fpml:spreadSchedule
The ISDA Spread or a Spread schedule expressed as explicit spreads and dates. In the case of a schedule, the step dates may be subject to adjustment in accordance with any adjustments specified in calculationPeriodDatesAdjustments. The spread is a per annum rate, expressed as a decimal. For purposes of determining a calculation period amount, if positive the spread will be added to the floating rate and if negative the spread will be subtracted from the floating rate. A positive 10 basis point (0.1%) spread would be represented as 0.001.
Element information
Namespace: http://www.fpml.org/FpML-5/confirmation
Schema document: fpml-shared-5-5.xsd
Other elements with the same name: fpml:spreadSchedule
Type: fpml:SpreadSchedule
Properties: Local, Qualified
Content
- Sequence [1..1]
- 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.
- fpml:type [0..1]
from type fpml:Schedule
Attributes
| Name | Occ | Type | Description | Notes |
|---|---|---|---|---|
| id | [0..1] | xsd:ID | from type fpml:Schedule |
Used in
- Type fpml:UnderlyerInterestLeg (Element fpml:underlyerFinancing)
- 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
<spreadSchedule> <initialValue>-0.0001</initialValue> </spreadSchedule>