fpml:correlation

Specifies Correlation.

Element information

Content

• Sequence [1..1]
  from type fpml:CalculationFromObservation
  Choice [1..1]
  • Sequence [1..1]
    1. fpml:initialLevel [0..1]    Contract will strike off this initial level.
    2. fpml:initialLevelSource [0..1]    Specifies whether the Initial Index Level should be the Closing Price Level, the Expiring Contract Level, VWAPPrice, TWAPPrice, NAV or Open Price.
  • fpml:closingLevel    If true this contract will strike off the closing level of the default exchange traded contract.
  • fpml:expiringLevel    If true this contract will strike off the expiring level of the default exchange traded contract.
  fpml:expectedN [0..1]    Expected number of trading days.
  1. fpml:notionalAmount [1..1]    Notional amount, which is a cash multiplier.
  2. fpml:correlationStrikePrice [1..1]    Correlation Strike Price.
  3. fpml:boundedCorrelation [0..1]    Bounded Correlation.
  4. fpml:numberOfDataSeries [0..1]    Number of data series, normal market practice is that correlation data sets are drawn from geographic market areas, such as America, Europe and Asia Pacific, each of these geographic areas will have its own data series to avoid contagion.

Attributes

None

Used in

• Type fpml:CorrelationAmount (Element fpml:amount)

Sample instance

<fpml:correlation>
   <fpml:initialLevel>1.0</fpml:initialLevel>
   <fpml:initialLevelSource>normalizedString</fpml:initialLevelSource>
   <fpml:expectedN>1</fpml:expectedN>
   <fpml:notionalAmount>
      <fpml:currency>normalizedString</fpml:currency>
      <fpml:amount>1.0</fpml:amount>
   </fpml:notionalAmount>
   <fpml:correlationStrikePrice>1.0</fpml:correlationStrikePrice>
   <fpml:boundedCorrelation>
      <fpml:minimumBoundaryPercent>1.0</fpml:minimumBoundaryPercent>
      <fpml:maximumBoundaryPercent>1.0</fpml:maximumBoundaryPercent>
   </fpml:boundedCorrelation>
   <fpml:numberOfDataSeries>1</fpml:numberOfDataSeries>
</fpml:correlation>