underlyerPrice

Specifies the price that is associated with each of the basket constituents. This component is optional, as it is not absolutely required to accurately describe the economics of the trade, considering the price that characterizes the equity swap is associated to the leg of the trade.

Element information

Content

• Sequence [1..1]
  1. commission [0..1]    This optional component specifies the commission to be charged for executing the hedge transactions.
  2. Choice [1..1]
     • Sequence [1..1]
       1. determinationMethod [1..1]    Specifies the method according to which an amount or a date is determined.
       from group EquityPrice.model
       Sequence [0..1]
       1. grossPrice [0..1]    Specifies the price of the underlyer, before commissions.
       2. netPrice [1..1]    Specifies the price of the underlyer, net of commissions.
       3. accruedInterestPrice [0..1]    Specifies the accrued interest that are part of the dirty price in the case of a fixed income security or a convertible bond. Expressed in percentage of the notional.
       4. fxConversion [0..1]    Specifies the currency conversion rate that applies to an amount. This rate can either be defined elsewhere in the document (case of a quanto swap), or explicitly described through this component.
     • amountRelativeTo    The href attribute value will be a pointer style reference to the element or component elsewhere in the document where the anchor amount is defined.
     from group EquityPrice.model
     Sequence [1..1]
     1. grossPrice [0..1]    Specifies the price of the underlyer, before commissions.
     2. netPrice [1..1]    Specifies the price of the underlyer, net of commissions.
     3. accruedInterestPrice [0..1]    Specifies the accrued interest that are part of the dirty price in the case of a fixed income security or a convertible bond. Expressed in percentage of the notional.
     4. fxConversion [0..1]    Specifies the currency conversion rate that applies to an amount. This rate can either be defined elsewhere in the document (case of a quanto swap), or explicitly described through this component.
  3. cleanNetPrice [0..1]    The net price excluding accrued interest. The "Dirty Price" for bonds is put in the "netPrice" element, which includes accrued interest. Thus netPrice - cleanNetPrice = accruedInterest. The currency and price expression for this field are the same as those for the (dirty) netPrice.
  4. quotationCharacteristics [0..1]    Allows information about how the price was quoted to be provided.

Attributes

None

Used in

• Type BasketConstituent (Element basketConstituent)

Sample instance

<underlyerPrice>
   <netPrice>
      <currency>EUR</currency>
      <amount>19785157.16</amount>
      <priceExpression>AbsoluteTerms</priceExpression>
   </netPrice>
   <accruedInterestPrice>1234.56</accruedInterestPrice>
   <quotationCharacteristics>
      <side>Mid</side>
      <currency>USD</currency>
      <timing>Close</timing>
   </quotationCharacteristics>
</underlyerPrice>