---

Contents

Global Elements

bulletPayment

capFloor

floatingRateCalculation

fra

inflationRateCalculation

rateCalculation

swap

swaption

Global Complex Types

BondReference

BulletPayment

Calculation

CalculationPeriod

CalculationPeriodAmount

CalculationPeriodDates

CancelableProvision

CancelableProvisionAdjustedDates

CancellationEvent

CapFloor

Cashflows

CashPriceMethod

CashSettlement

CashSettlementPaymentDate

CashSettlementReferenceBanks

DateRelativeToPaymentDates

Discounting

EarlyTerminationEvent

EarlyTerminationProvision

ExerciseEvent

ExercisePeriod

ExtendibleProvision

ExtendibleProvisionAdjustedDates

ExtensionEvent

FloatingRateDefinition

Fra

FxFixingDate

FxLinkedNotionalAmount

FxLinkedNotionalSchedule

InflationRateCalculation

InterestRateStream

MainPublication

MandatoryEarlyTermination

MandatoryEarlyTerminationAdjustedDates

NonDeliverableSettlement

Notional

NotionalStepRule

OptionalEarlyTermination

OptionalEarlyTerminationAdjustedDates

PaymentCalculationPeriod

PaymentDates

PrincipalExchange

ResetDates

SettlementProvision

SettlementRateOption

SettlementRateSource

SinglePartyOption

Stub

StubCalculationPeriodAmount

Swap

SwapAdditionalTerms

Swaption

SwaptionAdjustedDates

YieldCurveMethod

Global Simple Types

Schema Listing

---

Global Elements

bulletPayment

Description:

A product to represent a single known payment.

Figure:

Contents:

Element bulletPayment is defined by the complex type BulletPayment

Used by:

Schema Fragment:

<xsd:element name="bulletPayment" type="BulletPayment" substitutionGroup="product">
  <xsd:annotation>
    <xsd:documentation xml:lang="en">
      A product to represent a single known payment.
    </xsd:documentation>
  </xsd:annotation>
</xsd:element>

---

capFloor

Description:

A cap, floor or cap floor structures product definition.

Figure:

Contents:

Element capFloor is defined by the complex type CapFloor

Used by:

Schema Fragment:

<xsd:element name="capFloor" type="CapFloor" substitutionGroup="product">
  <xsd:annotation>
    <xsd:documentation xml:lang="en">
      A cap, floor or cap floor structures product definition.
    </xsd:documentation>
  </xsd:annotation>
</xsd:element>

---

floatingRateCalculation

Description:

A floating rate calculation definition.

Figure:

Contents:

Element floatingRateCalculation is defined by the complex type FloatingRateCalculation

Used by:

Schema Fragment:

<xsd:element name="floatingRateCalculation" type="FloatingRateCalculation" substitutionGroup="rateCalculation">
  <xsd:annotation>
    <xsd:documentation xml:lang="en">
      A floating rate calculation definition.
    </xsd:documentation>
  </xsd:annotation>
</xsd:element>

---

fra

Description:

A forward rate agreement product definition.

Figure:

Contents:

Element fra is defined by the complex type Fra

Used by:

Schema Fragment:

<xsd:element name="fra" type="Fra" substitutionGroup="product">
  <xsd:annotation>
    <xsd:documentation xml:lang="en">
      A forward rate agreement product definition.
    </xsd:documentation>
  </xsd:annotation>
</xsd:element>

---

inflationRateCalculation

Description:

An inflation rate calculation definition.

Figure:

Contents:

Element inflationRateCalculation is defined by the complex type InflationRateCalculation

Used by:

Schema Fragment:

<xsd:element name="inflationRateCalculation" type="InflationRateCalculation" substitutionGroup="rateCalculation">
  <xsd:annotation>
    <xsd:documentation xml:lang="en">
      An inflation rate calculation definition.
    </xsd:documentation>
  </xsd:annotation>
</xsd:element>

---

rateCalculation

Description:

The base element for the floating rate calculation definitions.

Figure:

Contents:

Element rateCalculation is defined by the complex type FloatingRateCalculation

Used by:

• Calculation

Substituted by:

• floatingRateCalculation
• inflationRateCalculation

Schema Fragment:

<xsd:element name="rateCalculation" type="FloatingRateCalculation" abstract="true">
  <xsd:annotation>
    <xsd:documentation xml:lang="en">
      The base element for the floating rate calculation definitions.
    </xsd:documentation>
  </xsd:annotation>
</xsd:element>

---

swap

Description:

A swap product definition.

Figure:

Contents:

Element swap is defined by the complex type Swap

Used by:

• Swaption

Schema Fragment:

<xsd:element name="swap" type="Swap" substitutionGroup="product">
  <xsd:annotation>
    <xsd:documentation xml:lang="en">
      A swap product definition.
    </xsd:documentation>
  </xsd:annotation>
</xsd:element>

---

swaption

Description:

A swaption product definition.

Figure:

Contents:

Element swaption is defined by the complex type Swaption

Used by:

Schema Fragment:

<xsd:element name="swaption" type="Swaption" substitutionGroup="product">
  <xsd:annotation>
    <xsd:documentation xml:lang="en">
      A swaption product definition.
    </xsd:documentation>
  </xsd:annotation>
</xsd:element>

---

Global Complex Types

BondReference

Description:

A reference to a bond.

Figure:

Contents:

Bond to which the swap contract is conditional on. The swap contract is only valid if this bond is issued and if there is any dispute over the terms of fixed stream then the bond terms would be used. bond (exactly one occurrence; of the type Bond)

• Defines the underlying asset when it is a bond.

conditionPrecedentBond (exactly one occurrence; of the type xsd:boolean)

• To indicate whether the Condition Precedent Bond is applicable.

discrepancyClause (zero or one occurrence; of the type xsd:boolean)

• To indicate whether the Discrepancy Clause is applicable.

Used by:

• SwapAdditionalTerms/bondReference

Schema Fragment:

<xsd:complexType name="BondReference">
  <xsd:annotation>
    <xsd:documentation xml:lang="en">
      A reference to a bond.
    </xsd:documentation>
  </xsd:annotation>
  <xsd:sequence>
    <xsd:element ref="bond">
      <xsd:annotation>
        <xsd:documentation xml:lang="en">
          Bond to which the swap contract is conditional on. The swap
          contract is only valid if this bond is issued and if there is
          any dispute over the terms of fixed stream then the bond
          terms would be used.
        </xsd:documentation>
      </xsd:annotation>
    </xsd:element>
    <xsd:element name="conditionPrecedentBond" type="xsd:boolean">
      <xsd:annotation>
        <xsd:documentation xml:lang="en">
          To indicate whether the Condition Precedent Bond is
          applicable.
        </xsd:documentation>
      </xsd:annotation>
    </xsd:element>
    <xsd:element name="discrepancyClause" type="xsd:boolean" minOccurs="0">
      <xsd:annotation>
        <xsd:documentation xml:lang="en">
          To indicate whether the Discrepancy Clause is applicable.
        </xsd:documentation>
      </xsd:annotation>
    </xsd:element>
  </xsd:sequence>
</xsd:complexType>

---

BulletPayment

Description:

A product to represent a single cashflow.

Figure:

Contents:

Inherited element(s): (This definition inherits the content defined by the type Product)

• The base type which all FpML products extend.

payment (exactly one occurrence; of the type Payment)

• A known payment between two parties.

Used by:

Extension of:

• Product

Schema Fragment:

<xsd:complexType name="BulletPayment">
  <xsd:annotation>
    <xsd:documentation xml:lang="en">
      A product to represent a single cashflow.
    </xsd:documentation>
  </xsd:annotation>
  <xsd:complexContent>
    <xsd:extension base="Product">
      <xsd:sequence>
        <xsd:element name="payment" type="Payment">
          <xsd:annotation>
            <xsd:documentation xml:lang="en">
              A known payment between two parties.
            </xsd:documentation>
          </xsd:annotation>
        </xsd:element>
      </xsd:sequence>
    </xsd:extension>
  </xsd:complexContent>
</xsd:complexType>

---

Calculation

Description:

A type definining the parameters used in the calculation of fixed or floating calculation period amounts.

Figure:

Contents:

There can be one occurance of the following structure; Choice of either

notionalSchedule (exactly one occurrence; of the type Notional)

• The notional amount or notional amount schedule.

Or

fxLinkedNotionalSchedule (exactly one occurrence; of the type FxLinkedNotionalSchedule)

• 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.

There can be one occurance of the following structure; Choice of either

fixedRateSchedule (exactly one occurrence; of the type Schedule)

• 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.

Or

This element is the head of a substitution group. It is substituted by the floatingRateCalculation element for standard Floating Rate legs, or the inflationRateCalculation element for inflation swaps. rateCalculation (exactly one occurrence; of the type FloatingRateCalculation)

• The base element for the floating rate calculation definitions.

dayCountFraction (exactly one occurrence; of the type DayCountFraction)

• The day count fraction.

discounting (zero or one occurrence; of the type Discounting)

• The parameters specifying any discounting conventions that may apply. This element must only be included if discounting applies.

compoundingMethod (zero or one occurrence; of the type CompoundingMethodEnum)

• 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.

Used by:

• CalculationPeriodAmount/calculation

Schema Fragment:

<xsd:complexType name="Calculation">
  <xsd:annotation>
    <xsd:documentation xml:lang="en">
      A type definining the parameters used in the calculation of fixed
      or floating calculation period amounts.
    </xsd:documentation>
  </xsd:annotation>
  <xsd:sequence>
    <xsd:choice>
      <xsd:element name="notionalSchedule" type="Notional">
        <xsd:annotation>
          <xsd:documentation xml:lang="en">
            The notional amount or notional amount schedule.
          </xsd:documentation>
        </xsd:annotation>
      </xsd:element>
      <xsd:element name="fxLinkedNotionalSchedule" type="FxLinkedNotionalSchedule">
        <xsd:annotation>
          <xsd:documentation xml:lang="en">
            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.
          </xsd:documentation>
        </xsd:annotation>
      </xsd:element>
    </xsd:choice>
    <xsd:choice>
      <xsd:element name="fixedRateSchedule" type="Schedule">
        <xsd:annotation>
          <xsd:documentation xml:lang="en">
            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.
          </xsd:documentation>
        </xsd:annotation>
      </xsd:element>
      <xsd:element ref="rateCalculation">
        <xsd:annotation>
          <xsd:documentation xml:lang="en">
            This element is the head of a substitution group. It is
            substituted by the floatingRateCalculation element for
            standard Floating Rate legs, or the
            inflationRateCalculation element for inflation swaps.
          </xsd:documentation>
        </xsd:annotation>
      </xsd:element>
    </xsd:choice>
    <xsd:element name="dayCountFraction" type="DayCountFraction">
      <xsd:annotation>
        <xsd:documentation xml:lang="en">
          The day count fraction.
        </xsd:documentation>
      </xsd:annotation>
    </xsd:element>
    <xsd:element name="discounting" type="Discounting" minOccurs="0">
      <xsd:annotation>
        <xsd:documentation xml:lang="en">
          The parameters specifying any discounting conventions that
          may apply. This element must only be included if discounting
          applies.
        </xsd:documentation>
      </xsd:annotation>
    </xsd:element>
    <xsd:element name="compoundingMethod" type="CompoundingMethodEnum" minOccurs="0">
      <xsd:annotation>
        <xsd:documentation xml:lang="en">
          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.
        </xsd:documentation>
      </xsd:annotation>
    </xsd:element>
  </xsd:sequence>
</xsd:complexType>

---

CalculationPeriod

Description:

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.

Figure:

Contents:

unadjustedStartDate (zero or one occurrence; of the type xsd:date)

unadjustedEndDate (zero or one occurrence; of the type xsd:date)

adjustedStartDate (zero or one occurrence; of the type xsd:date)

• The calculation period start date, adjusted according to any relevant business day convention.

adjustedEndDate (zero or one occurrence; of the type xsd:date)

• The calculation period end date, adjusted according to any relevant business day convention.

calculationPeriodNumberOfDays (zero or one occurrence; of the type xsd:positiveInteger)

• 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.

There can be one occurance of the following structure; Choice of either

notionalAmount (exactly one occurrence; of the type xsd:decimal)

• The amount that a cashflow will accrue interest on.

Or

fxLinkedNotionalAmount (exactly one occurrence; of the type FxLinkedNotionalAmount)

• 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.

There can be one occurance of the following structure; Choice of either

floatingRateDefinition (exactly one occurrence; of the type FloatingRateDefinition)

• The floating rate reset information for the calculation period.

Or

fixedRate (exactly one occurrence; of the type xsd:decimal)

• The calculation period fixed rate. A per annum rate, expressed as a decimal. A fixed rate of 5% would be represented as 0.05.

dayCountYearFraction (zero or one occurrence; of the type xsd:decimal)

• The year fraction value of the calculation period, result of applying the ISDA rules for day count fraction defined in the ISDA Annex.

forecastAmount (zero or one occurrence; of the type Money)

• The amount representing the forecast of the accrued value of the calculation period. An intermediate value used to generate the forecastPaymentAmount in the PaymentCalculationPeriod.

forecastRate (zero or one occurrence; of the type xsd:decimal)

• A value representing the forecast rate used to calculate the forecast future value of the accrual period. This is a calculated rate determined based on averaging the rates in the rateObservation elements, and incorporates all of the rate treatment and averaging rules. A value of 1% should be represented as 0.01

Attribute: id (xsd:ID)

Used by:

• PaymentCalculationPeriod/calculationPeriod

Schema Fragment:

<xsd:complexType name="CalculationPeriod">
  <xsd:annotation>
    <xsd:documentation xml:lang="en">
      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.
    </xsd:documentation>
  </xsd:annotation>
  <xsd:sequence>
    <xsd:element name="unadjustedStartDate" type="xsd:date" minOccurs="0"/>
    <xsd:element name="unadjustedEndDate" type="xsd:date" minOccurs="0"/>
    <xsd:element name="adjustedStartDate" type="xsd:date" minOccurs="0">
      <xsd:annotation>
        <xsd:documentation xml:lang="en">
          The calculation period start date, adjusted according to any
          relevant business day convention.
        </xsd:documentation>
      </xsd:annotation>
    </xsd:element>
    <xsd:element name="adjustedEndDate" type="xsd:date" minOccurs="0">
      <xsd:annotation>
        <xsd:documentation xml:lang="en">
          The calculation period end date, adjusted according to any
          relevant business day convention.
        </xsd:documentation>
      </xsd:annotation>
    </xsd:element>
    <xsd:element name="calculationPeriodNumberOfDays" type="xsd:positiveInteger" minOccurs="0">
      <xsd:annotation>
        <xsd:documentation xml:lang="en">
          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.
        </xsd:documentation>
      </xsd:annotation>
    </xsd:element>
    <xsd:choice>
      <xsd:element name="notionalAmount" type="xsd:decimal">
        <xsd:annotation>
          <xsd:documentation xml:lang="en">
            The amount that a cashflow will accrue interest on.
          </xsd:documentation>
        </xsd:annotation>
      </xsd:element>
      <xsd:element name="fxLinkedNotionalAmount" type="FxLinkedNotionalAmount">
        <xsd:annotation>
          <xsd:documentation xml:lang="en">
            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.
          </xsd:documentation>
        </xsd:annotation>
      </xsd:element>
    </xsd:choice>
    <xsd:choice>
      <xsd:element name="floatingRateDefinition" type="FloatingRateDefinition">
        <xsd:annotation>
          <xsd:documentation xml:lang="en">
            The floating rate reset information for the calculation
            period.
          </xsd:documentation>
        </xsd:annotation>
      </xsd:element>
      <xsd:element name="fixedRate" type="xsd:decimal">
        <xsd:annotation>
          <xsd:documentation xml:lang="en">
            The calculation period fixed rate. A per annum rate,
            expressed as a decimal. A fixed rate of 5% would be
            represented as 0.05.
          </xsd:documentation>
        </xsd:annotation>
      </xsd:element>
    </xsd:choice>
    <xsd:element name="dayCountYearFraction" type="xsd:decimal" minOccurs="0">
      <xsd:annotation>
        <xsd:documentation xml:lang="en">
          The year fraction value of the calculation period, result of
          applying the ISDA rules for day count fraction defined in the
          ISDA Annex.
        </xsd:documentation>
      </xsd:annotation>
    </xsd:element>
    <xsd:element name="forecastAmount" type="Money" minOccurs="0">
      <xsd:annotation>
        <xsd:documentation xml:lang="en">
          The amount representing the forecast of the accrued value of
          the calculation period. An intermediate value used to
          generate the forecastPaymentAmount in the
          PaymentCalculationPeriod.
        </xsd:documentation>
      </xsd:annotation>
    </xsd:element>
    <xsd:element name="forecastRate" type="xsd:decimal" minOccurs="0">
      <xsd:annotation>
        <xsd:documentation xml:lang="en">
          A value representing the forecast rate used to calculate the
          forecast future value of the accrual period. This is a
          calculated rate determined based on averaging the rates in
          the rateObservation elements, and incorporates all of the
          rate treatment and averaging rules. A value of 1% should be
          represented as 0.01
        </xsd:documentation>
      </xsd:annotation>
    </xsd:element>
  </xsd:sequence>
  <xsd:attribute name="id" type="xsd:ID"/>
</xsd:complexType>

---

CalculationPeriodAmount

Description:

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.

Figure:

Contents:

There can be one occurance of the following structure; Choice of either

calculation (exactly one occurrence; of the type Calculation)

• The parameters used in the calculation of fixed or floaring rate calculation period amounts.

Or

knownAmountSchedule (exactly one occurrence; of the type AmountSchedule)

• 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.

Used by:

• InterestRateStream/calculationPeriodAmount

Schema Fragment:

<xsd:complexType name="CalculationPeriodAmount">
  <xsd:annotation>
    <xsd:documentation xml:lang="en">
      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.
    </xsd:documentation>
  </xsd:annotation>
  <xsd:choice>
    <xsd:element name="calculation" type="Calculation">
      <xsd:annotation>
        <xsd:documentation xml:lang="en">
          The parameters used in the calculation of fixed or floaring
          rate calculation period amounts.
        </xsd:documentation>
      </xsd:annotation>
    </xsd:element>
    <xsd:element name="knownAmountSchedule" type="AmountSchedule">
      <xsd:annotation>
        <xsd:documentation xml:lang="en">
          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.
        </xsd:documentation>
      </xsd:annotation>
    </xsd:element>
  </xsd:choice>
</xsd:complexType>

---

CalculationPeriodDates

Description:

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.

Figure:

Contents:

There can be one occurance of the following structure; Choice of either

effectiveDate (exactly one occurrence; of the type AdjustableDate)

• The first day of the term of the trade. This day may be subject to adjustment in accordance with a business day convention.

Or

relativeEffectiveDate (exactly one occurrence; of the type AdjustedRelativeDateOffset)

• Defines the effective date.

There can be one occurance of the following structure; Choice of either

terminationDate (exactly one occurrence; of the type AdjustableDate)

• The last day of the term of the trade. This day may be subject to adjustment in accordance with a business day convention.

Or

relativeTerminationDate (exactly one occurrence; of the type RelativeDateOffset)

• The term/maturity of the swap, express as a tenor (typically in years).

calculationPeriodDatesAdjustments (exactly one occurrence; of the type BusinessDayAdjustments)

• 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.

firstPeriodStartDate (zero or one occurrence; of the type AdjustableDate)

• 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.

firstRegularPeriodStartDate (zero or one occurrence; of the type xsd:date)

• 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.

lastRegularPeriodEndDate (zero or one occurrence; of the type xsd:date)

• 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.

stubPeriodType (zero or one occurrence; of the type StubPeriodTypeEnum)

• Method to allocate any irregular period remaining after regular periods have been allocated between the effective and termination date.

calculationPeriodFrequency (exactly one occurrence; of the type CalculationPeriodFrequency)

• The frequency at which calculation period end dates occur with the regular part of the calculation period schedule and their roll date convention.

Attribute: id (xsd:ID) - required

Used by:

• InterestRateStream/calculationPeriodDates

Schema Fragment:

<xsd:complexType name="CalculationPeriodDates">
  <xsd:annotation>
    <xsd:documentation xml:lang="en">
      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.
    </xsd:documentation>
  </xsd:annotation>
  <xsd:sequence>
    <xsd:choice>
      <xsd:element name="effectiveDate" type="AdjustableDate">
        <xsd:annotation>
          <xsd:documentation xml:lang="en">
            The first day of the term of the trade. This day may be
            subject to adjustment in accordance with a business day
            convention.
          </xsd:documentation>
        </xsd:annotation>
      </xsd:element>
      <xsd:element name="relativeEffectiveDate" type="AdjustedRelativeDateOffset">
        <xsd:annotation>
          <xsd:documentation xml:lang="en">
            Defines the effective date.
          </xsd:documentation>
        </xsd:annotation>
      </xsd:element>
    </xsd:choice>
    <xsd:choice>
      <xsd:element name="terminationDate" type="AdjustableDate">
        <xsd:annotation>
          <xsd:documentation xml:lang="en">
            The last day of the term of the trade. This day may be
            subject to adjustment in accordance with a business day
            convention.
          </xsd:documentation>
        </xsd:annotation>
      </xsd:element>
      <xsd:element name="relativeTerminationDate" type="RelativeDateOffset">
        <xsd:annotation>
          <xsd:documentation xml:lang="en">
            The term/maturity of the swap, express as a tenor
            (typically in years).
          </xsd:documentation>
        </xsd:annotation>
      </xsd:element>
    </xsd:choice>
    <xsd:element name="calculationPeriodDatesAdjustments" type="BusinessDayAdjustments">
      <xsd:annotation>
        <xsd:documentation xml:lang="en">
          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.
        </xsd:documentation>
      </xsd:annotation>
    </xsd:element>
    <xsd:element name="firstPeriodStartDate" type="AdjustableDate" minOccurs="0">
      <xsd:annotation>
        <xsd:documentation xml:lang="en">
          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.
        </xsd:documentation>
      </xsd:annotation>
    </xsd:element>
    <xsd:element name="firstRegularPeriodStartDate" type="xsd:date" minOccurs="0">
      <xsd:annotation>
        <xsd:documentation xml:lang="en">
          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.
        </xsd:documentation>
      </xsd:annotation>
    </xsd:element>
    <xsd:element name="lastRegularPeriodEndDate" type="xsd:date" minOccurs="0">
      <xsd:annotation>
        <xsd:documentation xml:lang="en">
          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.
        </xsd:documentation>
      </xsd:annotation>
    </xsd:element>
    <xsd:element name="stubPeriodType" type="StubPeriodTypeEnum" minOccurs="0">
      <xsd:annotation>
        <xsd:documentation xml:lang="en">
          Method to allocate any irregular period remaining after
          regular periods have been allocated between the effective and
          termination date.
        </xsd:documentation>
      </xsd:annotation>
    </xsd:element>
    <xsd:element name="calculationPeriodFrequency" type="CalculationPeriodFrequency">
      <xsd:annotation>
        <xsd:documentation xml:lang="en">
          The frequency at which calculation period end dates occur
          with the regular part of the calculation period schedule and
          their roll date convention.
        </xsd:documentation>
      </xsd:annotation>
    </xsd:element>
  </xsd:sequence>
  <xsd:attribute name="id" type="xsd:ID" use="required"/>
</xsd:complexType>

---

CancelableProvision

Description:

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.

Figure:

Contents:

buyerPartyReference (exactly one occurrence; of the type Reference)

• A reference to the party that buys this instrument, ie. pays for this instrument and receives the rights defined by it. See 2000 ISDA definitions Article 11.1 (b). In the case of FRAs this the fixed rate payer.

sellerPartyReference (exactly one occurrence; of the type Reference)

• A reference to the party that sells ("writes") this instrument, i.e. that grants the rights defined by this instrument and in return receives a payment for it. See 2000 ISDA definitions Article 11.1 (a). In the case of FRAs this is the floating rate payer.

exercise (exactly one occurrence; of the type Exercise)

• An placeholder for the actual option exercise definitions.

exerciseNotice (zero or one occurrence; of the type ExerciseNotice)

• Definition of the party to whom notice of exercise should be given.

followUpConfirmation (exactly one occurrence; of the type xsd:boolean)

• 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.

cancelableProvisionAdjustedDates (zero or one occurrence; of the type CancelableProvisionAdjustedDates)

• The adjusted dates associated with a cancelable provision. These dates have been adjusted for any applicable business day convention.

Used by:

• Swap/cancelableProvision

Schema Fragment:

<xsd:complexType name="CancelableProvision">
  <xsd:annotation>
    <xsd:documentation xml:lang="en">
      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.
    </xsd:documentation>
  </xsd:annotation>
  <xsd:sequence>
    <xsd:group ref="BuyerSeller.model"/>
    <xsd:element ref="exercise"/>
    <xsd:element name="exerciseNotice" type="ExerciseNotice" minOccurs="0">
      <xsd:annotation>
        <xsd:documentation xml:lang="en">
          Definition of the party to whom notice of exercise should be
          given.
        </xsd:documentation>
      </xsd:annotation>
    </xsd:element>
    <xsd:element name="followUpConfirmation" type="xsd:boolean">
      <xsd:annotation>
        <xsd:documentation xml:lang="en">
          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.
        </xsd:documentation>
      </xsd:annotation>
    </xsd:element>
    <xsd:element name="cancelableProvisionAdjustedDates" type="CancelableProvisionAdjustedDates" minOccurs="0">
      <xsd:annotation>
        <xsd:documentation xml:lang="en">
          The adjusted dates associated with a cancelable provision.
          These dates have been adjusted for any applicable business
          day convention.
        </xsd:documentation>
      </xsd:annotation>
    </xsd:element>
  </xsd:sequence>
</xsd:complexType>

---

CancelableProvisionAdjustedDates

Description:

A type to define the adjusted dates for a cancelable provision on a swap transaction.

Figure:

Contents:

cancellationEvent (one or more occurrences; of the type CancellationEvent)

• The adjusted dates for an individual cancellation date.

