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

Specifies the structure of a variance option.

Element information

Content

Attributes

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

Used in

Substitution hierarchy

Sample instance

<varianceOptionTransactionSupplement>
   <buyerPartyReference href="partyA"/>
   <sellerPartyReference href="partyB"/>
   <optionType>Call</optionType>
   <equityPremium>
      <payerPartyReference href="partyA"/>
      <receiverPartyReference href="partyB"/>
      <paymentAmount>
         <currency>GBP</currency>
         <amount>1500000</amount>
      </paymentAmount>
      <paymentDate>
         <unadjustedDate>2009-01-29</unadjustedDate>
         <dateAdjustments>
            <businessDayConvention>NotApplicable</businessDayConvention>
         </dateAdjustments>
      </paymentDate>
   </equityPremium>
   <equityExercise>
      <equityEuropeanExercise>
         <expirationDate>
            <adjustableDate>
               <unadjustedDate>2015-03-20</unadjustedDate>
               <dateAdjustments>
                  <businessDayConvention>NotApplicable</businessDayConvention>
               </dateAdjustments>
            </adjustableDate>
         </expirationDate>
         <equityExpirationTimeType>OSP</equityExpirationTimeType>
      </equityEuropeanExercise>
      <automaticExercise>true</automaticExercise>
      <equityValuation id="valuationDate">
         <futuresPriceValuation>true</futuresPriceValuation>
      </equityValuation>
      <settlementCurrency>GBP</settlementCurrency>
      <settlementType>Cash</settlementType>
   </equityExercise>
   <varianceSwapTransactionSupplement>
      <varianceLeg>
         <payerPartyReference href="partyA"/>
         <receiverPartyReference href="partyB"/>
         <underlyer>
            <singleUnderlyer>
               <index>
                  <instrumentId instrumentIdScheme="http://www.fpml.org/spec/2003/instrument-id-Reuters-RIC-1-0">.FTSE</instrumentId>
                  <description>FTSE 100 INDEX</description>
                  <exchangeId exchangeIdScheme="http://www.fpml.org/spec/2002/exchangeId">XLON</exchangeId>
                  <relatedExchangeId exchangeIdScheme="http://www.fpml.org/spec/2002/exchangeId">XLIF</relatedExchangeId>
               </index>
            </singleUnderlyer>
         </underlyer>
         <settlementType>Cash</settlementType>
         <settlementDate>
            <relativeDate>
               <periodMultiplier>2</periodMultiplier>
               <period>D</period>
               <dayType>CurrencyBusiness</dayType>
               <businessDayConvention>NotApplicable</businessDayConvention>
               <dateRelativeTo href="valuationDate"/>
            </relativeDate>
         </settlementDate>
         <settlementCurrency>GBP</settlementCurrency>
         <valuation>
            <valuationDate>
               <adjustableDate>
                  <unadjustedDate>2011-03-18</unadjustedDate>
                  <dateAdjustments>
                     <businessDayConvention>NotApplicable</businessDayConvention>
                  </dateAdjustments>
               </adjustableDate>
            </valuationDate>
            <futuresPriceValuation>true</futuresPriceValuation>
         </valuation>
         <amount>
            <observationStartDate>
               <adjustableDate>
                  <unadjustedDate>2009-01-27</unadjustedDate>
                  <dateAdjustments>
                     <businessDayConvention>NotApplicable</businessDayConvention>
                  </dateAdjustments>
               </adjustableDate>
            </observationStartDate>
            <variance>
               <closingLevel>true</closingLevel>
               <expectedN>542</expectedN>
               <varianceAmount>
                  <currency>GBP</currency>
                  <amount>33333.33</amount>
               </varianceAmount>
               <varianceStrikePrice>225</varianceStrikePrice>
               <varianceCap>false</varianceCap>
               <vegaNotionalAmount>1000000</vegaNotionalAmount>
            </variance>
         </amount>
      </varianceLeg>
      <multipleExchangeIndexAnnexFallback>false</multipleExchangeIndexAnnexFallback>
   </varianceSwapTransactionSupplement>
</varianceOptionTransactionSupplement>

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