fpml:capFloor

A cap, floor or cap floor structures product definition.

Element 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:embeddedOptionType [0..2]    Describes the type of any embedded optionality in the transaction that might not otherwise be apparent. Can be used to represent embedded optionality such as early termination provisions, extendible provisions, or cancelable provisions, etc., where applicable. If omitted, no embedded optionality is applicable.
  1. fpml:capFloorStream [0..1]    
  2. fpml:premium [0..*]    The option premium amount payable by buyer to seller on the specified payment date.
  3. fpml:additionalPayment [0..*]    Additional payments between the principal parties.
  4. fpml:earlyTerminationProvision [0..1]    Parameters specifying provisions relating to the optional and mandatory early terminarion of a CapFloor transaction.

Attributes

Used in

• Type fpml:Strategy
• Type fpml:PhysicalSettlement (Element fpml:physicalSettlement)
• Type fpml:Trade (Elements fpml:trade, fpml:originalTrade, fpml:resultingTrade, fpml:trade, fpml:originalTrade, fpml:oldTrade, fpml:trade, fpml:feeTrade, fpml:newTrade, fpml:oldTrade, fpml:trade, fpml:trade)

Substitution hierarchy

• fpml:product
  • can be substituted with fpml:capFloor

Sample instance

<capFloor>
   <primaryAssetClass>InterestRate</primaryAssetClass>
   <productType>InterestRate:CapFloor</productType>
   <capFloorStream>
      <calculationPeriodDates id="CalcPeriodDates0">
         <effectiveDate>
            <unadjustedDate>2001-06-30</unadjustedDate>
         </effectiveDate>
         <terminationDate>
            <unadjustedDate>2006-06-30</unadjustedDate>
         </terminationDate>
      </calculationPeriodDates>
      <paymentDates>
         <paymentFrequency>
            <periodMultiplier>6</periodMultiplier>
            <period>M</period>
         </paymentFrequency>
      </paymentDates>
      <resetDates id="resetDates0">
         <resetFrequency>
            <periodMultiplier>6</periodMultiplier>
            <period>M</period>
         </resetFrequency>
      </resetDates>
      <calculationPeriodAmount>
         <calculation>
            <notionalSchedule>
               <notionalStepSchedule>
                  <initialValue>100000000</initialValue>
                  <currency>EUR</currency>
               </notionalStepSchedule>
            </notionalSchedule>
            <floatingRateCalculation>
               <floatingRateIndex>EUR-EURIBOR-Telerate</floatingRateIndex>
               <indexTenor>
                  <periodMultiplier>6</periodMultiplier>
                  <period>M</period>
               </indexTenor>
               <capRateSchedule>
                  <initialValue>0.06</initialValue>
                  <buyer>Receiver</buyer>
                  <seller>Payer</seller>
               </capRateSchedule>
            </floatingRateCalculation>
            <dayCountFraction>ACT/360</dayCountFraction>
         </calculation>
      </calculationPeriodAmount>
   </capFloorStream>
</capFloor>