Schema Central > FpML 5.5 Confirmation > fpml-return-swaps-5-5.xsd > fpml:equitySwapTransactionSupplement
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fpml:equitySwapTransactionSupplement

Specifies the structure of the equity swap transaction supplement.

Element information

Content

Attributes

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

Used in

Substitution hierarchy

Sample instance

<equitySwapTransactionSupplement>
   <interestLeg id="interestLeg">
      <payerPartyReference href="party1"/>
      <receiverPartyReference href="party2"/>
      <interestLegCalculationPeriodDates id="interestCalcPeriodDates">
         <effectiveDate>
            <adjustableDate>
               <unadjustedDate>2008-06-04</unadjustedDate>
               <dateAdjustments>
                  <businessDayConvention>MODFOLLOWING</businessDayConvention>
                  <businessCenters>
                     <businessCenter>EUTA</businessCenter>
                  </businessCenters>
               </dateAdjustments>
            </adjustableDate>
         </effectiveDate>
         <terminationDate>
            <adjustableDate>
               <unadjustedDate>2009-06-04</unadjustedDate>
               <dateAdjustments>
                  <businessDayConvention>MODFOLLOWING</businessDayConvention>
                  <businessCenters>
                     <businessCenter>EUTA</businessCenter>
                  </businessCenters>
               </dateAdjustments>
            </adjustableDate>
         </terminationDate>
         <interestLegResetDates>
            <calculationPeriodDatesReference href="interestCalcPeriodDates"/>
            <resetFrequency>
               <periodMultiplier>1</periodMultiplier>
               <period>M</period>
            </resetFrequency>
         </interestLegResetDates>
         <interestLegPaymentDates id="interestLegPaymentDates">
            <periodicDates>
               <calculationStartDate>
                  <adjustableDate>
                     <unadjustedDate>2008-06-04</unadjustedDate>
                     <dateAdjustments>
                        <businessDayConvention>MODFOLLOWING</businessDayConvention>
                        <businessCenters>
                           <businessCenter>EUTA</businessCenter>
                        </businessCenters>
                     </dateAdjustments>
                  </adjustableDate>
               </calculationStartDate>
               <calculationPeriodFrequency>
                  <periodMultiplier>1</periodMultiplier>
                  <period>M</period>
                  <rollConvention>4</rollConvention>
               </calculationPeriodFrequency>
               <calculationPeriodDatesAdjustments>
                  <businessDayConvention>MODFOLLOWING</businessDayConvention>
                  <businessCenters>
                     <businessCenter>EUTA</businessCenter>
                  </businessCenters>
               </calculationPeriodDatesAdjustments>
            </periodicDates>
         </interestLegPaymentDates>
      </interestLegCalculationPeriodDates>
      <notional>
         <relativeNotionalAmount href="equityNotionalAmount"/>
      </notional>
      <interestAmount>
         <currencyReference href="equityPaymentCurrency"/>
         <referenceAmount>StandardISDA</referenceAmount>
      </interestAmount>
      <interestCalculation>
         <floatingRateCalculation>
            <floatingRateIndex>EUR-EURIBOR-Reuters</floatingRateIndex>
            <indexTenor>
               <periodMultiplier>1</periodMultiplier>
               <period>M</period>
            </indexTenor>
         </floatingRateCalculation>
         <dayCountFraction>ACT/360</dayCountFraction>
      </interestCalculation>
   </interestLeg>
   <returnLeg>
      <payerPartyReference href="party2"/>
      <receiverPartyReference href="party1"/>
      <effectiveDate>
         <adjustableDate>
            <unadjustedDate>2008-06-02</unadjustedDate>
            <dateAdjustments>
               <businessDayConvention>NotApplicable</businessDayConvention>
            </dateAdjustments>
         </adjustableDate>
      </effectiveDate>
      <terminationDate>
         <adjustableDate>
            <unadjustedDate>2008-06-04</unadjustedDate>
            <dateAdjustments>
               <businessDayConvention>NotApplicable</businessDayConvention>
            </dateAdjustments>
         </adjustableDate>
      </terminationDate>
      <underlyer>
         <singleUnderlyer>
            <equity>
               <instrumentId instrumentIdScheme="http://www.abc.com/instrument-id-Reuters-RIC-1-0">PHGe.AS</instrumentId>
               <instrumentId instrumentIdScheme="http://www.abc.com/instrument-id-ISIN-1-0">NL0000009322</instrumentId>
               <description>PHILIPS BUY BACK ORD</description>
               <exchangeId exchangeIdScheme="http://www.abc.com/exchangeId">XAMS</exchangeId>
            </equity>
         </singleUnderlyer>
      </underlyer>
      <rateOfReturn>
         <initialPrice>
            <netPrice>
               <currency>EUR</currency>
               <amount>10.0</amount>
               <priceExpression>AbsoluteTerms</priceExpression>
            </netPrice>
         </initialPrice>
         <notionalReset>true</notionalReset>
         <valuationPriceInterim>
            <determinationMethod>ValuationTime</determinationMethod>
            <valuationRules>
               <valuationDates id="interimValuationDate">
                  <relativeDateSequence>
                     <dateRelativeTo href="interestLegPaymentDates"/>
                     <dateOffset>
                        <periodMultiplier>-2</periodMultiplier>
                        <period>D</period>
                        <businessDayConvention>PRECEDING</businessDayConvention>
                     </dateOffset>
                  </relativeDateSequence>
               </valuationDates>
            </valuationRules>
         </valuationPriceInterim>
         <valuationPriceFinal>
            <determinationMethod>HedgeExecution</determinationMethod>
            <valuationRules>
               <valuationDate id="finalValuationDate">
                  <adjustableDate>
                     <unadjustedDate>2009-06-02</unadjustedDate>
                     <dateAdjustments>
                        <businessDayConvention>NotApplicable</businessDayConvention>
                     </dateAdjustments>
                  </adjustableDate>
               </valuationDate>
            </valuationRules>
         </valuationPriceFinal>
         <paymentDates>
            <paymentDatesInterim>
               <relativeDates>
                  <periodMultiplier>2</periodMultiplier>
                  <period>D</period>
                  <dayType>CurrencyBusiness</dayType>
                  <businessDayConvention>FOLLOWING</businessDayConvention>
                  <businessCenters>
                     <businessCenter>EUTA</businessCenter>
                  </businessCenters>
                  <dateRelativeTo href="interimValuationDate"/>
               </relativeDates>
            </paymentDatesInterim>
            <paymentDateFinal>
               <relativeDate>
                  <periodMultiplier>2</periodMultiplier>
                  <period>D</period>
                  <dayType>CurrencyBusiness</dayType>
                  <businessDayConvention>FOLLOWING</businessDayConvention>
                  <businessCenters>
                     <businessCenter>EUTA</businessCenter>
                  </businessCenters>
                  <dateRelativeTo href="finalValuationDate"/>
               </relativeDate>
            </paymentDateFinal>
         </paymentDates>
      </rateOfReturn>
      <notional>
         <notionalAmount id="equityNotionalAmount">
            <currency>EUR</currency>
            <amount>300000.0</amount>
         </notionalAmount>
      </notional>
      <amount>
         <currency id="equityPaymentCurrency">EUR</currency>
         <referenceAmount>StandardISDA</referenceAmount>
         <cashSettlement>true</cashSettlement>
      </amount>
      <return>
         <returnType>Price</returnType>
      </return>
      <notionalAdjustments>Standard</notionalAdjustments>
   </returnLeg>
</equitySwapTransactionSupplement>

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