fpml:swaption

A swaption 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:premium [0..*]    The option premium amount payable by buyer to seller on the specified payment date.
  2. fpml:optionType [0..1]    The type of option transaction. From a usage standpoint, put/call is the default option type, while payer/receiver indicator is used for options index credit default swaps, consistently with the industry practice. Straddle is used for the case of straddle strategy, that combine a call and a put with the same strike. This element is needed for transparency reporting because the counterparties are not available, and is made available in other views for convenience; it is not intended to be used for confirmation processing. If the swaption straddle indicator is provided, this must not be in conflict with that indicator.
  3. 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.
  4. fpml:swaptionStraddle [1..1]    Whether the option is a swaption or a swaption straddle.
  5. fpml:swap [1..1]    

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:swaption

Sample instance

<swaption>
   <primaryAssetClass>InterestRate</primaryAssetClass>
   <productType>InterestRate:Option:Swaption</productType>
   <premium>
      <paymentAmount>
         <currency>EUR</currency>
         <amount>100000</amount>
      </paymentAmount>
   </premium>
   <optionType>Receiver</optionType>
   <europeanExercise>
      <expirationDate>
         <adjustableDate>
            <unadjustedDate>2001-08-28</unadjustedDate>
         </adjustableDate>
      </expirationDate>
   </europeanExercise>
   <swaptionStraddle>false</swaptionStraddle>
   <swap>
      <swapStream>
         <calculationPeriodDates id="CalcPeriodDates0">
            <effectiveDate>
               <unadjustedDate>2001-08-30</unadjustedDate>
            </effectiveDate>
            <terminationDate>
               <unadjustedDate>2006-08-30</unadjustedDate>
            </terminationDate>
         </calculationPeriodDates>
         <paymentDates>
            <paymentFrequency>
               <periodMultiplier>1</periodMultiplier>
               <period>Y</period>
            </paymentFrequency>
         </paymentDates>
         <calculationPeriodAmount>
            <calculation>
               <notionalSchedule>
                  <notionalStepSchedule>
                     <initialValue>100000000</initialValue>
                     <currency>EUR</currency>
                  </notionalStepSchedule>
               </notionalSchedule>
               <fixedRateSchedule>
                  <initialValue>0.05</initialValue>
               </fixedRateSchedule>
               <dayCountFraction>30/360</dayCountFraction>
            </calculation>
         </calculationPeriodAmount>
      </swapStream>
      <swapStream>
         <calculationPeriodDates id="CalcPeriodDates1">
            <effectiveDate>
               <unadjustedDate>2001-08-30</unadjustedDate>
            </effectiveDate>
            <terminationDate>
               <unadjustedDate>2006-08-30</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>
               </floatingRateCalculation>
               <dayCountFraction>ACT/360</dayCountFraction>
            </calculation>
         </calculationPeriodAmount>
      </swapStream>
   </swap>
</swaption>