interchange-schema-registry
Version:
A Global Schema Registry for Data Interchange formats
188 lines (187 loc) • 7.38 kB
text/xml
<!--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-ex57-fx-average-rate-accrual-option.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>2014-06-24T08:57:00Z</creationTimestamp>
</header>
<isCorrection>false</isCorrection>
<trade>
<tradeHeader>
<partyTradeIdentifier>
<partyReference href="partyA" />
<tradeId tradeIdScheme="#partyA">12345</tradeId>
</partyTradeIdentifier>
<tradeDate>2008-01-11</tradeDate>
</tradeHeader>
<fxAccrualOption>
<productType productTypeScheme="http://www.fpml.org/coding-scheme/product-type-simple">FxAccrualOption</productType>
<buyerPartyReference href="partyA" />
<sellerPartyReference href="partyB" />
<putCurrency>USD</putCurrency>
<callCurrency>GBP</callCurrency>
<notionalAmount>
<initialValue>7000000.00</initialValue>
<currency>GBP</currency>
</notionalAmount>
<accrual>
<!--Describes accrual process -->
<observable id="ob1">
<quotedCurrencyPair>
<!--what it is you are measuring. -->
<currency1>GBP</currency1>
<currency2>USD</currency2>
<quoteBasis>Currency2PerCurrency1</quoteBasis>
</quotedCurrencyPair>
<informationSource>
<!--Describes the source the observation is based on-->
<rateSource>Reuters</rateSource>
<rateSourcePage>1FED</rateSourcePage>
<fixingTime>
<hourMinuteTime>10:00:00</hourMinuteTime>
<businessCenter>USNY</businessCenter>
</fixingTime>
</informationSource>
</observable>
<accrualRegion>
<observableReference href="ob1" />
<lowerBound>
<condition>AtOrAbove</condition>
<level>
<initialValue>1.995</initialValue>
</level>
</lowerBound>
</accrualRegion>
<accrualRegion>
<observableReference href="ob1" />
<upperBound>
<condition>Below</condition>
<level>
<initialValue>1.995</initialValue>
</level>
</upperBound>
<accrualFactor>
<initialValue>2</initialValue>
</accrualFactor>
</accrualRegion>
<!--(Fixing Dates: Every Euro Settlement Date during the Accrual Period) Fixing schedule – primarily parametric or can be explicit list of dates, or both -->
<fixingSchedule>
<!--the dates when you are measuring-->
<startDate>2008-01-11</startDate>
<endDate>2008-06-30</endDate>
<dayType>Business</dayType>
<businessCenters>
<!--“Business Day” means each day 1FED is published-->
<businessCenter>USNY</businessCenter>
</businessCenters>
<numberOfFixings>21</numberOfFixings>
</fixingSchedule>
</accrual>
<expiryDate>
<adjustedDate>2008-06-30</adjustedDate>
<expiryTime>
<hourMinuteTime>14:00:00</hourMinuteTime>
<businessCenter>USNY</businessCenter>
</expiryTime>
</expiryDate>
<settlementDate>
<dateAdjustments>
<!--optional component-->
<businessDayConvention>FOLLOWING</businessDayConvention>
<businessCenters>
<businessCenter>GBLO</businessCenter>
<businessCenter>USNY</businessCenter>
</businessCenters>
</dateAdjustments>
<adjustedDate>2008-07-02</adjustedDate>
</settlementDate>
<strike>
<initialValue>1.995</initialValue>
<strikeQuoteBasis>PutCurrencyPerCallCurrency</strikeQuoteBasis>
</strike>
<counterCurrencyAmount>
<initialValue>3508771.93</initialValue>
<currency>USD</currency>
</counterCurrencyAmount>
<!--Average Rate Forward: means the average of the Rate Observations (as defined below), rounded to four decimal places ###-->
<!--Average Rate is calculated based on the accrual period -->
<!--
"The Forward has features that differ from a standard forward foreign exchange contract,
in that the Settlement Exchange Rate is calculated based on a series of rate observations.
In addition, the Forward is cash-settled rather than settled by physical delivery."
-->
<averageRate id="averageRate">
<!--what the rate we are observing and -->
<quotedCurrencyPair>
<!--what it is you are measuring. -->
<currency1>GBP</currency1>
<currency2>USD</currency2>
<quoteBasis>Currency2PerCurrency1</quoteBasis>
</quotedCurrencyPair>
<informationSource>
<!--Describes the source the observation is based on-->
<rateSource>Reuters</rateSource>
<rateSourcePage>1FED</rateSourcePage>
<fixingTime>
<hourMinuteTime>10:00:00</hourMinuteTime>
<businessCenter>USNY</businessCenter>
</fixingTime>
</informationSource>
<fixingSchedule>
<!--the dates when you are measuring-->
<startDate>2008-01-11</startDate>
<endDate>2008-06-30</endDate>
<dayType>Business</dayType>
<businessCenters>
<businessCenter>USNY</businessCenter>
</businessCenters>
</fixingSchedule>
<averagingMethod>Arithmetic</averagingMethod>
<precision>4</precision>
</averageRate>
<!--optional Payment-->
<premium>
<payerPartyReference href="partyA" />
<receiverPartyReference href="partyB" />
<paymentDate>
<adjustableDate>
<unadjustedDate>2008-01-15</unadjustedDate>
<dateAdjustments>
<businessDayConvention>NONE</businessDayConvention>
</dateAdjustments>
</adjustableDate>
</paymentDate>
<paymentAmount>
<currency>USD</currency>
<amount>155000</amount>
</paymentAmount>
</premium>
</fxAccrualOption>
<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>