Used by:

• CancelableProvision/cancelableProvisionAdjustedDates

Schema Fragment:

<xsd:complexType name="CancelableProvisionAdjustedDates">
  <xsd:annotation>
    <xsd:documentation xml:lang="en">
      A type to define the adjusted dates for a cancelable provision on
      a swap transaction.
    </xsd:documentation>
  </xsd:annotation>
  <xsd:sequence>
    <xsd:element name="cancellationEvent" type="CancellationEvent" maxOccurs="unbounded">
      <xsd:annotation>
        <xsd:documentation xml:lang="en">
          The adjusted dates for an individual cancellation date.
        </xsd:documentation>
      </xsd:annotation>
    </xsd:element>
  </xsd:sequence>
</xsd:complexType>

---

CancellationEvent

Description:

The adjusted dates for a specific cancellation date, including the adjusted exercise date and adjusted termination date.

Figure:

Contents:

adjustedExerciseDate (exactly one occurrence; of the type xsd:date)

• The date on which option exercise takes place. This date should already be adjusted for any applicable business day convention.

adjustedEarlyTerminationDate (exactly one occurrence; of the type xsd:date)

• 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.

Attribute: id (xsd:ID)

Used by:

• CancelableProvisionAdjustedDates/cancellationEvent

Schema Fragment:

<xsd:complexType name="CancellationEvent">
  <xsd:annotation>
    <xsd:documentation xml:lang="en">
      The adjusted dates for a specific cancellation date, including
      the adjusted exercise date and adjusted termination date.
    </xsd:documentation>
  </xsd:annotation>
  <xsd:sequence>
    <xsd:element name="adjustedExerciseDate" type="xsd:date">
      <xsd:annotation>
        <xsd:documentation xml:lang="en">
          The date on which option exercise takes place. This date
          should already be adjusted for any applicable business day
          convention.
        </xsd:documentation>
      </xsd:annotation>
    </xsd:element>
    <xsd:element name="adjustedEarlyTerminationDate" type="xsd:date">
      <xsd:annotation>
        <xsd:documentation xml:lang="en">
          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.
        </xsd:documentation>
      </xsd:annotation>
    </xsd:element>
  </xsd:sequence>
  <xsd:attribute name="id" type="xsd:ID"/>
</xsd:complexType>

---

CapFloor

Description:

A type defining an interest rate cap, floor, or cap/floor strategy (e.g. collar) product.

Figure:

Contents:

Inherited element(s): (This definition inherits the content defined by the type Product)

• The base type which all FpML products extend.

capFloorStream (exactly one occurrence; of the type InterestRateStream)

premium (zero or more occurrences; of the type Payment)

• The option premium amount payable by buyer to seller on the specified payment date.

additionalPayment (zero or more occurrences; of the type Payment)

• Additional payments between the principal parties.

Used by:

Extension of:

• Product

Schema Fragment:

<xsd:complexType name="CapFloor">
  <xsd:annotation>
    <xsd:documentation xml:lang="en">
      A type defining an interest rate cap, floor, or cap/floor
      strategy (e.g. collar) product.
    </xsd:documentation>
  </xsd:annotation>
  <xsd:complexContent>
    <xsd:extension base="Product">
      <xsd:sequence>
        <xsd:element name="capFloorStream" type="InterestRateStream"/>
        <xsd:element name="premium" type="Payment" minOccurs="0" maxOccurs="unbounded">
          <xsd:annotation>
            <xsd:documentation xml:lang="en">
              The option premium amount payable by buyer to seller on
              the specified payment date.
            </xsd:documentation>
          </xsd:annotation>
        </xsd:element>
        <xsd:element name="additionalPayment" type="Payment" minOccurs="0" maxOccurs="unbounded">
          <xsd:annotation>
            <xsd:documentation xml:lang="en">
              Additional payments between the principal parties.
            </xsd:documentation>
          </xsd:annotation>
        </xsd:element>
      </xsd:sequence>
    </xsd:extension>
  </xsd:complexContent>
</xsd:complexType>

---

Cashflows

Description:

A type defining the cashflow representation of a swap trade.

Figure:

Contents:

cashflowsMatchParameters (exactly one occurrence; of the type xsd:boolean)

• 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.

principalExchange (zero or more occurrences; of the type PrincipalExchange)

• 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.

paymentCalculationPeriod (zero or more occurrences; of the type PaymentCalculationPeriod)

• 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.

Used by:

• InterestRateStream/cashflows

Schema Fragment:

<xsd:complexType name="Cashflows">
  <xsd:annotation>
    <xsd:documentation xml:lang="en">
      A type defining the cashflow representation of a swap trade.
    </xsd:documentation>
  </xsd:annotation>
  <xsd:sequence>
    <xsd:element name="cashflowsMatchParameters" type="xsd:boolean">
      <xsd:annotation>
        <xsd:documentation xml:lang="en">
          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.
        </xsd:documentation>
      </xsd:annotation>
    </xsd:element>
    <xsd:element name="principalExchange" type="PrincipalExchange" minOccurs="0" maxOccurs="unbounded">
      <xsd:annotation>
        <xsd:documentation xml:lang="en">
          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.
        </xsd:documentation>
      </xsd:annotation>
    </xsd:element>
    <xsd:element name="paymentCalculationPeriod" type="PaymentCalculationPeriod" minOccurs="0" maxOccurs="unbounded">
      <xsd:annotation>
        <xsd:documentation xml:lang="en">
          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.
        </xsd:documentation>
      </xsd:annotation>
    </xsd:element>
  </xsd:sequence>
</xsd:complexType>

---

CashPriceMethod

Description:

A type defining the parameters necessary for each of the ISDA cash price methods for cash settlement.

Figure:

Contents:

cashSettlementReferenceBanks (zero or one occurrence; of the type CashSettlementReferenceBanks)

• 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.

cashSettlementCurrency (exactly one occurrence; of the type Currency)

• The currency in which the cash settlement amount will be calculated and settled.

quotationRateType (exactly one occurrence; of the type QuotationRateTypeEnum)

• 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)

Used by:

• CashSettlement/cashPriceAlternateMethod
• CashSettlement/cashPriceMethod

Schema Fragment:

<xsd:complexType name="CashPriceMethod">
  <xsd:annotation>
    <xsd:documentation xml:lang="en">
      A type defining the parameters necessary for each of the ISDA
      cash price methods for cash settlement.
    </xsd:documentation>
  </xsd:annotation>
  <xsd:sequence>
    <xsd:element name="cashSettlementReferenceBanks" type="CashSettlementReferenceBanks" minOccurs="0">
      <xsd:annotation>
        <xsd:documentation xml:lang="en">
          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.
        </xsd:documentation>
      </xsd:annotation>
    </xsd:element>
    <xsd:element name="cashSettlementCurrency" type="Currency">
      <xsd:annotation>
        <xsd:documentation xml:lang="en">
          The currency in which the cash settlement amount will be
          calculated and settled.
        </xsd:documentation>
      </xsd:annotation>
    </xsd:element>
    <xsd:element name="quotationRateType" type="QuotationRateTypeEnum">
      <xsd:annotation>
        <xsd:documentation xml:lang="en">
          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)
        </xsd:documentation>
      </xsd:annotation>
    </xsd:element>
  </xsd:sequence>
</xsd:complexType>

---

CashSettlement

Description:

A type to define the cash settlement terms for a product where cash settlement is applicable.

Figure:

Contents:

cashSettlementValuationTime (exactly one occurrence; of the type BusinessCenterTime)

• 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.

cashSettlementValuationDate (exactly one occurrence; of the type RelativeDateOffset)

• 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.

cashSettlementPaymentDate (zero or one occurrence; of the type CashSettlementPaymentDate)

• 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.

There can be one occurance of the following structure; Choice of either

cashPriceMethod (exactly one occurrence; of the type CashPriceMethod)

• 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).

Or

cashPriceAlternateMethod (exactly one occurrence; of the type CashPriceMethod)

• 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).

Or

parYieldCurveAdjustedMethod (exactly one occurrence; of the type YieldCurveMethod)

• 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).

Or

zeroCouponYieldAdjustedMethod (exactly one occurrence; of the type YieldCurveMethod)

• 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).

Or

parYieldCurveUnadjustedMethod (exactly one occurrence; of the type YieldCurveMethod)

• 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).

Attribute: id (xsd:ID)

Used by:

• MandatoryEarlyTermination/cashSettlement
• OptionalEarlyTermination/cashSettlement
• Swaption/cashSettlement

Schema Fragment:

<xsd:complexType name="CashSettlement">
  <xsd:annotation>
    <xsd:documentation xml:lang="en">
      A type to define the cash settlement terms for a product where
      cash settlement is applicable.
    </xsd:documentation>
  </xsd:annotation>
  <xsd:sequence>
    <xsd:element name="cashSettlementValuationTime" type="BusinessCenterTime">
      <xsd:annotation>
        <xsd:documentation xml:lang="en">
          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.
        </xsd:documentation>
      </xsd:annotation>
    </xsd:element>
    <xsd:element name="cashSettlementValuationDate" type="RelativeDateOffset">
      <xsd:annotation>
        <xsd:documentation xml:lang="en">
          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.
        </xsd:documentation>
      </xsd:annotation>
    </xsd:element>
    <xsd:element name="cashSettlementPaymentDate" type="CashSettlementPaymentDate" minOccurs="0">
      <xsd:annotation>
        <xsd:documentation xml:lang="en">
          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.
        </xsd:documentation>
      </xsd:annotation>
    </xsd:element>
    <xsd:choice>
      <xsd:element name="cashPriceMethod" type="CashPriceMethod">
        <xsd:annotation>
          <xsd:documentation xml:lang="en">
            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).
          </xsd:documentation>
        </xsd:annotation>
      </xsd:element>
      <xsd:element name="cashPriceAlternateMethod" type="CashPriceMethod">
        <xsd:annotation>
          <xsd:documentation xml:lang="en">
            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).
          </xsd:documentation>
        </xsd:annotation>
      </xsd:element>
      <xsd:element name="parYieldCurveAdjustedMethod" type="YieldCurveMethod">
        <xsd:annotation>
          <xsd:documentation xml:lang="en">
            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).
          </xsd:documentation>
        </xsd:annotation>
      </xsd:element>
      <xsd:element name="zeroCouponYieldAdjustedMethod" type="YieldCurveMethod">
        <xsd:annotation>
          <xsd:documentation xml:lang="en">
            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).
          </xsd:documentation>
        </xsd:annotation>
      </xsd:element>
      <xsd:element name="parYieldCurveUnadjustedMethod" type="YieldCurveMethod">
        <xsd:annotation>
          <xsd:documentation xml:lang="en">
            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).
          </xsd:documentation>
        </xsd:annotation>
      </xsd:element>
    </xsd:choice>
  </xsd:sequence>
  <xsd:attribute name="id" type="xsd:ID"/>
</xsd:complexType>

---

CashSettlementPaymentDate

Description:

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.

Figure:

Contents:

There can be one occurance of the following structure; Choice of either

adjustableDates (exactly one occurrence; of the type AdjustableDates)

• 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.

Or

relativeDate (exactly one occurrence; of the type RelativeDateOffset)

• A date specified as some offset to another date (the anchor date).

Or

businessDateRange (exactly one occurrence; of the type BusinessDateRange)

• A range of contiguous business days.

Attribute: id (xsd:ID)

Used by:

• CashSettlement/cashSettlementPaymentDate

Schema Fragment:

<xsd:complexType name="CashSettlementPaymentDate">
  <xsd:annotation>
    <xsd:documentation xml:lang="en">
      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.
    </xsd:documentation>
  </xsd:annotation>
  <xsd:choice>
    <xsd:element name="adjustableDates" type="AdjustableDates">
      <xsd:annotation>
        <xsd:documentation xml:lang="en">
          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.
        </xsd:documentation>
      </xsd:annotation>
    </xsd:element>
    <xsd:element name="relativeDate" type="RelativeDateOffset">
      <xsd:annotation>
        <xsd:documentation xml:lang="en">
          A date specified as some offset to another date (the anchor
          date).
        </xsd:documentation>
      </xsd:annotation>
    </xsd:element>
    <xsd:element name="businessDateRange" type="BusinessDateRange">
      <xsd:annotation>
        <xsd:documentation xml:lang="en">
          A range of contiguous business days.
        </xsd:documentation>
      </xsd:annotation>
    </xsd:element>
  </xsd:choice>
  <xsd:attribute name="id" type="xsd:ID"/>
</xsd:complexType>

---

CashSettlementReferenceBanks

Description:

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.

Figure:

Contents:

referenceBank (one or more occurrences; of the type ReferenceBank)

• An institution (party) identified by means of a coding scheme and an optional name.

Attribute: id (xsd:ID)

Used by:

• CashPriceMethod/cashSettlementReferenceBanks
• SettlementRateSource/cashSettlementReferenceBanks

Schema Fragment:

<xsd:complexType name="CashSettlementReferenceBanks">
  <xsd:annotation>
    <xsd:documentation xml:lang="en">
      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.
    </xsd:documentation>
  </xsd:annotation>
  <xsd:sequence>
    <xsd:element name="referenceBank" type="ReferenceBank" maxOccurs="unbounded">
      <xsd:annotation>
        <xsd:documentation xml:lang="en">
          An institution (party) identified by means of a coding scheme
          and an optional name.
        </xsd:documentation>
      </xsd:annotation>
    </xsd:element>
  </xsd:sequence>
  <xsd:attribute name="id" type="xsd:ID"/>
</xsd:complexType>

---

DateRelativeToPaymentDates

Description:

A type to provide the ability to point to multiple payment nodes in the document through the unbounded paymentDatesReference.

Figure:

Contents:

paymentDatesReference (one or more occurrences; of the type Reference)

• A set of href pointers to payment dates defined somewhere else in the document.

Used by:

• FxFixingDate/dateRelativeToPaymentDates

Schema Fragment:

<xsd:complexType name="DateRelativeToPaymentDates">
  <xsd:annotation>
    <xsd:documentation xml:lang="en">
      A type to provide the ability to point to multiple payment nodes
      in the document through the unbounded paymentDatesReference.
    </xsd:documentation>
  </xsd:annotation>
  <xsd:sequence>
    <xsd:element name="paymentDatesReference" type="Reference" maxOccurs="unbounded">
      <xsd:annotation>
        <xsd:documentation xml:lang="en">
          A set of href pointers to payment dates defined somewhere
          else in the document.
        </xsd:documentation>
      </xsd:annotation>
    </xsd:element>
  </xsd:sequence>
</xsd:complexType>

---

Discounting

Description:

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.

Figure:

Contents:

discountingType (exactly one occurrence; of the type DiscountingTypeEnum)

• The discounting method that is applicable.

discountRate (zero or one occurrence; of the type xsd:decimal)

• 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.

discountRateDayCountFraction (zero or one occurrence; of the type DayCountFraction)

• A discount day count fraction to be used in the calculation of a discounted amount.

Used by:

• Calculation/discounting

Schema Fragment:

<xsd:complexType name="Discounting">
  <xsd:annotation>
    <xsd:documentation xml:lang="en">
      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.
    </xsd:documentation>
  </xsd:annotation>
  <xsd:sequence>
    <xsd:element name="discountingType" type="DiscountingTypeEnum">
      <xsd:annotation>
        <xsd:documentation xml:lang="en">
          The discounting method that is applicable.
        </xsd:documentation>
      </xsd:annotation>
    </xsd:element>
    <xsd:element name="discountRate" type="xsd:decimal" minOccurs="0">
      <xsd:annotation>
        <xsd:documentation xml:lang="en">
          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.
        </xsd:documentation>
      </xsd:annotation>
    </xsd:element>
    <xsd:element name="discountRateDayCountFraction" type="DayCountFraction" minOccurs="0">
      <xsd:annotation>
        <xsd:documentation xml:lang="en">
          A discount day count fraction to be used in the calculation
          of a discounted amount.
        </xsd:documentation>
      </xsd:annotation>
    </xsd:element>
  </xsd:sequence>
</xsd:complexType>

---

EarlyTerminationEvent

Description:

A type to define the adjusted dates associated with an early termination provision.

Figure:

Contents:

adjustedExerciseDate (exactly one occurrence; of the type xsd:date)

• The date on which option exercise takes place. This date should already be adjusted for any applicable business day convention.

adjustedEarlyTerminationDate (exactly one occurrence; of the type xsd:date)

• 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.

adjustedCashSettlementValuationDate (exactly one occurrence; of the type xsd:date)

• The date by which the cash settlement amount must be agreed. This date should already be adjusted for any applicable business day convention.

adjustedCashSettlementPaymentDate (exactly one occurrence; of the type xsd:date)

• The date on which the cash settlement amount is paid. This date should already be adjusted for any applicable business dat convention.

adjustedExerciseFeePaymentDate (zero or one occurrence; of the type xsd:date)

• The date on which the exercise fee amount is paid. This date should already be adjusted for any applicable business day convention.

Attribute: id (xsd:ID)

Used by:

• OptionalEarlyTerminationAdjustedDates/earlyTerminationEvent

Schema Fragment:

<xsd:complexType name="EarlyTerminationEvent">
  <xsd:annotation>
    <xsd:documentation xml:lang="en">
      A type to define the adjusted dates associated with an early
      termination provision.
    </xsd:documentation>
  </xsd:annotation>
  <xsd:sequence>
    <xsd:element name="adjustedExerciseDate" type="xsd:date">
      <xsd:annotation>
        <xsd:documentation xml:lang="en">
          The date on which option exercise takes place. This date
          should already be adjusted for any applicable business day
          convention.
        </xsd:documentation>
      </xsd:annotation>
    </xsd:element>
    <xsd:element name="adjustedEarlyTerminationDate" type="xsd:date">
      <xsd:annotation>
        <xsd:documentation xml:lang="en">
          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.
        </xsd:documentation>
      </xsd:annotation>
    </xsd:element>
    <xsd:element name="adjustedCashSettlementValuationDate" type="xsd:date">
      <xsd:annotation>
        <xsd:documentation xml:lang="en">
          The date by which the cash settlement amount must be agreed.
          This date should already be adjusted for any applicable
          business day convention.
        </xsd:documentation>
      </xsd:annotation>
    </xsd:element>
    <xsd:element name="adjustedCashSettlementPaymentDate" type="xsd:date">
      <xsd:annotation>
        <xsd:documentation xml:lang="en">
          The date on which the cash settlement amount is paid. This
          date should already be adjusted for any applicable business
          dat convention.
        </xsd:documentation>
      </xsd:annotation>
    </xsd:element>
    <xsd:element name="adjustedExerciseFeePaymentDate" type="xsd:date" minOccurs="0">
      <xsd:annotation>
        <xsd:documentation xml:lang="en">
          The date on which the exercise fee amount is paid. This date
          should already be adjusted for any applicable business day
          convention.
        </xsd:documentation>
      </xsd:annotation>
    </xsd:element>
  </xsd:sequence>
  <xsd:attribute name="id" type="xsd:ID"/>
</xsd:complexType>

---

EarlyTerminationProvision

Description:

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.

Figure:

Contents:

There can be one occurance of the following structure;

Attribute: id (xsd:ID)

Used by:

• Swap/earlyTerminationProvision

Schema Fragment:

<xsd:complexType name="EarlyTerminationProvision">
  <xsd:annotation>
    <xsd:documentation xml:lang="en">
      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.
    </xsd:documentation>
  </xsd:annotation>
  <xsd:choice>
    <xsd:choice>
      <xsd:element name="mandatoryEarlyTermination" type="MandatoryEarlyTermination">
        <xsd:annotation>
          <xsd:documentation xml:lang="en">
            A mandatory early termination provision to terminate the
            swap at fair value.
          </xsd:documentation>
        </xsd:annotation>
      </xsd:element>
      <xsd:sequence>
        <xsd:element name="mandatoryEarlyTerminationDateTenor" type="Interval">
          <xsd:annotation>
            <xsd:documentation xml:lang="en">
              Period after trade date of the mandatory early
              termination date.
            </xsd:documentation>
          </xsd:annotation>
        </xsd:element>
        <xsd:element name="mandatoryEarlyTermination" type="MandatoryEarlyTermination" minOccurs="0">
          <xsd:annotation>
            <xsd:documentation xml:lang="en">
              A mandatory early termination provision to terminate the
              swap at fair value.
            </xsd:documentation>
          </xsd:annotation>
        </xsd:element>
      </xsd:sequence>
    </xsd:choice>
    <xsd:choice>
      <xsd:element name="optionalEarlyTermination" type="OptionalEarlyTermination">
        <xsd:annotation>
          <xsd:documentation xml:lang="en">
            An option for either or both parties to terminate the swap
            at fair value.
          </xsd:documentation>
        </xsd:annotation>
      </xsd:element>
      <xsd:sequence>
        <xsd:element name="optionalEarlyTerminationParameters" type="ExercisePeriod">
          <xsd:annotation>
            <xsd:documentation xml:lang="en">
              Definition of the first early termination date and the
              frequency of the termination dates subsequent to that.
              American exercise is defined by having a frequency of one
              day.
            </xsd:documentation>
          </xsd:annotation>
        </xsd:element>
        <xsd:element name="optionalEarlyTermination" type="OptionalEarlyTermination" minOccurs="0">
          <xsd:annotation>
            <xsd:documentation xml:lang="en">
              An option for either or both parties to terminate the
              swap at fair value.
            </xsd:documentation>
          </xsd:annotation>
        </xsd:element>
      </xsd:sequence>
    </xsd:choice>
  </xsd:choice>
  <xsd:attribute name="id" type="xsd:ID"/>
</xsd:complexType>

---

ExerciseEvent

Description:

A type defining the adjusted dates associated with a particular exercise event.

Figure:

Contents:

adjustedExerciseDate (exactly one occurrence; of the type xsd:date)

• The date on which option exercise takes place. This date should already be adjusted for any applicable business day convention.

adjustedRelevantSwapEffectiveDate (exactly one occurrence; of the type xsd:date)

• 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.

adjustedCashSettlementValuationDate (zero or one occurrence; of the type xsd:date)

• The date by which the cash settlement amount must be agreed. This date should already be adjusted for any applicable business day convention.

adjustedCashSettlementPaymentDate (zero or one occurrence; of the type xsd:date)

• The date on which the cash settlement amount is paid. This date should already be adjusted for any applicable business dat convention.

adjustedExerciseFeePaymentDate (zero or one occurrence; of the type xsd:date)

• The date on which the exercise fee amount is paid. This date should already be adjusted for any applicable business day convention.

Attribute: id (xsd:ID)

Used by:

• SwaptionAdjustedDates/exerciseEvent

Schema Fragment:

<xsd:complexType name="ExerciseEvent">
  <xsd:annotation>
    <xsd:documentation xml:lang="en">
      A type defining the adjusted dates associated with a particular
      exercise event.
    </xsd:documentation>
  </xsd:annotation>
  <xsd:sequence>
    <xsd:element name="adjustedExerciseDate" type="xsd:date">
      <xsd:annotation>
        <xsd:documentation xml:lang="en">
          The date on which option exercise takes place. This date
          should already be adjusted for any applicable business day
          convention.
        </xsd:documentation>
      </xsd:annotation>
    </xsd:element>
    <xsd:element name="adjustedRelevantSwapEffectiveDate" type="xsd:date">
      <xsd:annotation>
        <xsd:documentation xml:lang="en">
          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.
        </xsd:documentation>
      </xsd:annotation>
    </xsd:element>
    <xsd:element name="adjustedCashSettlementValuationDate" type="xsd:date" minOccurs="0">
      <xsd:annotation>
        <xsd:documentation xml:lang="en">
          The date by which the cash settlement amount must be agreed.
          This date should already be adjusted for any applicable
          business day convention.
        </xsd:documentation>
      </xsd:annotation>
    </xsd:element>
    <xsd:element name="adjustedCashSettlementPaymentDate" type="xsd:date" minOccurs="0">
      <xsd:annotation>
        <xsd:documentation xml:lang="en">
          The date on which the cash settlement amount is paid. This
          date should already be adjusted for any applicable business
          dat convention.
        </xsd:documentation>
      </xsd:annotation>
    </xsd:element>
    <xsd:element name="adjustedExerciseFeePaymentDate" type="xsd:date" minOccurs="0">
      <xsd:annotation>
        <xsd:documentation xml:lang="en">
          The date on which the exercise fee amount is paid. This date
          should already be adjusted for any applicable business day
          convention.
        </xsd:documentation>
      </xsd:annotation>
    </xsd:element>
  </xsd:sequence>
  <xsd:attribute name="id" type="xsd:ID"/>
</xsd:complexType>

---

ExercisePeriod

Description:

This defines the time interval to the start of the exercise period, i.e. the earliest exercise date, and the frequency of subsequent exercise dates (if any).

Figure:

Contents:

earliestExerciseDateTenor (exactly one occurrence; of the type Interval)

• The time interval to the first (and possibly only) exercise date in the exercise period.

exerciseFrequency (zero or one occurrence; of the type Interval)

• The frequency of subsequent exercise dates in the exercise period following the earliest exercise date. An interval of 1 day should be used to indicate an American style exercise period.

Attribute: id (xsd:ID)

Used by:

• EarlyTerminationProvision/optionalEarlyTerminationParameters

Schema Fragment:

<xsd:complexType name="ExercisePeriod">
  <xsd:annotation>
    <xsd:documentation xml:lang="en">
      This defines the time interval to the start of the exercise
      period, i.e. the earliest exercise date, and the frequency of
      subsequent exercise dates (if any).
    </xsd:documentation>
  </xsd:annotation>
  <xsd:sequence>
    <xsd:element name="earliestExerciseDateTenor" type="Interval">
      <xsd:annotation>
        <xsd:documentation xml:lang="en">
          The time interval to the first (and possibly only) exercise
          date in the exercise period.
        </xsd:documentation>
      </xsd:annotation>
    </xsd:element>
    <xsd:element name="exerciseFrequency" type="Interval" minOccurs="0">
      <xsd:annotation>
        <xsd:documentation xml:lang="en">
          The frequency of subsequent exercise dates in the exercise
          period following the earliest exercise date. An interval of 1
          day should be used to indicate an American style exercise
          period.
        </xsd:documentation>
      </xsd:annotation>
    </xsd:element>
  </xsd:sequence>
  <xsd:attribute name="id" type="xsd:ID"/>
</xsd:complexType>

---

ExtendibleProvision

Description:

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.

