Schema Central > FpML 5.5 Confirmation > fpml-ird-5-5.xsd > fpml:swapStream
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fpml:swapStream

The swap streams.

Element information

Type: fpml:InterestRateStream

Properties: Local, Qualified

Content

Attributes

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

Used in

Sample instance

<swapStream>
   <payerPartyReference href="party6"/>
   <receiverPartyReference href="party2"/>
   <calculationPeriodDates id="floatingCalcPeriodDates">
      <effectiveDate>
         <unadjustedDate>1994-12-14</unadjustedDate>
         <dateAdjustments>
            <businessDayConvention>NONE</businessDayConvention>
         </dateAdjustments>
      </effectiveDate>
      <terminationDate>
         <unadjustedDate>1999-12-14</unadjustedDate>
         <dateAdjustments>
            <businessDayConvention>MODFOLLOWING</businessDayConvention>
            <businessCenters id="primaryBusinessCenters">
               <businessCenter>DEFR</businessCenter>
            </businessCenters>
         </dateAdjustments>
      </terminationDate>
      <calculationPeriodDatesAdjustments>
         <businessDayConvention>MODFOLLOWING</businessDayConvention>
         <businessCentersReference href="primaryBusinessCenters"/>
      </calculationPeriodDatesAdjustments>
      <calculationPeriodFrequency>
         <periodMultiplier>6</periodMultiplier>
         <period>M</period>
         <rollConvention>14</rollConvention>
      </calculationPeriodFrequency>
   </calculationPeriodDates>
   <paymentDates>
      <calculationPeriodDatesReference href="floatingCalcPeriodDates"/>
      <paymentFrequency>
         <periodMultiplier>6</periodMultiplier>
         <period>M</period>
      </paymentFrequency>
      <payRelativeTo>CalculationPeriodEndDate</payRelativeTo>
      <paymentDatesAdjustments>
         <businessDayConvention>MODFOLLOWING</businessDayConvention>
         <businessCentersReference href="primaryBusinessCenters"/>
      </paymentDatesAdjustments>
   </paymentDates>
   <resetDates id="resetDates">
      <calculationPeriodDatesReference href="floatingCalcPeriodDates"/>
      <resetRelativeTo>CalculationPeriodStartDate</resetRelativeTo>
      <fixingDates>
         <periodMultiplier>-2</periodMultiplier>
         <period>D</period>
         <dayType>Business</dayType>
         <businessDayConvention>NONE</businessDayConvention>
         <businessCenters>
            <businessCenter>GBLO</businessCenter>
         </businessCenters>
         <dateRelativeTo href="resetDates"/>
      </fixingDates>
      <resetFrequency>
         <periodMultiplier>6</periodMultiplier>
         <period>M</period>
      </resetFrequency>
      <resetDatesAdjustments>
         <businessDayConvention>MODFOLLOWING</businessDayConvention>
         <businessCentersReference href="primaryBusinessCenters"/>
      </resetDatesAdjustments>
   </resetDates>
   <calculationPeriodAmount>
      <calculation>
         <notionalSchedule>
            <notionalStepSchedule>
               <initialValue>50000000.00</initialValue>
               <currency>EUR</currency>
            </notionalStepSchedule>
         </notionalSchedule>
         <floatingRateCalculation>
            <floatingRateIndex>EUR-LIBOR-BBA</floatingRateIndex>
            <indexTenor>
               <periodMultiplier>6</periodMultiplier>
               <period>M</period>
            </indexTenor>
         </floatingRateCalculation>
         <dayCountFraction>ACT/360</dayCountFraction>
      </calculation>
   </calculationPeriodAmount>
</swapStream>

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