---

Contents

Global Elements

equityLeg

equitySwap

equitySwapTransactionSupplement

interestLeg

returnLeg

returnSwap

returnSwapLeg

varianceLeg

Global Complex Types

AdditionalPaymentAmount

DeprecatedEquityLeg

DeprecatedEquityLegValuation

DeprecatedEquityLegValuationPrice

DeprecatedEquityPaymentDates

EquitySwapTransactionSupplement

Formula

FormulaComponent

InterestCalculation

InterestLeg

InterestLegCalculationPeriodDates

InterestLegResetDates

LegAmount

Math

PrincipalExchangeAmount

PrincipalExchangeDescriptions

PrincipalExchangeFeatures

Return

ReturnLeg

ReturnLegValuation

ReturnLegValuationPrice

ReturnSwap

ReturnSwapAdditionalPayment

ReturnSwapAmount

ReturnSwapBase

ReturnSwapEarlyTermination

ReturnSwapLeg

ReturnSwapNotional

ReturnSwapPaymentDates

StartingDate

StubCalculationPeriod

Variance

VarianceAmount

VarianceLeg

Global Simple Types

Schema Listing

---

Global Elements

equityLeg

Description:

This element has been DEPRECATED and it will be removed in the next FpML major version (5.0) - please use returnLeg element to represent long form equity swaps, total return swaps. The equity amounts of the equity swap

Figure:

Contents:

Element equityLeg is defined by the complex type DeprecatedEquityLeg

Used by:

Schema Fragment:

<xsd:element name="equityLeg" type="DeprecatedEquityLeg" substitutionGroup="returnSwapLeg">
  <xsd:annotation>
    <xsd:documentation xml:lang="en">
      This element has been DEPRECATED and it will be removed in the
      next FpML major version (5.0) - please use returnLeg element to
      represent long form equity swaps, total return swaps. The equity
      amounts of the equity swap
    </xsd:documentation>
  </xsd:annotation>
</xsd:element>

---

equitySwap

Description:

This element has been DEPRECATED and it will be removed in the next FpML major version (5.0) - please use returnSwap element to represent long form equity swaps, total return swaps, and variance swaps.

Figure:

Contents:

Element equitySwap is defined by the complex type ReturnSwap

Used by:

Schema Fragment:

<xsd:element name="equitySwap" type="ReturnSwap" substitutionGroup="product">
  <xsd:annotation>
    <xsd:documentation xml:lang="en">
      This element has been DEPRECATED and it will be removed in the
      next FpML major version (5.0) - please use returnSwap element to
      represent long form equity swaps, total return swaps, and
      variance swaps.
    </xsd:documentation>
  </xsd:annotation>
</xsd:element>

---

equitySwapTransactionSupplement

Description:

Specifies the structure of the equity swap transaction supplement

Figure:

Contents:

Element equitySwapTransactionSupplement is defined by the complex type EquitySwapTransactionSupplement

Used by:

Schema Fragment:

<xsd:element name="equitySwapTransactionSupplement" type="EquitySwapTransactionSupplement" substitutionGroup="product">
  <xsd:annotation>
    <xsd:documentation xml:lang="en">
      Specifies the structure of the equity swap transaction supplement
    </xsd:documentation>
  </xsd:annotation>
</xsd:element>

---

interestLeg

Description:

The fixed income amounts of the return type swap.

Figure:

Contents:

Element interestLeg is defined by the complex type InterestLeg

Used by:

Schema Fragment:

<xsd:element name="interestLeg" type="InterestLeg" substitutionGroup="returnSwapLeg">
  <xsd:annotation>
    <xsd:documentation xml:lang="en">
      The fixed income amounts of the return type swap.
    </xsd:documentation>
  </xsd:annotation>
</xsd:element>

---

returnLeg

Description:

Return amounts of the return type swap.

Figure:

Contents:

Element returnLeg is defined by the complex type ReturnLeg

Used by:

Schema Fragment:

<xsd:element name="returnLeg" type="ReturnLeg" substitutionGroup="returnSwapLeg">
  <xsd:annotation>
    <xsd:documentation xml:lang="en">
      Return amounts of the return type swap.
    </xsd:documentation>
  </xsd:annotation>
</xsd:element>

---

returnSwap

Description:

Specifies the structure of a return type swap. It can represent equity swaps, total return swaps, variance swaps.

Figure:

Contents:

Element returnSwap is defined by the complex type ReturnSwap

Used by:

Schema Fragment:

<xsd:element name="returnSwap" type="ReturnSwap" substitutionGroup="product">
  <xsd:annotation>
    <xsd:documentation xml:lang="en">
      Specifies the structure of a return type swap. It can represent
      equity swaps, total return swaps, variance swaps.
    </xsd:documentation>
  </xsd:annotation>
</xsd:element>

---

returnSwapLeg

Description:

An placeholder for the actual Return Swap Leg definition.

Figure:

Contents:

Element returnSwapLeg is defined by the complex type ReturnSwapLeg

Used by:

• ReturnSwapBase

Substituted by:

• equityLeg
• interestLeg
• returnLeg
• varianceLeg

Schema Fragment:

<xsd:element name="returnSwapLeg" type="ReturnSwapLeg" abstract="true">
  <xsd:annotation>
    <xsd:documentation xml:lang="en">
      An placeholder for the actual Return Swap Leg definition.
    </xsd:documentation>
  </xsd:annotation>
</xsd:element>

---

varianceLeg

Description:

The variance leg of the equity swap

Figure:

Contents:

Element varianceLeg is defined by the complex type VarianceLeg

Used by:

Schema Fragment:

<xsd:element name="varianceLeg" type="VarianceLeg" substitutionGroup="returnSwapLeg">
  <xsd:annotation>
    <xsd:documentation xml:lang="en">
      The variance leg of the equity swap
    </xsd:documentation>
  </xsd:annotation>
</xsd:element>

---

Global Complex Types

AdditionalPaymentAmount

Description:

Specifies the amount of the fee along with, when applicable, the formula that supports its determination.

Figure:

Contents:

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

• The currency amount of the payment.

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

• Specifies a formula, with its description and components.

Used by:

• ReturnSwapAdditionalPayment/additionalPaymentAmount

Schema Fragment:

<xsd:complexType name="AdditionalPaymentAmount">
  <xsd:annotation>
    <xsd:documentation xml:lang="en">
      Specifies the amount of the fee along with, when applicable, the
      formula that supports its determination.
    </xsd:documentation>
  </xsd:annotation>
  <xsd:sequence>
    <xsd:element name="paymentAmount" type="Money" minOccurs="0">
      <xsd:annotation>
        <xsd:documentation xml:lang="en">
          The currency amount of the payment.
        </xsd:documentation>
      </xsd:annotation>
    </xsd:element>
    <xsd:element name="formula" type="Formula" minOccurs="0">
      <xsd:annotation>
        <xsd:documentation xml:lang="en">
          Specifies a formula, with its description and components.
        </xsd:documentation>
      </xsd:annotation>
    </xsd:element>
  </xsd:sequence>
</xsd:complexType>

---

DeprecatedEquityLeg

Description:

This type has been DEPRECATED. It will be removed in the next FpML major version. A type describing the equity leg of a return type swap.

Figure:

Contents:

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

• The abstract base class for all types of Return Swap Leg.

effectiveDate (exactly one occurrence; of the type AdjustableOrRelativeDate)

• Specifies the effective date of the equity leg of the swap. When defined in relation to a date specified somewhere else in the document (through the relativeDate component), this element will typically point to the effective date of the other leg of the swap.

terminationDate (exactly one occurrence; of the type AdjustableOrRelativeDate)

• Specifies the termination date of the equity leg of the swap. When defined in relation to a date specified somewhere else in the document (through the relativeDate component), this element will typically point to the termination date of the other leg of the swap.

underlyer (exactly one occurrence; of the type Underlyer)

• Specifies the underlying component of the return type swap, which can be either one or many and consists in either equity, index or convertible bond component, or a combination of these.

valuation (exactly one occurrence; of the type DeprecatedEquityLegValuation)

• Specifies the terms of the initial price of the return type swap and of the subsequent valuations of the equity underlyer.

notional (exactly one occurrence; of the type ReturnSwapNotional)

• Specifies the notional of a return type swap. When used in the equity leg, the definition will typically combine the actual amount (using the notional component defined by the FpML industry group) and the determination method. When used in the interest leg, the definition will typically point to the definition of the equity leg.

equityAmount (exactly one occurrence; of the type ReturnSwapAmount)

• Specifies, in relation to each Equity Payment Date, the amount to which the Equity Payment Date relates. Unless otherwise specified, this term has the meaning defined in the ISDA 2002 Equity Derivatives Definitions.

return (exactly one occurrence; of the type Return)

• Specifies the conditions under which dividend affecting the underlyer will be paid to the receiver of the equity amounts.

notionalAdjustments (exactly one occurrence; of the type NotionalAdjustmentEnum)

• Specifies the conditions that govern the adjustment to the number of units of the equity swap.

fxFeature (zero or one occurrence; of the type FxFeature)

• A quanto or composite FX feature.

Used by:

Extension of:

• ReturnSwapLeg

Schema Fragment:

<xsd:complexType name="DeprecatedEquityLeg">
  <xsd:annotation>
    <xsd:documentation xml:lang="en">
      This type has been DEPRECATED. It will be removed in the next
      FpML major version. A type describing the equity leg of a return
      type swap.
    </xsd:documentation>
  </xsd:annotation>
  <xsd:complexContent>
    <xsd:extension base="ReturnSwapLeg">
      <xsd:sequence>
        <xsd:element name="effectiveDate" type="AdjustableOrRelativeDate">
          <xsd:annotation>
            <xsd:documentation xml:lang="en">
              Specifies the effective date of the equity leg of the
              swap. When defined in relation to a date specified
              somewhere else in the document (through the relativeDate
              component), this element will typically point to the
              effective date of the other leg of the swap.
            </xsd:documentation>
          </xsd:annotation>
        </xsd:element>
        <xsd:element name="terminationDate" type="AdjustableOrRelativeDate">
          <xsd:annotation>
            <xsd:documentation xml:lang="en">
              Specifies the termination date of the equity leg of the
              swap. When defined in relation to a date specified
              somewhere else in the document (through the relativeDate
              component), this element will typically point to the
              termination date of the other leg of the swap.
            </xsd:documentation>
          </xsd:annotation>
        </xsd:element>
        <xsd:element name="underlyer" type="Underlyer">
          <xsd:annotation>
            <xsd:documentation xml:lang="en">
              Specifies the underlying component of the return type
              swap, which can be either one or many and consists in
              either equity, index or convertible bond component, or a
              combination of these.
            </xsd:documentation>
          </xsd:annotation>
        </xsd:element>
        <xsd:element name="valuation" type="DeprecatedEquityLegValuation">
          <xsd:annotation>
            <xsd:documentation xml:lang="en">
              Specifies the terms of the initial price of the return
              type swap and of the subsequent valuations of the equity
              underlyer.
            </xsd:documentation>
          </xsd:annotation>
        </xsd:element>
        <xsd:element name="notional" type="ReturnSwapNotional">
          <xsd:annotation>
            <xsd:documentation xml:lang="en">
              Specifies the notional of a return type swap. When used
              in the equity leg, the definition will typically combine
              the actual amount (using the notional component defined
              by the FpML industry group) and the determination method.
              When used in the interest leg, the definition will
              typically point to the definition of the equity leg.
            </xsd:documentation>
          </xsd:annotation>
        </xsd:element>
        <xsd:element name="equityAmount" type="ReturnSwapAmount">
          <xsd:annotation>
            <xsd:documentation xml:lang="en">
              Specifies, in relation to each Equity Payment Date, the
              amount to which the Equity Payment Date relates. Unless
              otherwise specified, this term has the meaning defined in
              the ISDA 2002 Equity Derivatives Definitions.
            </xsd:documentation>
          </xsd:annotation>
        </xsd:element>
        <xsd:element name="return" type="Return">
          <xsd:annotation>
            <xsd:documentation xml:lang="en">
              Specifies the conditions under which dividend affecting
              the underlyer will be paid to the receiver of the equity
              amounts.
            </xsd:documentation>
          </xsd:annotation>
        </xsd:element>
        <xsd:element name="notionalAdjustments" type="NotionalAdjustmentEnum">
          <xsd:annotation>
            <xsd:documentation xml:lang="en">
              Specifies the conditions that govern the adjustment to
              the number of units of the equity swap.
            </xsd:documentation>
          </xsd:annotation>
        </xsd:element>
        <xsd:element name="fxFeature" type="FxFeature" minOccurs="0">
          <xsd:annotation>
            <xsd:documentation xml:lang="en">
              A quanto or composite FX feature.
            </xsd:documentation>
            <xsd:documentation xml:lang="de">
              Quanto- oder Komposit-Devisenbestandteil.
            </xsd:documentation>
          </xsd:annotation>
        </xsd:element>
      </xsd:sequence>
    </xsd:extension>
  </xsd:complexContent>
</xsd:complexType>

---

DeprecatedEquityLegValuation

Description:

This type has been DEPRECATED. It will be removed in the next FpML major version. A type describing the initial and final valuation of the equity underlyer.

Figure:

Contents:

initialPrice (exactly one occurrence; of the type DeprecatedEquityLegValuationPrice)

• Specifies the initial reference price of the equity underlyer. This price can be expressed either as an actual amount/currency, as a determination method, or by reference to another value specified in the swap document.

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

• The term "Equity Notional Reset" is assumed to have the meaning as defined in the ISDA 2002 Equity Derivatives Definitions. The reference to the ISDA definition is either "Applicable" or 'Inapplicable".

valuationPriceInterim (zero or one occurrence; of the type DeprecatedEquityLegValuationPrice)

• Specifies the interim valuation price of the equity underlyer. This price can be expressed either as an actual amount/currency, as a determination method, or by reference to another value specified in the swap document.

valuationPriceFinal (exactly one occurrence; of the type DeprecatedEquityLegValuationPrice)

• Specifies the final valuation price of the equity underlyer. This price can be expressed either as an actual amount/currency, as a determination method, or by reference to another value specified in the swap document.

equityPaymentDates (exactly one occurrence; of the type DeprecatedEquityPaymentDates)

• Specifies the equity payment dates of the swap.

Used by:

• DeprecatedEquityLeg/valuation

Schema Fragment:

<xsd:complexType name="DeprecatedEquityLegValuation">
  <xsd:annotation>
    <xsd:documentation xml:lang="en">
      This type has been DEPRECATED. It will be removed in the next
      FpML major version. A type describing the initial and final
      valuation of the equity underlyer.
    </xsd:documentation>
  </xsd:annotation>
  <xsd:sequence>
    <xsd:element name="initialPrice" type="DeprecatedEquityLegValuationPrice">
      <xsd:annotation>
        <xsd:documentation xml:lang="en">
          Specifies the initial reference price of the equity
          underlyer. This price can be expressed either as an actual
          amount/currency, as a determination method, or by reference
          to another value specified in the swap document.
        </xsd:documentation>
      </xsd:annotation>
    </xsd:element>
    <xsd:element name="equityNotionalReset" type="xsd:boolean">
      <xsd:annotation>
        <xsd:documentation xml:lang="en">
          The term "Equity Notional Reset" is assumed to have the
          meaning as defined in the ISDA 2002 Equity Derivatives
          Definitions. The reference to the ISDA definition is either
          "Applicable" or 'Inapplicable".
        </xsd:documentation>
      </xsd:annotation>
    </xsd:element>
    <xsd:element name="valuationPriceInterim" type="DeprecatedEquityLegValuationPrice" minOccurs="0">
      <xsd:annotation>
        <xsd:documentation xml:lang="en">
          Specifies the interim valuation price of the equity
          underlyer. This price can be expressed either as an actual
          amount/currency, as a determination method, or by reference
          to another value specified in the swap document.
        </xsd:documentation>
      </xsd:annotation>
    </xsd:element>
    <xsd:element name="valuationPriceFinal" type="DeprecatedEquityLegValuationPrice">
      <xsd:annotation>
        <xsd:documentation xml:lang="en">
          Specifies the final valuation price of the equity underlyer.
          This price can be expressed either as an actual
          amount/currency, as a determination method, or by reference
          to another value specified in the swap document.
        </xsd:documentation>
      </xsd:annotation>
    </xsd:element>
    <xsd:element name="equityPaymentDates" type="DeprecatedEquityPaymentDates">
      <xsd:annotation>
        <xsd:documentation xml:lang="en">
          Specifies the equity payment dates of the swap.
        </xsd:documentation>
      </xsd:annotation>
    </xsd:element>
  </xsd:sequence>
</xsd:complexType>

---

DeprecatedEquityLegValuationPrice

Description:

This type has been DEPRECATED. It will be removed in the next FpML major version.

