## 12 CORRELATION PRODUCT ARCHITECTURE

### 12.1 Correlation Derivatives Scope

The Equity Derivative Working Group extended FpML to cover:

- Correlation Swaps

### 12.2 Overall Architecture

Correlation Swaps are modelled using the following product element in FpML:

- correlationSwap

#### 12.2.1 correlationSwap

The Correlation Swap product is modelled as a single netted leg.

- productType - A classification of the type of product. FpML defines a simple product categorization using a coding scheme.
- productId - A product reference identifier allocated by a party. FpML does not define the domain values associated with this element. Note that the domain values for this element are not strictly an enumerated list..
- additionalPayment - Specifies additional payment(s) between the principal parties to the netted swap.
- extraordinaryEvents - Where the underlying is shares, defines market events affecting the issuer of those shares that may require the terms of the transaction to be adjusted.
- correlationLeg - A type describing return which is driven by a Correlation calculation.

#### 12.2.2 correlationLeg

The correlationLeg - A type describing return which is driven by a Correlation calculation.

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