Figure:

Contents:

buyerPartyReference (exactly one occurrence; of the type Reference)

• A reference to the party that buys this instrument, ie. pays for this instrument and receives the rights defined by it. See 2000 ISDA definitions Article 11.1 (b). In the case of FRAs this the fixed rate payer.

sellerPartyReference (exactly one occurrence; of the type Reference)

• A reference to the party that sells ("writes") this instrument, i.e. that grants the rights defined by this instrument and in return receives a payment for it. See 2000 ISDA definitions Article 11.1 (a). In the case of FRAs this is the floating rate payer.

exercise (exactly one occurrence; of the type Exercise)

• An placeholder for the actual option exercise definitions.

exerciseNotice (zero or one occurrence; of the type ExerciseNotice)

• Definition of the party to whom notice of exercise should be given.

followUpConfirmation (exactly one occurrence; of the type xsd:boolean)

• 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.

extendibleProvisionAdjustedDates (zero or one occurrence; of the type ExtendibleProvisionAdjustedDates)

• The adjusted dates associated with an extendible provision. These dates have been adjusted for any applicable business day convention.

Used by:

• Swap/extendibleProvision

Schema Fragment:

<xsd:complexType name="ExtendibleProvision">
  <xsd:annotation>
    <xsd:documentation xml:lang="en">
      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.
    </xsd:documentation>
  </xsd:annotation>
  <xsd:sequence>
    <xsd:group ref="BuyerSeller.model"/>
    <xsd:element ref="exercise"/>
    <xsd:element name="exerciseNotice" type="ExerciseNotice" minOccurs="0">
      <xsd:annotation>
        <xsd:documentation xml:lang="en">
          Definition of the party to whom notice of exercise should be
          given.
        </xsd:documentation>
      </xsd:annotation>
    </xsd:element>
    <xsd:element name="followUpConfirmation" type="xsd:boolean">
      <xsd:annotation>
        <xsd:documentation xml:lang="en">
          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.
        </xsd:documentation>
      </xsd:annotation>
    </xsd:element>
    <xsd:element name="extendibleProvisionAdjustedDates" type="ExtendibleProvisionAdjustedDates" minOccurs="0">
      <xsd:annotation>
        <xsd:documentation xml:lang="en">
          The adjusted dates associated with an extendible provision.
          These dates have been adjusted for any applicable business
          day convention.
        </xsd:documentation>
      </xsd:annotation>
    </xsd:element>
  </xsd:sequence>
</xsd:complexType>

---

ExtendibleProvisionAdjustedDates

Description:

A type defining the adjusted dates associated with a provision to extend a swap.

Figure:

Contents:

extensionEvent (one or more occurrences; of the type ExtensionEvent)

• The adjusted dates associated with a single extendible exercise date.

Used by:

• ExtendibleProvision/extendibleProvisionAdjustedDates

Schema Fragment:

<xsd:complexType name="ExtendibleProvisionAdjustedDates">
  <xsd:annotation>
    <xsd:documentation xml:lang="en">
      A type defining the adjusted dates associated with a provision to
      extend a swap.
    </xsd:documentation>
  </xsd:annotation>
  <xsd:sequence>
    <xsd:element name="extensionEvent" type="ExtensionEvent" maxOccurs="unbounded">
      <xsd:annotation>
        <xsd:documentation xml:lang="en">
          The adjusted dates associated with a single extendible
          exercise date.
        </xsd:documentation>
      </xsd:annotation>
    </xsd:element>
  </xsd:sequence>
</xsd:complexType>

---

ExtensionEvent

Description:

A type to define the adjusted dates associated with an individual extension event.

Figure:

Contents:

adjustedExerciseDate (exactly one occurrence; of the type xsd:date)

• The date on which option exercise takes place. This date should already be adjusted for any applicable business day convention.

adjustedExtendedTerminationDate (exactly one occurrence; of the type xsd:date)

• The termination date if an extendible provision is exercised. This date should already be adjusted for any applicable business day convention.

Attribute: id (xsd:ID)

Used by:

• ExtendibleProvisionAdjustedDates/extensionEvent

Schema Fragment:

<xsd:complexType name="ExtensionEvent">
  <xsd:annotation>
    <xsd:documentation xml:lang="en">
      A type to define the adjusted dates associated with an individual
      extension event.
    </xsd:documentation>
  </xsd:annotation>
  <xsd:sequence>
    <xsd:element name="adjustedExerciseDate" type="xsd:date">
      <xsd:annotation>
        <xsd:documentation xml:lang="en">
          The date on which option exercise takes place. This date
          should already be adjusted for any applicable business day
          convention.
        </xsd:documentation>
      </xsd:annotation>
    </xsd:element>
    <xsd:element name="adjustedExtendedTerminationDate" type="xsd:date">
      <xsd:annotation>
        <xsd:documentation xml:lang="en">
          The termination date if an extendible provision is exercised.
          This date should already be adjusted for any applicable
          business day convention.
        </xsd:documentation>
      </xsd:annotation>
    </xsd:element>
  </xsd:sequence>
  <xsd:attribute name="id" type="xsd:ID"/>
</xsd:complexType>

---

FloatingRateDefinition

Description:

A type defining parameters associated with a floating rate reset. This type forms part of the cashflows representation of a stream.

Figure:

Contents:

calculatedRate (zero or one occurrence; of the type xsd:decimal)

• 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.

rateObservation (zero or more occurrences; of the type RateObservation)

• 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.

floatingRateMultiplier (zero or one occurrence; of the type xsd:decimal)

• 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).

spread (zero or one occurrence; of the type xsd:decimal)

• 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.

capRate (zero or more occurrences; of the type Strike)

• 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.

floorRate (zero or more occurrences; of the type Strike)

• 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.

Used by:

• CalculationPeriod/floatingRateDefinition

Schema Fragment:

<xsd:complexType name="FloatingRateDefinition">
  <xsd:annotation>
    <xsd:documentation xml:lang="en">
      A type defining parameters associated with a floating rate reset.
      This type forms part of the cashflows representation of a stream.
    </xsd:documentation>
  </xsd:annotation>
  <xsd:sequence>
    <xsd:element name="calculatedRate" type="xsd:decimal" minOccurs="0">
      <xsd:annotation>
        <xsd:documentation xml:lang="en">
          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.
        </xsd:documentation>
      </xsd:annotation>
    </xsd:element>
    <xsd:element name="rateObservation" type="RateObservation" minOccurs="0" maxOccurs="unbounded">
      <xsd:annotation>
        <xsd:documentation xml:lang="en">
          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.
        </xsd:documentation>
      </xsd:annotation>
    </xsd:element>
    <xsd:element name="floatingRateMultiplier" type="xsd:decimal" minOccurs="0">
      <xsd:annotation>
        <xsd:documentation xml:lang="en">
          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).
        </xsd:documentation>
      </xsd:annotation>
    </xsd:element>
    <xsd:element name="spread" type="xsd:decimal" minOccurs="0">
      <xsd:annotation>
        <xsd:documentation xml:lang="en">
          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.
        </xsd:documentation>
      </xsd:annotation>
    </xsd:element>
    <xsd:element name="capRate" type="Strike" minOccurs="0" maxOccurs="unbounded">
      <xsd:annotation>
        <xsd:documentation xml:lang="en">
          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.
        </xsd:documentation>
      </xsd:annotation>
    </xsd:element>
    <xsd:element name="floorRate" type="Strike" minOccurs="0" maxOccurs="unbounded">
      <xsd:annotation>
        <xsd:documentation xml:lang="en">
          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.
        </xsd:documentation>
      </xsd:annotation>
    </xsd:element>
  </xsd:sequence>
</xsd:complexType>

---

Fra

Description:

A type defining a Forward Rate Agreement (FRA) product.

Figure:

Contents:

Inherited element(s): (This definition inherits the content defined by the type Product)

• The base type which all FpML products extend.

buyerPartyReference (exactly one occurrence; of the type Reference)

• A reference to the party that buys this instrument, ie. pays for this instrument and receives the rights defined by it. See 2000 ISDA definitions Article 11.1 (b). In the case of FRAs this the fixed rate payer.

sellerPartyReference (exactly one occurrence; of the type Reference)

• A reference to the party that sells ("writes") this instrument, i.e. that grants the rights defined by this instrument and in return receives a payment for it. See 2000 ISDA definitions Article 11.1 (a). In the case of FRAs this is the floating rate payer.

adjustedEffectiveDate (exactly one occurrence; of the type RequiredIdentifierDate)

• 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.

adjustedTerminationDate (exactly one occurrence; of the type xsd:date)

• The end date of the calculation period. This date should already be adjusted for any applicable business day convention.

paymentDate (exactly one occurrence; of the type AdjustableDate)

• The payment date. This date is subject to adjustment in accordance with any applicable business day convention.

fixingDateOffset (exactly one occurrence; of the type RelativeDateOffset)

• 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.

dayCountFraction (exactly one occurrence; of the type DayCountFraction)

• The day count fraction.

calculationPeriodNumberOfDays (exactly one occurrence; of the type xsd:positiveInteger)

• The number of days from the adjusted effective date to the adjusted termination date calculated in accordance with the applicable day count fraction.

notional (exactly one occurrence; of the type Money)

• The notional amount.

fixedRate (exactly one occurrence; of the type xsd:decimal)

• The calculation period fixed rate. A per annum rate, expressed as a decimal. A fixed rate of 5% would be represented as 0.05.

floatingRateIndex (exactly one occurrence; of the type FloatingRateIndex)

indexTenor (zero or one occurrence; of the type Interval)

• The ISDA Designated Maturity, i.e. the tenor of the floating rate.

fraDiscounting (exactly one occurrence; of the type FraDiscountingEnum)

• Specifies whether discounting applies and, if so, what type.

Used by:

Extension of:

• Product

Schema Fragment:

<xsd:complexType name="Fra">
  <xsd:annotation>
    <xsd:documentation xml:lang="en">
      A type defining a Forward Rate Agreement (FRA) product.
    </xsd:documentation>
  </xsd:annotation>
  <xsd:complexContent>
    <xsd:extension base="Product">
      <xsd:sequence>
        <xsd:group ref="BuyerSeller.model"/>
        <xsd:element name="adjustedEffectiveDate" type="RequiredIdentifierDate">
          <xsd:annotation>
            <xsd:documentation xml:lang="en">
              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.
            </xsd:documentation>
          </xsd:annotation>
        </xsd:element>
        <xsd:element name="adjustedTerminationDate" type="xsd:date">
          <xsd:annotation>
            <xsd:documentation xml:lang="en">
              The end date of the calculation period. This date should
              already be adjusted for any applicable business day
              convention.
            </xsd:documentation>
          </xsd:annotation>
        </xsd:element>
        <xsd:element name="paymentDate" type="AdjustableDate">
          <xsd:annotation>
            <xsd:documentation xml:lang="en">
              The payment date. This date is subject to adjustment in
              accordance with any applicable business day convention.
            </xsd:documentation>
          </xsd:annotation>
        </xsd:element>
        <xsd:element name="fixingDateOffset" type="RelativeDateOffset">
          <xsd:annotation>
            <xsd:documentation xml:lang="en">
              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.
            </xsd:documentation>
          </xsd:annotation>
        </xsd:element>
        <xsd:element name="dayCountFraction" type="DayCountFraction">
          <xsd:annotation>
            <xsd:documentation xml:lang="en">
              The day count fraction.
            </xsd:documentation>
          </xsd:annotation>
        </xsd:element>
        <xsd:element name="calculationPeriodNumberOfDays" type="xsd:positiveInteger">
          <xsd:annotation>
            <xsd:documentation xml:lang="en">
              The number of days from the adjusted effective date to
              the adjusted termination date calculated in accordance
              with the applicable day count fraction.
            </xsd:documentation>
          </xsd:annotation>
        </xsd:element>
        <xsd:element name="notional" type="Money">
          <xsd:annotation>
            <xsd:documentation xml:lang="en">
              The notional amount.
            </xsd:documentation>
          </xsd:annotation>
        </xsd:element>
        <xsd:element name="fixedRate" type="xsd:decimal">
          <xsd:annotation>
            <xsd:documentation xml:lang="en">
              The calculation period fixed rate. A per annum rate,
              expressed as a decimal. A fixed rate of 5% would be
              represented as 0.05.
            </xsd:documentation>
          </xsd:annotation>
        </xsd:element>
        <xsd:element name="floatingRateIndex" type="FloatingRateIndex"/>
        <xsd:element name="indexTenor" type="Interval" minOccurs="0">
          <xsd:annotation>
            <xsd:documentation xml:lang="en">
              The ISDA Designated Maturity, i.e. the tenor of the
              floating rate.
            </xsd:documentation>
          </xsd:annotation>
        </xsd:element>
        <xsd:element name="fraDiscounting" type="FraDiscountingEnum">
          <xsd:annotation>
            <xsd:documentation xml:lang="en">
              Specifies whether discounting applies and, if so, what
              type.
            </xsd:documentation>
          </xsd:annotation>
        </xsd:element>
      </xsd:sequence>
    </xsd:extension>
  </xsd:complexContent>
</xsd:complexType>

---

FxFixingDate

Description:

A type that is extending the Offset structure for providing the ability to specify an FX fixing date as an offset to dates specified somewhere else in the document.

Figure:

Contents:

Inherited element(s): (This definition inherits the content defined by the type Offset)

• A type defining an offset used in calculating a new date relative to a reference date. Currently, the only offsets defined are expected to be expressed as either calendar or business day offsets.

businessDayConvention (exactly one occurrence; of the type BusinessDayConventionEnum)

• The convention for adjusting a date if it would otherwise fall on a day that is not a business day.

There can be one occurance of the following structure; Choice of either

businessCentersReference (exactly one occurrence; of the type Reference)

• A pointer style reference to a set of financial business centers defined elsewhere in the document. This set of business centers is used to determine whether a particular day is a business day or not.

Or

businessCenters (exactly one occurrence; of the type BusinessCenters)

dateRelativeToPaymentDates (exactly one occurrence; of the type DateRelativeToPaymentDates)

• The payment date references on which settlements in non-deliverable currency are due and will then have to be converted according to the terms specified through the other parts of the nonDeliverableSettlement structure.

Used by:

• NonDeliverableSettlement/fxFixingDate

Extension of:

• Offset

Schema Fragment:

<xsd:complexType name="FxFixingDate">
  <xsd:annotation>
    <xsd:documentation xml:lang="en">
      A type that is extending the Offset structure for providing the
      ability to specify an FX fixing date as an offset to dates
      specified somewhere else in the document.
    </xsd:documentation>
  </xsd:annotation>
  <xsd:complexContent>
    <xsd:extension base="Offset">
      <xsd:sequence>
        <xsd:element name="businessDayConvention" type="BusinessDayConventionEnum">
          <xsd:annotation>
            <xsd:documentation xml:lang="en">
              The convention for adjusting a date if it would otherwise
              fall on a day that is not a business day.
            </xsd:documentation>
          </xsd:annotation>
        </xsd:element>
        <xsd:group ref="BusinessCentersOrReference.model" minOccurs="0"/>
        <xsd:element name="dateRelativeToPaymentDates" type="DateRelativeToPaymentDates">
          <xsd:annotation>
            <xsd:documentation xml:lang="en">
              The payment date references on which settlements in
              non-deliverable currency are due and will then have to be
              converted according to the terms specified through the
              other parts of the nonDeliverableSettlement structure.
            </xsd:documentation>
          </xsd:annotation>
        </xsd:element>
      </xsd:sequence>
    </xsd:extension>
  </xsd:complexContent>
</xsd:complexType>

---

FxLinkedNotionalAmount

Description:

A type to describe the cashflow representation for fx linked notionals.

Figure:

Contents:

resetDate (zero or one occurrence; of the type xsd:date)

adjustedFxSpotFixingDate (zero or one occurrence; of the type xsd:date)

• The date on which the fx spot rate is observed. This date should already be adjusted for any applicable business day convention.

observedFxSpotRate (zero or one occurrence; of the type xsd:decimal)

• The actual observed fx spot rate.

notionalAmount (zero or one occurrence; of the type xsd:decimal)

• The calculation period notional amount.

Used by:

• CalculationPeriod/fxLinkedNotionalAmount

Schema Fragment:

<xsd:complexType name="FxLinkedNotionalAmount">
  <xsd:annotation>
    <xsd:documentation xml:lang="en">
      A type to describe the cashflow representation for fx linked
      notionals.
    </xsd:documentation>
  </xsd:annotation>
  <xsd:sequence>
    <xsd:element name="resetDate" type="xsd:date" minOccurs="0"/>
    <xsd:element name="adjustedFxSpotFixingDate" type="xsd:date" minOccurs="0">
      <xsd:annotation>
        <xsd:documentation xml:lang="en">
          The date on which the fx spot rate is observed. This date
          should already be adjusted for any applicable business day
          convention.
        </xsd:documentation>
      </xsd:annotation>
    </xsd:element>
    <xsd:element name="observedFxSpotRate" type="xsd:decimal" minOccurs="0">
      <xsd:annotation>
        <xsd:documentation xml:lang="en">
          The actual observed fx spot rate.
        </xsd:documentation>
      </xsd:annotation>
    </xsd:element>
    <xsd:element name="notionalAmount" type="xsd:decimal" minOccurs="0">
      <xsd:annotation>
        <xsd:documentation xml:lang="en">
          The calculation period notional amount.
        </xsd:documentation>
      </xsd:annotation>
    </xsd:element>
  </xsd:sequence>
</xsd:complexType>

---

FxLinkedNotionalSchedule

Description:

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.

Figure:

Contents:

constantNotionalScheduleReference (exactly one occurrence; of the type Reference)

• 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.

initialValue (zero or one occurrence; of the type xsd:decimal)

• The initial currency amount for the varying notional.

varyingNotionalCurrency (exactly one occurrence; of the type xsd:string)

• The currency of the varying notional amount, i.e. the notional amount being determined periodically based on observation of a spot currency exchange rate.

varyingNotionalFixingDates (exactly one occurrence; of the type RelativeDateOffset)

• 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.

fxSpotRateSource (exactly one occurrence; of the type FxSpotRateSource)

• The information source and time at which the spot currency exchange rate will be observed.

varyingNotionalInterimExchangePaymentDates (exactly one occurrence; of the type RelativeDateOffset)

• 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).

Used by:

• Calculation/fxLinkedNotionalSchedule

Schema Fragment:

<xsd:complexType name="FxLinkedNotionalSchedule">
  <xsd:annotation>
    <xsd:documentation xml:lang="en">
      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.
    </xsd:documentation>
  </xsd:annotation>
  <xsd:sequence>
    <xsd:element name="constantNotionalScheduleReference" type="Reference">
      <xsd:annotation>
        <xsd:documentation xml:lang="en">
          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.
        </xsd:documentation>
      </xsd:annotation>
    </xsd:element>
    <xsd:element name="initialValue" type="xsd:decimal" minOccurs="0">
      <xsd:annotation>
        <xsd:documentation xml:lang="en">
          The initial currency amount for the varying notional.
        </xsd:documentation>
      </xsd:annotation>
    </xsd:element>
    <xsd:element name="varyingNotionalCurrency" type="xsd:string">
      <xsd:annotation>
        <xsd:documentation xml:lang="en">
          The currency of the varying notional amount, i.e. the
          notional amount being determined periodically based on
          observation of a spot currency exchange rate.
        </xsd:documentation>
      </xsd:annotation>
    </xsd:element>
    <xsd:element name="varyingNotionalFixingDates" type="RelativeDateOffset">
      <xsd:annotation>
        <xsd:documentation xml:lang="en">
          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.
        </xsd:documentation>
      </xsd:annotation>
    </xsd:element>
    <xsd:element name="fxSpotRateSource" type="FxSpotRateSource">
      <xsd:annotation>
        <xsd:documentation xml:lang="en">
          The information source and time at which the spot currency
          exchange rate will be observed.
        </xsd:documentation>
      </xsd:annotation>
    </xsd:element>
    <xsd:element name="varyingNotionalInterimExchangePaymentDates" type="RelativeDateOffset">
      <xsd:annotation>
        <xsd:documentation xml:lang="en">
          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).
        </xsd:documentation>
      </xsd:annotation>
    </xsd:element>
  </xsd:sequence>
</xsd:complexType>

---

InflationRateCalculation

Description:

A type defining the components specifiying an Inflation Rate Calculation

Figure:

Contents:

Inherited element(s): (This definition inherits the content defined by the type FloatingRateCalculation)

• A type defining the floating rate and definitions relating to the calculation of floating rate amounts.

inflationLag (exactly one occurrence; of the type Offset)

• an offsetting period from the payment date which determines the reference period for which the inflation index is onserved.

indexSource (exactly one occurrence; of the type RateSourcePage)

• The reference source such as Reuters or Bloomberg.

mainPublication (zero or one occurrence; of the type MainPublication)

• The current main publication source such as relevant web site or a government body.

interpolationMethod (exactly one occurrence; of the type InterpolationMethod)

• The method used when calculating the Inflation Index Level from multiple points - the most common is Linear.

initialIndexLevel (zero or one occurrence; of the type xsd:decimal)

• initial known index level for the first calculation period.

Used by:

Extension of:

• FloatingRateCalculation

Schema Fragment:

<xsd:complexType name="InflationRateCalculation">
  <xsd:annotation>
    <xsd:documentation xml:lang="en">
      A type defining the components specifiying an Inflation Rate
      Calculation
    </xsd:documentation>
  </xsd:annotation>
  <xsd:complexContent>
    <xsd:extension base="FloatingRateCalculation">
      <xsd:sequence>
        <xsd:element name="inflationLag" type="Offset">
          <xsd:annotation>
            <xsd:documentation xml:lang="en">
              an offsetting period from the payment date which
              determines the reference period for which the inflation
              index is onserved.
            </xsd:documentation>
          </xsd:annotation>
        </xsd:element>
        <xsd:element name="indexSource" type="RateSourcePage">
          <xsd:annotation>
            <xsd:documentation xml:lang="en">
              The reference source such as Reuters or Bloomberg.
            </xsd:documentation>
          </xsd:annotation>
        </xsd:element>
        <xsd:element name="mainPublication" type="MainPublication" minOccurs="0">
          <xsd:annotation>
            <xsd:documentation xml:lang="en">
              The current main publication source such as relevant web
              site or a government body.
            </xsd:documentation>
          </xsd:annotation>
        </xsd:element>
        <xsd:element name="interpolationMethod" type="InterpolationMethod">
          <xsd:annotation>
            <xsd:documentation xml:lang="en">
              The method used when calculating the Inflation Index
              Level from multiple points - the most common is Linear.
            </xsd:documentation>
          </xsd:annotation>
        </xsd:element>
        <xsd:element name="initialIndexLevel" type="xsd:decimal" minOccurs="0">
          <xsd:annotation>
            <xsd:documentation xml:lang="en">
              initial known index level for the first calculation
              period.
            </xsd:documentation>
          </xsd:annotation>
        </xsd:element>
      </xsd:sequence>
    </xsd:extension>
  </xsd:complexContent>
</xsd:complexType>

---

InterestRateStream

Description:

A type defining the components specifiying an interest rate stream, including both a parametric and cashflow representation for the stream of payments.

Figure:

Contents:

payerPartyReference (exactly one occurrence; of the type Reference)

• A reference to the party responsible for making the payments defined by this structure.

receiverPartyReference (exactly one occurrence; of the type Reference)

• A reference to the party that receives the payments corresponding to this structure.

calculationPeriodDates (exactly one occurrence; of the type CalculationPeriodDates)

• The calculation periods dates schedule.

paymentDates (exactly one occurrence; of the type PaymentDates)

• The payment dates schedule.

resetDates (zero or one occurrence; of the type ResetDates)

• The reset dates schedule. The reset dates schedule only applies for a floating rate stream.

calculationPeriodAmount (exactly one occurrence; of the type CalculationPeriodAmount)

• The calculation period amount parameters.

stubCalculationPeriodAmount (zero or one occurrence; of the type StubCalculationPeriodAmount)

• 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.

principalExchanges (zero or one occurrence; of the type PrincipalExchanges)

• The true/false flags indicating whether initial, intermediate or final exchanges of principal should occur.

cashflows (zero or one occurrence; of the type Cashflows)

• The cashflows representation of the swap stream.

settlementProvision (zero or one occurrence; of the type SettlementProvision)

• A provision that allows the specification of settlement terms, occuring when the settlement currency is different to the notional currency of the trade.

formula (zero or one occurrence; of the type Math)

• An interest rate derivative formula.

Attribute: id (xsd:ID)

Used by:

• CapFloor/capFloorStream
• Swap/swapStream

Schema Fragment:

<xsd:complexType name="InterestRateStream">
  <xsd:annotation>
    <xsd:documentation xml:lang="en">
      A type defining the components specifiying an interest rate
      stream, including both a parametric and cashflow representation
      for the stream of payments.
    </xsd:documentation>
  </xsd:annotation>
  <xsd:sequence>
    <xsd:group ref="PayerReceiver.model"/>
    <xsd:element name="calculationPeriodDates" type="CalculationPeriodDates">
      <xsd:annotation>
        <xsd:documentation xml:lang="en">
          The calculation periods dates schedule.
        </xsd:documentation>
      </xsd:annotation>
    </xsd:element>
    <xsd:element name="paymentDates" type="PaymentDates">
      <xsd:annotation>
        <xsd:documentation xml:lang="en">
          The payment dates schedule.
        </xsd:documentation>
      </xsd:annotation>
    </xsd:element>
    <xsd:element name="resetDates" type="ResetDates" minOccurs="0">
      <xsd:annotation>
        <xsd:documentation xml:lang="en">
          The reset dates schedule. The reset dates schedule only
          applies for a floating rate stream.
        </xsd:documentation>
      </xsd:annotation>
    </xsd:element>
    <xsd:element name="calculationPeriodAmount" type="CalculationPeriodAmount">
      <xsd:annotation>
        <xsd:documentation xml:lang="en">
          The calculation period amount parameters.
        </xsd:documentation>
      </xsd:annotation>
    </xsd:element>
    <xsd:element name="stubCalculationPeriodAmount" type="StubCalculationPeriodAmount" minOccurs="0">
      <xsd:annotation>
        <xsd:documentation xml:lang="en">
          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.
        </xsd:documentation>
      </xsd:annotation>
    </xsd:element>
    <xsd:element name="principalExchanges" type="PrincipalExchanges" minOccurs="0">
      <xsd:annotation>
        <xsd:documentation xml:lang="en">
          The true/false flags indicating whether initial, intermediate
          or final exchanges of principal should occur.
        </xsd:documentation>
      </xsd:annotation>
    </xsd:element>
    <xsd:element name="cashflows" type="Cashflows" minOccurs="0">
      <xsd:annotation>
        <xsd:documentation xml:lang="en">
          The cashflows representation of the swap stream.
        </xsd:documentation>
      </xsd:annotation>
    </xsd:element>
    <xsd:element name="settlementProvision" type="SettlementProvision" minOccurs="0">
      <xsd:annotation>
        <xsd:documentation xml:lang="en">
          A provision that allows the specification of settlement
          terms, occuring when the settlement currency is different to
          the notional currency of the trade.
        </xsd:documentation>
      </xsd:annotation>
    </xsd:element>
    <xsd:element name="formula" type="Math" minOccurs="0">
      <xsd:annotation>
        <xsd:documentation xml:lang="en">
          An interest rate derivative formula.
        </xsd:documentation>
      </xsd:annotation>
    </xsd:element>
  </xsd:sequence>
  <xsd:attribute name="id" type="xsd:ID"/>
</xsd:complexType>

---

MainPublication

Description:

A type to define the main publication source.

