Schema Central > FpML 5.5 Confirmation > fpml-variance-swaps-5-5.xsd > fpml:varianceLeg
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fpml:varianceLeg

Variance Leg.

Element information

Type: fpml:VarianceLeg

Properties: Local, Qualified

Content

Attributes

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

Used in

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>

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