complexType "FloatingRate"
Namespace:
Content:
complex, 1 attribute, 7 elements
Defined:
Includes:
definitions of 5 elements
Used:
Content Model Diagram
XML Representation Summary
<...
   
 = 
xsd:ID
   
>
   
Content: 
</...>
Content Model Elements (7):
capRateSchedule,
floatingRateIndex (defined in FloatingRateIndex.model group),
floatingRateMultiplierSchedule,
floorRateSchedule,
indexTenor (defined in FloatingRateIndex.model group),
rateTreatment,
spreadSchedule (defined in FloatingRate complexType)
Known Direct Subtypes (1):
FloatingRateCalculation
Known Indirect Subtypes (1):
InflationRateCalculation
All Direct / Indirect Based Elements (6):
floatingRate (defined in StubValue complexType),
floatingRate (in underlyer defined in GenericProduct complexType),
floatingRateCalculation,
floatingRateCalculation (defined in InterestAccrualsMethod complexType),
floatingRateCalculation (in repo),
inflationRateCalculation
Known Usage Locations
Annotation
A type defining a floating rate.
Type Definition Detail
Type Derivation Tree
Rate (extension)
  FloatingRate
XML Source (w/o annotations (6); see within schema source)
<xsd:complexType name="FloatingRate">
<xsd:complexContent>
<xsd:extension base="Rate">
<xsd:sequence>
<xsd:group ref="FloatingRateIndex.model"/>
<xsd:element minOccurs="0" name="floatingRateMultiplierSchedule" type="Schedule"/>
<xsd:element maxOccurs="unbounded" minOccurs="0" name="spreadSchedule" type="SpreadSchedule"/>
<xsd:element minOccurs="0" name="rateTreatment" type="RateTreatmentEnum"/>
<xsd:element maxOccurs="unbounded" minOccurs="0" name="capRateSchedule" type="StrikeSchedule"/>
<xsd:element maxOccurs="unbounded" minOccurs="0" name="floorRateSchedule" type="StrikeSchedule"/>
</xsd:sequence>
</xsd:extension>
</xsd:complexContent>
</xsd:complexType>
Content Element Detail (all declarations; defined within this component only; 5/7)
capRateSchedule
Type:
StrikeSchedule, complex content
The cap rate or cap rate schedule, if any, which applies to the floating rate. The cap rate (strike) is only required where the floating rate on a swap stream is capped at a certain level. A cap rate schedule is expressed as explicit cap rates and dates and the step dates may be subject to adjustment in accordance with any adjustments specified in calculationPeriodDatesAdjustments. The cap rate is assumed to be exclusive of any spread and is a per annum rate, expressed as a decimal. A cap rate of 5% would be represented as 0.05.
XML Source (w/o annotations (1); see within schema source)
<xsd:element maxOccurs="unbounded" minOccurs="0" name="capRateSchedule" type="StrikeSchedule"/>

floatingRateMultiplierSchedule
Type:
Schedule, complex content
A rate multiplier or multiplier schedule to apply to the floating rate. A multiplier schedule is expressed as explicit multipliers and dates. In the case of a schedule, the step dates may be subject to adjustment in accordance with any adjustments specified in the calculationPeriodDatesAdjustments. The multiplier can be a positive or negative decimal. This element should only be included if the multiplier is not equal to 1 (one) for the term of the stream.
XML Source (w/o annotations (1); see within schema source)
<xsd:element minOccurs="0" name="floatingRateMultiplierSchedule" type="Schedule"/>

floorRateSchedule
Type:
StrikeSchedule, complex content
The floor rate or floor rate schedule, if any, which applies to the floating rate. The floor rate (strike) is only required where the floating rate on a swap stream is floored at a certain strike level. A floor rate schedule is expressed as explicit floor rates and dates and the step dates may be subject to adjustment in accordance with any adjustments specified in calculationPeriodDatesAdjustments. The floor rate is assumed to be exclusive of any spread and is a per annum rate, expressed as a decimal. A floor rate of 5% would be represented as 0.05.
XML Source (w/o annotations (1); see within schema source)
<xsd:element maxOccurs="unbounded" minOccurs="0" name="floorRateSchedule" type="StrikeSchedule"/>

rateTreatment
Type:
RateTreatmentEnum, simple content
The specification of any rate conversion which needs to be applied to the observed rate before being used in any calculations. The two common conversions are for securities quoted on a bank discount basis which will need to be converted to either a Money Market Yield or Bond Equivalent Yield. See the Annex to the 2000 ISDA Definitions, Section 7.3. Certain General Definitions Relating to Floating Rate Options, paragraphs (g) and (h) for definitions of these terms.
Simple Content
enumeration of xsd:token
Enumeration:
"BondEquivalentYield"
 - 
Bond Equivalent Yield. Per Annex to the 2000 ISDA Definitions (June 2000 Version), Section 7.3. Certain General Definitions Relating to Floating Rate Options, paragraph (g).
"MoneyMarketYield"
 - 
Money Market Yield. Per Annex to the 2000 ISDA Definitions (June 2000 Version), Section 7.3. Certain General Definitions Relating to Floating Rate Options, paragraph (h).
minLength:
0
XML Source (w/o annotations (1); see within schema source)
<xsd:element minOccurs="0" name="rateTreatment" type="RateTreatmentEnum"/>

spreadSchedule
Type:
SpreadSchedule, complex content
The ISDA Spread or a Spread schedule expressed as explicit spreads and dates. In the case of a schedule, the step dates may be subject to adjustment in accordance with any adjustments specified in calculationPeriodDatesAdjustments. The spread is a per annum rate, expressed as a decimal. For purposes of determining a calculation period amount, if positive the spread will be added to the floating rate and if negative the spread will be subtracted from the floating rate. A positive 10 basis point (0.1%) spread would be represented as 0.001.
XML Source (w/o annotations (1); see within schema source)
<xsd:element maxOccurs="unbounded" minOccurs="0" name="spreadSchedule" type="SpreadSchedule"/>

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