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

A swaption product definition.

Element information

Type: fpml:Swaption

Properties: Global, Qualified

Content

Attributes

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

Used in

Substitution hierarchy

Sample instance

<swaption>
   <productId>EURIBOR-SWAPTION-1Yx5Y-0.5</productId>
   <buyerPartyReference href="buyer"/>
   <sellerPartyReference href="seller"/>
   <premium>
      <payerPartyReference href="buyer"/>
      <receiverPartyReference href="seller"/>
      <paymentAmount id="premium">
         <currency>EUR</currency>
         <amount>10000</amount>
      </paymentAmount>
      <paymentDate>
         <unadjustedDate>2000-08-30</unadjustedDate>
         <dateAdjustments>
            <businessDayConvention>FOLLOWING</businessDayConvention>
            <businessCenters>
               <businessCenter>EUTA</businessCenter>
            </businessCenters>
         </dateAdjustments>
      </paymentDate>
   </premium>
   <europeanExercise>
      <expirationDate>
         <adjustableDate>
            <unadjustedDate>2001-08-28</unadjustedDate>
            <dateAdjustments>
               <businessDayConvention>FOLLOWING</businessDayConvention>
               <businessCenters>
                  <businessCenter>EUTA</businessCenter>
                  <businessCenter>GBLO</businessCenter>
               </businessCenters>
            </dateAdjustments>
         </adjustableDate>
      </expirationDate>
      <earliestExerciseTime>
         <hourMinuteTime>09:00:00</hourMinuteTime>
         <businessCenter>BEBR</businessCenter>
      </earliestExerciseTime>
      <expirationTime>
         <hourMinuteTime>11:00:00</hourMinuteTime>
         <businessCenter>BEBR</businessCenter>
      </expirationTime>
   </europeanExercise>
   <exerciseProcedure>
      <manualExercise>
         <exerciseNotice>
            <partyReference href="seller"/>
            <businessCenter>GBLO</businessCenter>
         </exerciseNotice>
      </manualExercise>
      <followUpConfirmation>true</followUpConfirmation>
   </exerciseProcedure>
   <calculationAgent>
      <calculationAgentPartyReference href="seller"/>
   </calculationAgent>
   <swaptionStraddle>false</swaptionStraddle>
   <swap>
      <swapStream>
         <payerPartyReference href="buyer"/>
         <receiverPartyReference href="seller"/>
         <calculationPeriodDates id="CalcPeriodDates0">
            <effectiveDate>
               <unadjustedDate>2001-08-30</unadjustedDate>
               <dateAdjustments>
                  <businessDayConvention>NONE</businessDayConvention>
               </dateAdjustments>
            </effectiveDate>
            <terminationDate>
               <unadjustedDate>2006-08-30</unadjustedDate>
               <dateAdjustments>
                  <businessDayConvention>MODFOLLOWING</businessDayConvention>
                  <businessCenters id="accrualBusinessCenters0">
                     <businessCenter>EUTA</businessCenter>
                  </businessCenters>
               </dateAdjustments>
            </terminationDate>
            <calculationPeriodDatesAdjustments>
               <businessDayConvention>MODFOLLOWING</businessDayConvention>
               <businessCentersReference href="accrualBusinessCenters0"/>
            </calculationPeriodDatesAdjustments>
            <calculationPeriodFrequency>
               <periodMultiplier>1</periodMultiplier>
               <period>Y</period>
               <rollConvention>30</rollConvention>
            </calculationPeriodFrequency>
         </calculationPeriodDates>
         <paymentDates>
            <calculationPeriodDatesReference href="CalcPeriodDates0"/>
            <paymentFrequency>
               <periodMultiplier>1</periodMultiplier>
               <period>Y</period>
            </paymentFrequency>
            <payRelativeTo>CalculationPeriodEndDate</payRelativeTo>
            <paymentDatesAdjustments>
               <businessDayConvention>MODFOLLOWING</businessDayConvention>
               <businessCenters id="paymentBusinessCenters0">
                  <businessCenter>EUTA</businessCenter>
               </businessCenters>
            </paymentDatesAdjustments>
         </paymentDates>
         <calculationPeriodAmount>
            <calculation>
               <notionalSchedule id="notional">