Figure:

Contents:

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

• A type describing the strike price.

equityValuation (zero or one occurrence; of the type EquityValuation)

Used by:

• DeprecatedEquityLegValuation/initialPrice
• DeprecatedEquityLegValuation/valuationPriceFinal
• DeprecatedEquityLegValuation/valuationPriceInterim

Extension of:

• Price

Schema Fragment:

<xsd:complexType name="DeprecatedEquityLegValuationPrice">
  <xsd:annotation>
    <xsd:documentation xml:lang="en">
      This type has been DEPRECATED. It will be removed in the next
      FpML major version.
    </xsd:documentation>
  </xsd:annotation>
  <xsd:complexContent>
    <xsd:extension base="Price">
      <xsd:sequence>
        <xsd:element name="equityValuation" type="EquityValuation" minOccurs="0"/>
      </xsd:sequence>
    </xsd:extension>
  </xsd:complexContent>
</xsd:complexType>

---

DeprecatedEquityPaymentDates

Description:

This type has been DEPRECATED. It will be removed in the next FpML major version. A type describing the equity payment dates of the swap.

Figure:

Contents:

equityPaymentDatesInterim (zero or one occurrence; of the type AdjustableOrRelativeDates)

• Specifies the interim payment dates of the swap. When defined in relation to a date specified somewhere else in the document (through the relativeDates component), this element will typically refer to the valuation dates and add a lag corresponding to the settlement cycle of the underlyer.

equityPaymentDateFinal (exactly one occurrence; of the type AdjustableOrRelativeDate)

• Specifies the final payment date of the swap. When defined in relation to a date specified somewhere else in the document (through the relativeDate component), this element will typically refer to the final valuation date and add a lag corresponding to the settlement cycle of the underlyer.

Attribute: id (xsd:ID)

Used by:

• DeprecatedEquityLegValuation/equityPaymentDates

Schema Fragment:

<xsd:complexType name="DeprecatedEquityPaymentDates">
  <xsd:annotation>
    <xsd:documentation xml:lang="en">
      This type has been DEPRECATED. It will be removed in the next
      FpML major version. A type describing the equity payment dates of
      the swap.
    </xsd:documentation>
  </xsd:annotation>
  <xsd:sequence>
    <xsd:element name="equityPaymentDatesInterim" type="AdjustableOrRelativeDates" minOccurs="0">
      <xsd:annotation>
        <xsd:documentation xml:lang="en">
          Specifies the interim payment dates of the swap. When defined
          in relation to a date specified somewhere else in the
          document (through the relativeDates component), this element
          will typically refer to the valuation dates and add a lag
          corresponding to the settlement cycle of the underlyer.
        </xsd:documentation>
      </xsd:annotation>
    </xsd:element>
    <xsd:element name="equityPaymentDateFinal" type="AdjustableOrRelativeDate">
      <xsd:annotation>
        <xsd:documentation xml:lang="en">
          Specifies the final payment date of the swap. When defined in
          relation to a date specified somewhere else in the document
          (through the relativeDate component), this element will
          typically refer to the final valuation date and add a lag
          corresponding to the settlement cycle of the underlyer.
        </xsd:documentation>
      </xsd:annotation>
    </xsd:element>
  </xsd:sequence>
  <xsd:attribute name="id" type="xsd:ID"/>
</xsd:complexType>

---

EquitySwapTransactionSupplement

Description:

A type for defining Equity Swap Transaction Supplement

Figure:

Contents:

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

• A type describing the components that are common for return type swaps, including short and long form equity swaps representations.

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

• Used for specifying whether the Mutual Early Termination Right that is detailed in the Master Confirmation will apply.

Used by:

Extension of:

• ReturnSwapBase

Schema Fragment:

<xsd:complexType name="EquitySwapTransactionSupplement">
  <xsd:annotation>
    <xsd:documentation xml:lang="en">
      A type for defining Equity Swap Transaction Supplement
    </xsd:documentation>
  </xsd:annotation>
  <xsd:complexContent>
    <xsd:extension base="ReturnSwapBase">
      <xsd:sequence>
        <xsd:element name="mutualEarlyTermination" type="xsd:boolean" minOccurs="0">
          <xsd:annotation>
            <xsd:documentation xml:lang="en">
              Used for specifying whether the Mutual Early Termination
              Right that is detailed in the Master Confirmation will
              apply.
            </xsd:documentation>
          </xsd:annotation>
        </xsd:element>
      </xsd:sequence>
    </xsd:extension>
  </xsd:complexContent>
</xsd:complexType>

---

Formula

Description:

A type describing a financial formula, with its description and components.

Figure:

Contents:

formulaDescription (zero or one occurrence; of the type xsd:string)

• Text description of the formula

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

• An element for containing an XML representation of the formula. Defined using xsd:any currently for flexibility in choice of language (MathML, OpenMath)

formulaComponent (zero or more occurrences; of the type FormulaComponent)

• Elements describing the components of the formula. The name attribute points to a value used in the math element. The href attribute points to a value elsewhere in the document

Used by:

• AdditionalPaymentAmount/formula
• FormulaComponent/formula
• LegAmount/formula

Schema Fragment:

<xsd:complexType name="Formula">
  <xsd:annotation>
    <xsd:documentation xml:lang="en">
      A type describing a financial formula, with its description and
      components.
    </xsd:documentation>
  </xsd:annotation>
  <xsd:sequence>
    <xsd:element name="formulaDescription" type="xsd:string" minOccurs="0">
      <xsd:annotation>
        <xsd:documentation xml:lang="en">
          Text description of the formula
        </xsd:documentation>
      </xsd:annotation>
    </xsd:element>
    <xsd:element name="math" type="Math" minOccurs="0">
      <xsd:annotation>
        <xsd:documentation xml:lang="en">
          An element for containing an XML representation of the
          formula. Defined using xsd:any currently for flexibility in
          choice of language (MathML, OpenMath)
        </xsd:documentation>
      </xsd:annotation>
    </xsd:element>
    <xsd:element name="formulaComponent" type="FormulaComponent" minOccurs="0" maxOccurs="unbounded">
      <xsd:annotation>
        <xsd:documentation xml:lang="en">
          Elements describing the components of the formula. The name
          attribute points to a value used in the math element. The
          href attribute points to a value elsewhere in the document
        </xsd:documentation>
      </xsd:annotation>
    </xsd:element>
  </xsd:sequence>
</xsd:complexType>

---

FormulaComponent

Description:

Elements describing the components of the formula. The name attribute points to a value used in the math element. The href attribute points to a value elsewhere in the document

Figure:

Contents:

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

• Text description of the component

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

• Additional formulas required to describe this component

Attribute: name (xsd:normalizedString)

Attribute: href (xsd:IDREF)

Used by:

• Formula/formulaComponent

Schema Fragment:

<xsd:complexType name="FormulaComponent">
  <xsd:annotation>
    <xsd:documentation xml:lang="en">
      Elements describing the components of the formula. The name
      attribute points to a value used in the math element. The href
      attribute points to a value elsewhere in the document
    </xsd:documentation>
  </xsd:annotation>
  <xsd:sequence>
    <xsd:element name="componentDescription" type="xsd:string">
      <xsd:annotation>
        <xsd:documentation xml:lang="en">
          Text description of the component
        </xsd:documentation>
      </xsd:annotation>
    </xsd:element>
    <xsd:element name="formula" type="Formula" minOccurs="0">
      <xsd:annotation>
        <xsd:documentation xml:lang="en">
          Additional formulas required to describe this component
        </xsd:documentation>
      </xsd:annotation>
    </xsd:element>
  </xsd:sequence>
  <xsd:attribute name="name" type="xsd:normalizedString"/>
  <xsd:attribute name="href" type="xsd:IDREF"/>
</xsd:complexType>

---

InterestCalculation

Description:

Specifies the calculation method of the interest rate leg of the equity swap. Includes the floating or fixed rate calculation definitions, along with the determination of the day count fraction.

Figure:

Contents:

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

• A type describing the method for accruing interests on dividends. Can be either a fixed rate reference or a floating rate reference.

dayCountFraction (exactly one occurrence; of the type DayCountFraction)

• The day count fraction.

Used by:

• InterestLeg/interestCalculation

Extension of:

• InterestAccrualsMethod

Schema Fragment:

<xsd:complexType name="InterestCalculation">
  <xsd:annotation>
    <xsd:documentation xml:lang="en">
      Specifies the calculation method of the interest rate leg of the
      equity swap. Includes the floating or fixed rate calculation
      definitions, along with the determination of the day count
      fraction.
    </xsd:documentation>
  </xsd:annotation>
  <xsd:complexContent>
    <xsd:extension base="InterestAccrualsMethod">
      <xsd:sequence>
        <xsd:element name="dayCountFraction" type="DayCountFraction">
          <xsd:annotation>
            <xsd:documentation xml:lang="en">
              The day count fraction.
            </xsd:documentation>
          </xsd:annotation>
        </xsd:element>
      </xsd:sequence>
    </xsd:extension>
  </xsd:complexContent>
</xsd:complexType>

---

InterestLeg

Description:

A type describing the fixed income leg of the equity swap.

Figure:

Contents:

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

• The abstract base class for all types of Return Swap Leg.

interestLegCalculationPeriodDates (exactly one occurrence; of the type InterestLegCalculationPeriodDates)

• Component that holds the various dates used to specify the interest leg of the equity swap. It is used to define the InterestPeriodDates identifyer.

notional (exactly one occurrence; of the type ReturnSwapNotional)

• Specifies the notional of a return type swap. When used in the equity leg, the definition will typically combine the actual amount (using the notional component defined by the FpML industry group) and the determination method. When used in the interest leg, the definition will typically point to the definition of the equity leg.

interestAmount (exactly one occurrence; of the type LegAmount)

• Specifies, in relation to each Interest Payment Date, the amount to which the Interest Payment Date relates. Unless otherwise specified, this term has the meaning defined in the ISDA 2000 ISDA Definitions.

interestCalculation (exactly one occurrence; of the type InterestCalculation)

• Specifies the calculation method of the interest rate leg of the equity swap. Includes the floating or fixed rate calculation definitions, along with the determination of the day count fraction.

stubCalculationPeriod (zero or one occurrence; of the type StubCalculationPeriod)

• Specifies the stub calculation period

Used by:

Extension of:

• ReturnSwapLeg

Schema Fragment:

<xsd:complexType name="InterestLeg">
  <xsd:annotation>
    <xsd:documentation xml:lang="en">
      A type describing the fixed income leg of the equity swap.
    </xsd:documentation>
  </xsd:annotation>
  <xsd:complexContent>
    <xsd:extension base="ReturnSwapLeg">
      <xsd:sequence>
        <xsd:element name="interestLegCalculationPeriodDates" type="InterestLegCalculationPeriodDates">
          <xsd:annotation>
            <xsd:documentation xml:lang="en">
              Component that holds the various dates used to specify
              the interest leg of the equity swap. It is used to define
              the InterestPeriodDates identifyer.
            </xsd:documentation>
          </xsd:annotation>
        </xsd:element>
        <xsd:element name="notional" type="ReturnSwapNotional">
          <xsd:annotation>
            <xsd:documentation xml:lang="en">
              Specifies the notional of a return type swap. When used
              in the equity leg, the definition will typically combine
              the actual amount (using the notional component defined
              by the FpML industry group) and the determination method.
              When used in the interest leg, the definition will
              typically point to the definition of the equity leg.
            </xsd:documentation>
          </xsd:annotation>
        </xsd:element>
        <xsd:element name="interestAmount" type="LegAmount">
          <xsd:annotation>
            <xsd:documentation xml:lang="en">
              Specifies, in relation to each Interest Payment Date, the
              amount to which the Interest Payment Date relates. Unless
              otherwise specified, this term has the meaning defined in
              the ISDA 2000 ISDA Definitions.
            </xsd:documentation>
          </xsd:annotation>
        </xsd:element>
        <xsd:element name="interestCalculation" type="InterestCalculation">
          <xsd:annotation>
            <xsd:documentation xml:lang="en">
              Specifies the calculation method of the interest rate leg
              of the equity swap. Includes the floating or fixed rate
              calculation definitions, along with the determination of
              the day count fraction.
            </xsd:documentation>
          </xsd:annotation>
        </xsd:element>
        <xsd:element name="stubCalculationPeriod" type="StubCalculationPeriod" minOccurs="0">
          <xsd:annotation>
            <xsd:documentation xml:lang="en">
              Specifies the stub calculation period
            </xsd:documentation>
          </xsd:annotation>
        </xsd:element>
      </xsd:sequence>
    </xsd:extension>
  </xsd:complexContent>
</xsd:complexType>

---

InterestLegCalculationPeriodDates

Description:

Component that holds the various dates used to specify the interest leg of the equity swap. It is used to define the InterestPeriodDates identifyer.

Figure:

Contents:

effectiveDate (exactly one occurrence; of the type AdjustableOrRelativeDate)

• Specifies the effective date of the equity swap. This global element is valid within the equity swaps namespace. Within the FpML namespace, another effectiveDate global element has been defined, that is different in the sense that it does not propose the choice of refering to another date in the document.

terminationDate (exactly one occurrence; of the type AdjustableOrRelativeDate)

• Specifies the termination date of the equity swap. This global element is valid within the equity swaps namespace. Within the FpML namespace, another terminationDate global element has been defined, that is different in the sense that it does not propose the choice of refering to another date in the document.

interestLegResetDates (exactly one occurrence; of the type InterestLegResetDates)

• Specifies the reset dates of the interest leg of the swap.

interestLegPaymentDates (exactly one occurrence; of the type AdjustableOrRelativeDates)

• Specifies the payment dates of the interest leg of the swap. When defined in relation to a date specified somewhere else in the document (through the relativeDates component), this element will typically point to the payment dates of the equity leg of the swap.

