valuationPriceInterim

Specifies the final valuation price of the underlyer. This price can be expressed either as an actual amount/currency, as a determination method, or by reference to another value specified in the swap document.

Element information

Content

• Sequence [1..1]
  from type Price
  commission [0..1]    This optional component specifies the commission to be charged for executing the hedge transactions.
  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.
  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.
  quotationCharacteristics [0..1]    Allows information about how the price was quoted to be provided.
  1. valuationRules [0..1]    Specifies valuation.

Attributes

None

Used in

• Type ReturnLegValuation (Element rateOfReturn)

Sample instance

<valuationPriceInterim>
   <determinationMethod>ValuationTime</determinationMethod>
   <valuationRules>
      <valuationDates id="InterimValuationDate">
         <adjustableDates>
            <unadjustedDate>2001-10-12Z</unadjustedDate>
            <unadjustedDate>2001-11-13Z</unadjustedDate>
            <unadjustedDate>2001-12-12Z</unadjustedDate>
            <unadjustedDate>2002-01-14Z</unadjustedDate>
            <unadjustedDate>2002-02-12Z</unadjustedDate>
            <unadjustedDate>2002-03-12Z</unadjustedDate>
            <unadjustedDate>2002-04-12Z</unadjustedDate>
            <unadjustedDate>2002-05-13Z</unadjustedDate>
            <unadjustedDate>2002-06-12Z</unadjustedDate>
            <unadjustedDate>2002-07-12Z</unadjustedDate>
            <unadjustedDate>2002-08-12Z</unadjustedDate>
            <dateAdjustments>
               <businessDayConvention>NotApplicable</businessDayConvention>
            </dateAdjustments>
         </adjustableDates>
      </valuationDates>
      <valuationTimeType>Close</valuationTimeType>
   </valuationRules>
</valuationPriceInterim>