fpml:floatingLeg

Floating Price leg.

Element information

Content

• Sequence [1..1]
  from type fpml:FinancialSwapLeg
  from group fpml:PayerReceiver.model
  fpml:payerPartyReference [1..1]    A reference to the party responsible for making the payments defined by this structure.
  fpml:payerAccountReference [0..1]    A reference to the account responsible for making the payments defined by this structure.
  fpml:receiverPartyReference [1..1]    A reference to the party that receives the payments corresponding to this structure.
  fpml:receiverAccountReference [0..1]    A reference to the account that receives the payments corresponding to this structure.
  from group fpml:CommodityCalculationPeriods.model
  Choice [1..1]
  • fpml:calculationDates    The Calculation Period dates for this leg of the trade where the Calculation Periods are all one day long, typically a physically-settled emissions or metals trade. Only dates explicitly included determine the Calculation Periods and there is a Calculation Period for each date specified.
  • fpml:calculationPeriods    The Calculation Period start dates for this leg of the swap. This type is only intended to be used if the Calculation Periods differ on each leg. If Calculation Periods mirror another leg, then the calculationPeriodsReference element should be used to point to the Calculation Periods on that leg - or the calculationPeriodsScheduleReference can be used to point to the Calculation Periods Schedule for that leg.
  • fpml:calculationPeriodsSchedule    The Calculation Periods for this leg of the swap. This type is only intended to be used if the Calculation Periods differ on each leg. If Calculation Periods mirror another leg, then the calculationPeriodsReference element should be used to point to the Calculation Periods on the other leg - or the calculationPeriodsScheduleReference can be used to point to the Calculation Periods Schedule for that leg.
  from group fpml:CommodityCalculationPeriodsPointer.model
  fpml:calculationPeriodsReference    A pointer style reference to the Calculation Periods defined on another leg.
  fpml:calculationPeriodsScheduleReference    A pointer style reference to the Calculation Periods Schedule defined on another leg.
  fpml:calculationPeriodsDatesReference    A pointer style reference to single-day-duration Calculation Periods defined on another leg.
  1. fpml:commodity [1..1]    Specifies the underlying instrument. Only underlyers of type Commodity are supported.
  from group fpml:CommodityNotionalQuantity.model
  Choice [1..1]
  • Sequence [1..1]
    1. Choice [1..1]
       • fpml:notionalQuantitySchedule    Allows the documentation of a shaped notional trade where the notional changes over the life of the transaction.
       • fpml:notionalQuantity    The Notional Quantity.
       • fpml:settlementPeriodsNotionalQuantity [1..*]    For an electricity transaction, the Notional Quantity for a one or more groups of Settlement Periods to which the Notional Quantity is based. If the schedule differs for different groups of Settlement Periods, this element should be repeated.
    2. fpml:totalNotionalQuantity [0..1]    The Total Notional Quantity.
  • fpml:quantityReference    A pointer style reference to a quantity defined on another leg.
  2. fpml:calculation [1..1]    Defines details relevant to the calculation of the floating price.
  from group fpml:CommodityPaymentDates.model
  Choice [1..1]
  • fpml:relativePaymentDates    The Payment Dates of the trade relative to the Calculation Periods.
  from group fpml:CommodityNonPeriodicPaymentDates.model
  fpml:paymentDates    Dates on which payments will be made.
  fpml:masterAgreementPaymentDates    If present and true indicates that the Payment Date(s) are specified in the relevant master agreement.
  from group fpml:CommodityFreightFlatRate.model
  Sequence [0..1]
  1. fpml:flatRate [1..1]    Whether the Flat Rate is the New Worldwide Tanker Nominal Freight Scale for the Freight Index Route taken at the Trade Date of the transaction or taken on each Pricing Date.
  2. fpml:flatRateAmount [0..1]    If flatRate is set to "Fixed", the actual value of the Flat Rate.

Attributes

Used in

• Group fpml:CommoditySwapDetails.model
• Type fpml:CommoditySwap via reference to fpml:CommoditySwapDetails.model (Element fpml:commoditySwap)
• Type fpml:CommoditySwaptionUnderlying via reference to fpml:CommoditySwapDetails.model (Element fpml:commoditySwap)

Substitution hierarchy

• fpml:commoditySwapLeg
  • can be substituted with fpml:floatingLeg

Sample instance

<floatingLeg>
   <payerPartyReference href="partyB"/>
   <receiverPartyReference href="partyA"/>
   <calculationPeriodsSchedule id="floatingLegCalculationPeriods">
      <periodMultiplier>1</periodMultiplier>
      <period>M</period>
      <balanceOfFirstPeriod>false</balanceOfFirstPeriod>
   </calculationPeriodsSchedule>
   <commodity>
      <instrumentId instrumentIdScheme="http://www.fpml.org/coding-scheme/commodity-reference-price-1-0">NATURAL GAS-HENRY HUB-NYMEX</instrumentId>
      <specifiedPrice>Settlement</specifiedPrice>
      <deliveryDates>FirstNearby</deliveryDates>
   </commodity>
   <notionalQuantity>
      <quantityUnit>MMBTU</quantityUnit>
      <quantityFrequency>PerCalendarDay</quantityFrequency>
      <quantity>2500.0</quantity>
   </notionalQuantity>
   <totalNotionalQuantity>77500.0</totalNotionalQuantity>
   <calculation>
      <pricingDates>
         <calculationPeriodsScheduleReference href="floatingLegCalculationPeriods"/>
         <dayType>CommodityBusiness</dayType>
         <dayDistribution>Last</dayDistribution>
         <businessCalendar>NYMEX-NATURAL-GAS</businessCalendar>
      </pricingDates>
   </calculation>
   <relativePaymentDates>
      <payRelativeTo>CalculationPeriodEndDate</payRelativeTo>
      <calculationPeriodsScheduleReference href="floatingLegCalculationPeriods"/>
      <paymentDaysOffset>
         <periodMultiplier>5</periodMultiplier>
         <period>D</period>
         <dayType>Business</dayType>
         <businessDayConvention>NONE</businessDayConvention>
      </paymentDaysOffset>
      <businessCenters>
         <businessCenter>USNY</businessCenter>
      </businessCenters>
   </relativePaymentDates>
</floatingLeg>