Attribute: id (xsd:ID) - required

Used by:

• InterestLeg/interestLegCalculationPeriodDates

Schema Fragment:

<xsd:complexType name="InterestLegCalculationPeriodDates">
  <xsd:annotation>
    <xsd:documentation xml:lang="en">
      Component that holds the various dates used to specify the
      interest leg of the equity swap. It is used to define the
      InterestPeriodDates identifyer.
    </xsd:documentation>
  </xsd:annotation>
  <xsd:sequence>
    <xsd:element name="effectiveDate" type="AdjustableOrRelativeDate">
      <xsd:annotation>
        <xsd:documentation xml:lang="en">
          Specifies the effective date of the equity swap. This global
          element is valid within the equity swaps namespace. Within
          the FpML namespace, another effectiveDate global element has
          been defined, that is different in the sense that it does not
          propose the choice of refering to another date in the
          document.
        </xsd:documentation>
      </xsd:annotation>
    </xsd:element>
    <xsd:element name="terminationDate" type="AdjustableOrRelativeDate">
      <xsd:annotation>
        <xsd:documentation xml:lang="en">
          Specifies the termination date of the equity swap. This
          global element is valid within the equity swaps namespace.
          Within the FpML namespace, another terminationDate global
          element has been defined, that is different in the sense that
          it does not propose the choice of refering to another date in
          the document.
        </xsd:documentation>
      </xsd:annotation>
    </xsd:element>
    <xsd:element name="interestLegResetDates" type="InterestLegResetDates">
      <xsd:annotation>
        <xsd:documentation xml:lang="en">
          Specifies the reset dates of the interest leg of the swap.
        </xsd:documentation>
      </xsd:annotation>
    </xsd:element>
    <xsd:element name="interestLegPaymentDates" type="AdjustableOrRelativeDates">
      <xsd:annotation>
        <xsd:documentation xml:lang="en">
          Specifies the payment dates of the interest leg of the swap.
          When defined in relation to a date specified somewhere else
          in the document (through the relativeDates component), this
          element will typically point to the payment dates of the
          equity leg of the swap.
        </xsd:documentation>
      </xsd:annotation>
    </xsd:element>
  </xsd:sequence>
  <xsd:attribute name="id" type="xsd:ID" use="required"/>
</xsd:complexType>

---

InterestLegResetDates

Description:

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.

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

resetRelativeTo (exactly 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.

Or

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.

Used by:

• InterestLegCalculationPeriodDates/interestLegResetDates

Schema Fragment:

<xsd:complexType name="InterestLegResetDates">
  <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:choice>
      <xsd:element name="resetRelativeTo" type="ResetRelativeToEnum">
        <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="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:choice>
  </xsd:sequence>
</xsd:complexType>

---

LegAmount

Description:

A type describing the amount that will paid or received on each of the payment dates. This type is used to define both the Equity Amount and the Interest Amount.

Figure:

Contents:

paymentCurrency (zero or one occurrence; of the type PaymentCurrency)

• Currency in which the payment relating to the leg amount (equity amount or interest amount) or the dividend will be denominated.

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

referenceAmount (exactly one occurrence; of the type ReferenceAmount)

• Specifies the reference Amount when this term either corresponds to the standard ISDA Definition (either the 2002 Equity Definition for the Equity Amount, or the 2000 Definition for the Interest Amount), or points to a term defined elsewhere in the swap document.

Or

formula (exactly one occurrence; of the type Formula)

• Specifies a formula, with its description and components.

Or

encodedDescription (exactly one occurrence; of the type xsd:base64Binary)

• Description of the leg amount when represented through an encoded image.

Or

variance (exactly one occurrence; of the type Variance)

• Specifies Variance for Variance Leg

calculationDates (zero or one occurrence; of the type AdjustableRelativeOrPeriodicDates)

• Specifies the date ion which a calculation or an observation will be performed for the purpose of defining the Equity Amount, and in accordance to the definition terms of this latter.

Used by:

• InterestLeg/interestAmount

Derived Types:

• ReturnSwapAmount

Schema Fragment:

<xsd:complexType name="LegAmount">
  <xsd:annotation>
    <xsd:documentation xml:lang="en">
      A type describing the amount that will paid or received on each
      of the payment dates. This type is used to define both the Equity
      Amount and the Interest Amount.
    </xsd:documentation>
  </xsd:annotation>
  <xsd:sequence>
    <xsd:element name="paymentCurrency" type="PaymentCurrency" minOccurs="0">
      <xsd:annotation>
        <xsd:documentation xml:lang="en">
          Currency in which the payment relating to the leg amount
          (equity amount or interest amount) or the dividend will be
          denominated.
        </xsd:documentation>
      </xsd:annotation>
    </xsd:element>
    <xsd:choice>
      <xsd:element name="referenceAmount" type="ReferenceAmount">
        <xsd:annotation>
          <xsd:documentation xml:lang="en">
            Specifies the reference Amount when this term either
            corresponds to the standard ISDA Definition (either the
            2002 Equity Definition for the Equity Amount, or the 2000
            Definition for the Interest Amount), or points to a term
            defined elsewhere in the swap document.
          </xsd:documentation>
        </xsd:annotation>
      </xsd:element>
      <xsd:element name="formula" type="Formula">
        <xsd:annotation>
          <xsd:documentation xml:lang="en">
            Specifies a formula, with its description and components.
          </xsd:documentation>
        </xsd:annotation>
      </xsd:element>
      <xsd:element name="encodedDescription" type="xsd:base64Binary">
        <xsd:annotation>
          <xsd:documentation xml:lang="en">
            Description of the leg amount when represented through an
            encoded image.
          </xsd:documentation>
        </xsd:annotation>
      </xsd:element>
      <xsd:element name="variance" type="Variance">
        <xsd:annotation>
          <xsd:documentation xml:lang="en">
            Specifies Variance for Variance Leg
          </xsd:documentation>
        </xsd:annotation>
      </xsd:element>
    </xsd:choice>
    <xsd:element name="calculationDates" type="AdjustableRelativeOrPeriodicDates" minOccurs="0">
      <xsd:annotation>
        <xsd:documentation xml:lang="en">
          Specifies the date ion which a calculation or an observation
          will be performed for the purpose of defining the Equity
          Amount, and in accordance to the definition terms of this
          latter.
        </xsd:documentation>
      </xsd:annotation>
    </xsd:element>
  </xsd:sequence>
</xsd:complexType>

---

Math

Description:

Figure:

Contents:

Used by:

• Formula/math
• InterestRateStream/formula

Schema Fragment:

<xsd:complexType name="Math" mixed="true">
  <xsd:sequence>
    <xsd:any namespace="##any" processContents="skip" maxOccurs="unbounded"/>
  </xsd:sequence>
</xsd:complexType>

---

PrincipalExchangeAmount

Description:

Specifies the principal exchange amount, either by explicitly defining it, or by point to an amount defined somewhere else in the swap document.

Figure:

Contents:

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

amountRelativeTo (exactly one occurrence; of the type Reference)

Or

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

• Specifies the method according to which an amount or a date is determined.

Or

principalAmount (exactly one occurrence; of the type Money)

• Principal exchange amount when explictly stated.

Used by:

• PrincipalExchangeDescriptions/principalExchangeAmount

Schema Fragment:

<xsd:complexType name="PrincipalExchangeAmount">
  <xsd:annotation>
    <xsd:documentation xml:lang="en">
      Specifies the principal exchange amount, either by explicitly
      defining it, or by point to an amount defined somewhere else in
      the swap document.
    </xsd:documentation>
  </xsd:annotation>
  <xsd:choice>
    <xsd:element name="amountRelativeTo" type="Reference"/>
    <xsd:element name="determinationMethod" type="xsd:string">
      <xsd:annotation>
        <xsd:documentation xml:lang="en">
          Specifies the method according to which an amount or a date
          is determined.
        </xsd:documentation>
      </xsd:annotation>
    </xsd:element>
    <xsd:element name="principalAmount" type="Money">
      <xsd:annotation>
        <xsd:documentation xml:lang="en">
          Principal exchange amount when explictly stated.
        </xsd:documentation>
      </xsd:annotation>
    </xsd:element>
  </xsd:choice>
</xsd:complexType>

---

PrincipalExchangeDescriptions

Description:

Specifies each of the characteristics of the principal exchange cashflows, in terms of paying/receiving counterparties, amounts and dates.

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.

principalExchangeAmount (exactly one occurrence; of the type PrincipalExchangeAmount)

• Specifies the principal echange amount, either by explicitly defining it, or by point to an amount defined somewhere else in the swap document.

principalExchangeDate (exactly one occurrence; of the type AdjustableOrRelativeDate)

• Date on which each of the principal exchanges will take place. This date is either explictly stated, or is defined by reference to another date in the swap document. In this latter case, it will typically refer to one other date of the equity leg: either the effective date (initial exchange), or the last payment date (final exchange).

Used by:

• PrincipalExchangeFeatures/principalExchangeDescriptions

Schema Fragment:

<xsd:complexType name="PrincipalExchangeDescriptions">
  <xsd:annotation>
    <xsd:documentation xml:lang="en">
      Specifies each of the characteristics of the principal exchange
      cashflows, in terms of paying/receiving counterparties, amounts
      and dates.
    </xsd:documentation>
  </xsd:annotation>
  <xsd:sequence>
    <xsd:group ref="PayerReceiver.model"/>
    <xsd:element name="principalExchangeAmount" type="PrincipalExchangeAmount">
      <xsd:annotation>
        <xsd:documentation xml:lang="en">
          Specifies the principal echange amount, either by explicitly
          defining it, or by point to an amount defined somewhere else
          in the swap document.
        </xsd:documentation>
      </xsd:annotation>
    </xsd:element>
    <xsd:element name="principalExchangeDate" type="AdjustableOrRelativeDate">
      <xsd:annotation>
        <xsd:documentation xml:lang="en">
          Date on which each of the principal exchanges will take
          place. This date is either explictly stated, or is defined by
          reference to another date in the swap document. In this
          latter case, it will typically refer to one other date of the
          equity leg: either the effective date (initial exchange), or
          the last payment date (final exchange).
        </xsd:documentation>
      </xsd:annotation>
    </xsd:element>
  </xsd:sequence>
</xsd:complexType>

---

PrincipalExchangeFeatures

Description:

A type describing the principal exchange features of the equity swap.

Figure:

Contents:

principalExchanges (exactly one occurrence; of the type PrincipalExchanges)

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

principalExchangeDescriptions (one or more occurrences; of the type PrincipalExchangeDescriptions)

• Specifies each of the characteristics of the principal exchange cashflows, in terms of paying/receiving counterparties, amounts and dates.

Used by:

• ReturnSwap/principalExchangeFeatures

Schema Fragment:

<xsd:complexType name="PrincipalExchangeFeatures">
  <xsd:annotation>
    <xsd:documentation xml:lang="en">
      A type describing the principal exchange features of the equity
      swap.
    </xsd:documentation>
  </xsd:annotation>
  <xsd:sequence>
    <xsd:element name="principalExchanges" type="PrincipalExchanges">
      <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="principalExchangeDescriptions" type="PrincipalExchangeDescriptions" maxOccurs="unbounded">
      <xsd:annotation>
        <xsd:documentation xml:lang="en">
          Specifies each of the characteristics of the principal
          exchange cashflows, in terms of paying/receiving
          counterparties, amounts and dates.
        </xsd:documentation>
      </xsd:annotation>
    </xsd:element>
  </xsd:sequence>
</xsd:complexType>

---

Return

Description:

A type describing the dividend return conditions applicable to the swap.

Figure:

Contents:

returnType (exactly one occurrence; of the type ReturnTypeEnum)

• Defines the type of return associated with the equity swap.

dividendConditions (zero or one occurrence; of the type DividendConditions)

• Specifies the conditions governing the payment of the dividends to the receiver of the equity return. With the exception of the dividend payout ratio, which is defined for each of the underlying components.

Used by:

• DeprecatedEquityLeg/return
• ReturnLeg/return

Schema Fragment:

<xsd:complexType name="Return">
  <xsd:annotation>
    <xsd:documentation xml:lang="en">
      A type describing the dividend return conditions applicable to
      the swap.
    </xsd:documentation>
  </xsd:annotation>
  <xsd:sequence>
    <xsd:element name="returnType" type="ReturnTypeEnum">
      <xsd:annotation>
        <xsd:documentation xml:lang="en">
          Defines the type of return associated with the equity swap.
        </xsd:documentation>
      </xsd:annotation>
    </xsd:element>
    <xsd:element name="dividendConditions" type="DividendConditions" minOccurs="0">
      <xsd:annotation>
        <xsd:documentation xml:lang="en">
          Specifies the conditions governing the payment of the
          dividends to the receiver of the equity return. With the
          exception of the dividend payout ratio, which is defined for
          each of the underlying components.
        </xsd:documentation>
      </xsd:annotation>
    </xsd:element>
  </xsd:sequence>
</xsd:complexType>

---

ReturnLeg

Description:

A type describing the return leg of a return type swap.

Figure:

Contents:

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

• The abstract base class for all types of Return Swap Leg.

effectiveDate (exactly one occurrence; of the type AdjustableOrRelativeDate)

• Specifies the effective date of the return leg of the swap. When defined in relation to a date specified somewhere else in the document (through the relativeDate component), this element will typically point to the effective date of the other leg of the swap.

terminationDate (exactly one occurrence; of the type AdjustableOrRelativeDate)

• Specifies the termination date of the return leg of the swap. When defined in relation to a date specified somewhere else in the document (through the relativeDate component), this element will typically point to the termination date of the other leg of the swap.

underlyer (exactly one occurrence; of the type Underlyer)

• Specifies the underlying component of the return type swap, which can be either one or many and consists in either equity, index or convertible bond component, or a combination of these.

rateOfReturn (exactly one occurrence; of the type ReturnLegValuation)

• Element named "valuation" in versions prior to FpML 4.2 Second Working Draft. Specifies the terms of the initial price of the return type swap and of the subsequent valuations of the underlyer.

notional (exactly one occurrence; of the type ReturnSwapNotional)

• Specifies the notional of a return type swap. When used in the equity leg, the definition will typically combine the actual amount (using the notional component defined by the FpML industry group) and the determination method. When used in the interest leg, the definition will typically point to the definition of the equity leg.

amount (exactly one occurrence; of the type ReturnSwapAmount)

• Element named "equityAmount" in versions prior to FpML 4.2 Second Working Draft. Specifies, in relation to each Payment Date, the amount to which the Payment Date relates. For equity swaps this element is equivalent to the Equity Amount term as defined in the ISDA 2002 Equity Derivatives Definitions.

return (exactly one occurrence; of the type Return)

• Specifies the conditions under which dividend affecting the underlyer will be paid to the receiver of the amounts.

notionalAdjustments (exactly one occurrence; of the type NotionalAdjustmentEnum)

• Specifies the conditions that govern the adjustment to the number of units of the equity swap.

fxFeature (zero or one occurrence; of the type FxFeature)

• A quanto or composite FX feature.

