fpml:interestCalculation
Specifies the calculation method of the interest rate leg of the equity swap. Includes the floating or fixed rate calculation definitions, along with the determination of the day count fraction.
Element information
Namespace: http://www.fpml.org/FpML-5/confirmation
Schema document: fpml-eq-shared-5-5.xsd
Type: fpml:InterestCalculation
Properties: Local, Qualified
Content
- Sequence [1..1]
- Choice [1..1]
- fpml:floatingRateCalculation The floating rate calculation definitions
- fpml:fixedRate The calculation period fixed rate. A per annum rate, expressed as a decimal. A fixed rate of 5% would be represented as 0.05.
- fpml:dayCountFraction [1..1] The day count fraction.
- fpml:compounding [0..1] Defines compounding rates on the Interest Leg.
- Sequence [0..1]
- fpml:interpolationMethod [1..1] Specifies the type of interpolation used.
- fpml:interpolationPeriod [0..1] Defines applicable periods for interpolation.
from type fpml:InterestAccrualsMethod - Choice [1..1]
Attributes
| Name | Occ | Type | Description | Notes |
|---|---|---|---|---|
| id | [0..1] | xsd:ID |
Used in
- Type fpml:InterestLeg (Element fpml:interestLeg)
Sample instance
<interestCalculation> <floatingRateCalculation> <floatingRateIndex>EUR-EURIBOR-Reuters</floatingRateIndex> <indexTenor> <periodMultiplier>1</periodMultiplier> <period>M</period> </indexTenor> </floatingRateCalculation> <dayCountFraction>ACT/360</dayCountFraction> </interestCalculation>