A type defining the parameters used in the
calculation of a fixed or floating rate calculation period amount.
This type forms part of cashflows representation of a swap stream.
The calculation period
start date, adjusted according to any relevant
business day convention.
The calculation period end
date, adjusted according to any relevant business
day convention.
The number of days from the
adjusted effective / start date to the adjusted
termination / end date calculated in accordance with
the applicable day count fraction.
The amount that a
cashflow will accrue interest on.
The amount that a
cashflow will accrue interest on. This is
the calculated amount of the fx linked - ie
the other currency notional amount
multiplied by the appropriate fx spot rate.
The floating rate
reset information for the calculation period.
The calculation
period fixed rate. A per annum rate,
expressed as a decimal. A fixed rate of 5%
would be represented as 0.05.
A type defining the parameters used in the
calculation of fixed or floating rate calculation period amounts or
for specifying a known calculation period amount or known amount schedule.
The parameters used in the
calculation of fixed or floaring rate calculation
period amounts.
The known calculation
period amount or a known amount schedule expressed
as explicit known amounts and dates. In the case of
a schedule, the step dates may be subject to
adjustment in accordance with any adjustments
specified in calculationPeriodDatesAdjustments.
A type defining the parameters used to
generate the calculation period dates schedule, including the
specification of any initial or final stub calculation periods. A
calculation perod schedule consists of an optional initial stub
calculation period, one or more regular calculation periods and an
optional final stub calculation period. In the absence of any
initial or final stub calculation periods, the regular part of the
calculation period schedule is assumed to be between the effective
date and the termination date. No implicit stubs are allowed, i.e.
stubs must be explicitly specified using an appropriate combination
of firstPeriodStateDate, firstRegularPeriodStartDate and lastRegularPeriodEndDate.
The first day of the term
of the trade. This day may be subject to adjustment
in accordance with a business day convention.
The last day of the term of
the trade. This day may be subject to adjustment in
accordance with a business day convention.
The business day convention
to apply to each calculation period end date if it
would otherwise fall on a day that is not a business
day in the specified financial business centers.
The start date of the
calculation period if the date falls before the
effective date. It must only be specified if it is
not equal to the effective date. This date may be
subject to adjustment in accordance with a business
day convention.
The start date of the
regular part of the calculation period schedule. It
must only be specified if there is an initial stub
calculation period. This day may be subject to
adjustment in accordance with any adjustments
specified in calculationPeriodDatesAdjustments.
The end date of the regular
part of the calculation period schedule. It must
only be specified if there is a final stub
calculation period. This day may be subject to
adjustment in accordance with any adjustments
specified in calculationPeriodDatesAdjustments.
The frequency at which
calculation period end dates occur with the regular
part of the calculation period schedule and their
roll date convention.
A type defining the cashflow representation
of a swap trade.
A true/false flag to
indicate whether the cashflows match the parametric
definition of the stream, i.e. whether the cashflows
could be regenerated from the parameters without
loss of information.
The initial, intermediate
and final principal exchange amounts. Typically
required on cross currency interest rate swaps where
actual exchanges of principal occur. A list of
principal exchange elements may be ordered in the
document by ascending adjusted principal exchange
date. An FpML document containing an unordered
principal exchange list is still regarded as a
conformant document.
The adjusted payment date
and associated calculation period parameters
required to calculate the actual or projected
payment amount. A list of payment calculation period
elements may be ordered in the document by ascending
adjusted payment date. An FpML document containing
an unordered list of payment calculation periods is
still regarded as a conformant document.
A type defining discounting information.
The 2000 ISDA definitions, section 8.4. discounting (related to the
calculation of a discounted fixed amount or floating amount) apply.
This type must only be included if discounting applies.
The discounting method that
is applicable.
A discount rate, expressed
as a decimal, to be used in the calculation of a
discounted amount. A discount amount of 5% would be
represented as 0.05.
A discount day count
fraction to be used in the calculation of a
discounted amount.
A type defining a floating rate.
The ISDA Designated
Maturity, i.e. the tenor of the floating rate.
A rate multiplier or
multiplier schedule to apply to the floating rate. A
multiplier schedule is expressed as explicit
multipliers and dates. In the case of a schedule,
the step dates may be subject to adjustment in
accordance with any adjustments specified in the
calculationPeriodDatesAdjustments. The multiplier
can be a positive or negative decimal. This element
should only be included if the multiplier is not
equal to 1 (one) for the term of the stream.