Used by:

Extension of:

• ReturnSwapLeg

Schema Fragment:

<xsd:complexType name="ReturnLeg">
  <xsd:annotation>
    <xsd:documentation xml:lang="en">
      A type describing the return leg of a return type swap.
    </xsd:documentation>
  </xsd:annotation>
  <xsd:complexContent>
    <xsd:extension base="ReturnSwapLeg">
      <xsd:sequence>
        <xsd:element name="effectiveDate" type="AdjustableOrRelativeDate">
          <xsd:annotation>
            <xsd:documentation xml:lang="en">
              Specifies the effective date of the return leg of the
              swap. When defined in relation to a date specified
              somewhere else in the document (through the relativeDate
              component), this element will typically point to the
              effective date of the other leg of the swap.
            </xsd:documentation>
          </xsd:annotation>
        </xsd:element>
        <xsd:element name="terminationDate" type="AdjustableOrRelativeDate">
          <xsd:annotation>
            <xsd:documentation xml:lang="en">
              Specifies the termination date of the return leg of the
              swap. When defined in relation to a date specified
              somewhere else in the document (through the relativeDate
              component), this element will typically point to the
              termination date of the other leg of the swap.
            </xsd:documentation>
          </xsd:annotation>
        </xsd:element>
        <xsd:element name="underlyer" type="Underlyer">
          <xsd:annotation>
            <xsd:documentation xml:lang="en">
              Specifies the underlying component of the return type
              swap, which can be either one or many and consists in
              either equity, index or convertible bond component, or a
              combination of these.
            </xsd:documentation>
          </xsd:annotation>
        </xsd:element>
        <xsd:element name="rateOfReturn" type="ReturnLegValuation">
          <xsd:annotation>
            <xsd:documentation xml:lang="en">
              Element named "valuation" in versions prior to FpML 4.2
              Second Working Draft. Specifies the terms of the initial
              price of the return type swap and of the subsequent
              valuations of the underlyer.
            </xsd:documentation>
          </xsd:annotation>
        </xsd:element>
        <xsd:element name="notional" type="ReturnSwapNotional">
          <xsd:annotation>
            <xsd:documentation xml:lang="en">
              Specifies the notional of a return type swap. When used
              in the equity leg, the definition will typically combine
              the actual amount (using the notional component defined
              by the FpML industry group) and the determination method.
              When used in the interest leg, the definition will
              typically point to the definition of the equity leg.
            </xsd:documentation>
          </xsd:annotation>
        </xsd:element>
        <xsd:element name="amount" type="ReturnSwapAmount">
          <xsd:annotation>
            <xsd:documentation xml:lang="en">
              Element named "equityAmount" in versions prior to FpML
              4.2 Second Working Draft. Specifies, in relation to each
              Payment Date, the amount to which the Payment Date
              relates. For equity swaps this element is equivalent to
              the Equity Amount term as defined in the ISDA 2002 Equity
              Derivatives Definitions.
            </xsd:documentation>
          </xsd:annotation>
        </xsd:element>
        <xsd:element name="return" type="Return">
          <xsd:annotation>
            <xsd:documentation xml:lang="en">
              Specifies the conditions under which dividend affecting
              the underlyer will be paid to the receiver of the
              amounts.
            </xsd:documentation>
          </xsd:annotation>
        </xsd:element>
        <xsd:element name="notionalAdjustments" type="NotionalAdjustmentEnum">
          <xsd:annotation>
            <xsd:documentation xml:lang="en">
              Specifies the conditions that govern the adjustment to
              the number of units of the equity swap.
            </xsd:documentation>
          </xsd:annotation>
        </xsd:element>
        <xsd:element name="fxFeature" type="FxFeature" minOccurs="0">
          <xsd:annotation>
            <xsd:documentation xml:lang="en">
              A quanto or composite FX feature.
            </xsd:documentation>
            <xsd:documentation xml:lang="de">
              Quanto- oder Komposit-Devisenbestandteil.
            </xsd:documentation>
          </xsd:annotation>
        </xsd:element>
      </xsd:sequence>
    </xsd:extension>
  </xsd:complexContent>
</xsd:complexType>

---

ReturnLegValuation

Description:

A type describing the initial and final valuation of the underlyer.

Figure:

Contents:

initialPrice (exactly one occurrence; of the type ReturnLegValuationPrice)

• Specifies the initial reference price of the underlyer. This price can be expressed either as an actual amount/currency, as a determination method, or by reference to another value specified in the swap document.

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

• Element named "equityNotionalReset" in versions prior to FpML 4.2 Second Working Draft. For equity swaps, this element is equivalent to the term "Equity Notional Reset" as defined in the ISDA 2002 Equity Derivatives Definitions. The reference to the ISDA definition is either "Applicable" or 'Inapplicable".

valuationPriceInterim (zero or one occurrence; of the type ReturnLegValuationPrice)

• Specifies the interim valuation price of the underlyer. This price can be expressed either as an actual amount/currency, as a determination method, or by reference to another value specified in the swap document.

valuationPriceFinal (exactly one occurrence; of the type ReturnLegValuationPrice)

• Specifies the final valuation price of the underlyer. This price can be expressed either as an actual amount/currency, as a determination method, or by reference to another value specified in the swap document.

paymentDates (exactly one occurrence; of the type ReturnSwapPaymentDates)

• Element named "equityPaymentDates" in versions prior to FpML 4.2 Second Working Draft. Specifies the payment dates of the swap.

Used by:

• ReturnLeg/rateOfReturn

Schema Fragment:

<xsd:complexType name="ReturnLegValuation">
  <xsd:annotation>
    <xsd:documentation xml:lang="en">
      A type describing the initial and final valuation of the
      underlyer.
    </xsd:documentation>
  </xsd:annotation>
  <xsd:sequence>
    <xsd:element name="initialPrice" type="ReturnLegValuationPrice">
      <xsd:annotation>
        <xsd:documentation xml:lang="en">
          Specifies the initial reference price of the underlyer. This
          price can be expressed either as an actual amount/currency,
          as a determination method, or by reference to another value
          specified in the swap document.
        </xsd:documentation>
      </xsd:annotation>
    </xsd:element>
    <xsd:element name="notionalReset" type="xsd:boolean">
      <xsd:annotation>
        <xsd:documentation xml:lang="en">
          Element named "equityNotionalReset" in versions prior to FpML
          4.2 Second Working Draft. For equity swaps, this element is
          equivalent to the term "Equity Notional Reset" as defined in
          the ISDA 2002 Equity Derivatives Definitions. The reference
          to the ISDA definition is either "Applicable" or
          'Inapplicable".
        </xsd:documentation>
      </xsd:annotation>
    </xsd:element>
    <xsd:element name="valuationPriceInterim" type="ReturnLegValuationPrice" minOccurs="0">
      <xsd:annotation>
        <xsd:documentation xml:lang="en">
          Specifies the interim valuation price of the underlyer. This
          price can be expressed either as an actual amount/currency,
          as a determination method, or by reference to another value
          specified in the swap document.
        </xsd:documentation>
      </xsd:annotation>
    </xsd:element>
    <xsd:element name="valuationPriceFinal" type="ReturnLegValuationPrice">
      <xsd:annotation>
        <xsd:documentation xml:lang="en">
          Specifies the final valuation price of the underlyer. This
          price can be expressed either as an actual amount/currency,
          as a determination method, or by reference to another value
          specified in the swap document.
        </xsd:documentation>
      </xsd:annotation>
    </xsd:element>
    <xsd:element name="paymentDates" type="ReturnSwapPaymentDates">
      <xsd:annotation>
        <xsd:documentation xml:lang="en">
          Element named "equityPaymentDates" in versions prior to FpML
          4.2 Second Working Draft. Specifies the payment dates of the
          swap.
        </xsd:documentation>
      </xsd:annotation>
    </xsd:element>
  </xsd:sequence>
</xsd:complexType>

---

ReturnLegValuationPrice

Description:

Figure:

Contents:

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

• A type describing the strike price.

valuationRules (zero or one occurrence; of the type EquityValuation)

• Element named "equityValuation" in versions prior to FpML 4.2 Second Working Draft.

Used by:

• ReturnLegValuation/initialPrice
• ReturnLegValuation/valuationPriceFinal
• ReturnLegValuation/valuationPriceInterim

Extension of:

• Price

Schema Fragment:

<xsd:complexType name="ReturnLegValuationPrice">
  <xsd:complexContent>
    <xsd:extension base="Price">
      <xsd:sequence>
        <xsd:element name="valuationRules" type="EquityValuation" minOccurs="0">
          <xsd:annotation>
            <xsd:documentation xml:lang="en">
              Element named "equityValuation" in versions prior to FpML
              4.2 Second Working Draft.
            </xsd:documentation>
          </xsd:annotation>
        </xsd:element>
      </xsd:sequence>
    </xsd:extension>
  </xsd:complexContent>
</xsd:complexType>

---

ReturnSwap

Description:

A type describing return swaps including equity swaps (long form), total return swaps, and variance swaps.

Figure:

Contents:

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

• A type describing the components that are common for return type swaps, including short and long form equity swaps representations.

principalExchangeFeatures (zero or one occurrence; of the type PrincipalExchangeFeatures)

• Specifies the principal exchange features of the equity swap.

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

• Specifies additional payment(s) between the principal parties to the trade. This component extends some of the features of the additionalPayment component developed by the FpML industry group. Appropriate discussions will determine whether it would be appropriate to extend the shared component in order to meet the further requirements of equity swaps.

earlyTermination (zero or more occurrences; of the type ReturnSwapEarlyTermination)

• Specifies, for one or for both the parties to the trade, the date from which it can early terminate it.

extraordinaryEvents (zero or one occurrence; of the type ExtraordinaryEvents)

• Where the underlying is shares, specifies events affecting the issuer of those shares that may require the terms of the transaction to be adjusted.

Used by:

Extension of:

• ReturnSwapBase

Schema Fragment:

<xsd:complexType name="ReturnSwap">
  <xsd:annotation>
    <xsd:documentation xml:lang="en">
      A type describing return swaps including equity swaps (long
      form), total return swaps, and variance swaps.
    </xsd:documentation>
  </xsd:annotation>
  <xsd:complexContent>
    <xsd:extension base="ReturnSwapBase">
      <xsd:sequence>
        <xsd:element name="principalExchangeFeatures" type="PrincipalExchangeFeatures" minOccurs="0">
          <xsd:annotation>
            <xsd:documentation xml:lang="en">
              Specifies the principal exchange features of the equity
              swap.
            </xsd:documentation>
          </xsd:annotation>
        </xsd:element>
        <xsd:element name="additionalPayment" type="ReturnSwapAdditionalPayment" minOccurs="0" maxOccurs="unbounded">
          <xsd:annotation>
            <xsd:documentation xml:lang="en">
              Specifies additional payment(s) between the principal
              parties to the trade. This component extends some of the
              features of the additionalPayment component developed by
              the FpML industry group. Appropriate discussions will
              determine whether it would be appropriate to extend the
              shared component in order to meet the further
              requirements of equity swaps.
            </xsd:documentation>
          </xsd:annotation>
        </xsd:element>
        <xsd:element name="earlyTermination" type="ReturnSwapEarlyTermination" minOccurs="0" maxOccurs="unbounded">
          <xsd:annotation>
            <xsd:documentation xml:lang="en">
              Specifies, for one or for both the parties to the trade,
              the date from which it can early terminate it.
            </xsd:documentation>
          </xsd:annotation>
        </xsd:element>
        <xsd:element name="extraordinaryEvents" type="ExtraordinaryEvents" minOccurs="0">
          <xsd:annotation>
            <xsd:documentation xml:lang="en">
              Where the underlying is shares, specifies events
              affecting the issuer of those shares that may require the
              terms of the transaction to be adjusted.
            </xsd:documentation>
            <xsd:documentation xml:lang="de">
              Ist der Basiswert eine Aktie, werden hiermit Ereignisse
              angegeben, die den Emittenten der Aktie betreffen und die
              eine Anpassung der Transaktionsbedingungen erfordern
              können.
            </xsd:documentation>
          </xsd:annotation>
        </xsd:element>
      </xsd:sequence>
    </xsd:extension>
  </xsd:complexContent>
</xsd:complexType>

---

ReturnSwapAdditionalPayment

Description:

A type describing the additional payment(s) between the principal parties to the trade. This component extends some of the features of the additionalPayment component previously developed in FpML. Appropriate discussions will determine whether it would be appropriate to extend the shared component in order to meet the further requirements of equity swaps.

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.

additionalPaymentAmount (exactly one occurrence; of the type AdditionalPaymentAmount)

• Specifies the amount of the fee along with, when applicable, the formula that supports its determination.

additionalPaymentDate (exactly one occurrence; of the type AdjustableOrRelativeDate)

• Specifies the value date of the fee payment/receipt.

paymentType (zero or one occurrence; of the type PaymentType)

Used by:

• ReturnSwap/additionalPayment

Schema Fragment:

<xsd:complexType name="ReturnSwapAdditionalPayment">
  <xsd:annotation>
    <xsd:documentation xml:lang="en">
      A type describing the additional payment(s) between the principal
      parties to the trade. This component extends some of the features
      of the additionalPayment component previously developed in FpML.
      Appropriate discussions will determine whether it would be
      appropriate to extend the shared component in order to meet the
      further requirements of equity swaps.
    </xsd:documentation>
  </xsd:annotation>
  <xsd:sequence>
    <xsd:group ref="PayerReceiver.model"/>
    <xsd:element name="additionalPaymentAmount" type="AdditionalPaymentAmount">
      <xsd:annotation>
        <xsd:documentation xml:lang="en">
          Specifies the amount of the fee along with, when applicable,
          the formula that supports its determination.
        </xsd:documentation>
      </xsd:annotation>
    </xsd:element>
    <xsd:element name="additionalPaymentDate" type="AdjustableOrRelativeDate">
      <xsd:annotation>
        <xsd:documentation xml:lang="en">
          Specifies the value date of the fee payment/receipt.
        </xsd:documentation>
      </xsd:annotation>
    </xsd:element>
    <xsd:element name="paymentType" type="PaymentType" minOccurs="0"/>
  </xsd:sequence>
</xsd:complexType>

---

ReturnSwapAmount

Description:

Specifies, in relation to each Payment Date, the amount to which the Payment Date relates. For Equity Swaps this element is equivalent to the Equity Amount term as defined in the ISDA 2002 Equity Derivatives Definitions.

Figure:

Contents:

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

• A type describing the amount that will paid or received on each of the payment dates. This type is used to define both the Equity Amount and the Interest Amount.

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

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

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

Used by:

• DeprecatedEquityLeg/equityAmount
• ReturnLeg/amount

Extension of:

• LegAmount

Derived Types:

• VarianceAmount

Schema Fragment:

<xsd:complexType name="ReturnSwapAmount">
  <xsd:annotation>
    <xsd:documentation xml:lang="en">
      Specifies, in relation to each Payment Date, the amount to which
      the Payment Date relates. For Equity Swaps this element is
      equivalent to the Equity Amount term as defined in the ISDA 2002
      Equity Derivatives Definitions.
    </xsd:documentation>
  </xsd:annotation>
  <xsd:complexContent>
    <xsd:extension base="LegAmount">
      <xsd:sequence>
        <xsd:element name="cashSettlement" type="xsd:boolean"/>
        <xsd:element name="optionsExchangeDividends" type="xsd:boolean" minOccurs="0"/>
        <xsd:element name="additionalDividends" type="xsd:boolean" minOccurs="0"/>
      </xsd:sequence>
    </xsd:extension>
  </xsd:complexContent>
</xsd:complexType>

---

ReturnSwapBase

Description:

A type describing the components that are common for return type swaps, including short and long form equity swaps representations.

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.

returnSwapLeg (one or more occurrences; of the type ReturnSwapLeg)

• An placeholder for the actual Return Swap Leg definition.

Used by:

Extension of:

• Product

Derived Types:

• EquitySwapTransactionSupplement
• ReturnSwap

Schema Fragment:

<xsd:complexType name="ReturnSwapBase">
  <xsd:annotation>
    <xsd:documentation xml:lang="en">
      A type describing the components that are common for return type
      swaps, including short and long form equity swaps
      representations.
    </xsd:documentation>
  </xsd:annotation>
  <xsd:complexContent>
    <xsd:extension base="Product">
      <xsd:sequence>
        <xsd:group ref="BuyerSeller.model" minOccurs="0">
          <xsd:annotation>
            <xsd:documentation xml:lang="en">
              BuyerSeller.model has been included as an optional child
              of ReturnSwapBase to support the situation where an
              implementor wishes to indicate who has manufactured the
              Swap through representing them as the Seller. It may be
              removed in future major revisions.
            </xsd:documentation>
          </xsd:annotation>
        </xsd:group>
        <xsd:element ref="returnSwapLeg" maxOccurs="unbounded"/>
      </xsd:sequence>
    </xsd:extension>
  </xsd:complexContent>
</xsd:complexType>

---

ReturnSwapEarlyTermination

Description:

A type describing the date from which each of the party may be allowed to terminate the trade.

Figure:

Contents:

partyReference (exactly one occurrence; of the type Reference)

startingDate (exactly one occurrence; of the type StartingDate)

• Specifies the date from which the early termination clause can be exercised.

