fpml:SwapCurveValuation

A complex type to specify a valuation swap curve, which is used as part of the strike construct for the bond and convertible bond options.

Complex type information

Content

• Sequence [1..1]
  from group fpml:FloatingRateIndex.model
  fpml:floatingRateIndex [1..1]    
  fpml:indexTenor [0..1]    The ISDA Designated Maturity, i.e. the tenor of the floating rate.
  1. fpml:spread [1..1]    Spread in basis points over the floating rate index.
  2. fpml:side [0..1]    The side (bid/mid/ask) of the measure.

Attributes

None

Used by

• Element fpml:swapUnwindValue
• Element fpml:makeWholeAmount via derived type fpml:MakeWholeAmount

Type inheritance chain

• fpml:SwapCurveValuation
  • extended by fpml:MakeWholeAmount