The ISDA Spread or a Spread
schedule expressed as explicit spreads and dates. In
the case of a schedule, the step dates may be
subject to adjustment in accordance with any
adjustments specified in
calculationPeriodDatesAdjustments. The spread is a
per annum rate, expressed as a decimal. For purposes
of determining a calculation period amount, if
positive the spread will be added to the floating
rate and if negative the spread will be subtracted
from the floating rate. A positive 10 basis point
(0.1%) spread would be represented as 0.001.
The specification of any
rate conversion which needs to be applied to the
observed rate before being used in any calculations.
The two common conversions are for securities quoted
on a bank discount basis which will need to be
converted to either a Money Market Yield or Bond
Equivalent Yield. See the Annex to the 2000 ISDA
Definitions, Section 7.3. Certain General
Definitions Relating to Floating Rate Options,
paragraphs (g) and (h) for definitions of these terms.
The cap rate or cap rate
schedule, if any, which applies to the floating
rate. The cap rate (strike) is only required where
the floating rate on a swap stream is capped at a
certain level. A cap rate schedule is expressed as
explicit cap rates and dates and the step dates may
be subject to adjustment in accordance with any
adjustments specified in
calculationPeriodDatesAdjustments. The cap rate is
assumed to be exclusive of any spread and is a per
annum rate, expressed as a decimal. A cap rate of 5%
would be represented as 0.05.
The floor rate or floor
rate schedule, if any, which applies to the floating
rate. The floor rate (strike) is only required where
the floating rate on a swap stream is floored at a
certain strike level. A floor rate schedule is
expressed as explicit floor rates and dates and the
step dates may be subject to adjustment in
accordance with any adjustments specified in
calculationPeriodDatesAdjustments. The floor rate is
assumed to be exclusive of any spread and is a per
annum rate, expressed as a decimal. A floor rate of
5% would be represented as 0.05.
A type defining the floating rate and
definitions relating to the calculation of floating rate amounts.
The initial
floating rate reset agreed between
the principal parties involved in
the trade. This is assumed to be the
first required reset rate for the
first regular calculation period. It
should only be included when the
rate is not equal to the rate
published on the source implied by
the floating rate index. An initial
rate of 5% would be represented as 0.05.
The
rounding convention to apply to the
final rate used in determination of
a calculation period amount.
If
averaging is applicable, this
component specifies whether a
weighted or unweighted average
method of calculation is to be used.
The component must only be included
when averaging applies.
The
specification of any provisions for
calculating payment obligations when
a floating rate is negative (either
due to a quoted negative floating
rate or by operation of a spread
that is subtracted from the floating rate).
A type defining parameters associated with
a floating rate reset. This type forms part of the cashflows
representation of a stream.
The final calculated rate
for a calculation period after any required
averaging of rates A calculated rate of 5% would be
represented as 0.05.
The details of a particular
rate observation, including the fixing date and
observed rate. A list of rate observation elements
may be ordered in the document by ascending adjusted
fixing date. An FpML document containing an
unordered list of rate observations is still
regarded as a conformant document.
A rate multiplier to apply
to the floating rate. The multiplier can be a
positive or negative decimal. This element should
only be included if the multiplier is not equal to 1 (one).
The ISDA Spread, if any,
which applies for the calculation period. The spread
is a per annum rate, expressed as a decimal. For
purposes of determining a calculation period amount,
if positive the spread will be added to the floating
rate and if negative the spread will be subtracted
from the floating rate. A positive 10 basis point
(0.1%) spread would be represented as 0.001.
The cap rate, if any, which
applies to the floating rate for the calculation
period. The cap rate (strike) is only required where
the floating rate on a swap stream is capped at a
certain strike level. The cap rate is assumed to be
exclusive of any spread and is a per annum rate,
expressed as a decimal. A cap rate of 5% would be
represented as 0.05.
The floor rate, if any,
which applies to the floating rate for the
calculation period. The floor rate (strike) is only
required where the floating rate on a swap stream is
floored at a certain strike level. The floor rate is
assumed to be exclusive of any spread and is a per
annum rate, expressed as a decimal. The floor rate
of 5% would be represented as 0.05.
A type defining a Forward Rate Agreement
(FRA) product.
