FpML Product Specifications
The Swap component, which is comprised of SwapStreams, is used to define the product economic fields between the principal parties involved in the Swap. The SwapStream component can be used to specify the payment streams associated with the swap. These can be fixed or float payment streams. This component is also used to specify the elements needed to specify calculations associated with each stream.
Swap Element Specification
NS: Not Supported
The Fra component is also used to specify the elements needed to specify calculations associated with the payment and maturity of the fra contract.
Fra Element Specification
|Field Name||Description||XPath||Enumeration / Coding Scheme|
|Effective Date (Adjusted)||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||fra/ adjustedEffectiveDate|
|Termination Date||he end date of the calculation period. This date should already be adjusted for any applicable business day convention||fra/ adjustedTerminationDate|
|Calculation Period and Amount Details|
|Notional Amount||The notional amount associated with the calculation period for the stream||fra/notiona/amount|
|Notional Amount Currency||The currency associated with the notional amount of the notional amount schedule.||fra/notiona/currency|
|Day count Fraction||Day count basis convention to use to find the period between two dates||fra/dayCountFraction|
|Fixed Rate||The fixed rate.||fra/fixedRate|
|Floating Rate Index||The index used for calculating the floating leg.||fra/floatingRateIndex||Please refer to the Product Scope for the supported indices.|
|Floating Rate Index Tenor|
The tenor or the designated maturity of the floating rate index.
Frequency at which the calculation period ends for the regular part of the calculation period schedule for the fixed or float leg based on the Stream.
A time period multiplier, e.g. 1, 2 or 3 etc. A negative value can be used when specifying an offset relative to another date, e.g. -2 days. If the period value is T (Term) then periodMultiplier must contain the value 1
D - Day
W - Week
M - Month
Y - Year
T - Term
|Calculation Period Number of Days||The number of days from the adjusted effective date to the adjusted termination date calculated in accordance with the applicable day count fraction.||fra/calculationPeriodNumberOfDays|
|FRA Discounting||Specifies whether discounting applies and, if so, what type.||fra/fraDiscounting||ISDA|
Fixing Dates Offset Calculation
Specifies the elements needed for calculating the fixing date.
|Fixing Date Offset Period||Specifies the fixing date relative to the reset date in terms of a business days offset and an associated set of financial business centers. The href attribute on the dateRelativeTo element should reference the id attribute on the resetDates element.||fra/fixingDateOffset/periodMultiplier|
D - Day
W - Week
M - Month
Y - Year
T - Term
|Fixing Date Offset Day Type||In the case of an offset specified as a number of days, this element defines whether consideration is given as to whether a day is a good business day or not. If a day type of business days is specified then non-business days are ignored when calculating the offset. The financial business centers to use for determination of business days are implied by the context in which this element is used. This element must only be included when the offset is specified as a number of days. If the offset is zero days then the dayType element should not be included||fra/fixingDateOffset/dayType|
|Fixing date business day convention||The convention for adjusting the fixing date if it falls on a day that is not a business day.||fra/fixingDateOffset/ businessDayConvention|
|Fixing Date Offset Business Center||This set of business centers is used to determine whether a particular day is a business day or not.||fra/fixingDateOffset/businessCenters/businessCenter|
|Fixing Date Offset relative to||Specifies the anchor date as an href attribute. The href attribute on the dateRelativeTo element should reference the id attribute on the resetDates element.||fra/fixingDateOffset/dateRelativeTo|
|Unadjusted Payment Date||The payment date. This date is subject to adjustment in accordance with any applicable business day convention.||fra/paymentDate/ unadjustedDate|
|Payment Date Business Day convention||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.||fra/paymentDate/dateAdjustments/ businessDayConvention|
|Payment Date Business Center Reference||A reference to a set of financial business centers used to determine whether the payment date is a business day or not.||fra/paymentDate/dateAdjustments/ businessCenters/ businessCenter|