"
Namespace:
http://www.fpml.org/FpML-5/confirmation
Content:
complex, 1 attribute, 18 elements
Defined:
globally in fpml-fx-accruals-5-8.xsd; see XML source
Includes:
definitions of 9 elements
Used:
at 1 location
Content Model Diagram
XML Representation Summary
<...
   
 = 
xsd:ID
   
>
   
Content: 
</...>
Content Model Elements (18):
accrualProcess (in fxAccrualForward),
additionalPayment (in fxAccrualForward),
assetClass,
averageRate (in fxAccrualForward),
cashSettlement (in fxAccrualForward),
counterCurrencyAmount (in fxAccrualForward),
expiryDate (defined in FxExpiryDateOrSchedule.model group),
expirySchedule (defined in FxExpiryDateOrSchedule.model group),
knockoutBarrier (in fxAccrualForward),
notionalAmount (in fxAccrualForward),
primaryAssetClass,
productId (defined in Product.model group),
productType (defined in Product.model group),
secondaryAssetClass,
settlementDate (defined in FxSettlementDateOrSchedule.model group),
settlementSchedule (defined in FxSettlementDateOrSchedule.model group),
spotRate (in fxAccrualForward),
vanillaPayoffRegion (in fxAccrualForward)
All Direct / Indirect Based Elements (1):
fxAccrualForward
Known Usage Locations
Annotation
The product defines a list of fixing (or observation) dates. There are m total fixings. In this Strategy, one accumulates a fixed proportion of Notional for every business day (or chosen frequency) that spot fixes within the pre-defined limits. If spot breaks the limits, the Notional stops accumulating during the fixings outside the limits, but continues accruing once spot comes back to the accruing region. At expiry, one buys the accrued Notional at the pre-agreed hedge rate. Payout can be cash or physical.
Type Definition Detail
Type Derivation Tree
Product (extension)
  FxAccrualForward
XML Source (w/o annotations (12); see within schema source)
<xsd:complexType name="FxAccrualForward">
<xsd:complexContent>
<xsd:extension base="Product">
<xsd:sequence>
<!--2015-02-05: FpML FX WG: agreed to move "exchangedCurrency1" ofType "FxCurrencyPayment" and "exchangedCurrency2" ofType "FxCurrencyPayment" inside "vanillaPayoffRegion" component-->
<!--2015-02-05: FpML FX WG: agreed not to include "quotedCurrencyPair" component-->
<!--2015-02-05: FpML FX WG: agreed to remove "effectiveDate" of type "AdjustableOrRelativeDate" and "tenorPeriod" of type "Period". Rationale: it is not clear where you need this information. We could always add it back when we see the requirements.-->
<!--2015-02-05: FpML FX WG: agreed to replace "notionalAmount" element's "NonNegativeMoney" type with "NonNegativeAmountSchedule" type to support Strips, contract with multiple notionals -->
<xsd:sequence>
<xsd:element name="notionalAmount" type="NonNegativeAmountSchedule"/>
<!--2015-02-05: FpML FX WG: agreed to replace "counterCurrencyAmount" element's "NonNegativeMoney" type with "NonNegativeAmountSchedule" type to support Strips, contract with multiple notionals -->
<!--2015-01-29: FpML FX WG: made element optional to support Average Strike Accrual Option-->
<xsd:element maxOccurs="unbounded" minOccurs="0" name="counterCurrencyAmount" type="FxCounterCurrencyAmount"/>
</xsd:sequence>
<!--2015-01-13: GFXD: agreed to call the end of accrual period - expiryDate - for accrual forward as well-->
<xsd:group ref="FxExpiryDateOrSchedule.model"/>
<!--2015-02-02: Removed exerciseProcedure: not relevant for forward-->
<!--2015-02-05: FpML FX WG: agreed to move "strike" ofType "FxForwardStrikePrice" and "averageStrike" ofType="FxAverageStrike" inside "vanillaPayoffRegion" component-->
<!--2015-01-29:FpML FX WG: agreed to add support for averageStrike/averageRate product component-->
<!--2015-02-05: renamed back to spotRate to align all FX products-->
<!--2015-02-02: renamed from spotRate to align with Target product-->
<xsd:element minOccurs="0" name="spotRate" type="PositiveDecimal"/>
<xsd:sequence>
<!--2015-01-29: FpML FX WG: propose payoffRegion to support collar -->
<xsd:element maxOccurs="unbounded" name="vanillaPayoffRegion" type="FxAccrualVanillaPayoffRegion"/>
<!--2015-01-29: FpML FX WG: added support for Average Rate Accrual Forward.
- This is a property you would calculate for the product as a whole at maturity and