The start
date of the calculation period. This
date should already be adjusted for
any applicable business day
convention. This is also the date
when the observed rate is applied,
the reset date.
The end
date of the calculation period. This
date should already be adjusted for
any applicable business day convention.
The payment
date. This date is subject to
adjustment in accordance with any
applicable business day convention.
Specifies
the fixing date relative to the
reset date in terms of a business
days offset and an associated set of
financial business centers. Normally
these offset calculation rules will
be those specified in the ISDA
definition for the relevant floating
rate index (ISDA's Floating Rate
Option). However, non-standard
offset calculation rules may apply
for a trade if mutually agreed by
the principal parties to the
transaction. The href attribute on
the dateRelativeTo element should
reference the id attribute on the
adjustedEffectiveDate element.
The day
count fraction.
The number
of days from the adjusted effective
date to the adjusted termination
date calculated in accordance with
the applicable day count fraction.
The
notional amount.
The
calculation period fixed rate. A per
annum rate, expressed as a decimal.
A fixed rate of 5% would be
represented as 0.05.
The ISDA
Designated Maturity, i.e. the tenor
of the floating rate.
Specifies
whether discounting applies and, if
so, what type.
A type defining the components specifiying
an interest rate stream, including both a parametric and cashflow
representation for the stream of payments.
The calculation periods
dates schedule.
The payment dates schedule.
The reset dates schedule.
The reset dates schedule only applies for a floating
rate stream.
The calculation period
amount parameters.
The stub calculation period
amount parameters. This element must only be
included if there is an initial or final stub
calculation period. Even then, it must only be
included if either the stub references a different
floating rate tenor to the regular calculation
periods, or if the stub is calculated as a linear
interpolation of two different floating rate tenors,
or if a specific stub rate or stub amount has been negotiated.
The true/false flags
indicating whether initial, intermediate or final
exchanges of principal should occur.
The cashflows
representation of the swap stream.
An type defining the notional amount or
notional amount schedule associated with a swap stream. The notional
schedule will be captured explicitly, specifying the dates that the
notional changes and the outstanding notional amount that applies
from that date. A parametric representation of the rules defining
the notional step schedule can optionally be included.
The notional amount or
notional amount schedule expressed as explicit
outstanding notional amounts and dates. In the case
of a schedule, the step dates may be subject to
adjustment in accordance with any adjustments
specified in calculationPeriodDatesAdjustments.
A parametric representation
of the notional step schedule, i.e. parameters used
to generate the notional schedule.
A type defining a parametric representation
of the notional step schedule, i.e. parameters used to generate the
notional balance on each step date. The step change in notional can
be expressed in terms of either a fixed amount or as a percentage of
either the initial notional or previous notional amount. This
parametric representation is intended to cover the more common amortizing/accreting.
A pointer style reference
to the associated calculation period dates component
defined elsewhere in the document.
The frequency at which the
step changes occur. This frequency must be a
multiple of the stream calculation period frequency.
Effective date of the first
change in notional (i.e. a calculation period start date).
Effective date of the last
change in notional (i.e. a calculation period start date).
The explicit amount
that the notional changes on each step date.
This can be a positive or negative amount.
The
percentage amount by which the
notional changes on each step date.
The percentage is either a
percentage applied to the initial
notional amount or the previous
outstanding notional, depending on
the value of the element
stepRelativeTo. The percentage can
be either positive or negative. A
percentage of 5% would be
represented as 0.05.
Specifies
whether the notionalStepRate should
be applied to the initial notional
or the previous notional in order to
calculate the notional step change amount.
A type defining the adjusted payment date
and associated calculation period parameters required to calculate
the actual or projected payment amount. This type forms part of the
cashflow representation of a swap stream.
The adjusted payment date.
This date should already be adjusted for any
applicable business day convention. This component
is not intended for use in trade confirmation but my
be specified to allow the fee structure to also
serve as a cashflow type component (all dates the
the Cashflows type are adjusted payment dates).
The parameters used
in the calculation of a fixed or floating
rate calculation period amount. A list of
calculation period elements may be ordered
in the document by ascending start date. An
FpML document which contains an unordered
list of calcularion periods is still
regarded as a conformant document.
A known fixed
payment amount.
A type defining parameters used to generate
the payment dates schedule, including the specification of early or
delayed payments. Payment dates are determined relative to the
calculation period dates or the reset dates.