Figure:

Contents:

Inherited element(s): (This definition inherits the content defined by the type xsd:normalizedString)

Attribute: mainPublicationScheme (xsd:anyURI)

Used by:

• InflationRateCalculation/mainPublication

Schema Fragment:

<xsd:complexType name="MainPublication">
  <xsd:annotation>
    <xsd:documentation xml:lang="en">
      A type to define the main publication source.
    </xsd:documentation>
  </xsd:annotation>
  <xsd:simpleContent>
    <xsd:extension base="xsd:normalizedString">
      <xsd:attribute name="mainPublicationScheme" type="xsd:anyURI" default="http://www.fpml.org/coding-scheme/inflation-main-publication-1-0"/>
    </xsd:extension>
  </xsd:simpleContent>
</xsd:complexType>

---

MandatoryEarlyTermination

Description:

A type to define an early termination provision for which exercise is mandatory.

Figure:

Contents:

mandatoryEarlyTerminationDate (exactly one occurrence; of the type AdjustableDate)

• The early termination date associated with a mandatory early termination of a swap.

calculationAgent (exactly one occurrence; of the type CalculationAgent)

• The ISDA Calculation Agent responsible for performing duties associated with an optional early termination.

cashSettlement (exactly one occurrence; of the type CashSettlement)

• 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.

mandatoryEarlyTerminationAdjustedDates (zero or one occurrence; of the type MandatoryEarlyTerminationAdjustedDates)

• The adjusted dates associated with a mandatory early termination provision. These dates have been adjusted for any applicable business day convention.

Attribute: id (xsd:ID)

Used by:

• EarlyTerminationProvision/mandatoryEarlyTermination
• EarlyTerminationProvision/mandatoryEarlyTermination

Schema Fragment:

<xsd:complexType name="MandatoryEarlyTermination">
  <xsd:annotation>
    <xsd:documentation xml:lang="en">
      A type to define an early termination provision for which
      exercise is mandatory.
    </xsd:documentation>
  </xsd:annotation>
  <xsd:sequence>
    <xsd:element name="mandatoryEarlyTerminationDate" type="AdjustableDate">
      <xsd:annotation>
        <xsd:documentation xml:lang="en">
          The early termination date associated with a mandatory early
          termination of a swap.
        </xsd:documentation>
      </xsd:annotation>
    </xsd:element>
    <xsd:element name="calculationAgent" type="CalculationAgent">
      <xsd:annotation>
        <xsd:documentation xml:lang="en">
          The ISDA Calculation Agent responsible for performing duties
          associated with an optional early termination.
        </xsd:documentation>
      </xsd:annotation>
    </xsd:element>
    <xsd:element name="cashSettlement" type="CashSettlement">
      <xsd:annotation>
        <xsd:documentation xml:lang="en">
          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.
        </xsd:documentation>
      </xsd:annotation>
    </xsd:element>
    <xsd:element name="mandatoryEarlyTerminationAdjustedDates" type="MandatoryEarlyTerminationAdjustedDates" minOccurs="0">
      <xsd:annotation>
        <xsd:documentation xml:lang="en">
          The adjusted dates associated with a mandatory early
          termination provision. These dates have been adjusted for any
          applicable business day convention.
        </xsd:documentation>
      </xsd:annotation>
    </xsd:element>
  </xsd:sequence>
  <xsd:attribute name="id" type="xsd:ID"/>
</xsd:complexType>

---

MandatoryEarlyTerminationAdjustedDates

Description:

A type defining the adjusted dates associated with a mandatory early termination provision.

Figure:

Contents:

adjustedEarlyTerminationDate (exactly one occurrence; of the type xsd:date)

• 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.

adjustedCashSettlementValuationDate (exactly one occurrence; of the type xsd:date)

• The date by which the cash settlement amount must be agreed. This date should already be adjusted for any applicable business day convention.

adjustedCashSettlementPaymentDate (exactly one occurrence; of the type xsd:date)

• The date on which the cash settlement amount is paid. This date should already be adjusted for any applicable business dat convention.

Used by:

• MandatoryEarlyTermination/mandatoryEarlyTerminationAdjustedDates

Schema Fragment:

<xsd:complexType name="MandatoryEarlyTerminationAdjustedDates">
  <xsd:annotation>
    <xsd:documentation xml:lang="en">
      A type defining the adjusted dates associated with a mandatory
      early termination provision.
    </xsd:documentation>
  </xsd:annotation>
  <xsd:sequence>
    <xsd:element name="adjustedEarlyTerminationDate" type="xsd:date">
      <xsd:annotation>
        <xsd:documentation xml:lang="en">
          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.
        </xsd:documentation>
      </xsd:annotation>
    </xsd:element>
    <xsd:element name="adjustedCashSettlementValuationDate" type="xsd:date">
      <xsd:annotation>
        <xsd:documentation xml:lang="en">
          The date by which the cash settlement amount must be agreed.
          This date should already be adjusted for any applicable
          business day convention.
        </xsd:documentation>
      </xsd:annotation>
    </xsd:element>
    <xsd:element name="adjustedCashSettlementPaymentDate" type="xsd:date">
      <xsd:annotation>
        <xsd:documentation xml:lang="en">
          The date on which the cash settlement amount is paid. This
          date should already be adjusted for any applicable business
          dat convention.
        </xsd:documentation>
      </xsd:annotation>
    </xsd:element>
  </xsd:sequence>
</xsd:complexType>

---

NonDeliverableSettlement

Description:

A type defining the parameters used when the reference currency of the swapStream is non-deliverable.

Figure:

Contents:

referenceCurrency (exactly one occurrence; of the type Currency)

• The currency in which the swap stream is denominated in.

fxFixingDate (exactly one occurrence; of the type FxFixingDate)

• The fixing date(s) on which the currency rate will be determined for the purpose of specifying the amount in deliverable currency.

settlementRateOption (exactly one occurrence; of the type SettlementRateOption)

• The rate source for the conversion to the settlement currency. This source is specified through a scheme that reflects the terms of the Annex A to the 1998 FX and Currency Option Definitions.

Used by:

• SettlementProvision/nonDeliverableSettlement

Schema Fragment:

<xsd:complexType name="NonDeliverableSettlement">
  <xsd:annotation>
    <xsd:documentation xml:lang="en">
      A type defining the parameters used when the reference currency
      of the swapStream is non-deliverable.
    </xsd:documentation>
  </xsd:annotation>
  <xsd:sequence>
    <xsd:element name="referenceCurrency" type="Currency">
      <xsd:annotation>
        <xsd:documentation xml:lang="en">
          The currency in which the swap stream is denominated in.
        </xsd:documentation>
      </xsd:annotation>
    </xsd:element>
    <xsd:element name="fxFixingDate" type="FxFixingDate">
      <xsd:annotation>
        <xsd:documentation xml:lang="en">
          The fixing date(s) on which the currency rate will be
          determined for the purpose of specifying the amount in
          deliverable currency.
        </xsd:documentation>
      </xsd:annotation>
    </xsd:element>
    <xsd:element name="settlementRateOption" type="SettlementRateOption">
      <xsd:annotation>
        <xsd:documentation xml:lang="en">
          The rate source for the conversion to the settlement
          currency. This source is specified through a scheme that
          reflects the terms of the Annex A to the 1998 FX and Currency
          Option Definitions.
        </xsd:documentation>
      </xsd:annotation>
    </xsd:element>
  </xsd:sequence>
</xsd:complexType>

---

Notional

Description:

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.

Figure:

Contents:

notionalStepSchedule (exactly one occurrence; of the type AmountSchedule)

• 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.

notionalStepParameters (zero or one occurrence; of the type NotionalStepRule)

• A parametric representation of the notional step schedule, i.e. parameters used to generate the notional schedule.

Attribute: id (xsd:ID)

Used by:

• Calculation/notionalSchedule

Schema Fragment:

<xsd:complexType name="Notional">
  <xsd:annotation>
    <xsd:documentation xml:lang="en">
      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.
    </xsd:documentation>
  </xsd:annotation>
  <xsd:sequence>
    <xsd:element name="notionalStepSchedule" type="AmountSchedule">
      <xsd:annotation>
        <xsd:documentation xml:lang="en">
          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.
        </xsd:documentation>
      </xsd:annotation>
    </xsd:element>
    <xsd:element name="notionalStepParameters" type="NotionalStepRule" minOccurs="0">
      <xsd:annotation>
        <xsd:documentation xml:lang="en">
          A parametric representation of the notional step schedule,
          i.e. parameters used to generate the notional schedule.
        </xsd:documentation>
      </xsd:annotation>
    </xsd:element>
  </xsd:sequence>
  <xsd:attribute name="id" type="xsd:ID"/>
</xsd:complexType>

---

NotionalStepRule

Description:

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.

Figure:

Contents:

calculationPeriodDatesReference (exactly one occurrence; of the type Reference)

• A pointer style reference to the associated calculation period dates component defined elsewhere in the document.

stepFrequency (exactly one occurrence; of the type Interval)

• The frequency at which the step changes occur. This frequency must be a multiple of the stream calculation period frequency.

firstNotionalStepDate (exactly one occurrence; of the type xsd:date)

• Effective date of the first change in notional (i.e. a calculation period start date).

lastNotionalStepDate (exactly one occurrence; of the type xsd:date)

• Effective date of the last change in notional (i.e. a calculation period start date).

There can be one occurance of the following structure; Choice of either

notionalStepAmount (exactly one occurrence; of the type xsd:decimal)

• The explicit amount that the notional changes on each step date. This can be a positive or negative amount.

Used by:

• Notional/notionalStepParameters

Schema Fragment:

<xsd:complexType name="NotionalStepRule">
  <xsd:annotation>
    <xsd:documentation xml:lang="en">
      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.
    </xsd:documentation>
  </xsd:annotation>
  <xsd:sequence>
    <xsd:element name="calculationPeriodDatesReference" type="Reference">
      <xsd:annotation>
        <xsd:documentation xml:lang="en">
          A pointer style reference to the associated calculation
          period dates component defined elsewhere in the document.
        </xsd:documentation>
      </xsd:annotation>
    </xsd:element>
    <xsd:element name="stepFrequency" type="Interval">
      <xsd:annotation>
        <xsd:documentation xml:lang="en">
          The frequency at which the step changes occur. This frequency
          must be a multiple of the stream calculation period
          frequency.
        </xsd:documentation>
      </xsd:annotation>
    </xsd:element>
    <xsd:element name="firstNotionalStepDate" type="xsd:date">
      <xsd:annotation>
        <xsd:documentation xml:lang="en">
          Effective date of the first change in notional (i.e. a
          calculation period start date).
        </xsd:documentation>
      </xsd:annotation>
    </xsd:element>
    <xsd:element name="lastNotionalStepDate" type="xsd:date">
      <xsd:annotation>
        <xsd:documentation xml:lang="en">
          Effective date of the last change in notional (i.e. a
          calculation period start date).
        </xsd:documentation>
      </xsd:annotation>
    </xsd:element>
    <xsd:choice>
      <xsd:element name="notionalStepAmount" type="xsd:decimal">
        <xsd:annotation>
          <xsd:documentation xml:lang="en">
            The explicit amount that the notional changes on each step
            date. This can be a positive or negative amount.
          </xsd:documentation>
        </xsd:annotation>
      </xsd:element>
      <xsd:sequence>
        <xsd:element name="notionalStepRate" type="xsd:decimal">
          <xsd:annotation>
            <xsd:documentation xml:lang="en">
              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.
            </xsd:documentation>
          </xsd:annotation>
        </xsd:element>
        <xsd:element name="stepRelativeTo" type="StepRelativeToEnum">
          <xsd:annotation>
            <xsd:documentation xml:lang="en">
              Specifies whether the notionalStepRate should be applied
              to the initial notional or the previous notional in order
              to calculate the notional step change amount.
            </xsd:documentation>
          </xsd:annotation>
        </xsd:element>
      </xsd:sequence>
    </xsd:choice>
  </xsd:sequence>
</xsd:complexType>

---

OptionalEarlyTermination

Description:

A type defining an early termination provision where either or both parties have the right to exercise.

Figure:

Contents:

singlePartyOption (zero or one occurrence; of the type SinglePartyOption)

• If optional early termination is not available to both parties then this component specifies the buyer and seller of the option.

exercise (exactly one occurrence; of the type Exercise)

• An placeholder for the actual option exercise definitions.

exerciseNotice (zero or more occurrences; of the type ExerciseNotice)

• Definition of the party to whom notice of exercise should be given.

followUpConfirmation (zero or one occurrence; of the type xsd:boolean)

• 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.

calculationAgent (exactly one occurrence; of the type CalculationAgent)

• The ISDA Calculation Agent responsible for performing duties associated with an optional early termination.

cashSettlement (exactly one occurrence; of the type CashSettlement)

• 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.

optionalEarlyTerminationAdjustedDates (zero or one occurrence; of the type OptionalEarlyTerminationAdjustedDates)

• An early termination provision to terminate the trade at fair value where one or both parties have the right to decide on termination.

Used by:

• EarlyTerminationProvision/optionalEarlyTermination
• EarlyTerminationProvision/optionalEarlyTermination

Schema Fragment:

<xsd:complexType name="OptionalEarlyTermination">
  <xsd:annotation>
    <xsd:documentation xml:lang="en">
      A type defining an early termination provision where either or
      both parties have the right to exercise.
    </xsd:documentation>
  </xsd:annotation>
  <xsd:sequence>
    <xsd:element name="singlePartyOption" type="SinglePartyOption" minOccurs="0">
      <xsd:annotation>
        <xsd:documentation xml:lang="en">
          If optional early termination is not available to both
          parties then this component specifies the buyer and seller of
          the option.
        </xsd:documentation>
      </xsd:annotation>
    </xsd:element>
    <xsd:element ref="exercise"/>
    <xsd:element name="exerciseNotice" type="ExerciseNotice" minOccurs="0" maxOccurs="unbounded">
      <xsd:annotation>
        <xsd:documentation xml:lang="en">
          Definition of the party to whom notice of exercise should be
          given.
        </xsd:documentation>
      </xsd:annotation>
    </xsd:element>
    <xsd:element name="followUpConfirmation" type="xsd:boolean" minOccurs="0">
      <xsd:annotation>
        <xsd:documentation xml:lang="en">
          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.
        </xsd:documentation>
      </xsd:annotation>
    </xsd:element>
    <xsd:element name="calculationAgent" type="CalculationAgent">
      <xsd:annotation>
        <xsd:documentation xml:lang="en">
          The ISDA Calculation Agent responsible for performing duties
          associated with an optional early termination.
        </xsd:documentation>
      </xsd:annotation>
    </xsd:element>
    <xsd:element name="cashSettlement" type="CashSettlement">
      <xsd:annotation>
        <xsd:documentation xml:lang="en">
          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.
        </xsd:documentation>
      </xsd:annotation>
    </xsd:element>
    <xsd:element name="optionalEarlyTerminationAdjustedDates" type="OptionalEarlyTerminationAdjustedDates" minOccurs="0">
      <xsd:annotation>
        <xsd:documentation xml:lang="en">
          An early termination provision to terminate the trade at fair
          value where one or both parties have the right to decide on
          termination.
        </xsd:documentation>
      </xsd:annotation>
    </xsd:element>
  </xsd:sequence>
</xsd:complexType>

---

OptionalEarlyTerminationAdjustedDates

Description:

A type defining the adjusted dates associated with an optional early termination provision.

Figure:

Contents:

earlyTerminationEvent (one or more occurrences; of the type EarlyTerminationEvent)

• The adjusted dates associated with an individual earley termination date.

Used by:

• OptionalEarlyTermination/optionalEarlyTerminationAdjustedDates

Schema Fragment:

<xsd:complexType name="OptionalEarlyTerminationAdjustedDates">
  <xsd:annotation>
    <xsd:documentation xml:lang="en">
      A type defining the adjusted dates associated with an optional
      early termination provision.
    </xsd:documentation>
  </xsd:annotation>
  <xsd:sequence>
    <xsd:element name="earlyTerminationEvent" type="EarlyTerminationEvent" maxOccurs="unbounded">
      <xsd:annotation>
        <xsd:documentation xml:lang="en">
          The adjusted dates associated with an individual earley
          termination date.
        </xsd:documentation>
      </xsd:annotation>
    </xsd:element>
  </xsd:sequence>
</xsd:complexType>

---

PaymentCalculationPeriod

Description:

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.

Figure:

Contents:

unadjustedPaymentDate (zero or one occurrence; of the type xsd:date)

adjustedPaymentDate (zero or one occurrence; of the type xsd:date)

• 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 may be specified to allow the fee structure to also serve as a cashflow type component (all dates the Cashflows type are adjusted payment dates).

There can be one occurance of the following structure; Choice of either

calculationPeriod (one or more occurrences; of the type CalculationPeriod)

• 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.

Or

fixedPaymentAmount (exactly one occurrence; of the type xsd:decimal)

• A known fixed payment amount.

discountFactor (zero or one occurrence; of the type xsd:decimal)

• A decimal value representing the discount factor used to calculate the present value of cash flow.

forecastPaymentAmount (zero or one occurrence; of the type Money)

• A monetary amount representing the forecast of the future value of the payment.

presentValueAmount (zero or one occurrence; of the type Money)

• A monetary amount representing the present value of the forecast payment.

Attribute: id (xsd:ID)

Attribute: href (xsd:IDREF)

Used by:

• Cashflows/paymentCalculationPeriod

Schema Fragment:

<xsd:complexType name="PaymentCalculationPeriod">
  <xsd:annotation>
    <xsd:documentation xml:lang="en">
      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.
    </xsd:documentation>
  </xsd:annotation>
  <xsd:sequence>
    <xsd:element name="unadjustedPaymentDate" type="xsd:date" minOccurs="0"/>
    <xsd:element name="adjustedPaymentDate" type="xsd:date" minOccurs="0">
      <xsd:annotation>
        <xsd:documentation xml:lang="en">
          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
          may be specified to allow the fee structure to also serve as
          a cashflow type component (all dates the Cashflows type are
          adjusted payment dates).
        </xsd:documentation>
      </xsd:annotation>
    </xsd:element>
    <xsd:choice>
      <xsd:element name="calculationPeriod" type="CalculationPeriod" maxOccurs="unbounded">
        <xsd:annotation>
          <xsd:documentation xml:lang="en">
            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.
          </xsd:documentation>
        </xsd:annotation>
      </xsd:element>
      <xsd:element name="fixedPaymentAmount" type="xsd:decimal">
        <xsd:annotation>
          <xsd:documentation xml:lang="en">
            A known fixed payment amount.
          </xsd:documentation>
        </xsd:annotation>
      </xsd:element>
    </xsd:choice>
    <xsd:element name="discountFactor" type="xsd:decimal" minOccurs="0">
      <xsd:annotation>
        <xsd:documentation xml:lang="en">
          A decimal value representing the discount factor used to
          calculate the present value of cash flow.
        </xsd:documentation>
      </xsd:annotation>
    </xsd:element>
    <xsd:element name="forecastPaymentAmount" type="Money" minOccurs="0">
      <xsd:annotation>
        <xsd:documentation xml:lang="en">
          A monetary amount representing the forecast of the future
          value of the payment.
        </xsd:documentation>
      </xsd:annotation>
    </xsd:element>
    <xsd:element name="presentValueAmount" type="Money" minOccurs="0">
      <xsd:annotation>
        <xsd:documentation xml:lang="en">
          A monetary amount representing the present value of the
          forecast payment.
        </xsd:documentation>
      </xsd:annotation>
    </xsd:element>
  </xsd:sequence>
  <xsd:attribute name="id" type="xsd:ID"/>
  <xsd:attribute name="href" type="xsd:IDREF">
    <xsd:annotation>
      <xsd:documentation xml:lang="en">
        Attribute that can be used to reference the yield curve used to
        estimate the discount factor.
      </xsd:documentation>
    </xsd:annotation>
  </xsd:attribute>
</xsd:complexType>

---

PaymentDates

Description:

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.

Figure:

Contents:

There can be one occurance of the following structure; Choice of either

calculationPeriodDatesReference (exactly one occurrence; of the type Reference)

• A pointer style reference to the associated calculation period dates component defined elsewhere in the document.

Or

resetDatesReference (exactly one occurrence; of the type Reference)

• A pointer style reference to the associated reset dates component defined elsewhere in the document.

paymentFrequency (exactly one occurrence; of the type Interval)

• 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.

firstPaymentDate (zero or one occurrence; of the type xsd:date)

• 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.

lastRegularPaymentDate (zero or one occurrence; of the type xsd:date)

• 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.

payRelativeTo (exactly one occurrence; of the type PayRelativeToEnum)

• 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.

paymentDaysOffset (zero or one occurrence; of the type Offset)

• 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.

paymentDatesAdjustments (exactly one occurrence; of the type BusinessDayAdjustments)

• 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.

Attribute: id (xsd:ID)

Used by:

• InterestRateStream/paymentDates

Schema Fragment:

<xsd:complexType name="PaymentDates">
  <xsd:annotation>
    <xsd:documentation xml:lang="en">
      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.
    </xsd:documentation>
  </xsd:annotation>
  <xsd:sequence>
    <xsd:choice>
      <xsd:element name="calculationPeriodDatesReference" type="Reference">
        <xsd:annotation>
          <xsd:documentation xml:lang="en">
            A pointer style reference to the associated calculation
            period dates component defined elsewhere in the document.
          </xsd:documentation>
        </xsd:annotation>
      </xsd:element>
      <xsd:element name="resetDatesReference" type="Reference">
        <xsd:annotation>
          <xsd:documentation xml:lang="en">
            A pointer style reference to the associated reset dates
            component defined elsewhere in the document.
          </xsd:documentation>
        </xsd:annotation>
      </xsd:element>
    </xsd:choice>
    <xsd:element name="paymentFrequency" type="Interval">
      <xsd:annotation>
        <xsd:documentation xml:lang="en">
          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.
        </xsd:documentation>
      </xsd:annotation>
    </xsd:element>
    <xsd:element name="firstPaymentDate" type="xsd:date" minOccurs="0">
      <xsd:annotation>
        <xsd:documentation xml:lang="en">
          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.
        </xsd:documentation>
      </xsd:annotation>
    </xsd:element>
    <xsd:element name="lastRegularPaymentDate" type="xsd:date" minOccurs="0">
      <xsd:annotation>
        <xsd:documentation xml:lang="en">
          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.
        </xsd:documentation>
      </xsd:annotation>
    </xsd:element>
    <xsd:element name="payRelativeTo" type="PayRelativeToEnum">
      <xsd:annotation>
        <xsd:documentation xml:lang="en">
          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.
        </xsd:documentation>
      </xsd:annotation>
    </xsd:element>
    <xsd:element name="paymentDaysOffset" type="Offset" minOccurs="0">
      <xsd:annotation>
        <xsd:documentation xml:lang="en">
          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.
        </xsd:documentation>
      </xsd:annotation>
    </xsd:element>
    <xsd:element name="paymentDatesAdjustments" type="BusinessDayAdjustments">
      <xsd:annotation>
        <xsd:documentation xml:lang="en">
          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.
        </xsd:documentation>
      </xsd:annotation>
    </xsd:element>
  </xsd:sequence>
  <xsd:attribute name="id" type="xsd:ID"/>
</xsd:complexType>

---

PrincipalExchange

Description:

A type defining a principal exchange amount and adjusted exchange date. The type forms part of the cashflow representation of a swap stream.

Figure:

Contents:

unadjustedPrincipalExchangeDate (zero or one occurrence; of the type xsd:date)

adjustedPrincipalExchangeDate (zero or one occurrence; of the type xsd:date)

• The principal exchange date. This date should already be adjusted for any applicable business day convention.

principalExchangeAmount (zero or one occurrence; of the type xsd:decimal)

• 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.

discountFactor (zero or one occurrence; of the type xsd:decimal)

• The value representing the discount factor used to calculate the present value of the principal exchange amount.

presentValuePrincipalExchangeAmount (zero or one occurrence; of the type Money)

• The amount representing the present value of the principal exchange.

Attribute: id (xsd:ID)

Used by:

• Cashflows/principalExchange

Schema Fragment:

<xsd:complexType name="PrincipalExchange">
  <xsd:annotation>
    <xsd:documentation xml:lang="en">
      A type defining a principal exchange amount and adjusted exchange
      date. The type forms part of the cashflow representation of a
      swap stream.
    </xsd:documentation>
  </xsd:annotation>
  <xsd:sequence>
    <xsd:element name="unadjustedPrincipalExchangeDate" type="xsd:date" minOccurs="0"/>
    <xsd:element name="adjustedPrincipalExchangeDate" type="xsd:date" minOccurs="0">
      <xsd:annotation>
        <xsd:documentation xml:lang="en">
          The principal exchange date. This date should already be
          adjusted for any applicable business day convention.
        </xsd:documentation>
      </xsd:annotation>
    </xsd:element>
    <xsd:element name="principalExchangeAmount" type="xsd:decimal" minOccurs="0">
      <xsd:annotation>
        <xsd:documentation xml:lang="en">
          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.
        </xsd:documentation>
      </xsd:annotation>
    </xsd:element>
    <xsd:element name="discountFactor" type="xsd:decimal" minOccurs="0">
      <xsd:annotation>
        <xsd:documentation xml:lang="en">
          The value representing the discount factor used to calculate
          the present value of the principal exchange amount.
        </xsd:documentation>
      </xsd:annotation>
    </xsd:element>
    <xsd:element name="presentValuePrincipalExchangeAmount" type="Money" minOccurs="0">
      <xsd:annotation>
        <xsd:documentation xml:lang="en">
          The amount representing the present value of the principal
          exchange.
        </xsd:documentation>
      </xsd:annotation>
    </xsd:element>
  </xsd:sequence>
  <xsd:attribute name="id" type="xsd:ID"/>
</xsd:complexType>

---

ResetDates

Description:

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.

