fpml:DirectionalLegUnderlyerValuation

An abstract base class for all directional leg types with effective date, termination date, and underlyer, where a payer makes a stream of payments of greater than zero value to a receiver.

Complex type 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
  1. fpml:valuation [0..1]    Valuation of the underlyer.

Attributes

Used by

• Element fpml:correlationLeg via derived type fpml:CorrelationLeg
• Element fpml:varianceLeg via derived type fpml:VarianceLeg

Type inheritance chain

• fpml:Leg
  • fpml:DirectionalLeg
    • fpml:DirectionalLegUnderlyer
      • fpml:DirectionalLegUnderlyerValuation
        • extended by fpml:CorrelationLeg
        • extended by fpml:VarianceLeg