Schema Central > FpML 5.5 Confirmation > fpml-ird-5-5.xsd > fpml:capFloor
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fpml:capFloor

A cap, floor or cap floor structures product definition.

Element information

Type: fpml:CapFloor

Properties: Global, Qualified

Content

Attributes

NameOccTypeDescriptionNotes
id [0..1]xsd:IDfrom type fpml:Product

Used in

Substitution hierarchy

Sample instance

<capFloor>
   <capFloorStream>
      <payerPartyReference href="party1"/>
      <receiverPartyReference href="party2"/>
      <calculationPeriodDates id="CalcPeriodDates0">
         <effectiveDate>
            <unadjustedDate>2001-06-30</unadjustedDate>
            <dateAdjustments>
               <businessDayConvention>NONE</businessDayConvention>
            </dateAdjustments>
         </effectiveDate>
         <terminationDate>
            <unadjustedDate>2006-06-30</unadjustedDate>
            <dateAdjustments>
               <businessDayConvention>MODFOLLOWING</businessDayConvention>
               <businessCenters id="accrualBusinessCenters0">
                  <businessCenter>GBLO</businessCenter>
                  <businessCenter>EUTA</businessCenter>
               </businessCenters>
            </dateAdjustments>
         </terminationDate>
         <calculationPeriodDatesAdjustments>
            <businessDayConvention>MODFOLLOWING</businessDayConvention>
            <businessCentersReference href="accrualBusinessCenters0"/>
         </calculationPeriodDatesAdjustments>
         <calculationPeriodFrequency>
            <periodMultiplier>6</periodMultiplier>
            <period>M</period>
            <rollConvention>30</rollConvention>
         </calculationPeriodFrequency>
      </calculationPeriodDates>
      <paymentDates>
         <calculationPeriodDatesReference href="CalcPeriodDates0"/>
         <paymentFrequency>
            <periodMultiplier>6</periodMultiplier>
            <period>M</period>
         </paymentFrequency>
         <payRelativeTo>CalculationPeriodEndDate</payRelativeTo>
         <paymentDatesAdjustments>
            <businessDayConvention>MODFOLLOWING</businessDayConvention>
            <businessCenters id="paymentBusinessCenters0">
               <businessCenter>GBLO</businessCenter>
               <businessCenter>EUTA</businessCenter>
            </businessCenters>
         </paymentDatesAdjustments>
      </paymentDates>
      <resetDates id="resetDates0">
         <calculationPeriodDatesReference href="CalcPeriodDates0"/>
         <resetRelativeTo>CalculationPeriodStartDate</resetRelativeTo>
         <fixingDates>
            <periodMultiplier>-2</periodMultiplier>
            <period>D</period>
            <dayType>Business</dayType>
            <businessDayConvention>NONE</businessDayConvention>
            <businessCenters id="resetBusinessCenters0">
               <businessCenter>EUTA</businessCenter>
            </businessCenters>
            <dateRelativeTo href="resetDates0"/>
         </fixingDates>
         <resetFrequency>
            <periodMultiplier>6</periodMultiplier>
            <period>M</period>
         </resetFrequency>
         <resetDatesAdjustments>
            <businessDayConvention>MODFOLLOWING</businessDayConvention>
            <businessCentersReference href="resetBusinessCenters0"/>
         </resetDatesAdjustments>
      </resetDates>
      <calculationPeriodAmount>
         <calculation>
            <notionalSchedule>
               <notionalStepSchedule>
                  <initialValue>100000000</initialValue>
                  <currency>EUR</currency>
               </notionalStepSchedule>
            </notionalSchedule>
            <floatingRateCalculation>
               <floatingRateIndex>EUR-EURIBOR-Telerate</floatingRateIndex>
               <indexTenor>
                  <periodMultiplier>6</periodMultiplier>
                  <period>M</period>
               </indexTenor>
               <capRateSchedule>
                  <initialValue>0.06</initialValue>
                  <step>
                     <stepDate>2002-06-30</stepDate>
                     <stepValue>0.0625</stepValue>
                  </step>
                  <step>
                     <stepDate>2003-06-30</stepDate>
                     <stepValue>0.065</stepValue>
                  </step>
                  <step>
                     <stepDate>2004-06-30</stepDate>
                     <stepValue>0.0675</stepValue>
                  </step>
                  <step>
                     <stepDate>2005-06-30</stepDate>
                     <stepValue>0.07</stepValue>
                  </step>
                  <buyer>Receiver</buyer>
                  <seller>Payer</seller>
               </capRateSchedule>
            </floatingRateCalculation>
            <dayCountFraction>ACT/360</dayCountFraction>
         </calculation>
      </calculationPeriodAmount>
   </capFloorStream>
</capFloor>

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