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

The variance swap details.

Element information

Type: fpml:VarianceSwapTransactionSupplement

Properties: Local, Qualified

Content

Attributes

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

Used in

Sample instance

<varianceSwapTransactionSupplement>
   <varianceLeg>
      <legIdentifier>
         <legId legIdScheme="http://www.xyz.com/coding-scheme/leg-id">92002</legId>
         <version>1</version>
      </legIdentifier>
      <payerPartyReference href="party1"/>
      <receiverPartyReference href="party2"/>
      <effectiveDate>
         <relativeDate>
            <periodMultiplier>0</periodMultiplier>
            <period>D</period>
            <businessDayConvention>MODFOLLOWING</businessDayConvention>
            <businessCenters>
               <businessCenter>GBLO</businessCenter>
            </businessCenters>
            <dateRelativeTo href="osd"/>
         </relativeDate>
      </effectiveDate>
      <underlyer>
         <singleUnderlyer>
            <index>
               <instrumentId instrumentIdScheme="http://www.dowjones.com/coding-scheme/instrument-id">STOXX50E</instrumentId>
            </index>
         </singleUnderlyer>
      </underlyer>
      <valuation>
         <valuationDate>
            <adjustableDate id="vd">
               <unadjustedDate>2008-10-10</unadjustedDate>
               <dateAdjustments>
                  <businessDayConvention>MODFOLLOWING</businessDayConvention>
                  <businessCenters>
                     <businessCenter>GBLO</businessCenter>
                  </businessCenters>
               </dateAdjustments>
            </adjustableDate>
         </valuationDate>
         <valuationTimeType>Close</valuationTimeType>
         <futuresPriceValuation>true</futuresPriceValuation>
      </valuation>
      <amount>
         <observationStartDate>
            <relativeDate id="osd">
               <periodMultiplier>0</periodMultiplier>
               <period>D</period>
               <businessDayConvention>MODFOLLOWING</businessDayConvention>
               <businessCenters>
                  <businessCenter>EUTA</businessCenter>
               </businessCenters>
               <dateRelativeTo href="td"/>
            </relativeDate>
         </observationStartDate>
         <variance>
            <initialLevel>0.80</initialLevel>
            <varianceAmount>
               <currency>EUR</currency>
               <amount>1000000</amount>
            </varianceAmount>
            <varianceStrikePrice>0.30</varianceStrikePrice>
         </variance>
      </amount>
   </varianceLeg>
   <varianceLeg>
      <legIdentifier>
         <legId legIdScheme="http://www.xyz.com/coding-scheme/leg-id">3939202</legId>
         <version>1</version>
      </legIdentifier>
      <payerPartyReference href="party1"/>
      <receiverPartyReference href="party2"/>
      <underlyer>
         <singleUnderlyer>
            <equity>
               <instrumentId instrumentIdScheme="uri:ticker">AH.AS</instrumentId>
               <description>Ahold</description>
               <currency>EUR</currency>
               <exchangeId>XASE</exchangeId>
            </equity>
         </singleUnderlyer>
      </underlyer>
      <valuation/>
      <amount>
         <allDividends>true</allDividends>
         <variance>
            <initialLevel>0.80</initialLevel>
            <varianceAmount>
               <currency>EUR</currency>
               <amount>1000000</amount>
            </varianceAmount>
            <varianceStrikePrice>0.35</varianceStrikePrice>
         </variance>
      </amount>
   </varianceLeg>
   <varianceLeg>
      <legIdentifier>
         <legId legIdScheme="http://www.xyz.com/coding-scheme/leg-id">92902092</legId>
         <version>1</version>
      </legIdentifier>
      <payerPartyReference href="party1"/>
      <receiverPartyReference href="party2"/>
      <underlyer>
         <singleUnderlyer>
            <equity>
               <instrumentId instrumentIdScheme="uri:ticker">RDSA.AS</instrumentId>
               <description>Royal Dutch Shell A</description>
               <currency>EUR</currency>
               <exchangeId>XASE</exchangeId>
            </equity>
         </singleUnderlyer>
      </underlyer>
      <valuation/>
      <amount>
         <allDividends>true</allDividends>
         <variance>
            <initialLevel>0.80</initialLevel>
            <varianceAmount>
               <currency>EUR</currency>
               <amount>1000000</amount>
            </varianceAmount>
            <varianceStrikePrice>0.40</varianceStrikePrice>
         </variance>
      </amount>
   </varianceLeg>
</varianceSwapTransactionSupplement>

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