fpml:varianceLeg

Variance Leg.

Element information

Content

• Sequence [1..1]
  from type fpml:DirectionalLeg
  fpml:legIdentifier [0..*]    Version aware identification of this leg.
  from group fpml:PayerReceiver.model
  fpml:payerPartyReference [1..1]    A reference to the party responsible for making the payments defined by this structure.
  fpml:payerAccountReference [0..1]    A reference to the account responsible for making the payments defined by this structure.
  fpml:receiverPartyReference [1..1]    A reference to the party that receives the payments corresponding to this structure.
  fpml:receiverAccountReference [0..1]    A reference to the account that receives the payments corresponding to this structure.
  fpml:effectiveDate [0..1]    Specifies the effective date of this leg of the swap. When defined in relation to a date specified somewhere else in the document (through the relativeDate component), this element will typically point to the effective date of the other leg of the swap.
  fpml:terminationDate [0..1]    Specifies the termination date of this leg of the swap. When defined in relation to a date specified somewhere else in the document (through the relativeDate component), this element will typically point to the termination date of the other leg of the swap.
  from type fpml:DirectionalLegUnderlyer
  fpml:underlyer [1..1]    Specifies the underlyer of the leg.
  from group fpml:OptionSettlement.model
  fpml:settlementType [0..1]    
  fpml:settlementDate [0..1]    
  from group fpml:SettlementAmountOrCurrency.model
  Choice [0..1]
  • fpml:settlementAmount    Settlement Amount
  • fpml:settlementCurrency    Settlement Currency for use where the Settlement Amount cannot be known in advance
  fpml:fxFeature [0..1]    Quanto, Composite, or Cross Currency FX features.
  from type fpml:DirectionalLegUnderlyerValuation
  fpml:valuation [1..1]    Valuation of the underlyer.
  1. fpml:amount [1..1]    Specifies, in relation to each Equity Payment Date, the amount to which the Equity Payment Date relates. Unless otherwise specified, this term has the meaning defined in the ISDA 2002 Equity Derivatives Definitions.

Attributes

Used in

• Type fpml:VarianceSwap (Element fpml:varianceSwap)
• Type fpml:VarianceSwapTransactionSupplement (Elements fpml:varianceSwapTransactionSupplement, fpml:varianceSwapTransactionSupplement)

Sample instance

<varianceLeg>
   <payerPartyReference href="party1"/>
   <receiverPartyReference href="party2"/>
   <underlyer>
      <singleUnderlyer>
         <index>
            <instrumentId instrumentIdScheme="http://www.fpml.org/schemes/4.1/instrumentId">.SP500</instrumentId>
            <description>SP 500 Index</description>
            <currency>USD</currency>
            <exchangeId exchangeIdScheme="http://www.fpml.org/schemes/4.1/exchangeId">XNYS</exchangeId>
            <relatedExchangeId exchangeIdScheme="http://www.fpml.org/schemes/4.1/exchangeId">XCBO</relatedExchangeId>
         </index>
      </singleUnderlyer>
   </underlyer>
   <settlementType>Cash</settlementType>
   <valuation>
      <valuationDate id="FinalValuationDate">
         <adjustableDate>
            <unadjustedDate>2004-07-21</unadjustedDate>
            <dateAdjustments>
               <businessDayConvention>NotApplicable</businessDayConvention>
            </dateAdjustments>
         </adjustableDate>
      </valuationDate>
      <futuresPriceValuation>true</futuresPriceValuation>
   </valuation>
   <amount>
      <variance>
         <closingLevel>true</closingLevel>
         <varianceAmount>
            <currency>USD</currency>
            <amount>350000</amount>
         </varianceAmount>
         <varianceStrikePrice>950</varianceStrikePrice>
         <exchangeTradedContractNearest>
            <instrumentId instrumentIdScheme="http://www.fpml.org/schemes/4.1/instrumentId">.SP500</instrumentId>
            <description>SP 500 INDEX</description>
            <currency>USD</currency>
            <exchangeId exchangeIdScheme="http://www.fpml.org/schemes/4.1/exchangeId">XNYS</exchangeId>
            <relatedExchangeId exchangeIdScheme="http://www.fpml.org/schemes/4.1/exchangeId">XCBO</relatedExchangeId>
            <contractReference>CBOE SEP04 SP500 FUTURE</contractReference>
            <expirationDate>
               <adjustableDate>
                  <unadjustedDate>2004-09-23</unadjustedDate>
                  <dateAdjustments>
                     <businessDayConvention>NONE</businessDayConvention>
                  </dateAdjustments>
               </adjustableDate>
            </expirationDate>
         </exchangeTradedContractNearest>
      </variance>
   </amount>
</varianceLeg>