Used by:

• ReturnSwap/earlyTermination

Schema Fragment:

<xsd:complexType name="ReturnSwapEarlyTermination">
  <xsd:annotation>
    <xsd:documentation xml:lang="en">
      A type describing the date from which each of the party may be
      allowed to terminate the trade.
    </xsd:documentation>
  </xsd:annotation>
  <xsd:sequence>
    <xsd:element name="partyReference" type="Reference"/>
    <xsd:element name="startingDate" type="StartingDate">
      <xsd:annotation>
        <xsd:documentation xml:lang="en">
          Specifies the date from which the early termination clause
          can be exercised.
        </xsd:documentation>
      </xsd:annotation>
    </xsd:element>
  </xsd:sequence>
</xsd:complexType>

---

ReturnSwapLeg

Description:

The abstract base class for all types of Return Swap Leg.

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.

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

• Frequency at which this leg pays.

Attribute: legIdentifier (xsd:ID)

Used by:

Derived Types:

• DeprecatedEquityLeg
• InterestLeg
• ReturnLeg
• VarianceLeg

Schema Fragment:

<xsd:complexType name="ReturnSwapLeg" abstract="true">
  <xsd:annotation>
    <xsd:documentation xml:lang="en">
      The abstract base class for all types of Return Swap Leg.
    </xsd:documentation>
  </xsd:annotation>
  <xsd:sequence>
    <xsd:group ref="PayerReceiver.model"/>
    <xsd:element name="paymentFrequency" type="Interval" minOccurs="0">
      <xsd:annotation>
        <xsd:documentation xml:lang="en">
          Frequency at which this leg pays.
        </xsd:documentation>
      </xsd:annotation>
    </xsd:element>
  </xsd:sequence>
  <xsd:attribute name="legIdentifier" type="xsd:ID"/>
</xsd:complexType>

---

ReturnSwapNotional

Description:

Specifies the notional of return type swap. When used in the equity leg, the definition will typically combine the actual amount (using the notional component defined by the FpML industry group) and the determination method. When used in the interest leg, the definition will typically point to the definition of the equity leg.

Figure:

Contents:

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

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

• Specifies the method according to which an amount or a date is determined.

Or

notionalAmount (exactly one occurrence; of the type Money)

• The notional amount.

Or

amountRelativeTo (exactly one occurrence; of the type Reference)

Attribute: id (xsd:ID)

Used by:

• DeprecatedEquityLeg/notional
• InterestLeg/notional
• ReturnLeg/notional

Schema Fragment:

<xsd:complexType name="ReturnSwapNotional">
  <xsd:annotation>
    <xsd:documentation xml:lang="en">
      Specifies the notional of return type swap. When used in the
      equity leg, the definition will typically combine the actual
      amount (using the notional component defined by the FpML industry
      group) and the determination method. When used in the interest
      leg, the definition will typically point to the definition of the
      equity leg.
    </xsd:documentation>
  </xsd:annotation>
  <xsd:choice>
    <xsd:element name="determinationMethod" type="xsd:string">
      <xsd:annotation>
        <xsd:documentation xml:lang="en">
          Specifies the method according to which an amount or a date
          is determined.
        </xsd:documentation>
      </xsd:annotation>
    </xsd:element>
    <xsd:element name="notionalAmount" type="Money">
      <xsd:annotation>
        <xsd:documentation xml:lang="en">
          The notional amount.
        </xsd:documentation>
      </xsd:annotation>
    </xsd:element>
    <xsd:element name="amountRelativeTo" type="Reference"/>
  </xsd:choice>
  <xsd:attribute name="id" type="xsd:ID"/>
</xsd:complexType>

---

ReturnSwapPaymentDates

Description:

A type describing the return payment dates of the swap.

Figure:

Contents:

paymentDatesInterim (zero or one occurrence; of the type AdjustableOrRelativeDates)

• Element named "equityPaymentDatesInterim" in versions prior to FpML 4.2 Second Working Draft. Specifies the interim payment dates of the swap. When defined in relation to a date specified somewhere else in the document (through the relativeDates component), this element will typically refer to the valuation dates and add a lag corresponding to the settlement cycle of the underlyer.

paymentDateFinal (exactly one occurrence; of the type AdjustableOrRelativeDate)

• Element named "equityPaymentDateFinal" in versions prior to FpML 4.2 Second Working Draft. Specifies the final payment date of the swap. When defined in relation to a date specified somewhere else in the document (through the relativeDate component), this element will typically refer to the final valuation date and add a lag corresponding to the settlement cycle of the underlyer.

Attribute: id (xsd:ID)

Used by:

• ReturnLegValuation/paymentDates

Schema Fragment:

<xsd:complexType name="ReturnSwapPaymentDates">
  <xsd:annotation>
    <xsd:documentation xml:lang="en">
      A type describing the return payment dates of the swap.
    </xsd:documentation>
  </xsd:annotation>
  <xsd:sequence>
    <xsd:element name="paymentDatesInterim" type="AdjustableOrRelativeDates" minOccurs="0">
      <xsd:annotation>
        <xsd:documentation xml:lang="en">
          Element named "equityPaymentDatesInterim" in versions prior
          to FpML 4.2 Second Working Draft. Specifies the interim
          payment dates of the swap. When defined in relation to a date
          specified somewhere else in the document (through the
          relativeDates component), this element will typically refer
          to the valuation dates and add a lag corresponding to the
          settlement cycle of the underlyer.
        </xsd:documentation>
      </xsd:annotation>
    </xsd:element>
    <xsd:element name="paymentDateFinal" type="AdjustableOrRelativeDate">
      <xsd:annotation>
        <xsd:documentation xml:lang="en">
          Element named "equityPaymentDateFinal" in versions prior to
          FpML 4.2 Second Working Draft. Specifies the final payment
          date of the swap. When defined in relation to a date
          specified somewhere else in the document (through the
          relativeDate component), this element will typically refer to
          the final valuation date and add a lag corresponding to the
          settlement cycle of the underlyer.
        </xsd:documentation>
      </xsd:annotation>
    </xsd:element>
  </xsd:sequence>
  <xsd:attribute name="id" type="xsd:ID"/>
</xsd:complexType>

---

StartingDate

Description:

A type specifying the date from which the early termination clause can be exercised.

Figure:

Contents:

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

dateRelativeTo (exactly one occurrence; of the type Reference)

• Specifies the anchor as an href attribute. The href attribute value is a pointer style reference to the element or component elsewhere in the document where the anchor date is defined.

Or

adjustableDate (exactly one occurrence; of the type AdjustableDate)

Used by:

• ReturnSwapEarlyTermination/startingDate
• VarianceAmount/observationStartDate

Schema Fragment:

<xsd:complexType name="StartingDate">
  <xsd:annotation>
    <xsd:documentation xml:lang="en">
      A type specifying the date from which the early termination
      clause can be exercised.
    </xsd:documentation>
  </xsd:annotation>
  <xsd:choice>
    <xsd:element name="dateRelativeTo" type="Reference">
      <xsd:annotation>
        <xsd:documentation xml:lang="en">
          Specifies the anchor as an href attribute. The href attribute
          value is a pointer style reference to the element or
          component elsewhere in the document where the anchor date is
          defined.
        </xsd:documentation>
      </xsd:annotation>
    </xsd:element>
    <xsd:element name="adjustableDate" type="AdjustableDate"/>
  </xsd:choice>
</xsd:complexType>

---

StubCalculationPeriod

Description:

A type describing the Stub Calculation Period

Figure:

Contents:

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

finalStub (exactly one occurrence; of the type Stub)

Used by:

• InterestLeg/stubCalculationPeriod

Schema Fragment:

<xsd:complexType name="StubCalculationPeriod">
  <xsd:annotation>
    <xsd:documentation xml:lang="en">
      A type describing the Stub Calculation Period
    </xsd:documentation>
  </xsd:annotation>
  <xsd:choice>
    <xsd:sequence>
      <xsd:element name="initialStub" type="Stub"/>
      <xsd:element name="finalStub" type="Stub" minOccurs="0"/>
    </xsd:sequence>
    <xsd:element name="finalStub" type="Stub"/>
  </xsd:choice>
</xsd:complexType>

---

Variance

Description:

A type describing the variance amount of a variance swap

Figure:

Contents:

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

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

Or

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

varianceAmount (exactly one occurrence; of the type Money)

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

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

Or

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

expectedN (zero or one occurrence; of the type xsd:integer)

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

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

• For use when varianceCap is applicable. Contains the scaling factor of the Variance Cap that can differ on a trade-by-trade basis in the European market. For example, a Variance Cap of 2.5^2 x Variance Strike Price has an unadjustedVarianceCap of 2.5.

exchangeTradedContractNearest (zero or one occurrence; of the type ExchangeTradedContract)

Used by:

• LegAmount/variance

Schema Fragment:

<xsd:complexType name="Variance">
  <xsd:annotation>
    <xsd:documentation xml:lang="en">
      A type describing the variance amount of a variance swap
    </xsd:documentation>
  </xsd:annotation>
  <xsd:sequence>
    <xsd:choice>
      <xsd:element name="initialLevel" type="xsd:decimal"/>
      <xsd:element name="closingLevel" type="xsd:boolean"/>
    </xsd:choice>
    <xsd:element name="varianceAmount" type="Money"/>
    <xsd:choice>
      <xsd:element name="volatilityStrikePrice" type="xsd:decimal"/>
      <xsd:element name="varianceStrikePrice" type="xsd:decimal"/>
    </xsd:choice>
    <xsd:element name="expectedN" type="xsd:integer" minOccurs="0"/>
    <xsd:element name="varianceCap" type="xsd:boolean" minOccurs="0"/>
    <xsd:element name="unadjustedVarianceCap" type="xsd:decimal" minOccurs="0">
      <xsd:annotation>
        <xsd:documentation xml:lang="en">
          For use when varianceCap is applicable. Contains the scaling
          factor of the Variance Cap that can differ on a
          trade-by-trade basis in the European market. For example, a
          Variance Cap of 2.5^2 x Variance Strike Price has an
          unadjustedVarianceCap of 2.5.
        </xsd:documentation>
      </xsd:annotation>
    </xsd:element>
    <xsd:element name="exchangeTradedContractNearest" type="ExchangeTradedContract" minOccurs="0"/>
  </xsd:sequence>
</xsd:complexType>

---

VarianceAmount

Description:

Specifies, in relation to each Equity Payment Date, the amount to which the Equity Payment Date relates for Variance Swaps. Unless otherwise specified, this term has the meaning defined in the ISDA 2002 Equity Derivatives Definitions.

Figure:

Contents:

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

• Specifies, in relation to each Payment Date, the amount to which the Payment Date relates. For Equity Swaps this element is equivalent to the Equity Amount term as defined in the ISDA 2002 Equity Derivatives Definitions.

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

• Typically specified as a number of days following the valuation date, such as one settlement cycle following the valuation date. Number of days can vary in the European market.

observationStartDate (zero or one occurrence; of the type StartingDate)

• The start of the period over which observations are made to determine the variance. Used when the date differs from the trade date such as for forward starting variance swaps.

Used by:

• VarianceLeg/equityAmount

Extension of:

• ReturnSwapAmount

Schema Fragment:

<xsd:complexType name="VarianceAmount">
  <xsd:annotation>
    <xsd:documentation xml:lang="en">
      Specifies, in relation to each Equity Payment Date, the amount to
      which the Equity Payment Date relates for Variance Swaps. Unless
      otherwise specified, this term has the meaning defined in the
      ISDA 2002 Equity Derivatives Definitions.
    </xsd:documentation>
  </xsd:annotation>
  <xsd:complexContent>
    <xsd:extension base="ReturnSwapAmount">
      <xsd:sequence>
        <xsd:element name="cashSettlementPaymentDate" type="AdjustableOrRelativeDate" minOccurs="0">
          <xsd:annotation>
            <xsd:documentation xml:lang="en">
              Typically specified as a number of days following the
              valuation date, such as one settlement cycle following
              the valuation date. Number of days can vary in the
              European market.
            </xsd:documentation>
          </xsd:annotation>
        </xsd:element>
        <xsd:element name="observationStartDate" type="StartingDate" minOccurs="0">
          <xsd:annotation>
            <xsd:documentation xml:lang="en">
              The start of the period over which observations are made
              to determine the variance. Used when the date differs
              from the trade date such as for forward starting variance
              swaps.
            </xsd:documentation>
          </xsd:annotation>
        </xsd:element>
      </xsd:sequence>
    </xsd:extension>
  </xsd:complexContent>
</xsd:complexType>

---

VarianceLeg

Description:

A type describing the variance leg of the equity swap.

Figure:

Contents:

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

• The abstract base class for all types of Return Swap Leg.

underlyer (exactly one occurrence; of the type Underlyer)

• Specifies the underlying component of the variance swap, which can be either one or many and consists in either equity, index or convertible bond component, or a combination of these.

equityValuation (exactly one occurrence; of the type EquityValuation)

• Equity Valuation

equityAmount (exactly one occurrence; of the type VarianceAmount)

• Specifies, in relation to each Equity Payment Date, the amount to which the Equity Payment Date relates. Unless otherwise specified, this term has the meaning defined in the ISDA 2002 Equity Derivatives Definitions.

Used by:

Extension of:

• ReturnSwapLeg

Schema Fragment:

