interchange-schema-registry

Version:
A Global Schema Registry for Data Interchange formats
144 lines (143 loc) • 5.49 kB
text/xml
<?xml version="1.0" encoding="utf-8" ?>
<!--View is confirmation-->
<!--Version is 5-10-->
<!--NS is http://www.fpml.org/FpML-5/confirmation-->
<!--
  == Copyright (c) 2014-2018 All rights reserved.
  == Financial Products Markup Language is subject to the FpML public license.
  == A copy of this license is available at http://www.fpml.org/license/license.html
  -->
<!--
see template: fx-ex50-fx-double-accrual-forward.pdf
-->
<executionNotification
    xmlns="http://www.fpml.org/FpML-5/confirmation"
    xmlns:xsi="http://www.w3.org/2001/XMLSchema-instance"
    fpmlVersion="5-10"
    xsi:schemaLocation="http://www.fpml.org/FpML-5/confirmation ../../fpml-main-5-10.xsd http://www.w3.org/2000/09/xmldsig# ../../xmldsig-core-schema.xsd"
>
  <header>
    <messageId messageIdScheme="http://www.executionnotificationservice.com/coding-scheme/messageId">FX456a789b</messageId>
    <sentBy messageAddressScheme="http://www.executionnotificationservice.com/partyId">EXECSRV</sentBy>
    <sendTo messageAddressScheme="http://www.executionnotificationservice.com/partyId">PARTYA</sendTo>
    <creationTimestamp>2014-01-17T08:57:00Z</creationTimestamp>
  </header>
  <isCorrection>false</isCorrection>
  <trade>
    <tradeHeader>
      <partyTradeIdentifier>
        <partyReference href="partyA" />
        <tradeId tradeIdScheme="#partyA">12345</tradeId>
      </partyTradeIdentifier>
      <tradeDate>2014-01-17</tradeDate>
    </tradeHeader>
    <fxAccrualForward>
      <notionalAmount>
        <initialValue>510000.00</initialValue>
        <currency>USD</currency>
      </notionalAmount>
<!--Accrual Process - describes the accrual process-->
      <accrual>
        <observable id="ob1">
          <quotedCurrencyPair>
<!--what it is you are measuring. -->
            <currency1>EUR</currency1>
            <currency2>USD</currency2>
            <quoteBasis>Currency2PerCurrency1</quoteBasis>
          </quotedCurrencyPair>
          <informationSource>
<!--Describes the source the accrual event based on-->
            <rateSource>Reuters</rateSource>
            <rateSourcePage>ECB37</rateSourcePage>
            <fixingTime>
              <hourMinuteTime>14:15:00</hourMinuteTime>
              <businessCenter>DEFR</businessCenter>
            </fixingTime>
          </informationSource>
        </observable>
        <accrualRegion>
<!--"Accrual Days 1" means a Fixing Date during the Accrual Period where EURmat fixes at or below the Forward Rate, and above the Barrier Price. -->
          <observableReference href="ob1" />
          <lowerBound>
            <condition>Above</condition>
            <level>
              <initialValue>1.2695</initialValue>
            </level>
          </lowerBound>
          <upperBound>
            <condition>AtOrBelow</condition>
            <level>
              <initialValue>1.3725</initialValue>
            </level>
          </upperBound>
        </accrualRegion>
        <accrualRegion>
<!--"Accrual Days 2" means a Fixing Date during the Accrual Period where EURmat fixes above the Forward Rate. -->
          <observableReference href="ob1" />
          <lowerBound>
            <condition>Above</condition>
            <level>
              <initialValue>1.3725</initialValue>
            </level>
          </lowerBound>
          <accrualFactor>
            <initialValue>1.5</initialValue>
          </accrualFactor>
        </accrualRegion>
        <fixingSchedule>
<!--the dates when you are measuring-->
          <startDate>2014-01-20</startDate>
          <endDate>2015-01-19</endDate>
          <dayType>Business</dayType>
          <businessCenters>
            <businessCenter>USNY</businessCenter>
            <businessCenter>EUTA</businessCenter>
          </businessCenters>
          <numberOfFixings>255</numberOfFixings>
        </fixingSchedule>
      </accrual>
      <expiryDate>
        <adjustedDate>2015-01-19</adjustedDate>
      </expiryDate>
      <settlementDate>
        <dateAdjustments>
          <businessDayConvention>FOLLOWING</businessDayConvention>
          <businessCenters>
            <businessCenter>USNY</businessCenter>
            <businessCenter>EUTA</businessCenter>
          </businessCenters>
        </dateAdjustments>
        <adjustedDate>2015-01-21</adjustedDate>
      </settlementDate>
      <linearPayoffRegion>
        <exchangedCurrency1>
          <payerPartyReference href="partyA" />
          <receiverPartyReference href="partyB" />
          <currency>EUR</currency>
        </exchangedCurrency1>
        <exchangedCurrency2>
          <payerPartyReference href="partyB" />
          <receiverPartyReference href="partyA" />
          <currency>USD</currency>
        </exchangedCurrency2>
        <strike>
          <initialValue>1.3725</initialValue>
          <quoteBasis>Currency2PerCurrency1</quoteBasis>
        </strike>
        <counterCurrencyAmount>
          <initialValue>371584.70</initialValue>
          <currency>EUR</currency>
        </counterCurrencyAmount>
      </linearPayoffRegion>
    </fxAccrualForward>
    <calculationAgent>
      <calculationAgentPartyReference href="partyA" />
    </calculationAgent>
  </trade>
  <party id="partyA">
    <partyId partyIdScheme="http://www.fpml.org/coding-scheme/external/iso17442">549300SRLRVTR996F086</partyId>
  </party>
  <party id="partyB">
    <partyId partyIdScheme="http://www.fpml.org/coding-scheme/external/iso17442">549300RE0FSXJE8G1L65</partyId>
  </party>
</executionNotification>