XML Schema Documentation

Complex Type: Correlation

[Table of contents]

Super-types: None
Sub-types: None
Name Correlation
Used by (from the same schema document) Complex Type LegAmount
Abstract no
Documentation A type describing the correlation amount of a correlation swap
XML Instance Representation
<...>
<closingLevel> xsd:boolean </closingLevel> [1]

'If present and true then take the closing level for each stock in the basket prior to calculating the correlation'

<notionalAmount> Money </notionalAmount> [1]

'This is a cash multiplier'

<correlationStrikePrice> xsd:decimal </correlationStrikePrice> [1]

'Correlation Strike Price'

<expectedN> xsd:positiveInteger </expectedN> [0..1]

'Expected number of trading days'

<boundedCorrelation> BoundedCorrelation </boundedCorrelation> [0..1]

'Bounded Correlation'

<numberOfDataSeries> xsd:positiveInteger </numberOfDataSeries> [1]

'Number of data series, normal market practice is that correlation data sets are drawn from geographic market areas, such as America, Europe and Asia Pacific, each of these geographic areas will have its own data series to avoid contagion'

</...>
Diagram
Schema Component Representation
<xsd:complexType name="Correlation">
<xsd:sequence>
<xsd:element name="closingLevel" type=" xsd:boolean "/>
<xsd:element name="notionalAmount" type=" Money "/>
<xsd:element name="correlationStrikePrice" type=" xsd:decimal "/>
<xsd:element name="expectedN" type=" xsd:positiveInteger " minOccurs="0"/>
<xsd:element name="boundedCorrelation" type=" BoundedCorrelation " minOccurs="0"/>
<xsd:element name="numberOfDataSeries" type=" xsd:positiveInteger "/>
</xsd:sequence>
</xsd:complexType>