A pointer style
reference to the associated calculation
period dates component defined elsewhere in
the document.
A pointer style
reference to the associated reset dates
component defined elsewhere in the document.
The frequency at which
regular payment dates occur. If the payment
frequency is equal to the frequency defined in the
calculation period dates component then one
calculation period contributes to each payment
amount. If the payment frequency is less frequent
than the frequency defined in the calculation period
dates component then more than one calculation
period will contribute to e payment amount. A
payment frequency more frequent than the calculation
period frequency or one that is not a multiple of
the calculation period frequency is invalid.
The first unadjusted
payment date. This day may be subject to adjustment
in accordance with any business day convention
specified in paymentDatesAdjustments. This element
must only be included if there is an initial stub.
This date will normally correspond to an unadjusted
calculation period start or end date. This is true
even if early or delayed payment is specified to be
applicable since the actual first payment date will
be the specified number of days before or after the
applicable adjusted calculation period start or end
date with the resulting payment date then being
adjusted in accordance with any business day
convention specified in paymentDatesAdjustments.
The last regular unadjusted
payment date. This day may be subject to adjustment
in accordance with any business day convention
specified in paymentDatesAdjustments. This element
must only be included if there is a final stub. All
calculation periods after this date contribute to
the final payment. The final payment is made
relative to the final set of calculation periods or
the final reset date as the case may be. This date
will normally correspond to an unadjusted
calculation period start or end date. This is true
even if early or delayed payment is specified to be
applicable since the actual last regular payment
date will be the specified number of days before or
after the applicable adjusted calculation period
start or end date with the resulting payment date
then being adjusted in accordance with any business
day convention specified in paymentDatesAdjustments.
Specifies whether the
payments occur relative to each adjusted calculation
period start date, adjusted calculation period end
date or each reset date. The reset date is
applicable in the case of certain euro (former
French Franc) floating rate indices. Calculation
period start date means relative to the start of the
first calculation period contributing to a given
payment. Similarly, calculation period end date
means the end of the last calculation period
contributing to a given payment.
If early payment or delayed
payment is required, specifies the number of days
offset that the payment occurs relative to what
would otherwise be the unadjusted payment date. The
offset can be specified in terms of either calendar
or business days. Even in the case of a calendar
days offset, the resulting payment date, adjusted
for the specified calendar days offset, will still
be adjusted in accordance with the specified payment
dates adjustments. This element should only be
included if early or delayed payment is applicable,
i.e. if the periodMultiplier element value is not
equal to zero. An early payment would be indicated
by a negative periodMultiplier element value and a
delayed payment (or payment lag) would be indicated
by a positive periodMultiplier element value.
The business day convention
to apply to each payment date if it would otherwise
fall on a day that is not a business day in the
specified financial business centers.
A type defining a principal exchange amount
and adjusted exchange date. The type forms part of the cashflow
representation of a swap stream.
The principal exchange
date. This date should already be adjusted for any
applicable business day convention.
The principal exchange
amount. This amount should be positive if the stream
payer is paying the exchange amount and signed
negative if they are receiving it.
A type defining which principal exchanges
occur for the stream.
A true/false flag to
indicate whether there is an initial exchange of
principal on the effective date.
A true/false flag to
indicate whether there is a final exchange of
principal on the termination date.
A true/false flag to
indicate whether there are intermediate or interim
exchanges of principal during the term of the swap.
A type defining the parameters used to
generate the reset dates schedule and associated fixing dates. The
reset dates are determined relative to the calculation periods
schedules dates.
A pointer style reference
to the associated calculation period dates component
defined elsewhere in the document.
Specifies whether the reset
dates are determined with respect to each adjusted
calculation period start date or adjusted
calculation period end date. If the reset frequency
is specified as daily this element must not be included.
Specifies the fixing date
relative to the reset date in terms of a business
days offset and an associated set of financial
business centers. Normally these offset calculation
rules will be those specified in the ISDA definition
for the relevant floating rate index (ISDA's
Floating Rate Option). However, non-standard offset
calculation rules may apply for a trade if mutually
agreed by the principal parties to the transaction.
The href attribute on the dateRelativeTo element
should reference the id attribute on the resetDates element.