Figure:

Contents:

calculationPeriodDatesReference (exactly one occurrence; of the type Reference)

• A pointer style reference to the associated calculation period dates component defined elsewhere in the document.

resetRelativeTo (zero or one occurrence; of the type ResetRelativeToEnum)

• 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.

initialFixingDate (zero or one occurrence; of the type RelativeDateOffset)

fixingDates (exactly one occurrence; of the type RelativeDateOffset)

• 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.

rateCutOffDaysOffset (zero or one occurrence; of the type Offset)

• 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.

resetFrequency (exactly one occurrence; of the type ResetFrequency)

• 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.

resetDatesAdjustments (exactly one occurrence; of the type BusinessDayAdjustments)

• 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.

Attribute: id (xsd:ID) - required

Used by:

• InterestRateStream/resetDates

Schema Fragment:

<xsd:complexType name="ResetDates">
  <xsd:annotation>
    <xsd:documentation xml:lang="en">
      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.
    </xsd:documentation>
  </xsd:annotation>
  <xsd:sequence>
    <xsd:element name="calculationPeriodDatesReference" type="Reference">
      <xsd:annotation>
        <xsd:documentation xml:lang="en">
          A pointer style reference to the associated calculation
          period dates component defined elsewhere in the document.
        </xsd:documentation>
      </xsd:annotation>
    </xsd:element>
    <xsd:element name="resetRelativeTo" type="ResetRelativeToEnum" minOccurs="0">
      <xsd:annotation>
        <xsd:documentation xml:lang="en">
          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.
        </xsd:documentation>
      </xsd:annotation>
    </xsd:element>
    <xsd:element name="initialFixingDate" type="RelativeDateOffset" minOccurs="0"/>
    <xsd:element name="fixingDates" type="RelativeDateOffset">
      <xsd:annotation>
        <xsd:documentation xml:lang="en">
          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.
        </xsd:documentation>
      </xsd:annotation>
    </xsd:element>
    <xsd:element name="rateCutOffDaysOffset" type="Offset" minOccurs="0">
      <xsd:annotation>
        <xsd:documentation xml:lang="en">
          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.
        </xsd:documentation>
      </xsd:annotation>
    </xsd:element>
    <xsd:element name="resetFrequency" type="ResetFrequency">
      <xsd:annotation>
        <xsd:documentation xml:lang="en">
          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.
        </xsd:documentation>
      </xsd:annotation>
    </xsd:element>
    <xsd:element name="resetDatesAdjustments" type="BusinessDayAdjustments">
      <xsd:annotation>
        <xsd:documentation xml:lang="en">
          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.
        </xsd:documentation>
      </xsd:annotation>
    </xsd:element>
  </xsd:sequence>
  <xsd:attribute name="id" type="xsd:ID" use="required"/>
</xsd:complexType>

---

SettlementProvision

Description:

A type defining the specification of settlement terms, occuring when the settlement currency is different to the notional currency of the trade.

Figure:

Contents:

settlementCurrency (exactly one occurrence; of the type Currency)

• The currency that stream settles in (to support swaps that settle in a currency different from the notional currency).

nonDeliverableSettlement (zero or one occurrence; of the type NonDeliverableSettlement)

• The specification of the non-deliverable settlement provision.

Used by:

• InterestRateStream/settlementProvision

Schema Fragment:

<xsd:complexType name="SettlementProvision">
  <xsd:annotation>
    <xsd:documentation xml:lang="en">
      A type defining the specification of settlement terms, occuring
      when the settlement currency is different to the notional
      currency of the trade.
    </xsd:documentation>
  </xsd:annotation>
  <xsd:sequence>
    <xsd:element name="settlementCurrency" type="Currency">
      <xsd:annotation>
        <xsd:documentation xml:lang="en">
          The currency that stream settles in (to support swaps that
          settle in a currency different from the notional currency).
        </xsd:documentation>
      </xsd:annotation>
    </xsd:element>
    <xsd:element name="nonDeliverableSettlement" type="NonDeliverableSettlement" minOccurs="0">
      <xsd:annotation>
        <xsd:documentation xml:lang="en">
          The specification of the non-deliverable settlement
          provision.
        </xsd:documentation>
      </xsd:annotation>
    </xsd:element>
  </xsd:sequence>
</xsd:complexType>

---

SettlementRateOption

Description:

A type defining the settlement rate options through a scheme reflecting the terms of the Annex A to the 1998 FX and Currency Option Definitions.

Figure:

Contents:

Inherited element(s): (This definition inherits the content defined by the type xsd:normalizedString)

Attribute: settlementRateOptionScheme (xsd:anyURI)

Used by:

• NonDeliverableSettlement/settlementRateOption

Schema Fragment:

<xsd:complexType name="SettlementRateOption">
  <xsd:annotation>
    <xsd:documentation xml:lang="en">
      A type defining the settlement rate options through a scheme
      reflecting the terms of the Annex A to the 1998 FX and Currency
      Option Definitions.
    </xsd:documentation>
  </xsd:annotation>
  <xsd:simpleContent>
    <xsd:extension base="xsd:normalizedString">
      <xsd:attribute name="settlementRateOptionScheme" type="xsd:anyURI" default="http://www.fpml.org/coding-scheme/settlement-rate-option-1-0"/>
    </xsd:extension>
  </xsd:simpleContent>
</xsd:complexType>

---

SettlementRateSource

Description:

A type describing the method for obtaining a settlement rate.

Figure:

Contents:

There can be one occurance of the following structure; Choice of either

informationSource (exactly one occurrence; of the type InformationSource)

• The information source where a published or displayed market rate will be obtained, e.g. Telerate Page 3750.

Or

cashSettlementReferenceBanks (exactly one occurrence; of the type CashSettlementReferenceBanks)

• 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.

Used by:

• YieldCurveMethod/settlementRateSource

Schema Fragment:

<xsd:complexType name="SettlementRateSource">
  <xsd:annotation>
    <xsd:documentation xml:lang="en">
      A type describing the method for obtaining a settlement rate.
    </xsd:documentation>
  </xsd:annotation>
  <xsd:choice>
    <xsd:element name="informationSource" type="InformationSource">
      <xsd:annotation>
        <xsd:documentation xml:lang="en">
          The information source where a published or displayed market
          rate will be obtained, e.g. Telerate Page 3750.
        </xsd:documentation>
      </xsd:annotation>
    </xsd:element>
    <xsd:element name="cashSettlementReferenceBanks" type="CashSettlementReferenceBanks">
      <xsd:annotation>
        <xsd:documentation xml:lang="en">
          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.
        </xsd:documentation>
      </xsd:annotation>
    </xsd:element>
  </xsd:choice>
</xsd:complexType>

---

SinglePartyOption

Description:

A type describing the buyer and seller of an option.

Figure:

Contents:

buyerPartyReference (exactly one occurrence; of the type Reference)

• A reference to the party that buys this instrument, ie. pays for this instrument and receives the rights defined by it. See 2000 ISDA definitions Article 11.1 (b). In the case of FRAs this the fixed rate payer.

sellerPartyReference (exactly one occurrence; of the type Reference)

• A reference to the party that sells ("writes") this instrument, i.e. that grants the rights defined by this instrument and in return receives a payment for it. See 2000 ISDA definitions Article 11.1 (a). In the case of FRAs this is the floating rate payer.

Used by:

• OptionalEarlyTermination/singlePartyOption

Schema Fragment:

<xsd:complexType name="SinglePartyOption">
  <xsd:annotation>
    <xsd:documentation xml:lang="en">
      A type describing the buyer and seller of an option.
    </xsd:documentation>
  </xsd:annotation>
  <xsd:sequence>
    <xsd:group ref="BuyerSeller.model"/>
  </xsd:sequence>
</xsd:complexType>

---

Stub

Description:

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.

Figure:

Contents:

There can be one occurance of the following structure; Choice of either

floatingRate (one or more occurrences; of the type FloatingRate)

• 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.

Or

stubRate (exactly one occurrence; of the type xsd:decimal)

• 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.

Or

stubAmount (exactly one occurrence; of the type Money)

• 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.

stubStartDate (zero or one occurrence; of the type AdjustableOrRelativeDate)

• Start date of stub period

stubEndDate (zero or one occurrence; of the type AdjustableOrRelativeDate)

• End date of stub period

Used by:

• StubCalculationPeriod/finalStub
• StubCalculationPeriod/finalStub
• StubCalculationPeriod/initialStub
• StubCalculationPeriodAmount/finalStub
• StubCalculationPeriodAmount/initialStub

Schema Fragment:

<xsd:complexType name="Stub">
  <xsd:annotation>
    <xsd:documentation xml:lang="en">
      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.
    </xsd:documentation>
  </xsd:annotation>
  <xsd:sequence>
    <xsd:choice>
      <xsd:element name="floatingRate" type="FloatingRate" maxOccurs="unbounded">
        <xsd:annotation>
          <xsd:documentation xml:lang="en">
            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.
          </xsd:documentation>
        </xsd:annotation>
      </xsd:element>
      <xsd:element name="stubRate" type="xsd:decimal">
        <xsd:annotation>
          <xsd:documentation xml:lang="en">
            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.
          </xsd:documentation>
        </xsd:annotation>
      </xsd:element>
      <xsd:element name="stubAmount" type="Money">
        <xsd:annotation>
          <xsd:documentation xml:lang="en">
            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.
          </xsd:documentation>
        </xsd:annotation>
      </xsd:element>
    </xsd:choice>
    <xsd:element name="stubStartDate" type="AdjustableOrRelativeDate" minOccurs="0">
      <xsd:annotation>
        <xsd:documentation xml:lang="en">
          Start date of stub period
        </xsd:documentation>
      </xsd:annotation>
    </xsd:element>
    <xsd:element name="stubEndDate" type="AdjustableOrRelativeDate" minOccurs="0">
      <xsd:annotation>
        <xsd:documentation xml:lang="en">
          End date of stub period
        </xsd:documentation>
      </xsd:annotation>
    </xsd:element>
  </xsd:sequence>
</xsd:complexType>

---

StubCalculationPeriodAmount

Description:

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.

Figure:

Contents:

calculationPeriodDatesReference (exactly one occurrence; of the type Reference)

• A pointer style reference to the associated calculation period dates component defined elsewhere in the document.

initialStub (zero or one occurrence; of the type Stub)

• 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.

finalStub (zero or one occurrence; of the type Stub)

• 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.

Used by:

• InterestRateStream/stubCalculationPeriodAmount

Schema Fragment:

<xsd:complexType name="StubCalculationPeriodAmount">
  <xsd:annotation>
    <xsd:documentation xml:lang="en">
      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.
    </xsd:documentation>
  </xsd:annotation>
  <xsd:sequence>
    <xsd:element name="calculationPeriodDatesReference" type="Reference">
      <xsd:annotation>
        <xsd:documentation xml:lang="en">
          A pointer style reference to the associated calculation
          period dates component defined elsewhere in the document.
        </xsd:documentation>
      </xsd:annotation>
    </xsd:element>
    <xsd:element name="initialStub" type="Stub" minOccurs="0">
      <xsd:annotation>
        <xsd:documentation xml:lang="en">
          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.
        </xsd:documentation>
      </xsd:annotation>
    </xsd:element>
    <xsd:element name="finalStub" type="Stub" minOccurs="0">
      <xsd:annotation>
        <xsd:documentation xml:lang="en">
          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.
        </xsd:documentation>
      </xsd:annotation>
    </xsd:element>
  </xsd:sequence>
</xsd:complexType>

---

Swap

Description:

A type defining swap streams and additional payments between the principal parties involved in the swap.

Figure:

Contents:

Inherited element(s): (This definition inherits the content defined by the type Product)

• The base type which all FpML products extend.

swapStream (one or more occurrences; of the type InterestRateStream)

• The swap streams.

earlyTerminationProvision (zero or one occurrence; of the type EarlyTerminationProvision)

• Parameters specifying provisions relating to the optional and mandatory early terminarion of a swap transaction.

cancelableProvision (zero or one occurrence; of the type CancelableProvision)

• 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.

extendibleProvision (zero or one occurrence; of the type ExtendibleProvision)

• 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.

additionalPayment (zero or more occurrences; of the type Payment)

• Additional payments between the principal parties.

additionalTerms (zero or one occurrence; of the type SwapAdditionalTerms)

• Contains any additional terms to the swap contract.

Used by:

Extension of:

• Product

Schema Fragment:

<xsd:complexType name="Swap">
  <xsd:annotation>
    <xsd:documentation xml:lang="en">
      A type defining swap streams and additional payments between the
      principal parties involved in the swap.
    </xsd:documentation>
  </xsd:annotation>
  <xsd:complexContent>
    <xsd:extension base="Product">
      <xsd:sequence>
        <xsd:element name="swapStream" type="InterestRateStream" maxOccurs="unbounded">
          <xsd:annotation>
            <xsd:documentation xml:lang="en">
              The swap streams.
            </xsd:documentation>
          </xsd:annotation>
        </xsd:element>
        <xsd:element name="earlyTerminationProvision" type="EarlyTerminationProvision" minOccurs="0">
          <xsd:annotation>
            <xsd:documentation xml:lang="en">
              Parameters specifying provisions relating to the optional
              and mandatory early terminarion of a swap transaction.
            </xsd:documentation>
          </xsd:annotation>
        </xsd:element>
        <xsd:element name="cancelableProvision" type="CancelableProvision" minOccurs="0">
          <xsd:annotation>
            <xsd:documentation xml:lang="en">
              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.
            </xsd:documentation>
          </xsd:annotation>
        </xsd:element>
        <xsd:element name="extendibleProvision" type="ExtendibleProvision" minOccurs="0">
          <xsd:annotation>
            <xsd:documentation xml:lang="en">
              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.
            </xsd:documentation>
          </xsd:annotation>
        </xsd:element>
        <xsd:element name="additionalPayment" type="Payment" minOccurs="0" maxOccurs="unbounded">
          <xsd:annotation>
            <xsd:documentation xml:lang="en">
              Additional payments between the principal parties.
            </xsd:documentation>
          </xsd:annotation>
        </xsd:element>
        <xsd:element name="additionalTerms" type="SwapAdditionalTerms" minOccurs="0">
          <xsd:annotation>
            <xsd:documentation xml:lang="en">
              Contains any additional terms to the swap contract.
            </xsd:documentation>
          </xsd:annotation>
        </xsd:element>
      </xsd:sequence>
    </xsd:extension>
  </xsd:complexContent>
</xsd:complexType>

---

SwapAdditionalTerms

Description:

Additional terms to a swap contract.

Figure:

Contents:

bondReference (zero or one occurrence; of the type BondReference)

• Bond to which the swap contract is conditional on. The swap contract is only valid if this bond is issued and if there is any dispute over the terms of fixed stream then the bond terms would be used.

Used by:

• Swap/additionalTerms

Schema Fragment:

<xsd:complexType name="SwapAdditionalTerms">
  <xsd:annotation>
    <xsd:documentation xml:lang="en">
      Additional terms to a swap contract.
    </xsd:documentation>
  </xsd:annotation>
  <xsd:sequence>
    <xsd:element name="bondReference" type="BondReference" minOccurs="0">
      <xsd:annotation>
        <xsd:documentation xml:lang="en">
          Bond to which the swap contract is conditional on. The swap
          contract is only valid if this bond is issued and if there is
          any dispute over the terms of fixed stream then the bond
          terms would be used.
        </xsd:documentation>
      </xsd:annotation>
    </xsd:element>
  </xsd:sequence>
</xsd:complexType>

---

Swaption

Description:

A type to define an option on a swap.

Figure:

Contents:

Inherited element(s): (This definition inherits the content defined by the type Product)

• The base type which all FpML products extend.

buyerPartyReference (exactly one occurrence; of the type Reference)

• A reference to the party that buys this instrument, ie. pays for this instrument and receives the rights defined by it. See 2000 ISDA definitions Article 11.1 (b). In the case of FRAs this the fixed rate payer.

sellerPartyReference (exactly one occurrence; of the type Reference)

• A reference to the party that sells ("writes") this instrument, i.e. that grants the rights defined by this instrument and in return receives a payment for it. See 2000 ISDA definitions Article 11.1 (a). In the case of FRAs this is the floating rate payer.

premium (zero or more occurrences; of the type Payment)

• The option premium amount payable by buyer to seller on the specified payment date.

exercise (exactly one occurrence; of the type Exercise)

• An placeholder for the actual option exercise definitions.

exerciseProcedure (exactly one occurrence; of the type ExerciseProcedure)

• A set of parameters defining procedures associated with the exercise.

calculationAgent (exactly one occurrence; of the type CalculationAgent)

• The ISDA Calculation Agent responsible for performing duties associated with an optional early termination.

cashSettlement (zero or one occurrence; of the type CashSettlement)

• 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.

swaptionStraddle (exactly one occurrence; of the type xsd:boolean)

• Whether the option is a swaption or a swaption straddle.

swaptionAdjustedDates (zero or one occurrence; of the type SwaptionAdjustedDates)

• The adjusted dates associated with swaption exercise. These dates have been adjusted for any applicable business day convention.

swap (exactly one occurrence; of the type Swap)

• A swap product definition.

Used by:

Extension of:

• Product

Schema Fragment:

<xsd:complexType name="Swaption">
  <xsd:annotation>
    <xsd:documentation xml:lang="en">
      A type to define an option on a swap.
    </xsd:documentation>
  </xsd:annotation>
  <xsd:complexContent>
    <xsd:extension base="Product">
      <xsd:sequence>
        <xsd:group ref="BuyerSeller.model"/>
        <xsd:element name="premium" type="Payment" minOccurs="0" maxOccurs="unbounded">
          <xsd:annotation>
            <xsd:documentation xml:lang="en">
              The option premium amount payable by buyer to seller on
              the specified payment date.
            </xsd:documentation>
          </xsd:annotation>
        </xsd:element>
        <xsd:element ref="exercise"/>
        <xsd:element name="exerciseProcedure" type="ExerciseProcedure">
          <xsd:annotation>
            <xsd:documentation xml:lang="en">
              A set of parameters defining procedures associated with
              the exercise.
            </xsd:documentation>
          </xsd:annotation>
        </xsd:element>
        <xsd:element name="calculationAgent" type="CalculationAgent">
          <xsd:annotation>
            <xsd:documentation xml:lang="en">
              The ISDA Calculation Agent responsible for performing
              duties associated with an optional early termination.
            </xsd:documentation>
          </xsd:annotation>
        </xsd:element>
        <xsd:element name="cashSettlement" type="CashSettlement" minOccurs="0">
          <xsd:annotation>
            <xsd:documentation xml:lang="en">
              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.
            </xsd:documentation>
          </xsd:annotation>
        </xsd:element>
        <xsd:element name="swaptionStraddle" type="xsd:boolean">
          <xsd:annotation>
            <xsd:documentation xml:lang="en">
              Whether the option is a swaption or a swaption straddle.
            </xsd:documentation>
          </xsd:annotation>
        </xsd:element>
        <xsd:element name="swaptionAdjustedDates" type="SwaptionAdjustedDates" minOccurs="0">
          <xsd:annotation>
            <xsd:documentation xml:lang="en">
              The adjusted dates associated with swaption exercise.
              These dates have been adjusted for any applicable
              business day convention.
            </xsd:documentation>
          </xsd:annotation>
        </xsd:element>
        <xsd:element ref="swap"/>
      </xsd:sequence>
    </xsd:extension>
  </xsd:complexContent>
</xsd:complexType>

---

SwaptionAdjustedDates

Description:

A type describing the adjusted dates associated with swaption exercise and settlement.

Figure:

Contents:

exerciseEvent (one or more occurrences; of the type ExerciseEvent)

• The adjusted dates associated with an individual swaption exercise date.

Used by:

• Swaption/swaptionAdjustedDates

Schema Fragment:

<xsd:complexType name="SwaptionAdjustedDates">
  <xsd:annotation>
    <xsd:documentation xml:lang="en">
      A type describing the adjusted dates associated with swaption
      exercise and settlement.
    </xsd:documentation>
  </xsd:annotation>
  <xsd:sequence>
    <xsd:element name="exerciseEvent" type="ExerciseEvent" maxOccurs="unbounded">
      <xsd:annotation>
        <xsd:documentation xml:lang="en">
          The adjusted dates associated with an individual swaption
          exercise date.
        </xsd:documentation>
      </xsd:annotation>
    </xsd:element>
  </xsd:sequence>
</xsd:complexType>

---

YieldCurveMethod

Description:

A type defining the parameters required for each of the ISDA defined yield curve methods for cash settlement.

Figure:

Contents:

settlementRateSource (zero or one occurrence; of the type SettlementRateSource)

• The method for obtaining a settlement rate. This may be from some information source (e.g. Reuters) or from a set of reference banks.

quotationRateType (exactly one occurrence; of the type QuotationRateTypeEnum)

• 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)

Used by:

• CashSettlement/parYieldCurveAdjustedMethod
• CashSettlement/parYieldCurveUnadjustedMethod
• CashSettlement/zeroCouponYieldAdjustedMethod

Schema Fragment:

<xsd:complexType name="YieldCurveMethod">
  <xsd:annotation>
    <xsd:documentation xml:lang="en">
      A type defining the parameters required for each of the ISDA
      defined yield curve methods for cash settlement.
    </xsd:documentation>
  </xsd:annotation>
  <xsd:sequence>
    <xsd:sequence>
      <xsd:element name="settlementRateSource" type="SettlementRateSource" minOccurs="0">
        <xsd:annotation>
          <xsd:documentation xml:lang="en">
            The method for obtaining a settlement rate. This may be
            from some information source (e.g. Reuters) or from a set
            of reference banks.
          </xsd:documentation>
        </xsd:annotation>
      </xsd:element>
      <xsd:element name="quotationRateType" type="QuotationRateTypeEnum">
        <xsd:annotation>
          <xsd:documentation xml:lang="en">
            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)
          </xsd:documentation>
        </xsd:annotation>
      </xsd:element>
    </xsd:sequence>
  </xsd:sequence>
</xsd:complexType>

---

Global Simple Types

The schema does not contain any global simple types.

