fpml:fx

FX observations to be used to convert the observed Commodity Reference Price to the Settlement Currency.

Element information

Content

• Sequence [1..1]
  1. fpml:primaryRateSource [1..1]    The primary source for where the rate observation will occur. Will typically be either a page or a reference bank published rate.
  2. fpml:secondaryRateSource [0..1]    An alternative, or secondary, source for where the rate observation will occur. Will typically be either a page or a reference bank published rate.
  3. fpml:fxType [0..1]    A type to identify how the FX rate will be applied. This is intended to differentiate between the various methods for applying FX to the floating price such as a daily calculation, or averaging the FX and applying the average at the end of each CalculationPeriod.
  4. fpml:averagingMethod [0..1]    The parties may specify a Method of Averaging when averaging of the FX rate is applicable.
  5. Choice [0..1]
     • fpml:fixingTime    The time at which the spot currency exchange rate will be observed. It is specified as a time in a specific business center, e.g. 11:00am London time.
     • Sequence [1..1]
       1. Choice [1..1]
          • fpml:fxObservationDates [1..*]    A list of the fx observation dates for a given Calculation Period.
          • Sequence [1..1]
            1. Sequence [0..1]
               from group fpml:PricingDays.model
               fpml:dayType [1..1]    The type of day on which pricing occurs.
               Choice [1..1]
               • Sequence [1..1]
                 1. fpml:dayDistribution [1..1]    The method by which the pricing days are distributed across the pricing period.
                 2. fpml:dayCount [0..1]    The number of days over which pricing should take place.
               • Sequence [1..1]
                 1. fpml:dayOfWeek [1..7]    The day(s) of the week on which pricing will take place during the pricing period.
                 2. fpml:dayNumber [0..1]    The occurrence of the dayOfWeek within the pricing period on which pricing will take place, e.g. the 3rd Friday within each Calculation Period. If omitted, every dayOfWeek will be a pricing day.
               from group fpml:LagOrReference.model
               Choice [0..1]
               • fpml:lag    The pricing period per calculation period if the pricing days do not wholly fall within the respective calculation period.
               • fpml:lagReference    Allows a lag to reference one already defined elsewhere in the trade.
            from group fpml:CommodityCalculationPeriodsPointer.model
            Choice [1..1]
            • 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.
       2. fpml:fixingTime [0..1]    The time at which the spot currency exchange rate will be observed. It is specified as a time in a specific business center, e.g. 11:00am London time.

Attributes

None

Used in

• Type fpml:CommodityExercise (Elements fpml:exercise, fpml:exercise)

Sample instance

<fpml:fx>
   <fpml:primaryRateSource>
      <fpml:rateSource>normalizedString</fpml:rateSource>
      <fpml:rateSourcePage>normalizedString</fpml:rateSourcePage>
      <fpml:rateSourcePageHeading>string</fpml:rateSourcePageHeading>
   </fpml:primaryRateSource>
   <fpml:secondaryRateSource>
      <fpml:rateSource>normalizedString</fpml:rateSource>
      <fpml:rateSourcePage>normalizedString</fpml:rateSourcePage>
      <fpml:rateSourcePageHeading>string</fpml:rateSourcePageHeading>
   </fpml:secondaryRateSource>
   <fpml:fxType>normalizedString</fpml:fxType>
   <fpml:averagingMethod>Unweighted</fpml:averagingMethod>
   <fpml:fixingTime>
      <fpml:hourMinuteTime>12:00:00</fpml:hourMinuteTime>
      <fpml:businessCenter>normalizedString</fpml:businessCenter>
   </fpml:fixingTime>
</fpml:fx>