Specifies the number of
business days before the period end date when the
rate cut-off date is assumed to apply. The financial
business centers associated with determining the
rate cut-off date are those specified in the reset
dates adjustments. The rate cut-off number of days
must be a negative integer (a value of zero would
imply no rate cut off applies in which case the
rateCutOffDaysOffset element should not be
included). The relevant rate for each reset date in
the period from, and including, a rate cut-off date
to, but excluding, the next applicable period end
date (or, in the case of the last calculation
period, the termination date) will (solely for
purposes of calculating the floating amount payable
on the next applicable payment date) be deemed to be
the relevant rate in effect on that rate cut-off
date. For example, if rate cut-off days for a daily
averaging deal is -2 business days, then the refix
rate applied on (period end date - 2 days) will also
be applied as the reset on (period end date - 1
day), i.e. the actual number of reset dates remains
the same but from the rate cut-off date until the
period end date, the same refix rate is applied.
Note that in the case of several calculation periods
contributing to a single payment, the rate cut-off
is assumed only to apply to the final calculation
period contributing to that payment. The day type
associated with the offset must imply a business
days offset.
The frequency at which
reset dates occur. In the case of a weekly reset
frequency, also specifies the day of the week that
the reset occurs. If the reset frequency is greater
than the calculation period frequency then this
implies that more than one reset date is established
for each calculation period and some form of rate
averaging is applicable.
The business day convention
to apply to each reset date if it would otherwise
fall on a day that is not a business day in the
specified financial business centers.
A type defining the reset frequency. In the
case of a weekly reset, also specifies the day of the week that the
reset occurs. If the reset frequency is greater than the calculation
period frequency the this implies that more or more reset dates is
established for each calculation period and some form of rate
averaginhg is applicable. The specific averaging method of
calculation is specified in FloatingRateCalculation.
The day of
the week on which a weekly reset
date occurs. This element must be
included if the reset frequency is
defined as weekly and not otherwise.
A type defining how a stub calculation
period amount is calculated. A single floating rate tenor different
to that used for the regular part of the calculation periods
schedule may be specified, or two floating rate tenors many be
specified. If two floating rate tenors are specified then Linear
Interpolation (in accordance with the 2000 ISDA Definitions, Section
8.3 Interpolation) is assumed to apply. Alternatively, an actual
known stub rate or stub amount may be specified.
The rates to be applied to
the initial or final stub may be the linear
interpolation of two different rates. While the
majority of the time, the rate indices will be the
same as that specified in the stream and only the
tenor itself will be different, it is possible to
specift two different rates. For example, a 2 month
stub period may use the linear interpolation of a 1
month and 3 month rate. The different rates would be
specified in this component. Note that a maximum of
two rates can be specified. If a stub period uses
the same floating rate index, including tenor, as
the regular calculation periods then this should not
be specified again within this component, i.e. the
stub calculation period amount component may not
need to be specified even if there is an initial or
final stub period. If a stub period uses a different
floating rate index compared to the regular
calculation periods then this should be specified
within this component. If specified here, they are
likely to have id attributes, allowing them to be
referenced from within the cashflows component.
An actual rate to apply for
the initial or final stub period may have been
agreed between the principal parties (in a similar
way to how an initial rate may have been agreed for
the first regular period). If an actual stub rate
has been agreed then it would be included in this
component. It will be a per annum rate, expressed as
a decimal. A stub rate of 5% would be represented as 0.05.
An actual amount to apply
for the initial or final stub period may have been
agreed between th two parties. If an actual stub
amount has been agreed then it would be included in
this component.
A type defining how the initial or final
stub calculation period amounts is calculated. For example, the rate
to be applied to the initial or final stub calculation period may be
the linear interpolation of two different tenors for the floating
rate index specified in the calculation period amount component,
e.g. A two month stub period may used the linear interpolation of a
one month and three month floating rate. The different rate tenors
would be specified in this component. Note that a maximum of two
rate tenors can be specified. If a stub period uses a single index
tenor and this is the same as that specified in the calculation
period amount component then the initial stub or final stub
component, as the case may be, must not be included.
A pointer style reference
to the associated calculation period dates component
defined elsewhere in the document.
Specifies how the initial
stub amount is calculated. A single floating rate
tenor different to that used for the regular part of
the calculation periods schedule may be specified,
or two floating tenors may be specified. If two
floating rate tenors are specified then Linear
Interpolation (in accordance with the 2000 ISDA
Definitions, Section 8.3. Interpolation) is assumed
to apply. Alternatively, an actual known stub rate
or stub amount may be specified.