---

Full XML Schema

<xsd:schema targetNamespace="http://www.fpml.org/2005/FpML-4-2" elementFormDefault="qualified" attributeFormDefault="unqualified">
  <xsd:include schemaLocation="fpml-shared-4-2.xsd"/>
  <xsd:include schemaLocation="fpml-asset-4-2.xsd"/>
  <xsd:include schemaLocation="fpml-mktenv-4-2.xsd"/>
  <xsd:include schemaLocation="fpml-return-swaps-4-2.xsd"/>
  <xsd:complexType name="BondReference">
    <xsd:annotation>
      <xsd:documentation xml:lang="en">
        A reference to a bond.
      </xsd:documentation>
    </xsd:annotation>
    <xsd:sequence>
      <xsd:element ref="bond">
        <xsd:annotation>
          <xsd:documentation xml:lang="en">
            Bond to which the swap contract is conditional on. The swap
            contract is only valid if this bond is issued and if there
            is any dispute over the terms of fixed stream then the bond
            terms would be used.
          </xsd:documentation>
        </xsd:annotation>
      </xsd:element>
      <xsd:element name="conditionPrecedentBond" type="xsd:boolean">
        <xsd:annotation>
          <xsd:documentation xml:lang="en">
            To indicate whether the Condition Precedent Bond is
            applicable.
          </xsd:documentation>
        </xsd:annotation>
      </xsd:element>
      <xsd:element name="discrepancyClause" type="xsd:boolean" minOccurs="0">
        <xsd:annotation>
          <xsd:documentation xml:lang="en">
            To indicate whether the Discrepancy Clause is applicable.
          </xsd:documentation>
        </xsd:annotation>
      </xsd:element>
    </xsd:sequence>
  </xsd:complexType>
  <xsd:complexType name="BulletPayment">
    <xsd:annotation>
      <xsd:documentation xml:lang="en">
        A product to represent a single cashflow.
      </xsd:documentation>
    </xsd:annotation>
    <xsd:complexContent>
      <xsd:extension base="Product">
        <xsd:sequence>
          <xsd:element name="payment" type="Payment">
            <xsd:annotation>
              <xsd:documentation xml:lang="en">
                A known payment between two parties.
              </xsd:documentation>
            </xsd:annotation>
          </xsd:element>
        </xsd:sequence>
      </xsd:extension>
    </xsd:complexContent>
  </xsd:complexType>
  <xsd:complexType name="Calculation">
    <xsd:annotation>
      <xsd:documentation xml:lang="en">
        A type definining the parameters used in the calculation of
        fixed or floating calculation period amounts.
      </xsd:documentation>
    </xsd:annotation>
    <xsd:sequence>
      <xsd:choice>
        <xsd:element name="notionalSchedule" type="Notional">
          <xsd:annotation>
            <xsd:documentation xml:lang="en">
              The notional amount or notional amount schedule.
            </xsd:documentation>
          </xsd:annotation>
        </xsd:element>
        <xsd:element name="fxLinkedNotionalSchedule" type="FxLinkedNotionalSchedule">
          <xsd:annotation>
            <xsd:documentation xml:lang="en">
              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.
            </xsd:documentation>
          </xsd:annotation>
        </xsd:element>
      </xsd:choice>
      <xsd:choice>
        <xsd:element name="fixedRateSchedule" type="Schedule">
          <xsd:annotation>
            <xsd:documentation xml:lang="en">
              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.
            </xsd:documentation>
          </xsd:annotation>
        </xsd:element>
        <xsd:element ref="rateCalculation">
          <xsd:annotation>
            <xsd:documentation xml:lang="en">
              This element is the head of a substitution group. It is
              substituted by the floatingRateCalculation element for
              standard Floating Rate legs, or the
              inflationRateCalculation element for inflation swaps.
            </xsd:documentation>
          </xsd:annotation>
        </xsd:element>
      </xsd:choice>
      <xsd:element name="dayCountFraction" type="DayCountFraction">
        <xsd:annotation>
          <xsd:documentation xml:lang="en">
            The day count fraction.
          </xsd:documentation>
        </xsd:annotation>
      </xsd:element>
      <xsd:element name="discounting" type="Discounting" minOccurs="0">
        <xsd:annotation>
          <xsd:documentation xml:lang="en">
            The parameters specifying any discounting conventions that
            may apply. This element must only be included if
            discounting applies.
          </xsd:documentation>
        </xsd:annotation>
      </xsd:element>
      <xsd:element name="compoundingMethod" type="CompoundingMethodEnum" minOccurs="0">
        <xsd:annotation>
          <xsd:documentation xml:lang="en">
            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.
          </xsd:documentation>
        </xsd:annotation>
      </xsd:element>
    </xsd:sequence>
  </xsd:complexType>
  <xsd:complexType name="CalculationPeriod">
    <xsd:annotation>
      <xsd:documentation xml:lang="en">
        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.
      </xsd:documentation>
    </xsd:annotation>
    <xsd:sequence>
      <xsd:element name="unadjustedStartDate" type="xsd:date" minOccurs="0"/>
      <xsd:element name="unadjustedEndDate" type="xsd:date" minOccurs="0"/>
      <xsd:element name="adjustedStartDate" type="xsd:date" minOccurs="0">
        <xsd:annotation>
          <xsd:documentation xml:lang="en">
            The calculation period start date, adjusted according to
            any relevant business day convention.
          </xsd:documentation>
        </xsd:annotation>
      </xsd:element>
      <xsd:element name="adjustedEndDate" type="xsd:date" minOccurs="0">
        <xsd:annotation>
          <xsd:documentation xml:lang="en">
            The calculation period end date, adjusted according to any
            relevant business day convention.
          </xsd:documentation>
        </xsd:annotation>
      </xsd:element>
      <xsd:element name="calculationPeriodNumberOfDays" type="xsd:positiveInteger" minOccurs="0">
        <xsd:annotation>
          <xsd:documentation xml:lang="en">
            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.
          </xsd:documentation>
        </xsd:annotation>
      </xsd:element>
      <xsd:choice>
        <xsd:element name="notionalAmount" type="xsd:decimal">
          <xsd:annotation>
            <xsd:documentation xml:lang="en">
              The amount that a cashflow will accrue interest on.
            </xsd:documentation>
          </xsd:annotation>
        </xsd:element>
        <xsd:element name="fxLinkedNotionalAmount" type="FxLinkedNotionalAmount">
          <xsd:annotation>
            <xsd:documentation xml:lang="en">
              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.
            </xsd:documentation>
          </xsd:annotation>
        </xsd:element>
      </xsd:choice>
      <xsd:choice>
        <xsd:element name="floatingRateDefinition" type="FloatingRateDefinition">
          <xsd:annotation>
            <xsd:documentation xml:lang="en">
              The floating rate reset information for the calculation
              period.
            </xsd:documentation>
          </xsd:annotation>
        </xsd:element>
        <xsd:element name="fixedRate" type="xsd:decimal">
          <xsd:annotation>
            <xsd:documentation xml:lang="en">
              The calculation period fixed rate. A per annum rate,
              expressed as a decimal. A fixed rate of 5% would be
              represented as 0.05.
            </xsd:documentation>
          </xsd:annotation>
        </xsd:element>
      </xsd:choice>
      <xsd:element name="dayCountYearFraction" type="xsd:decimal" minOccurs="0">
        <xsd:annotation>
          <xsd:documentation xml:lang="en">
            The year fraction value of the calculation period, result
            of applying the ISDA rules for day count fraction defined
            in the ISDA Annex.
          </xsd:documentation>
        </xsd:annotation>
      </xsd:element>
      <xsd:element name="forecastAmount" type="Money" minOccurs="0">
        <xsd:annotation>
          <xsd:documentation xml:lang="en">
            The amount representing the forecast of the accrued value
            of the calculation period. An intermediate value used to
            generate the forecastPaymentAmount in the
            PaymentCalculationPeriod.
          </xsd:documentation>
        </xsd:annotation>
      </xsd:element>
      <xsd:element name="forecastRate" type="xsd:decimal" minOccurs="0">
        <xsd:annotation>
          <xsd:documentation xml:lang="en">
            A value representing the forecast rate used to calculate
            the forecast future value of the accrual period. This is a
            calculated rate determined based on averaging the rates in
            the rateObservation elements, and incorporates all of the
            rate treatment and averaging rules. A value of 1% should be
            represented as 0.01
          </xsd:documentation>
        </xsd:annotation>
      </xsd:element>
    </xsd:sequence>
    <xsd:attribute name="id" type="xsd:ID"/>
  </xsd:complexType>
  <xsd:complexType name="CalculationPeriodAmount">
    <xsd:annotation>
      <xsd:documentation xml:lang="en">
        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.
      </xsd:documentation>
    </xsd:annotation>
    <xsd:choice>
      <xsd:element name="calculation" type="Calculation">
        <xsd:annotation>
          <xsd:documentation xml:lang="en">
            The parameters used in the calculation of fixed or floaring
            rate calculation period amounts.
          </xsd:documentation>
        </xsd:annotation>
      </xsd:element>
      <xsd:element name="knownAmountSchedule" type="AmountSchedule">
        <xsd:annotation>
          <xsd:documentation xml:lang="en">
            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.
          </xsd:documentation>
        </xsd:annotation>
      </xsd:element>
    </xsd:choice>
  </xsd:complexType>
  <xsd:complexType name="CalculationPeriodDates">
    <xsd:annotation>
      <xsd:documentation xml:lang="en">
        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.
      </xsd:documentation>
    </xsd:annotation>
    <xsd:sequence>
      <xsd:choice>
        <xsd:element name="effectiveDate" type="AdjustableDate">
          <xsd:annotation>
            <xsd:documentation xml:lang="en">
              The first day of the term of the trade. This day may be
              subject to adjustment in accordance with a business day
              convention.
            </xsd:documentation>
          </xsd:annotation>
        </xsd:element>
        <xsd:element name="relativeEffectiveDate" type="AdjustedRelativeDateOffset">
          <xsd:annotation>
            <xsd:documentation xml:lang="en">
              Defines the effective date.
            </xsd:documentation>
          </xsd:annotation>
        </xsd:element>
      </xsd:choice>
      <xsd:choice>
        <xsd:element name="terminationDate" type="AdjustableDate">
          <xsd:annotation>
            <xsd:documentation xml:lang="en">
              The last day of the term of the trade. This day may be
              subject to adjustment in accordance with a business day
              convention.
            </xsd:documentation>
          </xsd:annotation>
        </xsd:element>
        <xsd:element name="relativeTerminationDate" type="RelativeDateOffset">
          <xsd:annotation>
            <xsd:documentation xml:lang="en">
              The term/maturity of the swap, express as a tenor
              (typically in years).
            </xsd:documentation>
          </xsd:annotation>
        </xsd:element>
      </xsd:choice>
      <xsd:element name="calculationPeriodDatesAdjustments" type="BusinessDayAdjustments">
        <xsd:annotation>
          <xsd:documentation xml:lang="en">
            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.
          </xsd:documentation>
        </xsd:annotation>
      </xsd:element>
      <xsd:element name="firstPeriodStartDate" type="AdjustableDate" minOccurs="0">
        <xsd:annotation>
          <xsd:documentation xml:lang="en">
            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.
          </xsd:documentation>
        </xsd:annotation>
      </xsd:element>
      <xsd:element name="firstRegularPeriodStartDate" type="xsd:date" minOccurs="0">
        <xsd:annotation>
          <xsd:documentation xml:lang="en">
            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.
          </xsd:documentation>
        </xsd:annotation>
      </xsd:element>
      <xsd:element name="lastRegularPeriodEndDate" type="xsd:date" minOccurs="0">
        <xsd:annotation>
          <xsd:documentation xml:lang="en">
            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.
          </xsd:documentation>
        </xsd:annotation>
      </xsd:element>
      <xsd:element name="stubPeriodType" type="StubPeriodTypeEnum" minOccurs="0">
        <xsd:annotation>
          <xsd:documentation xml:lang="en">
            Method to allocate any irregular period remaining after
            regular periods have been allocated between the effective
            and termination date.
          </xsd:documentation>
        </xsd:annotation>
      </xsd:element>
      <xsd:element name="calculationPeriodFrequency" type="CalculationPeriodFrequency">
        <xsd:annotation>
          <xsd:documentation xml:lang="en">
            The frequency at which calculation period end dates occur
            with the regular part of the calculation period schedule
            and their roll date convention.
          </xsd:documentation>
        </xsd:annotation>
      </xsd:element>
    </xsd:sequence>
    <xsd:attribute name="id" type="xsd:ID" use="required"/>
  </xsd:complexType>
  <xsd:complexType name="CancelableProvision">
    <xsd:annotation>
      <xsd:documentation xml:lang="en">
        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.
      </xsd:documentation>
    </xsd:annotation>
    <xsd:sequence>
      <xsd:group ref="BuyerSeller.model"/>
      <xsd:element ref="exercise"/>
      <xsd:element name="exerciseNotice" type="ExerciseNotice" minOccurs="0">
        <xsd:annotation>
          <xsd:documentation xml:lang="en">
            Definition of the party to whom notice of exercise should
            be given.
          </xsd:documentation>
        </xsd:annotation>
      </xsd:element>
      <xsd:element name="followUpConfirmation" type="xsd:boolean">
        <xsd:annotation>
          <xsd:documentation xml:lang="en">
            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.
          </xsd:documentation>
        </xsd:annotation>
      </xsd:element>
      <xsd:element name="cancelableProvisionAdjustedDates" type="CancelableProvisionAdjustedDates" minOccurs="0">
        <xsd:annotation>
          <xsd:documentation xml:lang="en">
            The adjusted dates associated with a cancelable provision.
            These dates have been adjusted for any applicable business
            day convention.
          </xsd:documentation>
        </xsd:annotation>
      </xsd:element>
    </xsd:sequence>
  </xsd:complexType>
  <xsd:complexType name="CancelableProvisionAdjustedDates">
    <xsd:annotation>
      <xsd:documentation xml:lang="en">
        A type to define the adjusted dates for a cancelable provision
        on a swap transaction.
      </xsd:documentation>
    </xsd:annotation>
    <xsd:sequence>
      <xsd:element name="cancellationEvent" type="CancellationEvent" maxOccurs="unbounded">
        <xsd:annotation>
          <xsd:documentation xml:lang="en">
            The adjusted dates for an individual cancellation date.
          </xsd:documentation>
        </xsd:annotation>
      </xsd:element>
    </xsd:sequence>
  </xsd:complexType>
  <xsd:complexType name="CancellationEvent">
    <xsd:annotation>
      <xsd:documentation xml:lang="en">
        The adjusted dates for a specific cancellation date, including
        the adjusted exercise date and adjusted termination date.
      </xsd:documentation>
    </xsd:annotation>
    <xsd:sequence>
      <xsd:element name="adjustedExerciseDate" type="xsd:date">
        <xsd:annotation>
          <xsd:documentation xml:lang="en">
            The date on which option exercise takes place. This date
            should already be adjusted for any applicable business day
            convention.
          </xsd:documentation>
        </xsd:annotation>
      </xsd:element>
      <xsd:element name="adjustedEarlyTerminationDate" type="xsd:date">
        <xsd:annotation>
          <xsd:documentation xml:lang="en">
            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.
          </xsd:documentation>
        </xsd:annotation>
      </xsd:element>
    </xsd:sequence>
    <xsd:attribute name="id" type="xsd:ID"/>
  </xsd:complexType>
  <xsd:complexType name="CapFloor">
    <xsd:annotation>
      <xsd:documentation xml:lang="en">
        A type defining an interest rate cap, floor, or cap/floor
        strategy (e.g. collar) product.
      </xsd:documentation>
    </xsd:annotation>
    <xsd:complexContent>
      <xsd:extension base="Product">
        <xsd:sequence>
          <xsd:element name="capFloorStream" type="InterestRateStream"/>
          <xsd:element name="premium" type="Payment" minOccurs="0" maxOccurs="unbounded">
            <xsd:annotation>
              <xsd:documentation xml:lang="en">
                The option premium amount payable by buyer to seller on
                the specified payment date.
              </xsd:documentation>
            </xsd:annotation>
          </xsd:element>
          <xsd:element name="additionalPayment" type="Payment" minOccurs="0" maxOccurs="unbounded">
            <xsd:annotation>
              <xsd:documentation xml:lang="en">
                Additional payments between the principal parties.
              </xsd:documentation>
            </xsd:annotation>
          </xsd:element>
        </xsd:sequence>
      </xsd:extension>
    </xsd:complexContent>
  </xsd:complexType>
  <xsd:complexType name="Cashflows">
    <xsd:annotation>
      <xsd:documentation xml:lang="en">
        A type defining the cashflow representation of a swap trade.
      </xsd:documentation>
    </xsd:annotation>
    <xsd:sequence>
      <xsd:element name="cashflowsMatchParameters" type="xsd:boolean">
        <xsd:annotation>
          <xsd:documentation xml:lang="en">
            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.
          </xsd:documentation>
        </xsd:annotation>
      </xsd:element>
      <xsd:element name="principalExchange" type="PrincipalExchange" minOccurs="0" maxOccurs="unbounded">
        <xsd:annotation>
          <xsd:documentation xml:lang="en">
            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.
          </xsd:documentation>
        </xsd:annotation>
      </xsd:element>
      <xsd:element name="paymentCalculationPeriod" type="PaymentCalculationPeriod" minOccurs="0" maxOccurs="unbounded">
        <xsd:annotation>
          <xsd:documentation xml:lang="en">
            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.
          </xsd:documentation>
        </xsd:annotation>
      </xsd:element>
    </xsd:sequence>
  </xsd:complexType>
  <xsd:complexType name="CashPriceMethod">
    <xsd:annotation>
      <xsd:documentation xml:lang="en">
        A type defining the parameters necessary for each of the ISDA
        cash price methods for cash settlement.
      </xsd:documentation>
    </xsd:annotation>
    <xsd:sequence>
      <xsd:element name="cashSettlementReferenceBanks" type="CashSettlementReferenceBanks" minOccurs="0">
        <xsd:annotation>
          <xsd:documentation xml:lang="en">
            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.
          </xsd:documentation>
        </xsd:annotation>
      </xsd:element>
      <xsd:element name="cashSettlementCurrency" type="Currency">
        <xsd:annotation>
          <xsd:documentation xml:lang="en">
            The currency in which the cash settlement amount will be
            calculated and settled.
          </xsd:documentation>
        </xsd:annotation>
      </xsd:element>
      <xsd:element name="quotationRateType" type="QuotationRateTypeEnum">
        <xsd:annotation>
          <xsd:documentation xml:lang="en">
            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)
          </xsd:documentation>
        </xsd:annotation>
      </xsd:element>
    </xsd:sequence>
  </xsd:complexType>
  <xsd:complexType name="CashSettlement">
    <xsd:annotation>
      <xsd:documentation xml:lang="en">
        A type to define the cash settlement terms for a product where
        cash settlement is applicable.
      </xsd:documentation>
    </xsd:annotation>
    <xsd:sequence>
      <xsd:element name="cashSettlementValuationTime" type="BusinessCenterTime">
        <xsd:annotation>
          <xsd:documentation xml:lang="en">
            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.
          </xsd:documentation>
        </xsd:annotation>
      </xsd:element>
      <xsd:element name="cashSettlementValuationDate" type="RelativeDateOffset">
        <xsd:annotation>
          <xsd:documentation xml:lang="en">
            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.
          </xsd:documentation>
        </xsd:annotation>
      </xsd:element>
      <xsd:element name="cashSettlementPaymentDate" type="CashSettlementPaymentDate" minOccurs="0">
        <xsd:annotation>
          <xsd:documentation xml:lang="en">
            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.
          </xsd:documentation>
        </xsd:annotation>
      </xsd:element>
      <xsd:choice>
        <xsd:element name="cashPriceMethod" type="CashPriceMethod">
          <xsd:annotation>
            <xsd:documentation xml:lang="en">
              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).
            </xsd:documentation>
          </xsd:annotation>
        </xsd:element>
        <xsd:element name="cashPriceAlternateMethod" type="CashPriceMethod">
          <xsd:annotation>
            <xsd:documentation xml:lang="en">
              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).
            </xsd:documentation>
          </xsd:annotation>
        </xsd:element>
        <xsd:element name="parYieldCurveAdjustedMethod" type="YieldCurveMethod">
          <xsd:annotation>
            <xsd:documentation xml:lang="en">
              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).
            </xsd:documentation>
          </xsd:annotation>
        </xsd:element>
        <xsd:element name="zeroCouponYieldAdjustedMethod" type="YieldCurveMethod">
          <xsd:annotation>
            <xsd:documentation xml:lang="en">
              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).
            </xsd:documentation>
          </xsd:annotation>
        </xsd:element>
        <xsd:element name="parYieldCurveUnadjustedMethod" type="YieldCurveMethod">
          <xsd:annotation>
            <xsd:documentation xml:lang="en">
              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).
            </xsd:documentation>
          </xsd:annotation>
        </xsd:element>
      </xsd:choice>
    </xsd:sequence>
    <xsd:attribute name="id" type="xsd:ID"/>
  </xsd:complexType>
  <xsd:complexType name="CashSettlementPaymentDate">
    <xsd:annotation>
      <xsd:documentation xml:lang="en">
        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.
      </xsd:documentation>
    </xsd:annotation>
    <xsd:choice>
      <xsd:element name="adjustableDates" type="AdjustableDates">
        <xsd:annotation>
          <xsd:documentation xml:lang="en">
            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.
          </xsd:documentation>
        </xsd:annotation>
      </xsd:element>
      <xsd:element name="relativeDate" type="RelativeDateOffset">
        <xsd:annotation>
          <xsd:documentation xml:lang="en">
            A date specified as some offset to another date (the anchor
            date).
          </xsd:documentation>
        </xsd:annotation>
      </xsd:element>
      <xsd:element name="businessDateRange" type="BusinessDateRange">
        <xsd:annotation>
          <xsd:documentation xml:lang="en">
            A range of contiguous business days.
          </xsd:documentation>
        </xsd:annotation>
      </xsd:element>
    </xsd:choice>
    <xsd:attribute name="id" type="xsd:ID"/>
  </xsd:complexType>
  <xsd:complexType name="CashSettlementReferenceBanks">
    <xsd:annotation>
      <xsd:documentation xml:lang="en">
        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.
      </xsd:documentation>
    </xsd:annotation>
    <xsd:sequence>
      <xsd:element name="referenceBank" type="ReferenceBank" maxOccurs="unbounded">
        <xsd:annotation>
          <xsd:documentation xml:lang="en">
            An institution (party) identified by means of a coding
            scheme and an optional name.
          </xsd:documentation>
        </xsd:annotation>
      </xsd:element>
    </xsd:sequence>
    <xsd:attribute name="id" type="xsd:ID"/>
  </xsd:complexType>
  <xsd:complexType name="DateRelativeToPaymentDates">
    <xsd:annotation>
      <xsd:documentation xml:lang="en">
        A type to provide the ability to point to multiple payment
        nodes in the document through the unbounded
        paymentDatesReference.
      </xsd:documentation>
    </xsd:annotation>
    <xsd:sequence>
      <xsd:element name="paymentDatesReference" type="Reference" maxOccurs="unbounded">
        <xsd:annotation>
          <xsd:documentation xml:lang="en">
            A set of href pointers to payment dates defined somewhere
            else in the document.
          </xsd:documentation>
        </xsd:annotation>
      </xsd:element>
    </xsd:sequence>
  </xsd:complexType>
  <xsd:complexType name="Discounting">
    <xsd:annotation>
      <xsd:documentation xml:lang="en">
        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.
      </xsd:documentation>
    </xsd:annotation>
    <xsd:sequence>
      <xsd:element name="discountingType" type="DiscountingTypeEnum">
        <xsd:annotation>
          <xsd:documentation xml:lang="en">
            The discounting method that is applicable.
          </xsd:documentation>
        </xsd:annotation>
      </xsd:element>
      <xsd:element name="discountRate" type="xsd:decimal" minOccurs="0">
        <xsd:annotation>
          <xsd:documentation xml:lang="en">
            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.
          </xsd:documentation>
        </xsd:annotation>
      </xsd:element>
      <xsd:element name="discountRateDayCountFraction" type="DayCountFraction" minOccurs="0">
        <xsd:annotation>
          <xsd:documentation xml:lang="en">
            A discount day count fraction to be used in the calculation
            of a discounted amount.
          </xsd:documentation>
        </xsd:annotation>
      </xsd:element>
    </xsd:sequence>
  </xsd:complexType>
  <xsd:complexType name="EarlyTerminationEvent">
    <xsd:annotation>
      <xsd:documentation xml:lang="en">
        A type to define the adjusted dates associated with an early
        termination provision.
      </xsd:documentation>
    </xsd:annotation>
    <xsd:sequence>
      <xsd:element name="adjustedExerciseDate" type="xsd:date">
        <xsd:annotation>
          <xsd:documentation xml:lang="en">
            The date on which option exercise takes place. This date
            should already be adjusted for any applicable business day
            convention.
          </xsd:documentation>
        </xsd:annotation>
      </xsd:element>
      <xsd:element name="adjustedEarlyTerminationDate" type="xsd:date">
        <xsd:annotation>
          <xsd:documentation xml:lang="en">
            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.
          </xsd:documentation>
        </xsd:annotation>
      </xsd:element>
      <xsd:element name="adjustedCashSettlementValuationDate" type="xsd:date">
        <xsd:annotation>
          <xsd:documentation xml:lang="en">
            The date by which the cash settlement amount must be
            agreed. This date should already be adjusted for any
            applicable business day convention.
          </xsd:documentation>
        </xsd:annotation>
      </xsd:element>
      <xsd:element name="adjustedCashSettlementPaymentDate" type="xsd:date">
        <xsd:annotation>
          <xsd:documentation xml:lang="en">
            The date on which the cash settlement amount is paid. This
            date should already be adjusted for any applicable business
            dat convention.
          </xsd:documentation>
        </xsd:annotation>
      </xsd:element>
      <xsd:element name="adjustedExerciseFeePaymentDate" type="xsd:date" minOccurs="0">
        <xsd:annotation>
          <xsd:documentation xml:lang="en">
            The date on which the exercise fee amount is paid. This
            date should already be adjusted for any applicable business
            day convention.
          </xsd:documentation>
        </xsd:annotation>
      </xsd:element>
    </xsd:sequence>
    <xsd:attribute name="id" type="xsd:ID"/>
  </xsd:complexType>
  <xsd:complexType name="EarlyTerminationProvision">
    <xsd:annotation>
      <xsd:documentation xml:lang="en">
        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.
      </xsd:documentation>
    </xsd:annotation>
    <xsd:choice>
      <xsd:choice>
        <xsd:element name="mandatoryEarlyTermination" type="MandatoryEarlyTermination">
          <xsd:annotation>
            <xsd:documentation xml:lang="en">
              A mandatory early termination provision to terminate the
              swap at fair value.
            </xsd:documentation>
          </xsd:annotation>
        </xsd:element>
        <xsd:sequence>
          <xsd:element name="mandatoryEarlyTerminationDateTenor" type="Interval">
            <xsd:annotation>
              <xsd:documentation xml:lang="en">
                Period after trade date of the mandatory early
                termination date.
              </xsd:documentation>
            </xsd:annotation>
          </xsd:element>
          <xsd:element name="mandatoryEarlyTermination" type="MandatoryEarlyTermination" minOccurs="0">
            <xsd:annotation>
              <xsd:documentation xml:lang="en">
                A mandatory early termination provision to terminate
                the swap at fair value.
              </xsd:documentation>
            </xsd:annotation>
          </xsd:element>
        </xsd:sequence>
      </xsd:choice>
      <xsd:choice>
        <xsd:element name="optionalEarlyTermination" type="OptionalEarlyTermination">
