fpml:Swaption

A type to define an option on a swap.

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 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.
  1. fpml:premium [0..*]    The option premium amount payable by buyer to seller on the specified payment date.
  2. 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.
  3. fpml:exerciseProcedure [0..1]    A set of parameters defining procedures associated with the exercise.
  4. fpml:calculationAgent [0..1]    The ISDA Calculation Agent responsible for performing duties associated with an optional early termination.
  5. Choice [0..1]
     • fpml:cashSettlement    If specified, this means that cash settlement is applicable to the transaction and defines the parameters associated with the cash settlement procedure. If not specified, then physical settlement is applicable.
     • fpml:physicalSettlement    If specified, this defines physical settlement terms which apply to the transaction.
  6. fpml:swaptionStraddle [1..1]    Whether the option is a swaption or a swaption straddle.
  7. fpml:swaptionAdjustedDates [0..1]    The adjusted dates associated with swaption exercise. These dates have been adjusted for any applicable business day convention.
  8. fpml:swap [1..1]    

Attributes

Used by

• Element fpml:swaption

Type inheritance chain

• fpml:Product
  • fpml:Swaption