Specifies how the final
stub amount is calculated. A single floating rate
tenor different to that used for the regular part of
the calculation periods schedule may be specified,
or two floating tenors may be specified. If two
floating rate tenors are specified then Linear
Interpolation (in accordance with the 2000 ISDA
Definitions, Section 8.3. Interpolation) is assumed
to apply. Alternatively, an actual known stub rate
or stub amount may be specified.
A type defining swap streams and additional
payments between the principal parties involved in the swap.
The swap streams.
Parameters
specifying provisions relating to
the optional and mandatory early
terminarion of a swap transaction.
A provision
that allows the specification of an
embedded option within a swap giving
the buyer of the option the right to
terminate the swap, in whole or in
part, on the early termination date.
A provision
that allows the specification of an
embedded option with a swap giving
the buyer of the option the right to
extend the swap, in whole or in
part, to the extended termination date.
Additional
payments between the principal parties.
A type defining the right of a party to
cancel a swap transaction on the specified exercise dates. The
provision is for 'walkaway' cancellation (i.e. the fair value of the
swap is not paid). A fee payable on exercise can be specified.
Definition of the party to
whom notice of exercise should be given.
A flag to indicate whether
follow-up confirmation of exercise (written or
electronic) is required following telephonic notice
by the buyer to the seller or seller's agent.
The adjusted dates
associated with a cancelable provision. These dates
have been adjusted for any applicable business day convention.
A type to define the adjusted dates for a
cancelable provision on a swap transaction.
The adjusted dates for an
individual cancellation date.
The adjusted dates for a specific
cancellation date, including the adjusted exercise date and adjusted
termination date.
The date on which option
exercise takes place. This date should already be
adjusted for any applicable business day convention.
The early termination date
that is applicable if an early termination provision
is exercised. This date should already be adjusted
for any applicable business day convention.
A product to represent a single cashflow.
A known
payment between two parties.
A type defining an interest rate cap,
floor, or cap/floor strategy (e.g. collar) product.
The option
premium amount payable by buyer to
seller on the specified payment
date.
Additional
payments between the principal parties.
A type defining the parameters necessary
for each of the ISDA cash price methods for cash settlement.
A container for a set of
reference institutions. These reference institutions
may be called upon to provide rate quotations as
part of the method to determine the applicable cash
settlement amount. If institutions are not
specified, it is assumed that reference institutions
will be agreed between the parties on the exercise
date, or in the case of swap transaction to which
mandatory early termination is applicable, the cash
settlement valuation date.
The currency in which the
cash settlement amount will be calculated and settled.
Which rate quote is to be
observed, either Bid, Mid, Offer or Exercising Party
Pays. The meaning of Exercising Party Pays is
defined in the 2000 ISDA Definitions, Section 17.2.
Certain Definitions Relating to Cash Settlement,
paragraph (j)
A type to define the cash settlement terms
for a product where cash settlement is applicable.
The time of the cash
settlement valuation date when the cash settlement
amount will be determined according to the cash
settlement method if the parties have not otherwise
been able to agree the cash settlement amount.
The date on which the cash
settlement amount will be determined according to
the cash settlement method if the parties have not
otherwise been able to agree the cash settlement amount.
The date on which the cash
settlement amount will be paid, subject to
adjustment in accordance with any applicable
business day convention. This component would not be
present for a mandatory early termination provision
where the cash settlement payment date is the
mandatory early termination date.
An ISDA defined
cash settlement method used for the
determination of the applicable cash
settlement amount. The method is defined in
the 2000 ISDA Definitions, Section 17.3.
Cash Settlement Methods, paragraph (a).
An ISDA defined
cash settlement method used for the
determination of the applicable cash
settlement amount. The method is defined in
the 2000 ISDA Definitions, Section 17.3.
Cash Settlement Methods, paragraph (b).
An ISDA defined
cash settlement method used for the
determination of the applicable cash
settlement amount. The method is defined in
the 2000 ISDA Definitions, Section 17.3.
Cash Settlement Methods, paragraph (c).
An ISDA defined
cash settlement method used for the
determination of the applicable cash
settlement amount. The method is defined in
the 2000 ISDA Definitions, Section 17.3.
Cash Settlement Methods, paragraph (d).
An ISDA defined
cash settlement method used for the
determination of the applicable cash
settlement amount. The method is defined in
the 2000 ISDA Definitions, Section 17.3.