          <xsd:annotation>
            <xsd:documentation xml:lang="en">
              An option for either or both parties to terminate the
              swap at fair value.
            </xsd:documentation>
          </xsd:annotation>
        </xsd:element>
        <xsd:sequence>
          <xsd:element name="optionalEarlyTerminationParameters" type="ExercisePeriod">
            <xsd:annotation>
              <xsd:documentation xml:lang="en">
                Definition of the first early termination date and the
                frequency of the termination dates subsequent to that.
                American exercise is defined by having a frequency of
                one day.
              </xsd:documentation>
            </xsd:annotation>
          </xsd:element>
          <xsd:element name="optionalEarlyTermination" type="OptionalEarlyTermination" minOccurs="0">
            <xsd:annotation>
              <xsd:documentation xml:lang="en">
                An option for either or both parties to terminate the
                swap at fair value.
              </xsd:documentation>
            </xsd:annotation>
          </xsd:element>
        </xsd:sequence>
      </xsd:choice>
    </xsd:choice>
    <xsd:attribute name="id" type="xsd:ID"/>
  </xsd:complexType>
  <xsd:complexType name="ExerciseEvent">
    <xsd:annotation>
      <xsd:documentation xml:lang="en">
        A type defining the adjusted dates associated with a particular
        exercise event.
      </xsd:documentation>
    </xsd:annotation>
    <xsd:sequence>
      <xsd:element name="adjustedExerciseDate" type="xsd:date">
        <xsd:annotation>
          <xsd:documentation xml:lang="en">
            The date on which option exercise takes place. This date
            should already be adjusted for any applicable business day
            convention.
          </xsd:documentation>
        </xsd:annotation>
      </xsd:element>
      <xsd:element name="adjustedRelevantSwapEffectiveDate" type="xsd:date">
        <xsd:annotation>
          <xsd:documentation xml:lang="en">
            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.
          </xsd:documentation>
        </xsd:annotation>
      </xsd:element>
      <xsd:element name="adjustedCashSettlementValuationDate" type="xsd:date" minOccurs="0">
        <xsd:annotation>
          <xsd:documentation xml:lang="en">
            The date by which the cash settlement amount must be
            agreed. This date should already be adjusted for any
            applicable business day convention.
          </xsd:documentation>
        </xsd:annotation>
      </xsd:element>
      <xsd:element name="adjustedCashSettlementPaymentDate" type="xsd:date" minOccurs="0">
        <xsd:annotation>
          <xsd:documentation xml:lang="en">
            The date on which the cash settlement amount is paid. This
            date should already be adjusted for any applicable business
            dat convention.
          </xsd:documentation>
        </xsd:annotation>
      </xsd:element>
      <xsd:element name="adjustedExerciseFeePaymentDate" type="xsd:date" minOccurs="0">
        <xsd:annotation>
          <xsd:documentation xml:lang="en">
            The date on which the exercise fee amount is paid. This
            date should already be adjusted for any applicable business
            day convention.
          </xsd:documentation>
        </xsd:annotation>
      </xsd:element>
    </xsd:sequence>
    <xsd:attribute name="id" type="xsd:ID"/>
  </xsd:complexType>
  <xsd:complexType name="ExercisePeriod">
    <xsd:annotation>
      <xsd:documentation xml:lang="en">
        This defines the time interval to the start of the exercise
        period, i.e. the earliest exercise date, and the frequency of
        subsequent exercise dates (if any).
      </xsd:documentation>
    </xsd:annotation>
    <xsd:sequence>
      <xsd:element name="earliestExerciseDateTenor" type="Interval">
        <xsd:annotation>
          <xsd:documentation xml:lang="en">
            The time interval to the first (and possibly only) exercise
            date in the exercise period.
          </xsd:documentation>
        </xsd:annotation>
      </xsd:element>
      <xsd:element name="exerciseFrequency" type="Interval" minOccurs="0">
        <xsd:annotation>
          <xsd:documentation xml:lang="en">
            The frequency of subsequent exercise dates in the exercise
            period following the earliest exercise date. An interval of
            1 day should be used to indicate an American style exercise
            period.
          </xsd:documentation>
        </xsd:annotation>
      </xsd:element>
    </xsd:sequence>
    <xsd:attribute name="id" type="xsd:ID"/>
  </xsd:complexType>
  <xsd:complexType name="ExtendibleProvision">
    <xsd:annotation>
      <xsd:documentation xml:lang="en">
        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.
      </xsd:documentation>
    </xsd:annotation>
    <xsd:sequence>
      <xsd:group ref="BuyerSeller.model"/>
      <xsd:element ref="exercise"/>
      <xsd:element name="exerciseNotice" type="ExerciseNotice" minOccurs="0">
        <xsd:annotation>
          <xsd:documentation xml:lang="en">
            Definition of the party to whom notice of exercise should
            be given.
          </xsd:documentation>
        </xsd:annotation>
      </xsd:element>
      <xsd:element name="followUpConfirmation" type="xsd:boolean">
        <xsd:annotation>
          <xsd:documentation xml:lang="en">
            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.
          </xsd:documentation>
        </xsd:annotation>
      </xsd:element>
      <xsd:element name="extendibleProvisionAdjustedDates" type="ExtendibleProvisionAdjustedDates" minOccurs="0">
        <xsd:annotation>
          <xsd:documentation xml:lang="en">
            The adjusted dates associated with an extendible provision.
            These dates have been adjusted for any applicable business
            day convention.
          </xsd:documentation>
        </xsd:annotation>
      </xsd:element>
    </xsd:sequence>
  </xsd:complexType>
  <xsd:complexType name="ExtendibleProvisionAdjustedDates">
    <xsd:annotation>
      <xsd:documentation xml:lang="en">
        A type defining the adjusted dates associated with a provision
        to extend a swap.
      </xsd:documentation>
    </xsd:annotation>
    <xsd:sequence>
      <xsd:element name="extensionEvent" type="ExtensionEvent" maxOccurs="unbounded">
        <xsd:annotation>
          <xsd:documentation xml:lang="en">
            The adjusted dates associated with a single extendible
            exercise date.
          </xsd:documentation>
        </xsd:annotation>
      </xsd:element>
    </xsd:sequence>
  </xsd:complexType>
  <xsd:complexType name="ExtensionEvent">
    <xsd:annotation>
      <xsd:documentation xml:lang="en">
        A type to define the adjusted dates associated with an
        individual extension event.
      </xsd:documentation>
    </xsd:annotation>
    <xsd:sequence>
      <xsd:element name="adjustedExerciseDate" type="xsd:date">
        <xsd:annotation>
          <xsd:documentation xml:lang="en">
            The date on which option exercise takes place. This date
            should already be adjusted for any applicable business day
            convention.
          </xsd:documentation>
        </xsd:annotation>
      </xsd:element>
      <xsd:element name="adjustedExtendedTerminationDate" type="xsd:date">
        <xsd:annotation>
          <xsd:documentation xml:lang="en">
            The termination date if an extendible provision is
            exercised. This date should already be adjusted for any
            applicable business day convention.
          </xsd:documentation>
        </xsd:annotation>
      </xsd:element>
    </xsd:sequence>
    <xsd:attribute name="id" type="xsd:ID"/>
  </xsd:complexType>
  <xsd:complexType name="FloatingRateDefinition">
    <xsd:annotation>
      <xsd:documentation xml:lang="en">
        A type defining parameters associated with a floating rate
        reset. This type forms part of the cashflows representation of
        a stream.
      </xsd:documentation>
    </xsd:annotation>
    <xsd:sequence>
      <xsd:element name="calculatedRate" type="xsd:decimal" minOccurs="0">
        <xsd:annotation>
          <xsd:documentation xml:lang="en">
            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.
          </xsd:documentation>
        </xsd:annotation>
      </xsd:element>
      <xsd:element name="rateObservation" type="RateObservation" minOccurs="0" maxOccurs="unbounded">
        <xsd:annotation>
          <xsd:documentation xml:lang="en">
            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.
          </xsd:documentation>
        </xsd:annotation>
      </xsd:element>
      <xsd:element name="floatingRateMultiplier" type="xsd:decimal" minOccurs="0">
        <xsd:annotation>
          <xsd:documentation xml:lang="en">
            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).
          </xsd:documentation>
        </xsd:annotation>
      </xsd:element>
      <xsd:element name="spread" type="xsd:decimal" minOccurs="0">
        <xsd:annotation>
          <xsd:documentation xml:lang="en">
            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.
          </xsd:documentation>
        </xsd:annotation>
      </xsd:element>
      <xsd:element name="capRate" type="Strike" minOccurs="0" maxOccurs="unbounded">
        <xsd:annotation>
          <xsd:documentation xml:lang="en">
            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.
          </xsd:documentation>
        </xsd:annotation>
      </xsd:element>
      <xsd:element name="floorRate" type="Strike" minOccurs="0" maxOccurs="unbounded">
        <xsd:annotation>
          <xsd:documentation xml:lang="en">
            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.
          </xsd:documentation>
        </xsd:annotation>
      </xsd:element>
    </xsd:sequence>
  </xsd:complexType>
  <xsd:complexType name="Fra">
    <xsd:annotation>
      <xsd:documentation xml:lang="en">
        A type defining a Forward Rate Agreement (FRA) product.
      </xsd:documentation>
    </xsd:annotation>
    <xsd:complexContent>
      <xsd:extension base="Product">
        <xsd:sequence>
          <xsd:group ref="BuyerSeller.model"/>
          <xsd:element name="adjustedEffectiveDate" type="RequiredIdentifierDate">
            <xsd:annotation>
              <xsd:documentation xml:lang="en">
                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.
              </xsd:documentation>
            </xsd:annotation>
          </xsd:element>
          <xsd:element name="adjustedTerminationDate" type="xsd:date">
            <xsd:annotation>
              <xsd:documentation xml:lang="en">
                The end date of the calculation period. This date
                should already be adjusted for any applicable business
                day convention.
              </xsd:documentation>
            </xsd:annotation>
          </xsd:element>
          <xsd:element name="paymentDate" type="AdjustableDate">
            <xsd:annotation>
              <xsd:documentation xml:lang="en">
                The payment date. This date is subject to adjustment in
                accordance with any applicable business day convention.
              </xsd:documentation>
            </xsd:annotation>
          </xsd:element>
          <xsd:element name="fixingDateOffset" type="RelativeDateOffset">
            <xsd:annotation>
              <xsd:documentation xml:lang="en">
                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.
              </xsd:documentation>
            </xsd:annotation>
          </xsd:element>
          <xsd:element name="dayCountFraction" type="DayCountFraction">
            <xsd:annotation>
              <xsd:documentation xml:lang="en">
                The day count fraction.
              </xsd:documentation>
            </xsd:annotation>
          </xsd:element>
          <xsd:element name="calculationPeriodNumberOfDays" type="xsd:positiveInteger">
            <xsd:annotation>
              <xsd:documentation xml:lang="en">
                The number of days from the adjusted effective date to
                the adjusted termination date calculated in accordance
                with the applicable day count fraction.
              </xsd:documentation>
            </xsd:annotation>
          </xsd:element>
          <xsd:element name="notional" type="Money">
            <xsd:annotation>
              <xsd:documentation xml:lang="en">
                The notional amount.
              </xsd:documentation>
            </xsd:annotation>
          </xsd:element>
          <xsd:element name="fixedRate" type="xsd:decimal">
            <xsd:annotation>
              <xsd:documentation xml:lang="en">
                The calculation period fixed rate. A per annum rate,
                expressed as a decimal. A fixed rate of 5% would be
                represented as 0.05.
              </xsd:documentation>
            </xsd:annotation>
          </xsd:element>
          <xsd:element name="floatingRateIndex" type="FloatingRateIndex"/>
          <xsd:element name="indexTenor" type="Interval" minOccurs="0">
            <xsd:annotation>
              <xsd:documentation xml:lang="en">
                The ISDA Designated Maturity, i.e. the tenor of the
                floating rate.
              </xsd:documentation>
            </xsd:annotation>
          </xsd:element>
          <xsd:element name="fraDiscounting" type="FraDiscountingEnum">
            <xsd:annotation>
              <xsd:documentation xml:lang="en">
                Specifies whether discounting applies and, if so, what
                type.
              </xsd:documentation>
            </xsd:annotation>
          </xsd:element>
        </xsd:sequence>
      </xsd:extension>
    </xsd:complexContent>
  </xsd:complexType>
  <xsd:complexType name="FxFixingDate">
    <xsd:annotation>
      <xsd:documentation xml:lang="en">
        A type that is extending the Offset structure for providing the
        ability to specify an FX fixing date as an offset to dates
        specified somewhere else in the document.
      </xsd:documentation>
    </xsd:annotation>
    <xsd:complexContent>
      <xsd:extension base="Offset">
        <xsd:sequence>
          <xsd:element name="businessDayConvention" type="BusinessDayConventionEnum">
            <xsd:annotation>
              <xsd:documentation xml:lang="en">
                The convention for adjusting a date if it would
                otherwise fall on a day that is not a business day.
              </xsd:documentation>
            </xsd:annotation>
          </xsd:element>
          <xsd:group ref="BusinessCentersOrReference.model" minOccurs="0"/>
          <xsd:element name="dateRelativeToPaymentDates" type="DateRelativeToPaymentDates">
            <xsd:annotation>
              <xsd:documentation xml:lang="en">
                The payment date references on which settlements in
                non-deliverable currency are due and will then have to
                be converted according to the terms specified through
                the other parts of the nonDeliverableSettlement
                structure.
              </xsd:documentation>
            </xsd:annotation>
          </xsd:element>
        </xsd:sequence>
      </xsd:extension>
    </xsd:complexContent>
  </xsd:complexType>
  <xsd:complexType name="FxLinkedNotionalAmount">
    <xsd:annotation>
      <xsd:documentation xml:lang="en">
        A type to describe the cashflow representation for fx linked
        notionals.
      </xsd:documentation>
    </xsd:annotation>
    <xsd:sequence>
      <xsd:element name="resetDate" type="xsd:date" minOccurs="0"/>
      <xsd:element name="adjustedFxSpotFixingDate" type="xsd:date" minOccurs="0">
        <xsd:annotation>
          <xsd:documentation xml:lang="en">
            The date on which the fx spot rate is observed. This date
            should already be adjusted for any applicable business day
            convention.
          </xsd:documentation>
        </xsd:annotation>
      </xsd:element>
      <xsd:element name="observedFxSpotRate" type="xsd:decimal" minOccurs="0">
        <xsd:annotation>
          <xsd:documentation xml:lang="en">
            The actual observed fx spot rate.
          </xsd:documentation>
        </xsd:annotation>
      </xsd:element>
      <xsd:element name="notionalAmount" type="xsd:decimal" minOccurs="0">
        <xsd:annotation>
          <xsd:documentation xml:lang="en">
            The calculation period notional amount.
          </xsd:documentation>
        </xsd:annotation>
      </xsd:element>
    </xsd:sequence>
  </xsd:complexType>
  <xsd:complexType name="FxLinkedNotionalSchedule">
    <xsd:annotation>
      <xsd:documentation xml:lang="en">
        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.
      </xsd:documentation>
    </xsd:annotation>
    <xsd:sequence>
      <xsd:element name="constantNotionalScheduleReference" type="Reference">
        <xsd:annotation>
          <xsd:documentation xml:lang="en">
            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.
          </xsd:documentation>
        </xsd:annotation>
      </xsd:element>
      <xsd:element name="initialValue" type="xsd:decimal" minOccurs="0">
        <xsd:annotation>
          <xsd:documentation xml:lang="en">
            The initial currency amount for the varying notional.
          </xsd:documentation>
        </xsd:annotation>
      </xsd:element>
      <xsd:element name="varyingNotionalCurrency" type="xsd:string">
        <xsd:annotation>
          <xsd:documentation xml:lang="en">
            The currency of the varying notional amount, i.e. the
            notional amount being determined periodically based on
            observation of a spot currency exchange rate.
          </xsd:documentation>
        </xsd:annotation>
      </xsd:element>
      <xsd:element name="varyingNotionalFixingDates" type="RelativeDateOffset">
        <xsd:annotation>
          <xsd:documentation xml:lang="en">
            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.
          </xsd:documentation>
        </xsd:annotation>
      </xsd:element>
      <xsd:element name="fxSpotRateSource" type="FxSpotRateSource">
        <xsd:annotation>
          <xsd:documentation xml:lang="en">
            The information source and time at which the spot currency
            exchange rate will be observed.
          </xsd:documentation>
        </xsd:annotation>
      </xsd:element>
      <xsd:element name="varyingNotionalInterimExchangePaymentDates" type="RelativeDateOffset">
        <xsd:annotation>
          <xsd:documentation xml:lang="en">
            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).
          </xsd:documentation>
        </xsd:annotation>
      </xsd:element>
    </xsd:sequence>
  </xsd:complexType>
  <xsd:complexType name="InflationRateCalculation">
    <xsd:annotation>
      <xsd:documentation xml:lang="en">
        A type defining the components specifiying an Inflation Rate
        Calculation
      </xsd:documentation>
    </xsd:annotation>
    <xsd:complexContent>
      <xsd:extension base="FloatingRateCalculation">
        <xsd:sequence>
          <xsd:element name="inflationLag" type="Offset">
            <xsd:annotation>
              <xsd:documentation xml:lang="en">
                an offsetting period from the payment date which
                determines the reference period for which the inflation
                index is onserved.
              </xsd:documentation>
            </xsd:annotation>
          </xsd:element>
          <xsd:element name="indexSource" type="RateSourcePage">
            <xsd:annotation>
              <xsd:documentation xml:lang="en">
                The reference source such as Reuters or Bloomberg.
              </xsd:documentation>
            </xsd:annotation>
          </xsd:element>
          <xsd:element name="mainPublication" type="MainPublication" minOccurs="0">
            <xsd:annotation>
              <xsd:documentation xml:lang="en">
                The current main publication source such as relevant
                web site or a government body.
              </xsd:documentation>
            </xsd:annotation>
          </xsd:element>
          <xsd:element name="interpolationMethod" type="InterpolationMethod">
            <xsd:annotation>
              <xsd:documentation xml:lang="en">
                The method used when calculating the Inflation Index
                Level from multiple points - the most common is Linear.
              </xsd:documentation>
            </xsd:annotation>
          </xsd:element>
          <xsd:element name="initialIndexLevel" type="xsd:decimal" minOccurs="0">
            <xsd:annotation>
              <xsd:documentation xml:lang="en">
                initial known index level for the first calculation
                period.
              </xsd:documentation>
            </xsd:annotation>
          </xsd:element>
        </xsd:sequence>
      </xsd:extension>
    </xsd:complexContent>
  </xsd:complexType>
  <xsd:complexType name="InterestRateStream">
    <xsd:annotation>
      <xsd:documentation xml:lang="en">
        A type defining the components specifiying an interest rate
        stream, including both a parametric and cashflow representation
        for the stream of payments.
      </xsd:documentation>
    </xsd:annotation>
    <xsd:sequence>
      <xsd:group ref="PayerReceiver.model"/>
      <xsd:element name="calculationPeriodDates" type="CalculationPeriodDates">
        <xsd:annotation>
          <xsd:documentation xml:lang="en">
            The calculation periods dates schedule.
          </xsd:documentation>
        </xsd:annotation>
      </xsd:element>
      <xsd:element name="paymentDates" type="PaymentDates">
        <xsd:annotation>
          <xsd:documentation xml:lang="en">
            The payment dates schedule.
          </xsd:documentation>
        </xsd:annotation>
      </xsd:element>
      <xsd:element name="resetDates" type="ResetDates" minOccurs="0">
        <xsd:annotation>
          <xsd:documentation xml:lang="en">
            The reset dates schedule. The reset dates schedule only
            applies for a floating rate stream.
          </xsd:documentation>
        </xsd:annotation>
      </xsd:element>
      <xsd:element name="calculationPeriodAmount" type="CalculationPeriodAmount">
        <xsd:annotation>
          <xsd:documentation xml:lang="en">
            The calculation period amount parameters.
          </xsd:documentation>
        </xsd:annotation>
      </xsd:element>
      <xsd:element name="stubCalculationPeriodAmount" type="StubCalculationPeriodAmount" minOccurs="0">
        <xsd:annotation>
          <xsd:documentation xml:lang="en">
            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.
          </xsd:documentation>
        </xsd:annotation>
      </xsd:element>
      <xsd:element name="principalExchanges" type="PrincipalExchanges" minOccurs="0">
        <xsd:annotation>
          <xsd:documentation xml:lang="en">
            The true/false flags indicating whether initial,
            intermediate or final exchanges of principal should occur.
          </xsd:documentation>
        </xsd:annotation>
      </xsd:element>
      <xsd:element name="cashflows" type="Cashflows" minOccurs="0">
        <xsd:annotation>
          <xsd:documentation xml:lang="en">
            The cashflows representation of the swap stream.
          </xsd:documentation>
        </xsd:annotation>
      </xsd:element>
      <xsd:element name="settlementProvision" type="SettlementProvision" minOccurs="0">
        <xsd:annotation>
          <xsd:documentation xml:lang="en">
            A provision that allows the specification of settlement
            terms, occuring when the settlement currency is different
            to the notional currency of the trade.
          </xsd:documentation>
        </xsd:annotation>
      </xsd:element>
      <xsd:element name="formula" type="Math" minOccurs="0">
        <xsd:annotation>
          <xsd:documentation xml:lang="en">
            An interest rate derivative formula.
          </xsd:documentation>
        </xsd:annotation>
      </xsd:element>
    </xsd:sequence>
    <xsd:attribute name="id" type="xsd:ID"/>
  </xsd:complexType>
  <xsd:complexType name="MainPublication">
    <xsd:annotation>
      <xsd:documentation xml:lang="en">
        A type to define the main publication source.
      </xsd:documentation>
    </xsd:annotation>
    <xsd:simpleContent>
      <xsd:extension base="xsd:normalizedString">
        <xsd:attribute name="mainPublicationScheme" type="xsd:anyURI" default="http://www.fpml.org/coding-scheme/inflation-main-publication-1-0"/>
      </xsd:extension>
    </xsd:simpleContent>
  </xsd:complexType>
  <xsd:complexType name="MandatoryEarlyTermination">
    <xsd:annotation>
      <xsd:documentation xml:lang="en">
        A type to define an early termination provision for which
        exercise is mandatory.
      </xsd:documentation>
    </xsd:annotation>
    <xsd:sequence>
      <xsd:element name="mandatoryEarlyTerminationDate" type="AdjustableDate">
        <xsd:annotation>
          <xsd:documentation xml:lang="en">
            The early termination date associated with a mandatory
            early termination of a swap.
          </xsd:documentation>
        </xsd:annotation>
      </xsd:element>
      <xsd:element name="calculationAgent" type="CalculationAgent">
        <xsd:annotation>
          <xsd:documentation xml:lang="en">
            The ISDA Calculation Agent responsible for performing
            duties associated with an optional early termination.
          </xsd:documentation>
        </xsd:annotation>
      </xsd:element>
      <xsd:element name="cashSettlement" type="CashSettlement">
        <xsd:annotation>
          <xsd:documentation xml:lang="en">
            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.
          </xsd:documentation>
        </xsd:annotation>
      </xsd:element>
      <xsd:element name="mandatoryEarlyTerminationAdjustedDates" type="MandatoryEarlyTerminationAdjustedDates" minOccurs="0">
        <xsd:annotation>
          <xsd:documentation xml:lang="en">
            The adjusted dates associated with a mandatory early
            termination provision. These dates have been adjusted for
            any applicable business day convention.
          </xsd:documentation>
        </xsd:annotation>
      </xsd:element>
    </xsd:sequence>
    <xsd:attribute name="id" type="xsd:ID"/>
  </xsd:complexType>
  <xsd:complexType name="MandatoryEarlyTerminationAdjustedDates">
    <xsd:annotation>
      <xsd:documentation xml:lang="en">
        A type defining the adjusted dates associated with a mandatory
        early termination provision.
      </xsd:documentation>
    </xsd:annotation>
    <xsd:sequence>
      <xsd:element name="adjustedEarlyTerminationDate" type="xsd:date">
        <xsd:annotation>
          <xsd:documentation xml:lang="en">
            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.
          </xsd:documentation>
        </xsd:annotation>
      </xsd:element>
      <xsd:element name="adjustedCashSettlementValuationDate" type="xsd:date">
        <xsd:annotation>
          <xsd:documentation xml:lang="en">
            The date by which the cash settlement amount must be
            agreed. This date should already be adjusted for any
            applicable business day convention.
          </xsd:documentation>
        </xsd:annotation>
      </xsd:element>
      <xsd:element name="adjustedCashSettlementPaymentDate" type="xsd:date">
        <xsd:annotation>
          <xsd:documentation xml:lang="en">
            The date on which the cash settlement amount is paid. This
            date should already be adjusted for any applicable business
            dat convention.
          </xsd:documentation>
        </xsd:annotation>
      </xsd:element>
    </xsd:sequence>
  </xsd:complexType>
  <xsd:complexType name="NonDeliverableSettlement">
    <xsd:annotation>
      <xsd:documentation xml:lang="en">
        A type defining the parameters used when the reference currency
        of the swapStream is non-deliverable.
      </xsd:documentation>
    </xsd:annotation>
    <xsd:sequence>
      <xsd:element name="referenceCurrency" type="Currency">
        <xsd:annotation>
          <xsd:documentation xml:lang="en">
            The currency in which the swap stream is denominated in.
          </xsd:documentation>
        </xsd:annotation>
      </xsd:element>
      <xsd:element name="fxFixingDate" type="FxFixingDate">
        <xsd:annotation>
          <xsd:documentation xml:lang="en">
            The fixing date(s) on which the currency rate will be
            determined for the purpose of specifying the amount in
            deliverable currency.
          </xsd:documentation>
        </xsd:annotation>
      </xsd:element>
      <xsd:element name="settlementRateOption" type="SettlementRateOption">
        <xsd:annotation>
          <xsd:documentation xml:lang="en">
            The rate source for the conversion to the settlement
            currency. This source is specified through a scheme that
            reflects the terms of the Annex A to the 1998 FX and
            Currency Option Definitions.
          </xsd:documentation>
        </xsd:annotation>
      </xsd:element>
    </xsd:sequence>
  </xsd:complexType>
  <xsd:complexType name="Notional">
    <xsd:annotation>
      <xsd:documentation xml:lang="en">
        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.
      </xsd:documentation>
    </xsd:annotation>
    <xsd:sequence>
      <xsd:element name="notionalStepSchedule" type="AmountSchedule">
        <xsd:annotation>
          <xsd:documentation xml:lang="en">
            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.
          </xsd:documentation>
        </xsd:annotation>
      </xsd:element>
      <xsd:element name="notionalStepParameters" type="NotionalStepRule" minOccurs="0">
        <xsd:annotation>
          <xsd:documentation xml:lang="en">
            A parametric representation of the notional step schedule,
            i.e. parameters used to generate the notional schedule.
          </xsd:documentation>
        </xsd:annotation>
      </xsd:element>
    </xsd:sequence>
    <xsd:attribute name="id" type="xsd:ID"/>
  </xsd:complexType>
  <xsd:complexType name="NotionalStepRule">
    <xsd:annotation>
      <xsd:documentation xml:lang="en">
        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.
      </xsd:documentation>
    </xsd:annotation>
    <xsd:sequence>
      <xsd:element name="calculationPeriodDatesReference" type="Reference">
