fpml:CreditDefaultSwapOption

A complex type to support the credit default swap option.

Complex type information

Content

• Sequence [1..1]
  from type fpml:Product
  from group fpml:Product.model
  Sequence [0..1]
  1. fpml:primaryAssetClass [0..1]    A classification of the most important risk class of the trade. FpML defines a simple asset class categorization using a coding scheme.
  2. fpml:secondaryAssetClass [0..*]    A classification of additional risk classes of the trade, if any. FpML defines a simple asset class categorization using a coding scheme.
  3. fpml:productType [0..*]    A classification of the type of product. FpML defines a simple product categorization using a coding scheme.
  4. fpml:productId [0..*]    A product reference identifier. The product ID is an identifier that describes the key economic characteristics of the trade type, with the exception of concepts such as size (notional, quantity, number of units) and price (fixed rate, strike, etc.) that are negotiated for each transaction. It can be used to hold identifiers such as the "UPI" (universal product identifier) required by certain regulatory reporting rules. It can also be used to hold identifiers of benchmark products or product temnplates used by certain trading systems or facilities. FpML does not define the domain values associated with this element. Note that the domain values for this element are not strictly an enumerated list.
  5. fpml:assetClass [0..*]    A classification of the risk class of the trade. FpML defines a simple asset class categorization using a coding scheme.
  from type fpml:Option
  from group fpml:BuyerSeller.model
  fpml:buyerPartyReference [1..1]    A reference to the party that buys this instrument, ie. pays for this instrument and receives the rights defined by it. See 2000 ISDA definitions Article 11.1 (b). In the case of FRAs this the fixed rate payer.
  fpml:buyerAccountReference [0..1]    A reference to the account that buys this instrument.
  fpml:sellerPartyReference [1..1]    A reference to the party that sells ("writes") this instrument, i.e. that grants the rights defined by this instrument and in return receives a payment for it. See 2000 ISDA definitions Article 11.1 (a). In the case of FRAs this is the floating rate payer.
  fpml:sellerAccountReference [0..1]    A reference to the account that sells this instrument.
  from type fpml:OptionBase
  fpml:optionType [1..1]    The type of option transaction. From a usage standpoint, put/call is the default option type, while payer/receiver indicator is used for options index credit default swaps, consistently with the industry practice. Straddle is used for the case of straddle strategy, that combine a call and a put with the same strike.
  from type fpml:OptionBaseExtended
  fpml:premium [0..1]    The option premium payable by the buyer to the seller.
  Choice [1..1]
  from subst. group fpml:exercise
  fpml:americanExercise    The parameters for defining the exercise period for an American style option together with any rules governing the notional amount of the underlying which can be exercised on any given exercise date and any associated exercise fees.
  fpml:bermudaExercise    The parameters for defining the exercise period for a Bermuda style option together with any rules governing the notional amount of the underlying which can be exercised on any given exercise date and any associated exercise fees.
  fpml:europeanExercise    The parameters for defining the exercise period for a European style option together with any rules governing the notional amount of the underlying which can be exercised on any given exercise date and any associated exercise fees.
  fpml:exerciseProcedure [1..1]    A set of parameters defining procedures associated with the exercise.
  fpml:feature [0..1]    An Option feature such as quanto, asian, barrier, knock.
  Choice [0..1]
  • fpml:notionalReference    
  • fpml:notionalAmount    
  from group fpml:OptionDenomination.model
  Sequence [0..1]
  1. fpml:optionEntitlement [1..1]    The number of units of underlyer per option comprised in the option transaction.
  2. fpml:entitlementCurrency [0..1]    TODO
  3. fpml:numberOfOptions [0..1]    The number of options comprised in the option transaction.
  from group fpml:OptionSettlement.model
  fpml:settlementType [0..1]    
  fpml:settlementDate [0..1]    
  from group fpml:SettlementAmountOrCurrency.model
  Choice [0..1]
  • fpml:settlementAmount    Settlement Amount
  • fpml:settlementCurrency    Settlement Currency for use where the Settlement Amount cannot be known in advance
  1. fpml:strike [1..1]    Specifies the strike of the option on credit default swap.
  2. fpml:creditDefaultSwap [1..1]    

Attributes

Used by

• Element fpml:creditDefaultSwapOption

Type inheritance chain

• fpml:Product
  • fpml:Option
    • fpml:OptionBase
      • fpml:OptionBaseExtended
        • fpml:CreditDefaultSwapOption