fpml:Calculation

A type definining the parameters used in the calculation of fixed or floating calculation period amounts.

Complex type information

Content

• Sequence [1..1]
  1. Choice [1..1]
     • fpml:notionalSchedule    The notional amount or notional amount schedule.
     • fpml:fxLinkedNotionalSchedule    A notional amount schedule where each notional that applied to a calculation period is calculated with reference to a notional amount or notional amount schedule in a different currency by means of a spot currency exchange rate which is normally observed at the beginning of each period.
  2. Choice [1..1]
     • Sequence [1..1]
       1. fpml:fixedRateSchedule [1..1]    The fixed rate or fixed rate schedule expressed as explicit fixed rates and dates. In the case of a schedule, the step dates may be subject to adjustment in accordance with any adjustments specified in calculationPeriodDatesAdjustments.
       2. fpml:futureValueNotional [0..1]    The future value notional is normally only required for BRL CDI Swaps. The value is calculated as follows: Future Value Notional = Notional Amount * (1 + Fixed Rate) ^ (Fixed Rate Day Count Fraction). The currency should always match that expressed in the notional schedule. The value date should match the adjusted termination date.
     from subst. group fpml:rateCalculation
     fpml:floatingRateCalculation    A floating rate calculation definition.
     fpml:inflationRateCalculation    An inflation rate calculation definition.
  3. fpml:dayCountFraction [1..1]    The day count fraction.
  4. fpml:discounting [0..1]    The parameters specifying any discounting conventions that may apply. This element must only be included if discounting applies.
  5. fpml:compoundingMethod [0..1]    If more that one calculation period contributes to a single payment amount this element specifies whether compounding is applicable, and if so, what compounding method is to be used. This element must only be included when more that one calculation period contributes to a single payment amount.

Attributes

None

Used by

• Element fpml:calculation