        <xsd:annotation>
          <xsd:documentation xml:lang="en">
            A pointer style reference to the associated calculation
            period dates component defined elsewhere in the document.
          </xsd:documentation>
        </xsd:annotation>
      </xsd:element>
      <xsd:element name="stepFrequency" type="Interval">
        <xsd:annotation>
          <xsd:documentation xml:lang="en">
            The frequency at which the step changes occur. This
            frequency must be a multiple of the stream calculation
            period frequency.
          </xsd:documentation>
        </xsd:annotation>
      </xsd:element>
      <xsd:element name="firstNotionalStepDate" type="xsd:date">
        <xsd:annotation>
          <xsd:documentation xml:lang="en">
            Effective date of the first change in notional (i.e. a
            calculation period start date).
          </xsd:documentation>
        </xsd:annotation>
      </xsd:element>
      <xsd:element name="lastNotionalStepDate" type="xsd:date">
        <xsd:annotation>
          <xsd:documentation xml:lang="en">
            Effective date of the last change in notional (i.e. a
            calculation period start date).
          </xsd:documentation>
        </xsd:annotation>
      </xsd:element>
      <xsd:choice>
        <xsd:element name="notionalStepAmount" type="xsd:decimal">
          <xsd:annotation>
            <xsd:documentation xml:lang="en">
              The explicit amount that the notional changes on each
              step date. This can be a positive or negative amount.
            </xsd:documentation>
          </xsd:annotation>
        </xsd:element>
        <xsd:sequence>
          <xsd:element name="notionalStepRate" type="xsd:decimal">
            <xsd:annotation>
              <xsd:documentation xml:lang="en">
                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.
              </xsd:documentation>
            </xsd:annotation>
          </xsd:element>
          <xsd:element name="stepRelativeTo" type="StepRelativeToEnum">
            <xsd:annotation>
              <xsd:documentation xml:lang="en">
                Specifies whether the notionalStepRate should be
                applied to the initial notional or the previous
                notional in order to calculate the notional step change
                amount.
              </xsd:documentation>
            </xsd:annotation>
          </xsd:element>
        </xsd:sequence>
      </xsd:choice>
    </xsd:sequence>
  </xsd:complexType>
  <xsd:complexType name="OptionalEarlyTermination">
    <xsd:annotation>
      <xsd:documentation xml:lang="en">
        A type defining an early termination provision where either or
        both parties have the right to exercise.
      </xsd:documentation>
    </xsd:annotation>
    <xsd:sequence>
      <xsd:element name="singlePartyOption" type="SinglePartyOption" minOccurs="0">
        <xsd:annotation>
          <xsd:documentation xml:lang="en">
            If optional early termination is not available to both
            parties then this component specifies the buyer and seller
            of the option.
          </xsd:documentation>
        </xsd:annotation>
      </xsd:element>
      <xsd:element ref="exercise"/>
      <xsd:element name="exerciseNotice" type="ExerciseNotice" minOccurs="0" maxOccurs="unbounded">
        <xsd:annotation>
          <xsd:documentation xml:lang="en">
            Definition of the party to whom notice of exercise should
            be given.
          </xsd:documentation>
        </xsd:annotation>
      </xsd:element>
      <xsd:element name="followUpConfirmation" type="xsd:boolean" minOccurs="0">
        <xsd:annotation>
          <xsd:documentation xml:lang="en">
            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.
          </xsd:documentation>
        </xsd:annotation>
      </xsd:element>
      <xsd:element name="calculationAgent" type="CalculationAgent">
        <xsd:annotation>
          <xsd:documentation xml:lang="en">
            The ISDA Calculation Agent responsible for performing
            duties associated with an optional early termination.
          </xsd:documentation>
        </xsd:annotation>
      </xsd:element>
      <xsd:element name="cashSettlement" type="CashSettlement">
        <xsd:annotation>
          <xsd:documentation xml:lang="en">
            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.
          </xsd:documentation>
        </xsd:annotation>
      </xsd:element>
      <xsd:element name="optionalEarlyTerminationAdjustedDates" type="OptionalEarlyTerminationAdjustedDates" minOccurs="0">
        <xsd:annotation>
          <xsd:documentation xml:lang="en">
            An early termination provision to terminate the trade at
            fair value where one or both parties have the right to
            decide on termination.
          </xsd:documentation>
        </xsd:annotation>
      </xsd:element>
    </xsd:sequence>
  </xsd:complexType>
  <xsd:complexType name="OptionalEarlyTerminationAdjustedDates">
    <xsd:annotation>
      <xsd:documentation xml:lang="en">
        A type defining the adjusted dates associated with an optional
        early termination provision.
      </xsd:documentation>
    </xsd:annotation>
    <xsd:sequence>
      <xsd:element name="earlyTerminationEvent" type="EarlyTerminationEvent" maxOccurs="unbounded">
        <xsd:annotation>
          <xsd:documentation xml:lang="en">
            The adjusted dates associated with an individual earley
            termination date.
          </xsd:documentation>
        </xsd:annotation>
      </xsd:element>
    </xsd:sequence>
  </xsd:complexType>
  <xsd:complexType name="PaymentCalculationPeriod">
    <xsd:annotation>
      <xsd:documentation xml:lang="en">
        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.
      </xsd:documentation>
    </xsd:annotation>
    <xsd:sequence>
      <xsd:element name="unadjustedPaymentDate" type="xsd:date" minOccurs="0"/>
      <xsd:element name="adjustedPaymentDate" type="xsd:date" minOccurs="0">
        <xsd:annotation>
          <xsd:documentation xml:lang="en">
            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
            may be specified to allow the fee structure to also serve
            as a cashflow type component (all dates the Cashflows type
            are adjusted payment dates).
          </xsd:documentation>
        </xsd:annotation>
      </xsd:element>
      <xsd:choice>
        <xsd:element name="calculationPeriod" type="CalculationPeriod" maxOccurs="unbounded">
          <xsd:annotation>
            <xsd:documentation xml:lang="en">
              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.
            </xsd:documentation>
          </xsd:annotation>
        </xsd:element>
        <xsd:element name="fixedPaymentAmount" type="xsd:decimal">
          <xsd:annotation>
            <xsd:documentation xml:lang="en">
              A known fixed payment amount.
            </xsd:documentation>
          </xsd:annotation>
        </xsd:element>
      </xsd:choice>
      <xsd:element name="discountFactor" type="xsd:decimal" minOccurs="0">
        <xsd:annotation>
          <xsd:documentation xml:lang="en">
            A decimal value representing the discount factor used to
            calculate the present value of cash flow.
          </xsd:documentation>
        </xsd:annotation>
      </xsd:element>
      <xsd:element name="forecastPaymentAmount" type="Money" minOccurs="0">
        <xsd:annotation>
          <xsd:documentation xml:lang="en">
            A monetary amount representing the forecast of the future
            value of the payment.
          </xsd:documentation>
        </xsd:annotation>
      </xsd:element>
      <xsd:element name="presentValueAmount" type="Money" minOccurs="0">
        <xsd:annotation>
          <xsd:documentation xml:lang="en">
            A monetary amount representing the present value of the
            forecast payment.
          </xsd:documentation>
        </xsd:annotation>
      </xsd:element>
    </xsd:sequence>
    <xsd:attribute name="id" type="xsd:ID"/>
    <xsd:attribute name="href" type="xsd:IDREF">
      <xsd:annotation>
        <xsd:documentation xml:lang="en">
          Attribute that can be used to reference the yield curve used
          to estimate the discount factor.
        </xsd:documentation>
      </xsd:annotation>
    </xsd:attribute>
  </xsd:complexType>
  <xsd:complexType name="PaymentDates">
    <xsd:annotation>
      <xsd:documentation xml:lang="en">
        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.
      </xsd:documentation>
    </xsd:annotation>
    <xsd:sequence>
      <xsd:choice>
        <xsd:element name="calculationPeriodDatesReference" type="Reference">
          <xsd:annotation>
            <xsd:documentation xml:lang="en">
              A pointer style reference to the associated calculation
              period dates component defined elsewhere in the document.
            </xsd:documentation>
          </xsd:annotation>
        </xsd:element>
        <xsd:element name="resetDatesReference" type="Reference">
          <xsd:annotation>
            <xsd:documentation xml:lang="en">
              A pointer style reference to the associated reset dates
              component defined elsewhere in the document.
            </xsd:documentation>
          </xsd:annotation>
        </xsd:element>
      </xsd:choice>
      <xsd:element name="paymentFrequency" type="Interval">
        <xsd:annotation>
          <xsd:documentation xml:lang="en">
            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.
          </xsd:documentation>
        </xsd:annotation>
      </xsd:element>
      <xsd:element name="firstPaymentDate" type="xsd:date" minOccurs="0">
        <xsd:annotation>
          <xsd:documentation xml:lang="en">
            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.
          </xsd:documentation>
        </xsd:annotation>
      </xsd:element>
      <xsd:element name="lastRegularPaymentDate" type="xsd:date" minOccurs="0">
        <xsd:annotation>
          <xsd:documentation xml:lang="en">
            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.
          </xsd:documentation>
        </xsd:annotation>
      </xsd:element>
      <xsd:element name="payRelativeTo" type="PayRelativeToEnum">
        <xsd:annotation>
          <xsd:documentation xml:lang="en">
            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.
          </xsd:documentation>
        </xsd:annotation>
      </xsd:element>
      <xsd:element name="paymentDaysOffset" type="Offset" minOccurs="0">
        <xsd:annotation>
          <xsd:documentation xml:lang="en">
            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.
          </xsd:documentation>
        </xsd:annotation>
      </xsd:element>
      <xsd:element name="paymentDatesAdjustments" type="BusinessDayAdjustments">
        <xsd:annotation>
          <xsd:documentation xml:lang="en">
            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.
          </xsd:documentation>
        </xsd:annotation>
      </xsd:element>
    </xsd:sequence>
    <xsd:attribute name="id" type="xsd:ID"/>
  </xsd:complexType>
  <xsd:complexType name="PrincipalExchange">
    <xsd:annotation>
      <xsd:documentation xml:lang="en">
        A type defining a principal exchange amount and adjusted
        exchange date. The type forms part of the cashflow
        representation of a swap stream.
      </xsd:documentation>
    </xsd:annotation>
    <xsd:sequence>
      <xsd:element name="unadjustedPrincipalExchangeDate" type="xsd:date" minOccurs="0"/>
      <xsd:element name="adjustedPrincipalExchangeDate" type="xsd:date" minOccurs="0">
        <xsd:annotation>
          <xsd:documentation xml:lang="en">
            The principal exchange date. This date should already be
            adjusted for any applicable business day convention.
          </xsd:documentation>
        </xsd:annotation>
      </xsd:element>
      <xsd:element name="principalExchangeAmount" type="xsd:decimal" minOccurs="0">
        <xsd:annotation>
          <xsd:documentation xml:lang="en">
            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.
          </xsd:documentation>
        </xsd:annotation>
      </xsd:element>
      <xsd:element name="discountFactor" type="xsd:decimal" minOccurs="0">
        <xsd:annotation>
          <xsd:documentation xml:lang="en">
            The value representing the discount factor used to
            calculate the present value of the principal exchange
            amount.
          </xsd:documentation>
        </xsd:annotation>
      </xsd:element>
      <xsd:element name="presentValuePrincipalExchangeAmount" type="Money" minOccurs="0">
        <xsd:annotation>
          <xsd:documentation xml:lang="en">
            The amount representing the present value of the principal
            exchange.
          </xsd:documentation>
        </xsd:annotation>
      </xsd:element>
    </xsd:sequence>
    <xsd:attribute name="id" type="xsd:ID"/>
  </xsd:complexType>
  <xsd:complexType name="ResetDates">
    <xsd:annotation>
      <xsd:documentation xml:lang="en">
        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.
      </xsd:documentation>
    </xsd:annotation>
    <xsd:sequence>
      <xsd:element name="calculationPeriodDatesReference" type="Reference">
        <xsd:annotation>
          <xsd:documentation xml:lang="en">
            A pointer style reference to the associated calculation
            period dates component defined elsewhere in the document.
          </xsd:documentation>
        </xsd:annotation>
      </xsd:element>
      <xsd:element name="resetRelativeTo" type="ResetRelativeToEnum" minOccurs="0">
        <xsd:annotation>
          <xsd:documentation xml:lang="en">
            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.
          </xsd:documentation>
        </xsd:annotation>
      </xsd:element>
      <xsd:element name="initialFixingDate" type="RelativeDateOffset" minOccurs="0"/>
      <xsd:element name="fixingDates" type="RelativeDateOffset">
        <xsd:annotation>
          <xsd:documentation xml:lang="en">
            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.
          </xsd:documentation>
        </xsd:annotation>
      </xsd:element>
      <xsd:element name="rateCutOffDaysOffset" type="Offset" minOccurs="0">
        <xsd:annotation>
          <xsd:documentation xml:lang="en">
            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.
          </xsd:documentation>
        </xsd:annotation>
      </xsd:element>
      <xsd:element name="resetFrequency" type="ResetFrequency">
        <xsd:annotation>
          <xsd:documentation xml:lang="en">
            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.
          </xsd:documentation>
        </xsd:annotation>
      </xsd:element>
      <xsd:element name="resetDatesAdjustments" type="BusinessDayAdjustments">
        <xsd:annotation>
          <xsd:documentation xml:lang="en">
            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.
          </xsd:documentation>
        </xsd:annotation>
      </xsd:element>
    </xsd:sequence>
    <xsd:attribute name="id" type="xsd:ID" use="required"/>
  </xsd:complexType>
  <xsd:complexType name="SettlementProvision">
    <xsd:annotation>
      <xsd:documentation xml:lang="en">
        A type defining the specification of settlement terms, occuring
        when the settlement currency is different to the notional
        currency of the trade.
      </xsd:documentation>
    </xsd:annotation>
    <xsd:sequence>
      <xsd:element name="settlementCurrency" type="Currency">
        <xsd:annotation>
          <xsd:documentation xml:lang="en">
            The currency that stream settles in (to support swaps that
            settle in a currency different from the notional currency).
          </xsd:documentation>
        </xsd:annotation>
      </xsd:element>
      <xsd:element name="nonDeliverableSettlement" type="NonDeliverableSettlement" minOccurs="0">
        <xsd:annotation>
          <xsd:documentation xml:lang="en">
            The specification of the non-deliverable settlement
            provision.
          </xsd:documentation>
        </xsd:annotation>
      </xsd:element>
    </xsd:sequence>
  </xsd:complexType>
  <xsd:complexType name="SettlementRateOption">
    <xsd:annotation>
      <xsd:documentation xml:lang="en">
        A type defining the settlement rate options through a scheme
        reflecting the terms of the Annex A to the 1998 FX and Currency
        Option Definitions.
      </xsd:documentation>
    </xsd:annotation>
    <xsd:simpleContent>
      <xsd:extension base="xsd:normalizedString">
        <xsd:attribute name="settlementRateOptionScheme" type="xsd:anyURI" default="http://www.fpml.org/coding-scheme/settlement-rate-option-1-0"/>
      </xsd:extension>
    </xsd:simpleContent>
  </xsd:complexType>
  <xsd:complexType name="SettlementRateSource">
    <xsd:annotation>
      <xsd:documentation xml:lang="en">
        A type describing the method for obtaining a settlement rate.
      </xsd:documentation>
    </xsd:annotation>
    <xsd:choice>
      <xsd:element name="informationSource" type="InformationSource">
        <xsd:annotation>
          <xsd:documentation xml:lang="en">
            The information source where a published or displayed
            market rate will be obtained, e.g. Telerate Page 3750.
          </xsd:documentation>
        </xsd:annotation>
      </xsd:element>
      <xsd:element name="cashSettlementReferenceBanks" type="CashSettlementReferenceBanks">
        <xsd:annotation>
          <xsd:documentation xml:lang="en">
            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.
          </xsd:documentation>
        </xsd:annotation>
      </xsd:element>
    </xsd:choice>
  </xsd:complexType>
  <xsd:complexType name="SinglePartyOption">
    <xsd:annotation>
      <xsd:documentation xml:lang="en">
        A type describing the buyer and seller of an option.
      </xsd:documentation>
    </xsd:annotation>
    <xsd:sequence>
      <xsd:group ref="BuyerSeller.model"/>
    </xsd:sequence>
  </xsd:complexType>
  <xsd:complexType name="Stub">
    <xsd:annotation>
      <xsd:documentation xml:lang="en">
        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.
      </xsd:documentation>
    </xsd:annotation>
    <xsd:sequence>
      <xsd:choice>
        <xsd:element name="floatingRate" type="FloatingRate" maxOccurs="unbounded">
          <xsd:annotation>
            <xsd:documentation xml:lang="en">
              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.
            </xsd:documentation>
          </xsd:annotation>
        </xsd:element>
        <xsd:element name="stubRate" type="xsd:decimal">
          <xsd:annotation>
            <xsd:documentation xml:lang="en">
              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.
            </xsd:documentation>
          </xsd:annotation>
        </xsd:element>
        <xsd:element name="stubAmount" type="Money">
          <xsd:annotation>
            <xsd:documentation xml:lang="en">
              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.
            </xsd:documentation>
          </xsd:annotation>
        </xsd:element>
      </xsd:choice>
      <xsd:element name="stubStartDate" type="AdjustableOrRelativeDate" minOccurs="0">
        <xsd:annotation>
          <xsd:documentation xml:lang="en">
            Start date of stub period
          </xsd:documentation>
        </xsd:annotation>
      </xsd:element>
      <xsd:element name="stubEndDate" type="AdjustableOrRelativeDate" minOccurs="0">
        <xsd:annotation>
          <xsd:documentation xml:lang="en">
            End date of stub period
          </xsd:documentation>
        </xsd:annotation>
      </xsd:element>
    </xsd:sequence>
  </xsd:complexType>
  <xsd:complexType name="StubCalculationPeriodAmount">
    <xsd:annotation>
      <xsd:documentation xml:lang="en">
        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.
      </xsd:documentation>
    </xsd:annotation>
    <xsd:sequence>
      <xsd:element name="calculationPeriodDatesReference" type="Reference">
        <xsd:annotation>
          <xsd:documentation xml:lang="en">
            A pointer style reference to the associated calculation
            period dates component defined elsewhere in the document.
          </xsd:documentation>
        </xsd:annotation>
      </xsd:element>
      <xsd:element name="initialStub" type="Stub" minOccurs="0">
        <xsd:annotation>
          <xsd:documentation xml:lang="en">
            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.
          </xsd:documentation>
        </xsd:annotation>
      </xsd:element>
      <xsd:element name="finalStub" type="Stub" minOccurs="0">
        <xsd:annotation>
          <xsd:documentation xml:lang="en">
            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.
          </xsd:documentation>
        </xsd:annotation>
      </xsd:element>
    </xsd:sequence>
  </xsd:complexType>
  <xsd:complexType name="Swap">
    <xsd:annotation>
      <xsd:documentation xml:lang="en">
        A type defining swap streams and additional payments between
        the principal parties involved in the swap.
      </xsd:documentation>
    </xsd:annotation>
    <xsd:complexContent>
      <xsd:extension base="Product">
        <xsd:sequence>
          <xsd:element name="swapStream" type="InterestRateStream" maxOccurs="unbounded">
            <xsd:annotation>
              <xsd:documentation xml:lang="en">
                The swap streams.
              </xsd:documentation>
            </xsd:annotation>
          </xsd:element>
          <xsd:element name="earlyTerminationProvision" type="EarlyTerminationProvision" minOccurs="0">
            <xsd:annotation>
              <xsd:documentation xml:lang="en">
                Parameters specifying provisions relating to the
                optional and mandatory early terminarion of a swap
                transaction.
              </xsd:documentation>
            </xsd:annotation>
          </xsd:element>
          <xsd:element name="cancelableProvision" type="CancelableProvision" minOccurs="0">
            <xsd:annotation>
              <xsd:documentation xml:lang="en">
                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.
              </xsd:documentation>
            </xsd:annotation>
          </xsd:element>
          <xsd:element name="extendibleProvision" type="ExtendibleProvision" minOccurs="0">
            <xsd:annotation>
              <xsd:documentation xml:lang="en">
                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.
              </xsd:documentation>
            </xsd:annotation>
          </xsd:element>
          <xsd:element name="additionalPayment" type="Payment" minOccurs="0" maxOccurs="unbounded">
            <xsd:annotation>
              <xsd:documentation xml:lang="en">
                Additional payments between the principal parties.
              </xsd:documentation>
            </xsd:annotation>
          </xsd:element>
          <xsd:element name="additionalTerms" type="SwapAdditionalTerms" minOccurs="0">
            <xsd:annotation>
              <xsd:documentation xml:lang="en">
                Contains any additional terms to the swap contract.
              </xsd:documentation>
            </xsd:annotation>
          </xsd:element>
        </xsd:sequence>
      </xsd:extension>
    </xsd:complexContent>
  </xsd:complexType>
  <xsd:complexType name="SwapAdditionalTerms">
    <xsd:annotation>
      <xsd:documentation xml:lang="en">
        Additional terms to a swap contract.
      </xsd:documentation>
    </xsd:annotation>
    <xsd:sequence>
      <xsd:element name="bondReference" type="BondReference" minOccurs="0">
        <xsd:annotation>
          <xsd:documentation xml:lang="en">
            Bond to which the swap contract is conditional on. The swap
            contract is only valid if this bond is issued and if there
            is any dispute over the terms of fixed stream then the bond
            terms would be used.
          </xsd:documentation>
        </xsd:annotation>
      </xsd:element>
    </xsd:sequence>
  </xsd:complexType>
  <xsd:complexType name="Swaption">
    <xsd:annotation>
      <xsd:documentation xml:lang="en">
        A type to define an option on a swap.
      </xsd:documentation>
    </xsd:annotation>
    <xsd:complexContent>
      <xsd:extension base="Product">
        <xsd:sequence>
          <xsd:group ref="BuyerSeller.model"/>
          <xsd:element name="premium" type="Payment" minOccurs="0" maxOccurs="unbounded">
            <xsd:annotation>
              <xsd:documentation xml:lang="en">
                The option premium amount payable by buyer to seller on
                the specified payment date.
              </xsd:documentation>
            </xsd:annotation>
          </xsd:element>
          <xsd:element ref="exercise"/>
          <xsd:element name="exerciseProcedure" type="ExerciseProcedure">
            <xsd:annotation>
              <xsd:documentation xml:lang="en">
                A set of parameters defining procedures associated with
                the exercise.
              </xsd:documentation>
            </xsd:annotation>
          </xsd:element>
          <xsd:element name="calculationAgent" type="CalculationAgent">
            <xsd:annotation>
              <xsd:documentation xml:lang="en">
                The ISDA Calculation Agent responsible for performing
                duties associated with an optional early termination.
              </xsd:documentation>
            </xsd:annotation>
          </xsd:element>
          <xsd:element name="cashSettlement" type="CashSettlement" minOccurs="0">
            <xsd:annotation>
              <xsd:documentation xml:lang="en">
                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.
              </xsd:documentation>
            </xsd:annotation>
          </xsd:element>
          <xsd:element name="swaptionStraddle" type="xsd:boolean">
            <xsd:annotation>
              <xsd:documentation xml:lang="en">
                Whether the option is a swaption or a swaption
                straddle.
              </xsd:documentation>
            </xsd:annotation>
          </xsd:element>
          <xsd:element name="swaptionAdjustedDates" type="SwaptionAdjustedDates" minOccurs="0">
            <xsd:annotation>
              <xsd:documentation xml:lang="en">
                The adjusted dates associated with swaption exercise.
                These dates have been adjusted for any applicable
                business day convention.
              </xsd:documentation>
            </xsd:annotation>
          </xsd:element>
          <xsd:element ref="swap"/>
        </xsd:sequence>
      </xsd:extension>
    </xsd:complexContent>
  </xsd:complexType>
  <xsd:complexType name="SwaptionAdjustedDates">
    <xsd:annotation>
      <xsd:documentation xml:lang="en">
        A type describing the adjusted dates associated with swaption
        exercise and settlement.
      </xsd:documentation>
    </xsd:annotation>
    <xsd:sequence>
      <xsd:element name="exerciseEvent" type="ExerciseEvent" maxOccurs="unbounded">
        <xsd:annotation>
          <xsd:documentation xml:lang="en">
            The adjusted dates associated with an individual swaption
            exercise date.
          </xsd:documentation>
        </xsd:annotation>
      </xsd:element>
    </xsd:sequence>
  </xsd:complexType>
  <xsd:complexType name="YieldCurveMethod">
    <xsd:annotation>
      <xsd:documentation xml:lang="en">
        A type defining the parameters required for each of the ISDA
        defined yield curve methods for cash settlement.
      </xsd:documentation>
    </xsd:annotation>
    <xsd:sequence>
      <xsd:sequence>
        <xsd:element name="settlementRateSource" type="SettlementRateSource" minOccurs="0">
          <xsd:annotation>
            <xsd:documentation xml:lang="en">
              The method for obtaining a settlement rate. This may be
              from some information source (e.g. Reuters) or from a set
              of reference banks.
            </xsd:documentation>
          </xsd:annotation>
        </xsd:element>
        <xsd:element name="quotationRateType" type="QuotationRateTypeEnum">
          <xsd:annotation>
            <xsd:documentation xml:lang="en">
              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)
            </xsd:documentation>
          </xsd:annotation>
        </xsd:element>
      </xsd:sequence>
    </xsd:sequence>
  </xsd:complexType>
  <xsd:element name="bulletPayment" type="BulletPayment" substitutionGroup="product">
    <xsd:annotation>
      <xsd:documentation xml:lang="en">
        A product to represent a single known payment.
      </xsd:documentation>
    </xsd:annotation>
  </xsd:element>
  <xsd:element name="capFloor" type="CapFloor" substitutionGroup="product">
    <xsd:annotation>
      <xsd:documentation xml:lang="en">
        A cap, floor or cap floor structures product definition.
      </xsd:documentation>
    </xsd:annotation>
  </xsd:element>
  <xsd:element name="floatingRateCalculation" type="FloatingRateCalculation" substitutionGroup="rateCalculation">
    <xsd:annotation>
      <xsd:documentation xml:lang="en">
        A floating rate calculation definition.
      </xsd:documentation>
    </xsd:annotation>
  </xsd:element>
  <xsd:element name="fra" type="Fra" substitutionGroup="product">
    <xsd:annotation>
      <xsd:documentation xml:lang="en">
        A forward rate agreement product definition.
      </xsd:documentation>
    </xsd:annotation>
  </xsd:element>
  <xsd:element name="inflationRateCalculation" type="InflationRateCalculation" substitutionGroup="rateCalculation">
    <xsd:annotation>
      <xsd:documentation xml:lang="en">
        An inflation rate calculation definition.
      </xsd:documentation>
    </xsd:annotation>
  </xsd:element>
  <xsd:element name="rateCalculation" type="FloatingRateCalculation" abstract="true">
    <xsd:annotation>
      <xsd:documentation xml:lang="en">
        The base element for the floating rate calculation definitions.
      </xsd:documentation>
    </xsd:annotation>
  </xsd:element>
  <xsd:element name="swap" type="Swap" substitutionGroup="product">
    <xsd:annotation>
      <xsd:documentation xml:lang="en">
        A swap product definition.
      </xsd:documentation>
    </xsd:annotation>
  </xsd:element>
  <xsd:element name="swaption" type="Swaption" substitutionGroup="product">
    <xsd:annotation>
      <xsd:documentation xml:lang="en">
        A swaption product definition.
      </xsd:documentation>
    </xsd:annotation>
  </xsd:element>
</xsd:schema>