<xsd:complexType name="VarianceLeg">
  <xsd:annotation>
    <xsd:documentation xml:lang="en">
      A type describing the variance leg of the equity swap.
    </xsd:documentation>
  </xsd:annotation>
  <xsd:complexContent>
    <xsd:extension base="ReturnSwapLeg">
      <xsd:sequence>
        <xsd:element name="underlyer" type="Underlyer">
          <xsd:annotation>
            <xsd:documentation xml:lang="en">
              Specifies the underlying component of the variance swap,
              which can be either one or many and consists in either
              equity, index or convertible bond component, or a
              combination of these.
            </xsd:documentation>
          </xsd:annotation>
        </xsd:element>
        <xsd:element name="equityValuation" type="EquityValuation">
          <xsd:annotation>
            <xsd:documentation xml:lang="en">
              Equity Valuation
            </xsd:documentation>
          </xsd:annotation>
        </xsd:element>
        <xsd:element name="equityAmount" type="VarianceAmount">
          <xsd:annotation>
            <xsd:documentation xml:lang="en">
              Specifies, in relation to each Equity Payment Date, the
              amount to which the Equity Payment Date relates. Unless
              otherwise specified, this term has the meaning defined in
              the ISDA 2002 Equity Derivatives Definitions.
            </xsd:documentation>
          </xsd:annotation>
        </xsd:element>
      </xsd:sequence>
    </xsd:extension>
  </xsd:complexContent>
</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-ird-4-2.xsd"/>
  <xsd:include schemaLocation="fpml-eq-shared-4-2.xsd"/>
  <xsd:complexType name="AdditionalPaymentAmount">
    <xsd:annotation>
      <xsd:documentation xml:lang="en">
        Specifies the amount of the fee along with, when applicable,
        the formula that supports its determination.
      </xsd:documentation>
    </xsd:annotation>
    <xsd:sequence>
      <xsd:element name="paymentAmount" type="Money" minOccurs="0">
        <xsd:annotation>
          <xsd:documentation xml:lang="en">
            The currency amount of the payment.
          </xsd:documentation>
        </xsd:annotation>
      </xsd:element>
      <xsd:element name="formula" type="Formula" minOccurs="0">
        <xsd:annotation>
          <xsd:documentation xml:lang="en">
            Specifies a formula, with its description and components.
          </xsd:documentation>
        </xsd:annotation>
      </xsd:element>
    </xsd:sequence>
  </xsd:complexType>
  <xsd:complexType name="DeprecatedEquityLeg">
    <xsd:annotation>
      <xsd:documentation xml:lang="en">
        This type has been DEPRECATED. It will be removed in the next
        FpML major version. A type describing the equity leg of a
        return type swap.
      </xsd:documentation>
    </xsd:annotation>
    <xsd:complexContent>
      <xsd:extension base="ReturnSwapLeg">
        <xsd:sequence>
          <xsd:element name="effectiveDate" type="AdjustableOrRelativeDate">
            <xsd:annotation>
              <xsd:documentation xml:lang="en">
                Specifies the effective date of the equity leg of the
                swap. When defined in relation to a date specified
                somewhere else in the document (through the
                relativeDate component), this element will typically
                point to the effective date of the other leg of the
                swap.
              </xsd:documentation>
            </xsd:annotation>
          </xsd:element>
          <xsd:element name="terminationDate" type="AdjustableOrRelativeDate">
            <xsd:annotation>
              <xsd:documentation xml:lang="en">
                Specifies the termination date of the equity leg of the
                swap. When defined in relation to a date specified
                somewhere else in the document (through the
                relativeDate component), this element will typically
                point to the termination date of the other leg of the
                swap.
              </xsd:documentation>
            </xsd:annotation>
          </xsd:element>
          <xsd:element name="underlyer" type="Underlyer">
            <xsd:annotation>
              <xsd:documentation xml:lang="en">
                Specifies the underlying component of the return type
                swap, which can be either one or many and consists in
                either equity, index or convertible bond component, or
                a combination of these.
              </xsd:documentation>
            </xsd:annotation>
          </xsd:element>
          <xsd:element name="valuation" type="DeprecatedEquityLegValuation">
            <xsd:annotation>
              <xsd:documentation xml:lang="en">
                Specifies the terms of the initial price of the return
                type swap and of the subsequent valuations of the
                equity underlyer.
              </xsd:documentation>
            </xsd:annotation>
          </xsd:element>
          <xsd:element name="notional" type="ReturnSwapNotional">
            <xsd:annotation>
              <xsd:documentation xml:lang="en">
                Specifies the notional of a return type swap. When used
                in the equity leg, the definition will typically
                combine the actual amount (using the notional component
                defined by the FpML industry group) and the
                determination method. When used in the interest leg,
                the definition will typically point to the definition
                of the equity leg.
              </xsd:documentation>
            </xsd:annotation>
          </xsd:element>
          <xsd:element name="equityAmount" type="ReturnSwapAmount">
            <xsd:annotation>
              <xsd:documentation xml:lang="en">
                Specifies, in relation to each Equity Payment Date, the
                amount to which the Equity Payment Date relates. Unless
                otherwise specified, this term has the meaning defined
                in the ISDA 2002 Equity Derivatives Definitions.
              </xsd:documentation>
            </xsd:annotation>
          </xsd:element>
          <xsd:element name="return" type="Return">
            <xsd:annotation>
              <xsd:documentation xml:lang="en">
                Specifies the conditions under which dividend affecting
                the underlyer will be paid to the receiver of the
                equity amounts.
              </xsd:documentation>
            </xsd:annotation>
          </xsd:element>
          <xsd:element name="notionalAdjustments" type="NotionalAdjustmentEnum">
            <xsd:annotation>
              <xsd:documentation xml:lang="en">
                Specifies the conditions that govern the adjustment to
                the number of units of the equity swap.
              </xsd:documentation>
            </xsd:annotation>
          </xsd:element>
          <xsd:element name="fxFeature" type="FxFeature" minOccurs="0">
            <xsd:annotation>
              <xsd:documentation xml:lang="en">
                A quanto or composite FX feature.
              </xsd:documentation>
              <xsd:documentation xml:lang="de">
                Quanto- oder Komposit-Devisenbestandteil.
              </xsd:documentation>
            </xsd:annotation>
          </xsd:element>
        </xsd:sequence>
      </xsd:extension>
    </xsd:complexContent>
  </xsd:complexType>
  <xsd:complexType name="DeprecatedEquityLegValuation">
    <xsd:annotation>
      <xsd:documentation xml:lang="en">
        This type has been DEPRECATED. It will be removed in the next
        FpML major version. A type describing the initial and final
        valuation of the equity underlyer.
      </xsd:documentation>
    </xsd:annotation>
    <xsd:sequence>
      <xsd:element name="initialPrice" type="DeprecatedEquityLegValuationPrice">
        <xsd:annotation>
          <xsd:documentation xml:lang="en">
            Specifies the initial reference price of the equity
            underlyer. This price can be expressed either as an actual
            amount/currency, as a determination method, or by reference
            to another value specified in the swap document.
          </xsd:documentation>
        </xsd:annotation>
      </xsd:element>
      <xsd:element name="equityNotionalReset" type="xsd:boolean">
        <xsd:annotation>
          <xsd:documentation xml:lang="en">
            The term "Equity Notional Reset" is assumed to have the
            meaning as defined in the ISDA 2002 Equity Derivatives
            Definitions. The reference to the ISDA definition is either
            "Applicable" or 'Inapplicable".
          </xsd:documentation>
        </xsd:annotation>
      </xsd:element>
      <xsd:element name="valuationPriceInterim" type="DeprecatedEquityLegValuationPrice" minOccurs="0">
        <xsd:annotation>
          <xsd:documentation xml:lang="en">
            Specifies the interim valuation price of the equity
            underlyer. This price can be expressed either as an actual
            amount/currency, as a determination method, or by reference
            to another value specified in the swap document.
          </xsd:documentation>
        </xsd:annotation>
      </xsd:element>
      <xsd:element name="valuationPriceFinal" type="DeprecatedEquityLegValuationPrice">
        <xsd:annotation>
          <xsd:documentation xml:lang="en">
            Specifies the final valuation price of the equity
            underlyer. This price can be expressed either as an actual
            amount/currency, as a determination method, or by reference
            to another value specified in the swap document.
          </xsd:documentation>
        </xsd:annotation>
      </xsd:element>
      <xsd:element name="equityPaymentDates" type="DeprecatedEquityPaymentDates">
        <xsd:annotation>
          <xsd:documentation xml:lang="en">
            Specifies the equity payment dates of the swap.
          </xsd:documentation>
        </xsd:annotation>
      </xsd:element>
    </xsd:sequence>
  </xsd:complexType>
  <xsd:complexType name="DeprecatedEquityLegValuationPrice">
    <xsd:annotation>
      <xsd:documentation xml:lang="en">
        This type has been DEPRECATED. It will be removed in the next
        FpML major version.
      </xsd:documentation>
    </xsd:annotation>
    <xsd:complexContent>
      <xsd:extension base="Price">
        <xsd:sequence>
          <xsd:element name="equityValuation" type="EquityValuation" minOccurs="0"/>
        </xsd:sequence>
      </xsd:extension>
    </xsd:complexContent>
  </xsd:complexType>
  <xsd:complexType name="DeprecatedEquityPaymentDates">
    <xsd:annotation>
      <xsd:documentation xml:lang="en">
        This type has been DEPRECATED. It will be removed in the next
        FpML major version. A type describing the equity payment dates
        of the swap.
      </xsd:documentation>
    </xsd:annotation>
    <xsd:sequence>
      <xsd:element name="equityPaymentDatesInterim" type="AdjustableOrRelativeDates" minOccurs="0">
        <xsd:annotation>
          <xsd:documentation xml:lang="en">
            Specifies the interim payment dates of the swap. When
            defined in relation to a date specified somewhere else in
            the document (through the relativeDates component), this
            element will typically refer to the valuation dates and add
            a lag corresponding to the settlement cycle of the
            underlyer.
          </xsd:documentation>
        </xsd:annotation>
      </xsd:element>
      <xsd:element name="equityPaymentDateFinal" type="AdjustableOrRelativeDate">
        <xsd:annotation>
          <xsd:documentation xml:lang="en">
            Specifies the final payment date of the swap. When defined
            in relation to a date specified somewhere else in the
            document (through the relativeDate component), this element
            will typically refer to the final valuation date and add a
            lag corresponding to the settlement cycle of the underlyer.
          </xsd:documentation>
        </xsd:annotation>
      </xsd:element>
    </xsd:sequence>
    <xsd:attribute name="id" type="xsd:ID"/>
  </xsd:complexType>
  <xsd:complexType name="EquitySwapTransactionSupplement">
    <xsd:annotation>
      <xsd:documentation xml:lang="en">
        A type for defining Equity Swap Transaction Supplement
      </xsd:documentation>
    </xsd:annotation>
    <xsd:complexContent>
      <xsd:extension base="ReturnSwapBase">
        <xsd:sequence>
          <xsd:element name="mutualEarlyTermination" type="xsd:boolean" minOccurs="0">
            <xsd:annotation>
              <xsd:documentation xml:lang="en">
                Used for specifying whether the Mutual Early
                Termination Right that is detailed in the Master
                Confirmation will apply.
              </xsd:documentation>
            </xsd:annotation>
          </xsd:element>
        </xsd:sequence>
      </xsd:extension>
    </xsd:complexContent>
  </xsd:complexType>
  <xsd:complexType name="Formula">
    <xsd:annotation>
      <xsd:documentation xml:lang="en">
        A type describing a financial formula, with its description and
        components.
      </xsd:documentation>
    </xsd:annotation>
    <xsd:sequence>
      <xsd:element name="formulaDescription" type="xsd:string" minOccurs="0">
        <xsd:annotation>
          <xsd:documentation xml:lang="en">
            Text description of the formula
          </xsd:documentation>
        </xsd:annotation>
      </xsd:element>
      <xsd:element name="math" type="Math" minOccurs="0">
        <xsd:annotation>
          <xsd:documentation xml:lang="en">
            An element for containing an XML representation of the
            formula. Defined using xsd:any currently for flexibility in
            choice of language (MathML, OpenMath)
          </xsd:documentation>
        </xsd:annotation>
      </xsd:element>
      <xsd:element name="formulaComponent" type="FormulaComponent" minOccurs="0" maxOccurs="unbounded">
        <xsd:annotation>
          <xsd:documentation xml:lang="en">
            Elements describing the components of the formula. The name
            attribute points to a value used in the math element. The
            href attribute points to a value elsewhere in the document
          </xsd:documentation>
        </xsd:annotation>
      </xsd:element>
    </xsd:sequence>
  </xsd:complexType>
  <xsd:complexType name="FormulaComponent">
    <xsd:annotation>
      <xsd:documentation xml:lang="en">
        Elements describing the components of the formula. The name
        attribute points to a value used in the math element. The href
        attribute points to a value elsewhere in the document
      </xsd:documentation>
    </xsd:annotation>
    <xsd:sequence>
      <xsd:element name="componentDescription" type="xsd:string">
        <xsd:annotation>
          <xsd:documentation xml:lang="en">
            Text description of the component
          </xsd:documentation>
        </xsd:annotation>
      </xsd:element>
      <xsd:element name="formula" type="Formula" minOccurs="0">
        <xsd:annotation>
          <xsd:documentation xml:lang="en">
            Additional formulas required to describe this component
          </xsd:documentation>
        </xsd:annotation>
      </xsd:element>
    </xsd:sequence>
    <xsd:attribute name="name" type="xsd:normalizedString"/>
    <xsd:attribute name="href" type="xsd:IDREF"/>
  </xsd:complexType>
  <xsd:complexType name="InterestCalculation">
    <xsd:annotation>
      <xsd:documentation xml:lang="en">
        Specifies the calculation method of the interest rate leg of
        the equity swap. Includes the floating or fixed rate
        calculation definitions, along with the determination of the
        day count fraction.
      </xsd:documentation>
    </xsd:annotation>
    <xsd:complexContent>
      <xsd:extension base="InterestAccrualsMethod">
        <xsd:sequence>
          <xsd:element name="dayCountFraction" type="DayCountFraction">
            <xsd:annotation>
              <xsd:documentation xml:lang="en">
                The day count fraction.
              </xsd:documentation>
            </xsd:annotation>
          </xsd:element>
        </xsd:sequence>
      </xsd:extension>
    </xsd:complexContent>
  </xsd:complexType>
  <xsd:complexType name="InterestLeg">
    <xsd:annotation>
      <xsd:documentation xml:lang="en">
        A type describing the fixed income leg of the equity swap.
      </xsd:documentation>
    </xsd:annotation>
    <xsd:complexContent>
      <xsd:extension base="ReturnSwapLeg">
        <xsd:sequence>
          <xsd:element name="interestLegCalculationPeriodDates" type="InterestLegCalculationPeriodDates">
            <xsd:annotation>
              <xsd:documentation xml:lang="en">
                Component that holds the various dates used to specify
                the interest leg of the equity swap. It is used to
                define the InterestPeriodDates identifyer.
              </xsd:documentation>
            </xsd:annotation>
          </xsd:element>
          <xsd:element name="notional" type="ReturnSwapNotional">
            <xsd:annotation>
              <xsd:documentation xml:lang="en">
                Specifies the notional of a return type swap. When used
                in the equity leg, the definition will typically
                combine the actual amount (using the notional component
                defined by the FpML industry group) and the
                determination method. When used in the interest leg,
                the definition will typically point to the definition
                of the equity leg.
              </xsd:documentation>
            </xsd:annotation>
          </xsd:element>
          <xsd:element name="interestAmount" type="LegAmount">
            <xsd:annotation>
              <xsd:documentation xml:lang="en">
                Specifies, in relation to each Interest Payment Date,
                the amount to which the Interest Payment Date relates.
                Unless otherwise specified, this term has the meaning
                defined in the ISDA 2000 ISDA Definitions.
              </xsd:documentation>
            </xsd:annotation>
          </xsd:element>
          <xsd:element name="interestCalculation" type="InterestCalculation">
            <xsd:annotation>
              <xsd:documentation xml:lang="en">
                Specifies the calculation method of the interest rate
                leg of the equity swap. Includes the floating or fixed
                rate calculation definitions, along with the
                determination of the day count fraction.
              </xsd:documentation>
            </xsd:annotation>
          </xsd:element>
