fpml:correlationLeg

Correlation Leg. Correlation Buyer is deemed to be the Equity Amount Receiver, Correlation Seller is deemed to be the Equity Amount Payer.

Element information

Content

• Sequence [1..1]
  from type fpml:DirectionalLeg
  fpml:legIdentifier [0..*]    Version aware identification of this leg.
  fpml:effectiveDate [0..1]    Specifies the effective date of this leg of the swap. When defined in relation to a date specified somewhere else in the document (through the relativeDate component), this element will typically point to the effective date of the other leg of the swap.
  fpml:terminationDate [0..1]    Specifies the termination date of this leg of the swap. When defined in relation to a date specified somewhere else in the document (through the relativeDate component), this element will typically point to the termination date of the other leg of the swap.
  from type fpml:DirectionalLegUnderlyer
  fpml:underlyer [1..1]    Specifies the underlyer of the leg.
  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
  from type fpml:DirectionalLegUnderlyerValuation
  fpml:valuation [0..1]    Valuation of the underlyer.
  1. fpml:amount [1..1]    Specifies, in relation to each Equity Payment Date, the Equity Amount to which the Equity Payment Date relates. Unless otherwise specified, this term has the meaning defined in the ISDA 2002 Equity Derivatives Definitions.

Attributes

Used in

• Type fpml:CorrelationSwap (Element fpml:correlationSwap)

Sample instance

<fpml:correlationLeg>
   <fpml:legIdentifier>
      <fpml:legId legIdScheme="http://www.example.com/">token</fpml:legId>
      <fpml:version>1</fpml:version>
      <fpml:effectiveDate>2000-01-01</fpml:effectiveDate>
   </fpml:legIdentifier>
   <fpml:effectiveDate>
      <fpml:adjustableDate>
         <fpml:unadjustedDate>2000-01-01</fpml:unadjustedDate>
      </fpml:adjustableDate>
   </fpml:effectiveDate>
   <fpml:terminationDate>
      <fpml:adjustableDate>
         <fpml:unadjustedDate>2000-01-01</fpml:unadjustedDate>
      </fpml:adjustableDate>
   </fpml:terminationDate>
   <fpml:underlyer>
      <fpml:singleUnderlyer>
         <fpml:basket>...
         </fpml:basket>
         <fpml:openUnits>1.0</fpml:openUnits>
         <fpml:dividendPayout>...
         </fpml:dividendPayout>
         <fpml:couponPayment>...
         </fpml:couponPayment>
         <fpml:averageDailyTradingVolume>...
         </fpml:averageDailyTradingVolume>
         <fpml:depositoryReceipt>true</fpml:depositoryReceipt>
      </fpml:singleUnderlyer>
   </fpml:underlyer>
   <fpml:settlementType>Cash</fpml:settlementType>
   <fpml:settlementDate>
      <fpml:adjustableDate>
         <fpml:unadjustedDate>2000-01-01</fpml:unadjustedDate>
      </fpml:adjustableDate>
   </fpml:settlementDate>
   <fpml:settlementAmount>
      <fpml:currency>normalizedString</fpml:currency>
      <fpml:amount>1.0</fpml:amount>
   </fpml:settlementAmount>
   <fpml:valuation>
      <fpml:valuationDate>
         <fpml:adjustableDate>...
         </fpml:adjustableDate>
      </fpml:valuationDate>
      <fpml:valuationTimeType>Close</fpml:valuationTimeType>
      <fpml:valuationTime>
         <fpml:hourMinuteTime>12:00:00</fpml:hourMinuteTime>
         <fpml:businessCenter>normalizedString</fpml:businessCenter>
      </fpml:valuationTime>
      <fpml:futuresPriceValuation>true</fpml:futuresPriceValuation>
   </fpml:valuation>
   <fpml:amount>
      <fpml:calculationDates>
         <fpml:adjustableDates>...
         </fpml:adjustableDates>
      </fpml:calculationDates>
      <fpml:observationStartDate>
         <fpml:adjustableDate>...
         </fpml:adjustableDate>
      </fpml:observationStartDate>
      <fpml:correlation>
         <fpml:initialLevel>1.0</fpml:initialLevel>
         <fpml:initialLevelSource>normalizedString</fpml:initialLevelSource>
         <fpml:expectedN>1</fpml:expectedN>
         <fpml:notionalAmount>...
         </fpml:notionalAmount>
         <fpml:correlationStrikePrice>1.0</fpml:correlationStrikePrice>
         <fpml:boundedCorrelation>...
         </fpml:boundedCorrelation>
         <fpml:numberOfDataSeries>1</fpml:numberOfDataSeries>
      </fpml:correlation>
   </fpml:amount>
</fpml:correlationLeg>