Cash Settlement Methods, paragraph (e).
A type defining the cash settlement payment
date(s) as either a set of explicit dates, together with applicable
adjustments, or as a date relative to some other (anchor) date, or
as any date in a range of contiguous business days.
A series of dates that
shall be subject to adjustment if they would
otherwise fall on a day that is not a business day
in the specified business centers, together with the
convention for adjusting the date.
A date specified as some
offset to another date (the anchor date).
A range of contiguous
business days.
A type defining the list of reference
institutions polled for relevant rates or prices when determining
the cash settlement amount for a product where cash settlement is applicable.
An institution (party)
identified by means of a coding scheme and an
optional name.
A type to define the adjusted dates
associated with an early termination provision.
The date on which option
exercise takes place. This date should already be
adjusted for any applicable business day convention.
The early termination date
that is applicable if an early termination provision
is exercised. This date should already be adjusted
for any applicable business day convention.
The date by which the cash
settlement amount must be agreed. This date should
already be adjusted for any applicable business day convention.
The date on which the cash
settlement amount is paid. This date should already
be adjusted for any applicable business dat convention.
The date on which the
exercise fee amount is paid. This date should
already be adjusted for any applicable business day convention.
A type defining an early termination
provision for a swap. This early termination is at fair value, i.e.
on termination the fair value of the product must be settled between
the parties.
A mandatory early
termination provision to terminate the swap at fair value.
An option for either or
both parties to terminate the swap at fair value.
A type defining the adjusted dates
associated with a particular exercise event.
The date on which option
exercise takes place. This date should already be
adjusted for any applicable business day convention.
The effective date of the
underlying swap associated with a given exercise
date. This date should already be adjusted for any
applicable business day convention.
The date by which the cash
settlement amount must be agreed. This date should
already be adjusted for any applicable business day convention.
The date on which the cash
settlement amount is paid. This date should already
be adjusted for any applicable business dat convention.
The date on which the
exercise fee amount is paid. This date should
already be adjusted for any applicable business day convention.
A type defining an option to extend an
existing swap transaction on the specified exercise dates for a term
ending on the specified new termination date.
Definition of the party to
whom notice of exercise should be given.
A flag to indicate whether
follow-up confirmation of exercise (written or
electronic) is required following telephonic notice
by the buyer to the seller or seller's agent.
The adjusted dates
associated with an extendible provision. These dates
have been adjusted for any applicable business day convention.
A type defining the adjusted dates
associated with a provision to extend a swap.
The adjusted dates
associated with a single extendible exercise date.
A type to define the adjusted dates
associated with an individual extension event.
The date on which option
exercise takes place. This date should already be
adjusted for any applicable business day convention.
The termination date if an
extendible provision is exercised. This date should
already be adjusted for any applicable business day convention.
A type to describe the cashflow
representation for fx linked notionals.
The date on which the fx
spot rate is observed. This date should already be
adjusted for any applicable business day convention.
The actual observed fx spot rate.
The calculation period
notional amount.
A type to describe a notional schedule
where each notional that applies to a calculation period is
calculated with reference to a notional amount or notional amount
schedule in a different currency by means of a spot currency
exchange rate which is normally observed at the beginning of each period.
A pointer style reference
to the associated constant notional schedule defined
elsewhere in the document which contains the
currency amounts which will be converted into the
varying notional currency amounts using the spot
currency exchange rate.
The initial currency amount for the
varying notional.
The currency of the varying
notional amount, i.e. the notional amount being
determined periodically based on observation of a
spot currency exchange rate.
The dates on which spot
currency exchange rates are observed for purposes of
determining the varying notional currency amount
that will apply to a calculation period.
The information source and
time at which the spot currency exchange rate will
be observed.
The dates on which interim
exchanges of notional are paid. Interim exchanges
will arise as a result of changes in the spot
currency exchange amount or changes in the constant
notional schedule (e.g. amortization).
A type to define an early termination
provision for which exercise is mandatory.
The early termination date
associated with a mandatory early termination of a swap.
A pointer style reference
to a party identifier defined elsewhere in the
document. The party referenced is the ISDA
Calculation Agent for the trade. If more than one
party is referenced then the parties are assumed to
be co-calculation agents, i.e. they have joint reponsibility.