          <xsd:element name="stubCalculationPeriod" type="StubCalculationPeriod" minOccurs="0">
            <xsd:annotation>
              <xsd:documentation xml:lang="en">
                Specifies the stub calculation period
              </xsd:documentation>
            </xsd:annotation>
          </xsd:element>
        </xsd:sequence>
      </xsd:extension>
    </xsd:complexContent>
  </xsd:complexType>
  <xsd:complexType name="InterestLegCalculationPeriodDates">
    <xsd:annotation>
      <xsd:documentation xml:lang="en">
        Component that holds the various dates used to specify the
        interest leg of the equity swap. It is used to define the
        InterestPeriodDates identifyer.
      </xsd:documentation>
    </xsd:annotation>
    <xsd:sequence>
      <xsd:element name="effectiveDate" type="AdjustableOrRelativeDate">
        <xsd:annotation>
          <xsd:documentation xml:lang="en">
            Specifies the effective date of the equity swap. This
            global element is valid within the equity swaps namespace.
            Within the FpML namespace, another effectiveDate global
            element has been defined, that is different in the sense
            that it does not propose the choice of refering to another
            date in the document.
          </xsd:documentation>
        </xsd:annotation>
      </xsd:element>
      <xsd:element name="terminationDate" type="AdjustableOrRelativeDate">
        <xsd:annotation>
          <xsd:documentation xml:lang="en">
            Specifies the termination date of the equity swap. This
            global element is valid within the equity swaps namespace.
            Within the FpML namespace, another terminationDate global
            element has been defined, that is different in the sense
            that it does not propose the choice of refering to another
            date in the document.
          </xsd:documentation>
        </xsd:annotation>
      </xsd:element>
      <xsd:element name="interestLegResetDates" type="InterestLegResetDates">
        <xsd:annotation>
          <xsd:documentation xml:lang="en">
            Specifies the reset dates of the interest leg of the swap.
          </xsd:documentation>
        </xsd:annotation>
      </xsd:element>
      <xsd:element name="interestLegPaymentDates" type="AdjustableOrRelativeDates">
        <xsd:annotation>
          <xsd:documentation xml:lang="en">
            Specifies the payment dates of the interest leg of the
            swap. When defined in relation to a date specified
            somewhere else in the document (through the relativeDates
            component), this element will typically point to the
            payment dates of the equity leg of the swap.
          </xsd:documentation>
        </xsd:annotation>
      </xsd:element>
    </xsd:sequence>
    <xsd:attribute name="id" type="xsd:ID" use="required"/>
  </xsd:complexType>
  <xsd:complexType name="InterestLegResetDates">
    <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:choice>
        <xsd:element name="resetRelativeTo" type="ResetRelativeToEnum">
          <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="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:choice>
    </xsd:sequence>
  </xsd:complexType>
  <xsd:complexType name="LegAmount">
    <xsd:annotation>
      <xsd:documentation xml:lang="en">
        A type describing the amount that will paid or received on each
        of the payment dates. This type is used to define both the
        Equity Amount and the Interest Amount.
      </xsd:documentation>
    </xsd:annotation>
    <xsd:sequence>
      <xsd:element name="paymentCurrency" type="PaymentCurrency" minOccurs="0">
        <xsd:annotation>
          <xsd:documentation xml:lang="en">
            Currency in which the payment relating to the leg amount
            (equity amount or interest amount) or the dividend will be
            denominated.
          </xsd:documentation>
        </xsd:annotation>
      </xsd:element>
      <xsd:choice>
        <xsd:element name="referenceAmount" type="ReferenceAmount">
          <xsd:annotation>
            <xsd:documentation xml:lang="en">
              Specifies the reference Amount when this term either
              corresponds to the standard ISDA Definition (either the
              2002 Equity Definition for the Equity Amount, or the 2000
              Definition for the Interest Amount), or points to a term
              defined elsewhere in the swap document.
            </xsd:documentation>
          </xsd:annotation>
        </xsd:element>
        <xsd:element name="formula" type="Formula">
          <xsd:annotation>
            <xsd:documentation xml:lang="en">
              Specifies a formula, with its description and components.
            </xsd:documentation>
          </xsd:annotation>
        </xsd:element>
        <xsd:element name="encodedDescription" type="xsd:base64Binary">
          <xsd:annotation>
            <xsd:documentation xml:lang="en">
              Description of the leg amount when represented through an
              encoded image.
            </xsd:documentation>
          </xsd:annotation>
        </xsd:element>
        <xsd:element name="variance" type="Variance">
          <xsd:annotation>
            <xsd:documentation xml:lang="en">
              Specifies Variance for Variance Leg
            </xsd:documentation>
          </xsd:annotation>
        </xsd:element>
      </xsd:choice>
      <xsd:element name="calculationDates" type="AdjustableRelativeOrPeriodicDates" minOccurs="0">
        <xsd:annotation>
          <xsd:documentation xml:lang="en">
            Specifies the date ion which a calculation or an
            observation will be performed for the purpose of defining
            the Equity Amount, and in accordance to the definition
            terms of this latter.
          </xsd:documentation>
        </xsd:annotation>
      </xsd:element>
    </xsd:sequence>
  </xsd:complexType>
  <xsd:complexType name="Math" mixed="true">
    <xsd:sequence>
      <xsd:any namespace="##any" processContents="skip" maxOccurs="unbounded"/>
    </xsd:sequence>
  </xsd:complexType>
  <xsd:complexType name="PrincipalExchangeAmount">
    <xsd:annotation>
      <xsd:documentation xml:lang="en">
        Specifies the principal exchange amount, either by explicitly
        defining it, or by point to an amount defined somewhere else in
        the swap document.
      </xsd:documentation>
    </xsd:annotation>
    <xsd:choice>
      <xsd:element name="amountRelativeTo" type="Reference"/>
      <xsd:element name="determinationMethod" type="xsd:string">
        <xsd:annotation>
          <xsd:documentation xml:lang="en">
            Specifies the method according to which an amount or a date
            is determined.
          </xsd:documentation>
        </xsd:annotation>
      </xsd:element>
      <xsd:element name="principalAmount" type="Money">
        <xsd:annotation>
          <xsd:documentation xml:lang="en">
            Principal exchange amount when explictly stated.
          </xsd:documentation>
        </xsd:annotation>
      </xsd:element>
    </xsd:choice>
  </xsd:complexType>
  <xsd:complexType name="PrincipalExchangeDescriptions">
    <xsd:annotation>
      <xsd:documentation xml:lang="en">
        Specifies each of the characteristics of the principal exchange
        cashflows, in terms of paying/receiving counterparties, amounts
        and dates.
      </xsd:documentation>
    </xsd:annotation>
    <xsd:sequence>
      <xsd:group ref="PayerReceiver.model"/>
      <xsd:element name="principalExchangeAmount" type="PrincipalExchangeAmount">
        <xsd:annotation>
          <xsd:documentation xml:lang="en">
            Specifies the principal echange amount, either by
            explicitly defining it, or by point to an amount defined
            somewhere else in the swap document.
          </xsd:documentation>
        </xsd:annotation>
      </xsd:element>
      <xsd:element name="principalExchangeDate" type="AdjustableOrRelativeDate">
        <xsd:annotation>
          <xsd:documentation xml:lang="en">
            Date on which each of the principal exchanges will take
            place. This date is either explictly stated, or is defined
            by reference to another date in the swap document. In this
            latter case, it will typically refer to one other date of
            the equity leg: either the effective date (initial
            exchange), or the last payment date (final exchange).
          </xsd:documentation>
        </xsd:annotation>
      </xsd:element>
    </xsd:sequence>
  </xsd:complexType>
  <xsd:complexType name="PrincipalExchangeFeatures">
    <xsd:annotation>
      <xsd:documentation xml:lang="en">
        A type describing the principal exchange features of the equity
        swap.
      </xsd:documentation>
    </xsd:annotation>
    <xsd:sequence>
      <xsd:element name="principalExchanges" type="PrincipalExchanges">
        <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="principalExchangeDescriptions" type="PrincipalExchangeDescriptions" maxOccurs="unbounded">
        <xsd:annotation>
          <xsd:documentation xml:lang="en">
            Specifies each of the characteristics of the principal
            exchange cashflows, in terms of paying/receiving
            counterparties, amounts and dates.
          </xsd:documentation>
        </xsd:annotation>
      </xsd:element>
    </xsd:sequence>
  </xsd:complexType>
  <xsd:complexType name="Return">
    <xsd:annotation>
      <xsd:documentation xml:lang="en">
        A type describing the dividend return conditions applicable to
        the swap.
      </xsd:documentation>
    </xsd:annotation>
    <xsd:sequence>
      <xsd:element name="returnType" type="ReturnTypeEnum">
        <xsd:annotation>
          <xsd:documentation xml:lang="en">
            Defines the type of return associated with the equity swap.
          </xsd:documentation>
        </xsd:annotation>
      </xsd:element>
      <xsd:element name="dividendConditions" type="DividendConditions" minOccurs="0">
        <xsd:annotation>
          <xsd:documentation xml:lang="en">
            Specifies the conditions governing the payment of the
            dividends to the receiver of the equity return. With the
            exception of the dividend payout ratio, which is defined
            for each of the underlying components.
          </xsd:documentation>
        </xsd:annotation>
      </xsd:element>
    </xsd:sequence>
  </xsd:complexType>
  <xsd:complexType name="ReturnLeg">
    <xsd:annotation>
      <xsd:documentation xml:lang="en">
        A type describing the return leg of a return type swap.
      </xsd:documentation>
    </xsd:annotation>
    <xsd:complexContent>
      <xsd:extension base="ReturnSwapLeg">
        <xsd:sequence>
          <xsd:element name="effectiveDate" type="AdjustableOrRelativeDate">
            <xsd:annotation>
              <xsd:documentation xml:lang="en">
                Specifies the effective date of the return leg of the
                swap. When defined in relation to a date specified
                somewhere else in the document (through the
                relativeDate component), this element will typically
                point to the effective date of the other leg of the
                swap.
              </xsd:documentation>
            </xsd:annotation>
          </xsd:element>
          <xsd:element name="terminationDate" type="AdjustableOrRelativeDate">
            <xsd:annotation>
              <xsd:documentation xml:lang="en">
                Specifies the termination date of the return leg of the
                swap. When defined in relation to a date specified
                somewhere else in the document (through the
                relativeDate component), this element will typically
                point to the termination date of the other leg of the
                swap.
              </xsd:documentation>
            </xsd:annotation>
          </xsd:element>
          <xsd:element name="underlyer" type="Underlyer">
            <xsd:annotation>
              <xsd:documentation xml:lang="en">
                Specifies the underlying component of the return type
                swap, which can be either one or many and consists in
                either equity, index or convertible bond component, or
                a combination of these.
              </xsd:documentation>
            </xsd:annotation>
          </xsd:element>
          <xsd:element name="rateOfReturn" type="ReturnLegValuation">
            <xsd:annotation>
              <xsd:documentation xml:lang="en">
                Element named "valuation" in versions prior to FpML 4.2
                Second Working Draft. Specifies the terms of the
                initial price of the return type swap and of the
                subsequent valuations of the underlyer.
              </xsd:documentation>
            </xsd:annotation>
          </xsd:element>
          <xsd:element name="notional" type="ReturnSwapNotional">
            <xsd:annotation>
              <xsd:documentation xml:lang="en">
                Specifies the notional of a return type swap. When used
                in the equity leg, the definition will typically
                combine the actual amount (using the notional component
                defined by the FpML industry group) and the
                determination method. When used in the interest leg,
                the definition will typically point to the definition
                of the equity leg.
              </xsd:documentation>
            </xsd:annotation>
          </xsd:element>
          <xsd:element name="amount" type="ReturnSwapAmount">
            <xsd:annotation>
              <xsd:documentation xml:lang="en">
                Element named "equityAmount" in versions prior to FpML
                4.2 Second Working Draft. Specifies, in relation to
                each Payment Date, the amount to which the Payment Date
                relates. For equity swaps this element is equivalent to
                the Equity Amount term as defined in the ISDA 2002
                Equity Derivatives Definitions.
              </xsd:documentation>
            </xsd:annotation>
          </xsd:element>
          <xsd:element name="return" type="Return">
            <xsd:annotation>
              <xsd:documentation xml:lang="en">
                Specifies the conditions under which dividend affecting
                the underlyer will be paid to the receiver of the
                amounts.
              </xsd:documentation>
            </xsd:annotation>
          </xsd:element>
          <xsd:element name="notionalAdjustments" type="NotionalAdjustmentEnum">
            <xsd:annotation>
              <xsd:documentation xml:lang="en">
                Specifies the conditions that govern the adjustment to
                the number of units of the equity swap.
              </xsd:documentation>
            </xsd:annotation>
          </xsd:element>
          <xsd:element name="fxFeature" type="FxFeature" minOccurs="0">
            <xsd:annotation>
              <xsd:documentation xml:lang="en">
                A quanto or composite FX feature.
              </xsd:documentation>
              <xsd:documentation xml:lang="de">
                Quanto- oder Komposit-Devisenbestandteil.
              </xsd:documentation>
            </xsd:annotation>
          </xsd:element>
        </xsd:sequence>
      </xsd:extension>
    </xsd:complexContent>
  </xsd:complexType>
  <xsd:complexType name="ReturnLegValuation">
    <xsd:annotation>
      <xsd:documentation xml:lang="en">
        A type describing the initial and final valuation of the
        underlyer.
      </xsd:documentation>
    </xsd:annotation>
    <xsd:sequence>
      <xsd:element name="initialPrice" type="ReturnLegValuationPrice">
        <xsd:annotation>
          <xsd:documentation xml:lang="en">
            Specifies the initial reference price of the underlyer.
            This price can be expressed either as an actual
            amount/currency, as a determination method, or by reference
            to another value specified in the swap document.
          </xsd:documentation>
        </xsd:annotation>
      </xsd:element>
      <xsd:element name="notionalReset" type="xsd:boolean">
        <xsd:annotation>
          <xsd:documentation xml:lang="en">
            Element named "equityNotionalReset" in versions prior to
            FpML 4.2 Second Working Draft. For equity swaps, this
            element is equivalent to the term "Equity Notional Reset"
            as defined in the ISDA 2002 Equity Derivatives Definitions.
            The reference to the ISDA definition is either "Applicable"
            or 'Inapplicable".
          </xsd:documentation>
        </xsd:annotation>
      </xsd:element>
      <xsd:element name="valuationPriceInterim" type="ReturnLegValuationPrice" minOccurs="0">
        <xsd:annotation>
          <xsd:documentation xml:lang="en">
            Specifies the interim valuation price of the underlyer.
            This price can be expressed either as an actual
            amount/currency, as a determination method, or by reference
            to another value specified in the swap document.
          </xsd:documentation>
        </xsd:annotation>
      </xsd:element>
      <xsd:element name="valuationPriceFinal" type="ReturnLegValuationPrice">
        <xsd:annotation>
          <xsd:documentation xml:lang="en">
            Specifies the final valuation price of the underlyer. This
            price can be expressed either as an actual amount/currency,
            as a determination method, or by reference to another value
            specified in the swap document.
          </xsd:documentation>
        </xsd:annotation>
      </xsd:element>
      <xsd:element name="paymentDates" type="ReturnSwapPaymentDates">
        <xsd:annotation>
          <xsd:documentation xml:lang="en">
            Element named "equityPaymentDates" in versions prior to
            FpML 4.2 Second Working Draft. Specifies the payment dates
            of the swap.
          </xsd:documentation>
        </xsd:annotation>
      </xsd:element>
    </xsd:sequence>
  </xsd:complexType>
  <xsd:complexType name="ReturnLegValuationPrice">
    <xsd:complexContent>
      <xsd:extension base="Price">
        <xsd:sequence>
          <xsd:element name="valuationRules" type="EquityValuation" minOccurs="0">
            <xsd:annotation>
              <xsd:documentation xml:lang="en">
                Element named "equityValuation" in versions prior to
                FpML 4.2 Second Working Draft.
              </xsd:documentation>
            </xsd:annotation>
          </xsd:element>
        </xsd:sequence>
      </xsd:extension>
    </xsd:complexContent>
  </xsd:complexType>
  <xsd:complexType name="ReturnSwap">
    <xsd:annotation>