which you would then use with a relevant payoff region to establish the payoff -->
<xsd:element minOccurs="0" name="averageRate" type="FxAverageRate"/>
</xsd:sequence>
<xsd:element name="accrualProcess" type="FxAccrualProcess"/>
<!--2015-02-05:FpML FX WG: agreed to rename "accrualKnockoutBarrier" to "knockoutBarrier" -->
<xsd:element maxOccurs="unbounded" minOccurs="0" name="knockoutBarrier" type="FxAccrualKnockoutBarrier"/>
<!--2015-02-05: FpML FX WG: agreed to move "payoffLeverage" ofType "FxAccrualPayoffLeverage" inside "vanillaPayoffRegion" component-->
<xsd:element minOccurs="0" name="cashSettlement" type="FxCashSettlementSimple"/>
<xsd:element maxOccurs="unbounded" minOccurs="0" name="additionalPayment" type="SimplePayment"/>
</xsd:sequence>
</xsd:extension>
</xsd:complexContent>
</xsd:complexType>
Content Element Detail (all declarations; defined within this component only; 9/18)
accrualProcess
Type:
FxAccrualProcess, complex content
Describes accrual features within the product.
XML Source (w/o annotations (1); see within schema source)
<xsd:element name="accrualProcess" type="FxAccrualProcess"/>
additionalPayment
Type:
SimplePayment, complex content
It supports the representation of premiums, fees, etc.
XML Source (w/o annotations (1); see within schema source)
<xsd:element maxOccurs="unbounded" minOccurs="0" name="additionalPayment" type="SimplePayment"/>
averageRate
Type:
FxAverageRate, complex content
Average Rate Forward: means the average of the Reference Spot Rate on each Business Day from and including the Calculation Start Date up to and including the Calculation End Date rounded to the precision decimal places.
XML Source (w/o annotations (1); see within schema source)
<xsd:element minOccurs="0" name="averageRate" type="FxAverageRate"/>
cashSettlement
Type:
FxCashSettlementSimple, complex content
Cash settlement currency.
XML Source (w/o annotations (1); see within schema source)
<xsd:element minOccurs="0" name="cashSettlement" type="FxCashSettlementSimple"/>
counterCurrencyAmount
Type:
FxCounterCurrencyAmount, complex content
The opposite currency amount. The counterCurrencyAmount element is only optional if averageStrike component is present, in all other cases this element must be populated.
XML Source (w/o annotations (1); see within schema source)
<xsd:element maxOccurs="unbounded" minOccurs="0" name="counterCurrencyAmount" type="FxCounterCurrencyAmount"/>
knockoutBarrier
Type:
FxAccrualKnockoutBarrier, complex content
Defines a knockout barrier conditions where if a barrier event occurs, the accrual process is terminated for the duration of all remainin accrual periods. Settlement rights for the next settlement are either retained or extinguished.
XML Source (w/o annotations (1); see within schema source)
<xsd:element maxOccurs="unbounded" minOccurs="0" name="knockoutBarrier" type="FxAccrualKnockoutBarrier"/>
notionalAmount
Type:
NonNegativeAmountSchedule, complex content
Notional amount Schedule. The notional value of the product per settlement period. This number divided by the total number of fixings in the fixing schedule is the amount that is accrued at each fixing if the accrual factor is one.
XML Source (w/o annotations (1); see within schema source)
<xsd:element name="notionalAmount" type="NonNegativeAmountSchedule"/>
spotRate
Type:
PositiveDecimal, simple content
An optional element used for FX forwards and certain types of FX OTC options. For deals consumated in the FX Forwards Market, this represents the current market rate for a particular currency pair. For barrier and digital/binary options, it can be useful to include the spot rate at the time the option was executed to make it easier to know whether the option needs to move "up" or "down" to be triggered.
Simple Content
xsd:decimal
minExclusive:
0
XML Source (w/o annotations (1); see within schema source)
<xsd:element minOccurs="0" name="spotRate" type="PositiveDecimal"/>
vanillaPayoffRegion
Type:
FxAccrualVanillaPayoffRegion, complex content
A region in which a vanilla payoff occurs.
XML Source (w/o annotations (1); see within schema source)
<xsd:element maxOccurs="unbounded" name="vanillaPayoffRegion" type="FxAccrualVanillaPayoffRegion"/>
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.