                  <notionalStepSchedule>
                     <initialValue>1000000.00</initialValue>
                     <currency>EUR</currency>
                  </notionalStepSchedule>
               </notionalSchedule>
               <fixedRateSchedule id="fixed_rate">
                  <initialValue>0.05</initialValue>
               </fixedRateSchedule>
               <dayCountFraction>30/360</dayCountFraction>
            </calculation>
         </calculationPeriodAmount>
      </swapStream>
      <swapStream>
         <payerPartyReference href="seller"/>
         <receiverPartyReference href="buyer"/>
         <calculationPeriodDates id="CalcPeriodDates1">
            <effectiveDate>
               <unadjustedDate>2001-08-30</unadjustedDate>
               <dateAdjustments>
                  <businessDayConvention>NONE</businessDayConvention>
               </dateAdjustments>
            </effectiveDate>
            <terminationDate>
               <unadjustedDate>2006-08-30</unadjustedDate>
               <dateAdjustments>
                  <businessDayConvention>MODFOLLOWING</businessDayConvention>
                  <businessCenters id="accrualBusinessCenters1">
                     <businessCenter>EUTA</businessCenter>
                  </businessCenters>
               </dateAdjustments>
            </terminationDate>
            <calculationPeriodDatesAdjustments>
               <businessDayConvention>MODFOLLOWING</businessDayConvention>
               <businessCentersReference href="accrualBusinessCenters1"/>
            </calculationPeriodDatesAdjustments>
            <calculationPeriodFrequency>
               <periodMultiplier>6</periodMultiplier>
               <period>M</period>
               <rollConvention>30</rollConvention>
            </calculationPeriodFrequency>
         </calculationPeriodDates>
         <paymentDates>
            <calculationPeriodDatesReference href="CalcPeriodDates1"/>
            <paymentFrequency>
               <periodMultiplier>6</periodMultiplier>
               <period>M</period>
            </paymentFrequency>
            <payRelativeTo>CalculationPeriodEndDate</payRelativeTo>
            <paymentDatesAdjustments>
               <businessDayConvention>MODFOLLOWING</businessDayConvention>
               <businessCenters id="paymentBusinessCenters1">
                  <businessCenter>EUTA</businessCenter>
               </businessCenters>
            </paymentDatesAdjustments>
         </paymentDates>
         <resetDates id="resetDates0">
            <calculationPeriodDatesReference href="CalcPeriodDates1"/>
            <resetRelativeTo>CalculationPeriodStartDate</resetRelativeTo>
            <fixingDates>
               <periodMultiplier>-2</periodMultiplier>
               <period>D</period>
               <dayType>Business</dayType>
               <businessDayConvention>NONE</businessDayConvention>
               <businessCenters id="fixingBusinessCenters0">
                  <businessCenter>EUTA</businessCenter>
               </businessCenters>
               <dateRelativeTo href="resetDates0"/>
            </fixingDates>
            <resetFrequency>
               <periodMultiplier>6</periodMultiplier>
               <period>M</period>
            </resetFrequency>
            <resetDatesAdjustments>
               <businessDayConvention>MODFOLLOWING</businessDayConvention>
               <businessCentersReference href="paymentBusinessCenters1"/>
            </resetDatesAdjustments>
         </resetDates>
         <calculationPeriodAmount>
            <calculation>
               <notionalSchedule id="notional2">
                  <notionalStepSchedule>
                     <initialValue>1000000.0</initialValue>
                     <currency>EUR</currency>
                  </notionalStepSchedule>
               </notionalSchedule>
               <floatingRateCalculation>
                  <floatingRateIndex>EUR-EURIBOR-Telerate</floatingRateIndex>
                  <indexTenor>
                     <periodMultiplier>6</periodMultiplier>
                     <period>M</period>
                  </indexTenor>
               </floatingRateCalculation>
               <dayCountFraction>ACT/360</dayCountFraction>
            </calculation>
         </calculationPeriodAmount>
      </swapStream>
   </swap>
</swaption>

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