fpml:capRateSchedule

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.

Element information

Content

• Sequence [1..1]
  from type fpml:Schedule
  fpml:initialValue [1..1]    The initial rate or amount, as the case may be. An initial rate of 5% would be represented as 0.05.
  fpml:step [0..*]    The schedule of step date and value pairs. On each step date the associated step value becomes effective A list of steps may be ordered in the document by ascending step date. An FpML document containing an unordered list of steps is still regarded as a conformant document.
  1. fpml:buyer [0..1]    The buyer of the option
  2. fpml:seller [0..1]    The party that has sold.

Attributes

Used in

• Type fpml:FloatingRate (Elements fpml:floatingRate, fpml:floatingRate)
• Type fpml:InflationRateCalculation via extension of fpml:FloatingRate (Element fpml:inflationRateCalculation)
• Type fpml:FloatingRateCalculation via extension of fpml:FloatingRate (Elements fpml:floatingRateCalculation, fpml:floatingRateCalculation)

Sample instance

<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>