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

Specifies the structure of a variance swap.

Element information

Type: fpml:VarianceSwap

Properties: Global, Qualified

Content

Attributes

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

Used in

Substitution hierarchy

Sample instance

<varianceSwap>
   <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>
</varianceSwap>

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