interchange-schema-registry
Version:
A Global Schema Registry for Data Interchange formats
123 lines (122 loc) • 6.11 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-->
<requestConfirmation
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>
<!-- unique message id -->
<messageId messageIdScheme="http://www.partyA.com/coding-scheme/message-id">234233423420</messageId>
<!-- identify the sender of this message -->
<sentBy messageAddressScheme="http://www.partyA.com/coding-scheme/party-id">23902</sentBy>
<creationTimestamp>2007-05-02T08:57:00-00:00</creationTimestamp>
</header>
<isCorrection>false</isCorrection>
<correlationId correlationIdScheme="http://www.example.com/conversationId">PA/2007/05/02/234234923415</correlationId>
<sequenceNumber>1</sequenceNumber>
<trade>
<tradeHeader>
<partyTradeIdentifier>
<partyReference href="party1" />
<tradeId tradeIdScheme="http://www.swapswire.com/spec/2001/trade-id-1-0">6403855</tradeId>
</partyTradeIdentifier>
<partyTradeIdentifier>
<partyReference href="party2" />
<tradeId tradeIdScheme="http://www.swapswire.com/spec/2001/trade-id-1-0">6403855</tradeId>
</partyTradeIdentifier>
<!-- Mandatory -->
<tradeDate>2015-03-30</tradeDate>
</tradeHeader>
<volatilitySwapTransactionSupplement>
<volatilityLeg>
<payerPartyReference href="party1" />
<receiverPartyReference href="party2" />
<!-- Mandatory -->
<underlyer>
<singleUnderlyer>
<index>
<instrumentId instrumentIdScheme="http://www.fpml.org/spec/2003/instrument-id-Reuters-RIC-1-0">.FTSE</instrumentId>
<exchangeId exchangeIdScheme="http://www.fpml.org/coding-scheme/external/exchange-id-MIC-1-0">XLIF</exchangeId>
<relatedExchangeId exchangeIdScheme="http://www.fpml.org/coding-scheme/external/exchange-id-MIC-1-0">XLIF</relatedExchangeId>
</index>
</singleUnderlyer>
</underlyer>
<!-- Mandatory -->
<settlementCurrency>GBP</settlementCurrency>
<valuation id="valuationDate">
<!-- Mandatory - Equity Valuation date -->
<valuationDate>
<adjustableDate>
<unadjustedDate>2015-04-07</unadjustedDate>
<dateAdjustments>
<businessDayConvention>NotApplicable</businessDayConvention>
</dateAdjustments>
</adjustableDate>
</valuationDate>
</valuation>
<amount>
<!-- Mandatory -->
<observationStartDate>
<adjustableDate>
<unadjustedDate>2015-03-30</unadjustedDate>
<dateAdjustments>
<businessDayConvention>NotApplicable</businessDayConvention>
</dateAdjustments>
</adjustableDate>
</observationStartDate>
<volatility>
<!-- For trades under 2011 matrix, pricing election options are initial level, OSPPricing,
ClosingPrice as shown below -->
<!-- For agreed price under 2011 matrix, populate initialLevel with specified price and initialLevelSource with AgreedInitialPrice-->
<!-- <initialLevel>101.10</initialLevel>-->
<!-- For Index Close pricing under 2011 matrix populate initialLevelSource with true -->
<!-- <initialLevelSource determinationMethodScheme="http://www.fpml.org/coding-scheme/determination-method">ExpiringContractLevel</initialLevelSource>>-->
<!-- For OSP Pricing under 2011 definitions, populate initialLevelSource with OSPPricing -->
<initialLevelSource determinationMethodScheme="http://www.fpml.org/coding-scheme/determination-method">ClosingPrice</initialLevelSource>
<!-- NDIP -->
<expectedN>5</expectedN>
<!-- Optional defaults to false if not poulated -->
<volatilityCap>
<!-- If volatilityCap/applicable is false , No Volatility Cap. -->
<applicable>true</applicable>
<!-- If volatilityCap/applicable is true, specify either totalVolatilityCap OR volatilityCapFactor OR neither on inbound messages -->
<!-- It defaults to 2.5 if not populated (747.50) -->
<volatilityCapFactor>3.0</volatilityCapFactor>
<totalVolatilityCap>897</totalVolatilityCap>
</volatilityCap>
<!-- Mandatory -->
<volatilityStrikePrice>299.00</volatilityStrikePrice>
<!-- Mandatory -->
<vegaNotionalAmount>1000.00</vegaNotionalAmount>
</volatility>
</amount>
</volatilityLeg>
</volatilitySwapTransactionSupplement>
<documentation>
<masterAgreement>
<masterAgreementType masterAgreementTypeScheme="http://dtcc.com/coding-scheme/master-agreement-type">ISDA</masterAgreementType>
<masterAgreementDate>2003-10-01</masterAgreementDate>
</masterAgreement>
<contractualDefinitions contractualDefinitionsScheme="http://www.fpml.org/coding-scheme/contractual-definitions">ISDA2011Equity</contractualDefinitions>
<contractualMatrix>
<matrixType matrixTypeScheme="http://www.fpml.org/coding-scheme/matrix-type">EquityDerivativesMatrix</matrixType>
<publicationDate>2011-12-01</publicationDate>
<matrixTerm matrixTermScheme="http://www.fpml.org/coding-scheme/equity-matrix-transaction-type">IVS1OpenMarkets</matrixTerm>
</contractualMatrix>
</documentation>
</trade>
<party id="party1">
<partyId partyIdScheme="http://www.fpml.org/coding-scheme/dummy-party-id">Party A</partyId>
</party>
<party id="party2">
<partyId partyIdScheme="http://www.fpml.org/coding-scheme/dummy-party-id">Party B</partyId>
</party>
</requestConfirmation>