If specified, this means
that cash settlement is applicable to the
transaction and defines the parameters associated
with the cash settlement prodcedure. If not
specified, then physical settlement is applicable.
The adjusted dates
associated with a mandatory early termination
provision. These dates have been adjusted for any
applicable business day convention.
A type defining the adjusted dates
associated with a mandatory early termination provision.
The early termination date
that is applicable if an early termination provision
is exercised. This date should already be adjusted
for any applicable business day convention.
The date by which the cash
settlement amount must be agreed. This date should
already be adjusted for any applicable business day convention.
The date on which the cash
settlement amount is paid. This date should already
be adjusted for any applicable business dat convention.
A type defining an early termination
provision where either or both parties have the right to exercise.
If optional early
termination is not available to both parties then
this component specifies the buyer and seller of the option.
Definition of the party to
whom notice of exercise should be given.
A flag to indicate whether
follow-up confirmation of exercise (written or
electronic) is required following telephonic notice
by the buyer to the seller or seller's agent.
The ISDA Calculation Agent
responsible for performing duties associated with an
optional early termination.
If specified, this means
that cash settlement is applicable to the
transaction and defines the parameters associated
with the cash settlement prodcedure. If not
specified, then physical settlement is applicable.
An early termination
provision to terminate the trade at fair value where
one or both parties have the right to decide on termination.
A type defining the adjusted dates
associated with an optional early termination provision.
The adjusted dates
associated with an individual earley termination date.
A type describing the method for obtaining
a settlement rate.
The information source
where a published or displayed market rate will be
obtained, e.g. Telerate Page 3750.
A container for a set of
reference institutions. These reference institutions
may be called upon to provide rate quotations as
part of the method to determine the applicable cash
settlement amount. If institutions are not
specified, it is assumed that reference institutions
will be agreed between the parties on the exercise
date, or in the case of swap transaction to which
mandatory early termination is applicable, the cash
settlement valuation date.
A type describing the buyer and seller of
an option.
A type to define an option on a swap.
The option
premium amount payable by buyer to
seller on the specified payment date.
A set of
parameters defining procedures
associated with the exercise.
A pointer
style reference to a party
identifier defined elsewhere in the
document. The party referenced is
the ISDA Calculation Agent for the
trade. If more than one party is
referenced then the parties are
assumed to be co-calculation agents,
i.e. they have joint reponsibility.
If
specified, this means that cash
settlement is applicable to the
transaction and defines the
parameters associated with the cash
settlement prodcedure. If not
specified, then physical settlement
is applicable.
Whether the
option is a swaption or a swaption straddle.
The
adjusted dates associated with
swaption exercise. These dates have
been adjusted for any applicable
business day convention.
A type describing the adjusted dates
associated with swaption exercise and settlement.
The adjusted dates
associated with an individual swaption exercise date.
A type defining the parameters required for
each of the ISDA defined yield curve methods for cash settlement.
The method for
obtaining a settlement rate. This may be
from some information source (e.g. Reuters)
or from a set of reference banks.
Which rate quote is
to be observed, either Bid, Mid, Offer or
Exercising Party Pays. The meaning of
Exercising Party Pays is defined in the 2000
ISDA Definitions, Section 17.2. Certain
Definitions Relating to Cash Settlement,
paragraph (j)
A product to represent one or more known payments.
A cap, floor or cap floor structures
product definition.
A forward rate agreement product definition.
A swap product definition.
A swaption product definition.
A type definining the parameters used in
the calculation of fixed or floating calculation period amounts.
The notional amount
or notional amount schedule.
A notional amount
schedule where each notional that applied to
a calculation period is calculated with
reference to a notional amount or notional
amount schedule in a different currency by
means of a spot currency exchange rate which
is normally observed at the beginning of
each period.
The fixed rate or
fixed rate schedule expressed as explicit
fixed rates and dates. In the case of a
schedule, the step dates may be subject to
adjustment in accordance with any
adjustments specified in calculationPeriodDatesAdjustments.
The floating rate
calculation definitions
The day count fraction.
The parameters specifying
any discounting conventions that may apply. This
element must only be included if discounting applies.
If more that one
calculation period contributes to a single payment
amount this element specifies whether compounding is
applicable, and if so, what compounding method is to
be used. This element must only be included when
more that one calculation period contributes to a
single payment amount.
The ISDA Floating Rate Option, i.e. the
floating rate index.