      <xsd:documentation xml:lang="en">
        A type describing return swaps including equity swaps (long
        form), total return swaps, and variance swaps.
      </xsd:documentation>
    </xsd:annotation>
    <xsd:complexContent>
      <xsd:extension base="ReturnSwapBase">
        <xsd:sequence>
          <xsd:element name="principalExchangeFeatures" type="PrincipalExchangeFeatures" minOccurs="0">
            <xsd:annotation>
              <xsd:documentation xml:lang="en">
                Specifies the principal exchange features of the equity
                swap.
              </xsd:documentation>
            </xsd:annotation>
          </xsd:element>
          <xsd:element name="additionalPayment" type="ReturnSwapAdditionalPayment" minOccurs="0" maxOccurs="unbounded">
            <xsd:annotation>
              <xsd:documentation xml:lang="en">
                Specifies additional payment(s) between the principal
                parties to the trade. This component extends some of
                the features of the additionalPayment component
                developed by the FpML industry group. Appropriate
                discussions will determine whether it would be
                appropriate to extend the shared component in order to
                meet the further requirements of equity swaps.
              </xsd:documentation>
            </xsd:annotation>
          </xsd:element>
          <xsd:element name="earlyTermination" type="ReturnSwapEarlyTermination" minOccurs="0" maxOccurs="unbounded">
            <xsd:annotation>
              <xsd:documentation xml:lang="en">
                Specifies, for one or for both the parties to the
                trade, the date from which it can early terminate it.
              </xsd:documentation>
            </xsd:annotation>
          </xsd:element>
          <xsd:element name="extraordinaryEvents" type="ExtraordinaryEvents" minOccurs="0">
            <xsd:annotation>
              <xsd:documentation xml:lang="en">
                Where the underlying is shares, specifies events
                affecting the issuer of those shares that may require
                the terms of the transaction to be adjusted.
              </xsd:documentation>
              <xsd:documentation xml:lang="de">
                Ist der Basiswert eine Aktie, werden hiermit Ereignisse
                angegeben, die den Emittenten der Aktie betreffen und
                die eine Anpassung der Transaktionsbedingungen
                erfordern können.
              </xsd:documentation>
            </xsd:annotation>
          </xsd:element>
        </xsd:sequence>
      </xsd:extension>
    </xsd:complexContent>
  </xsd:complexType>
  <xsd:complexType name="ReturnSwapAdditionalPayment">
    <xsd:annotation>
      <xsd:documentation xml:lang="en">
        A type describing the additional payment(s) between the
        principal parties to the trade. This component extends some of
        the features of the additionalPayment component previously
        developed in FpML. Appropriate discussions will determine
        whether it would be appropriate to extend the shared component
        in order to meet the further requirements of equity swaps.
      </xsd:documentation>
    </xsd:annotation>
    <xsd:sequence>
      <xsd:group ref="PayerReceiver.model"/>
      <xsd:element name="additionalPaymentAmount" type="AdditionalPaymentAmount">
        <xsd:annotation>
          <xsd:documentation xml:lang="en">
            Specifies the amount of the fee along with, when
            applicable, the formula that supports its determination.
          </xsd:documentation>
        </xsd:annotation>
      </xsd:element>
      <xsd:element name="additionalPaymentDate" type="AdjustableOrRelativeDate">
        <xsd:annotation>
          <xsd:documentation xml:lang="en">
            Specifies the value date of the fee payment/receipt.
          </xsd:documentation>
        </xsd:annotation>
      </xsd:element>
      <xsd:element name="paymentType" type="PaymentType" minOccurs="0"/>
    </xsd:sequence>
  </xsd:complexType>
  <xsd:complexType name="ReturnSwapAmount">
    <xsd:annotation>
      <xsd:documentation xml:lang="en">
        Specifies, in relation to each Payment Date, the amount to
        which the Payment Date relates. For Equity Swaps this element
        is equivalent to the Equity Amount term as defined in the ISDA
        2002 Equity Derivatives Definitions.
      </xsd:documentation>
    </xsd:annotation>
    <xsd:complexContent>
      <xsd:extension base="LegAmount">
        <xsd:sequence>
          <xsd:element name="cashSettlement" type="xsd:boolean"/>
          <xsd:element name="optionsExchangeDividends" type="xsd:boolean" minOccurs="0"/>
          <xsd:element name="additionalDividends" type="xsd:boolean" minOccurs="0"/>
        </xsd:sequence>
      </xsd:extension>
    </xsd:complexContent>
  </xsd:complexType>
  <xsd:complexType name="ReturnSwapBase">
    <xsd:annotation>
      <xsd:documentation xml:lang="en">
        A type describing the components that are common for return
        type swaps, including short and long form equity swaps
        representations.
      </xsd:documentation>
    </xsd:annotation>
    <xsd:complexContent>
      <xsd:extension base="Product">
        <xsd:sequence>
          <xsd:group ref="BuyerSeller.model" minOccurs="0">
            <xsd:annotation>
              <xsd:documentation xml:lang="en">
                BuyerSeller.model has been included as an optional
                child of ReturnSwapBase to support the situation where
                an implementor wishes to indicate who has manufactured
                the Swap through representing them as the Seller. It
                may be removed in future major revisions.
              </xsd:documentation>
            </xsd:annotation>
          </xsd:group>
          <xsd:element ref="returnSwapLeg" maxOccurs="unbounded"/>
        </xsd:sequence>
      </xsd:extension>
    </xsd:complexContent>
  </xsd:complexType>
  <xsd:complexType name="ReturnSwapEarlyTermination">
    <xsd:annotation>
      <xsd:documentation xml:lang="en">
        A type describing the date from which each of the party may be
        allowed to terminate the trade.
      </xsd:documentation>
    </xsd:annotation>
    <xsd:sequence>
      <xsd:element name="partyReference" type="Reference"/>
      <xsd:element name="startingDate" type="StartingDate">
        <xsd:annotation>
          <xsd:documentation xml:lang="en">
            Specifies the date from which the early termination clause
            can be exercised.
          </xsd:documentation>
        </xsd:annotation>
      </xsd:element>
    </xsd:sequence>
  </xsd:complexType>
  <xsd:complexType name="ReturnSwapLeg" abstract="true">
    <xsd:annotation>
      <xsd:documentation xml:lang="en">
        The abstract base class for all types of Return Swap Leg.
      </xsd:documentation>
    </xsd:annotation>
    <xsd:sequence>
      <xsd:group ref="PayerReceiver.model"/>
      <xsd:element name="paymentFrequency" type="Interval" minOccurs="0">
        <xsd:annotation>
          <xsd:documentation xml:lang="en">
            Frequency at which this leg pays.
          </xsd:documentation>
        </xsd:annotation>
      </xsd:element>
    </xsd:sequence>
    <xsd:attribute name="legIdentifier" type="xsd:ID"/>
  </xsd:complexType>
  <xsd:complexType name="ReturnSwapNotional">
    <xsd:annotation>
      <xsd:documentation xml:lang="en">
        Specifies the notional of return type swap. When used in the
        equity leg, the definition will typically combine the actual
        amount (using the notional component defined by the FpML
        industry group) and the determination method. When used in the
        interest leg, the definition will typically point to the
        definition of the equity leg.
      </xsd:documentation>
    </xsd:annotation>
    <xsd:choice>
      <xsd:element name="determinationMethod" type="xsd:string">
        <xsd:annotation>
          <xsd:documentation xml:lang="en">
            Specifies the method according to which an amount or a date
            is determined.
          </xsd:documentation>
        </xsd:annotation>
      </xsd:element>
      <xsd:element name="notionalAmount" type="Money">
        <xsd:annotation>
          <xsd:documentation xml:lang="en">
            The notional amount.
          </xsd:documentation>
        </xsd:annotation>
      </xsd:element>
      <xsd:element name="amountRelativeTo" type="Reference"/>
    </xsd:choice>
    <xsd:attribute name="id" type="xsd:ID"/>
  </xsd:complexType>
  <xsd:complexType name="ReturnSwapPaymentDates">
    <xsd:annotation>
      <xsd:documentation xml:lang="en">
        A type describing the return payment dates of the swap.
      </xsd:documentation>
    </xsd:annotation>
    <xsd:sequence>
      <xsd:element name="paymentDatesInterim" type="AdjustableOrRelativeDates" minOccurs="0">
        <xsd:annotation>
          <xsd:documentation xml:lang="en">
            Element named "equityPaymentDatesInterim" in versions prior
            to FpML 4.2 Second Working Draft. Specifies the interim
            payment dates of the swap. When defined in relation to a
            date specified somewhere else in the document (through the
            relativeDates component), this element will typically refer
            to the valuation dates and add a lag corresponding to the
            settlement cycle of the underlyer.
          </xsd:documentation>
        </xsd:annotation>
      </xsd:element>
      <xsd:element name="paymentDateFinal" type="AdjustableOrRelativeDate">
        <xsd:annotation>
          <xsd:documentation xml:lang="en">
            Element named "equityPaymentDateFinal" in versions prior to
            FpML 4.2 Second Working Draft. Specifies the final payment
            date of the swap. When defined in relation to a date
            specified somewhere else in the document (through the
            relativeDate component), this element will typically refer
            to the final valuation date and add a lag corresponding to
            the settlement cycle of the underlyer.
          </xsd:documentation>
        </xsd:annotation>
      </xsd:element>
    </xsd:sequence>
    <xsd:attribute name="id" type="xsd:ID"/>
  </xsd:complexType>
  <xsd:complexType name="StartingDate">
    <xsd:annotation>
      <xsd:documentation xml:lang="en">
        A type specifying the date from which the early termination
        clause can be exercised.
      </xsd:documentation>
    </xsd:annotation>
    <xsd:choice>
      <xsd:element name="dateRelativeTo" type="Reference">
        <xsd:annotation>
          <xsd:documentation xml:lang="en">
            Specifies the anchor as an href attribute. The href
            attribute value is a pointer style reference to the element
            or component elsewhere in the document where the anchor
            date is defined.
          </xsd:documentation>
        </xsd:annotation>
      </xsd:element>
      <xsd:element name="adjustableDate" type="AdjustableDate"/>
    </xsd:choice>
  </xsd:complexType>
  <xsd:complexType name="StubCalculationPeriod">
    <xsd:annotation>
      <xsd:documentation xml:lang="en">
        A type describing the Stub Calculation Period
      </xsd:documentation>
    </xsd:annotation>
    <xsd:choice>
      <xsd:sequence>
        <xsd:element name="initialStub" type="Stub"/>
        <xsd:element name="finalStub" type="Stub" minOccurs="0"/>
      </xsd:sequence>
      <xsd:element name="finalStub" type="Stub"/>
    </xsd:choice>
  </xsd:complexType>
  <xsd:complexType name="Variance">
    <xsd:annotation>
      <xsd:documentation xml:lang="en">
        A type describing the variance amount of a variance swap
      </xsd:documentation>
    </xsd:annotation>
    <xsd:sequence>
      <xsd:choice>
        <xsd:element name="initialLevel" type="xsd:decimal"/>
        <xsd:element name="closingLevel" type="xsd:boolean"/>
      </xsd:choice>
      <xsd:element name="varianceAmount" type="Money"/>
      <xsd:choice>
        <xsd:element name="volatilityStrikePrice" type="xsd:decimal"/>
        <xsd:element name="varianceStrikePrice" type="xsd:decimal"/>
      </xsd:choice>
      <xsd:element name="expectedN" type="xsd:integer" minOccurs="0"/>
      <xsd:element name="varianceCap" type="xsd:boolean" minOccurs="0"/>
      <xsd:element name="unadjustedVarianceCap" type="xsd:decimal" minOccurs="0">
        <xsd:annotation>
          <xsd:documentation xml:lang="en">
            For use when varianceCap is applicable. Contains the
            scaling factor of the Variance Cap that can differ on a
            trade-by-trade basis in the European market. For example, a
            Variance Cap of 2.5^2 x Variance Strike Price has an
            unadjustedVarianceCap of 2.5.
          </xsd:documentation>
        </xsd:annotation>
      </xsd:element>
      <xsd:element name="exchangeTradedContractNearest" type="ExchangeTradedContract" minOccurs="0"/>
    </xsd:sequence>
  </xsd:complexType>
  <xsd:complexType name="VarianceAmount">
    <xsd:annotation>
      <xsd:documentation xml:lang="en">
        Specifies, in relation to each Equity Payment Date, the amount
        to which the Equity Payment Date relates for Variance Swaps.
        Unless otherwise specified, this term has the meaning defined
        in the ISDA 2002 Equity Derivatives Definitions.
      </xsd:documentation>
    </xsd:annotation>
    <xsd:complexContent>
      <xsd:extension base="ReturnSwapAmount">
        <xsd:sequence>
          <xsd:element name="cashSettlementPaymentDate" type="AdjustableOrRelativeDate" minOccurs="0">
            <xsd:annotation>
              <xsd:documentation xml:lang="en">
                Typically specified as a number of days following the
                valuation date, such as one settlement cycle following
                the valuation date. Number of days can vary in the
                European market.
              </xsd:documentation>
            </xsd:annotation>
          </xsd:element>
          <xsd:element name="observationStartDate" type="StartingDate" minOccurs="0">
            <xsd:annotation>
              <xsd:documentation xml:lang="en">
                The start of the period over which observations are
                made to determine the variance. Used when the date
                differs from the trade date such as for forward
                starting variance swaps.
              </xsd:documentation>
            </xsd:annotation>
          </xsd:element>
        </xsd:sequence>
      </xsd:extension>
    </xsd:complexContent>
  </xsd:complexType>
  <xsd:complexType name="VarianceLeg">
    <xsd:annotation>
      <xsd:documentation xml:lang="en">
        A type describing the variance leg of the equity swap.
      </xsd:documentation>
    </xsd:annotation>
    <xsd:complexContent>
      <xsd:extension base="ReturnSwapLeg">
        <xsd:sequence>
          <xsd:element name="underlyer" type="Underlyer">
            <xsd:annotation>
              <xsd:documentation xml:lang="en">
                Specifies the underlying component of the variance
                swap, which can be either one or many and consists in
                either equity, index or convertible bond component, or
                a combination of these.
              </xsd:documentation>
            </xsd:annotation>
          </xsd:element>
          <xsd:element name="equityValuation" type="EquityValuation">
            <xsd:annotation>
              <xsd:documentation xml:lang="en">
                Equity Valuation
              </xsd:documentation>
            </xsd:annotation>
          </xsd:element>
          <xsd:element name="equityAmount" type="VarianceAmount">
            <xsd:annotation>
              <xsd:documentation xml:lang="en">
                Specifies, in relation to each Equity Payment Date, the
                amount to which the Equity Payment Date relates. Unless
                otherwise specified, this term has the meaning defined
                in the ISDA 2002 Equity Derivatives Definitions.
              </xsd:documentation>
            </xsd:annotation>
          </xsd:element>
        </xsd:sequence>
      </xsd:extension>
    </xsd:complexContent>
  </xsd:complexType>
  <xsd:element name="equityLeg" type="DeprecatedEquityLeg" substitutionGroup="returnSwapLeg">
    <xsd:annotation>
      <xsd:documentation xml:lang="en">
        This element has been DEPRECATED and it will be removed in the
        next FpML major version (5.0) - please use returnLeg element to
        represent long form equity swaps, total return swaps. The
        equity amounts of the equity swap
      </xsd:documentation>
    </xsd:annotation>
  </xsd:element>
  <xsd:element name="equitySwap" type="ReturnSwap" substitutionGroup="product">
    <xsd:annotation>
      <xsd:documentation xml:lang="en">
        This element has been DEPRECATED and it will be removed in the
        next FpML major version (5.0) - please use returnSwap element
        to represent long form equity swaps, total return swaps, and
        variance swaps.
      </xsd:documentation>
    </xsd:annotation>
  </xsd:element>
  <xsd:element name="equitySwapTransactionSupplement" type="EquitySwapTransactionSupplement" substitutionGroup="product">
    <xsd:annotation>
      <xsd:documentation xml:lang="en">
        Specifies the structure of the equity swap transaction
        supplement
      </xsd:documentation>
    </xsd:annotation>
  </xsd:element>
  <xsd:element name="interestLeg" type="InterestLeg" substitutionGroup="returnSwapLeg">
    <xsd:annotation>
      <xsd:documentation xml:lang="en">
        The fixed income amounts of the return type swap.
      </xsd:documentation>
    </xsd:annotation>
  </xsd:element>
  <xsd:element name="returnLeg" type="ReturnLeg" substitutionGroup="returnSwapLeg">
    <xsd:annotation>
      <xsd:documentation xml:lang="en">
        Return amounts of the return type swap.
      </xsd:documentation>
    </xsd:annotation>
  </xsd:element>
  <xsd:element name="returnSwapLeg" type="ReturnSwapLeg" abstract="true">
    <xsd:annotation>
      <xsd:documentation xml:lang="en">
        An placeholder for the actual Return Swap Leg definition.
      </xsd:documentation>
    </xsd:annotation>
  </xsd:element>
  <xsd:element name="returnSwap" type="ReturnSwap" substitutionGroup="product">
    <xsd:annotation>
      <xsd:documentation xml:lang="en">
        Specifies the structure of a return type swap. It can represent
        equity swaps, total return swaps, variance swaps.
      </xsd:documentation>
    </xsd:annotation>
  </xsd:element>
  <xsd:element name="varianceLeg" type="VarianceLeg" substitutionGroup="returnSwapLeg">
    <xsd:annotation>
      <xsd:documentation xml:lang="en">
        The variance leg of the equity swap
      </xsd:documentation>
    </xsd:annotation>
  </xsd:element>
</xsd:schema>