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Data.FpML.V53.Asset

Synopsis

Documentation

data ActualPrice Source

Constructors

ActualPrice

Fields

actualPrice_currency :: Maybe Currency: Specifies the currency associated with the net price. This element is not present if the price is expressed in percentage terms (as specified through the priceExpression element).
actualPrice_amount :: Maybe Decimal: Specifies the net price amount. In the case of a fixed income security or a convertible bond, this price includes the accrued interests.
actualPrice_priceExpression :: Maybe PriceExpressionEnum: Specifies whether the price is expressed in absolute or relative terms.

Instances

Eq ActualPrice
Show ActualPrice
SchemaType ActualPrice

data AnyAssetReference Source

A reference to an asset, e.g. a portfolio, trade, or reference instrument..

Constructors

AnyAssetReference
Fields anyAssetRef_href :: IDREF

Instances

Eq AnyAssetReference
Show AnyAssetReference
SchemaType AnyAssetReference
Extension AnyAssetReference Reference

data AssetMeasureType Source

A scheme identifying the types of measures that can be used to describe an asset.

Constructors

AssetMeasureType Scheme AssetMeasureTypeAttributes

Instances

Eq AssetMeasureType
Show AssetMeasureType
SchemaType AssetMeasureType
Extension AssetMeasureType Scheme

data AssetMeasureTypeAttributes Source

Constructors

AssetMeasureTypeAttributes
Fields assetMeasureTypeAttrib_assetMeasureScheme :: Maybe AnyURI

Instances

Eq AssetMeasureTypeAttributes
Show AssetMeasureTypeAttributes

data PricingModel Source

A scheme identifying the types of pricing model used to evaluate the price of an asset. Examples include Intrinsic, ClosedForm, MonteCarlo, BackwardInduction.

Constructors

PricingModel Scheme PricingModelAttributes

Instances

Eq PricingModel
Show PricingModel
SchemaType PricingModel
Extension PricingModel Scheme

data PricingModelAttributes Source

Constructors

PricingModelAttributes
Fields pricingModelAttrib_pricingModelScheme :: Maybe AnyURI

Instances

Eq PricingModelAttributes
Show PricingModelAttributes

data AssetPool Source

Characterise the asset pool behind an asset backed bond.

Constructors

AssetPool

Fields

assetPool_version :: Maybe NonNegativeInteger: The version number
assetPool_effectiveDate :: Maybe IdentifiedDate: Optionally it is possible to specify a version effective date when a versionId is supplied.
assetPool_initialFactor :: Maybe Decimal: The part of the mortgage that is outstanding on trade inception, i.e. has not been repaid yet as principal. It is expressed as a multiplier factor to the morgage: 1 means that the whole mortage amount is outstanding, 0.8 means that 20% has been repaid.
assetPool_currentFactor :: Maybe Decimal: The part of the mortgage that is currently outstanding. It is expressed similarly to the initial factor, as factor multiplier to the mortgage. This term is formally defined as part of the ISDA Standard Terms Supplement for use with credit derivatives transactions on mortgage-backed security with pas-as-you-go or physical settlement.

Instances

Eq AssetPool
Show AssetPool
SchemaType AssetPool

data AssetReference Source

Reference to an underlying asset.

Constructors

AssetReference
Fields assetRef_href :: IDREF

Instances

Eq AssetReference
Show AssetReference
SchemaType AssetReference
Extension AssetReference Reference

data BasicQuotation Source

Some kind of numerical measure about an asset, eg. its NPV, together with characteristics of that measure.

Constructors

BasicQuotation

Fields

basicQuot_ID :: Maybe ID

basicQuot_value :: Maybe Decimal

The value of the the quotation.

basicQuot_measureType :: Maybe AssetMeasureType

The type of the value that is measured. This could be an NPV, a cash flow, a clean price, etc.

basicQuot_quoteUnits :: Maybe PriceQuoteUnits

The optional units that the measure is expressed in. If not supplied, this is assumed to be a price/value in currency units.

basicQuot_side :: Maybe QuotationSideEnum

The side (bidmidask) of the measure.

basicQuot_currency :: Maybe Currency

The optional currency that the measure is expressed in. If not supplied, this is defaulted from the reportingCurrency in the valuationScenarioDefinition.

basicQuot_currencyType :: Maybe ReportingCurrencyType

The optional currency that the measure is expressed in. If not supplied, this is defaulted from the reportingCurrency in the valuationScenarioDefinition.

basicQuot_timing :: Maybe QuoteTiming

When during a day the quote is for. Typically, if this element is supplied, the QuoteLocation needs also to be supplied.

basicQuot_choice7 :: Maybe (OneOf2 BusinessCenter ExchangeId)

Choice between:

A city or other business center.
The exchange (e.g. stock or futures exchange) from which the quote is obtained.

basicQuot_informationSource :: [InformationSource]

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

basicQuot_pricingModel :: Maybe PricingModel

.

basicQuot_time :: Maybe DateTime

When the quote was observed or derived.

basicQuot_valuationDate :: Maybe Date

When the quote was computed.

basicQuot_expiryTime :: Maybe DateTime

When does the quote cease to be valid.

basicQuot_cashflowType :: Maybe CashflowType

For cash flows, the type of the cash flows. Examples include: Coupon payment, Premium Fee, Settlement Fee, Brokerage Fee, etc.

Instances

Eq BasicQuotation
Show BasicQuotation
SchemaType BasicQuotation

data Basket Source

A type describing the underlyer features of a basket swap. Each of the basket constituents are described through an embedded component, the basketConstituentsType.

Constructors

Basket

Fields

basket_ID :: Maybe ID

basket_openUnits :: Maybe Decimal

The number of units (index or securities) that constitute the underlyer of the swap. In the case of a basket swap, this element is used to reference both the number of basket units, and the number of each asset components of the basket when these are expressed in absolute terms.

basket_constituent :: [BasketConstituent]

Describes each of the components of the basket.

basket_divisor :: Maybe Decimal

Specifies the basket divisor amount. This value is normally used to adjust the constituent weight for pricing or to adjust for dividends, or other corporate actions.

basket_choice3 :: Maybe (OneOf1 (Maybe BasketName, [BasketId]))

Choice between:

Sequence of:

The name of the basket expressed as a free format string. FpML does not define usage rules for this element.
A CDS basket identifier

basket_currency :: Maybe Currency

Specifies the currency for this basket.

Instances

Eq Basket
Show Basket
SchemaType Basket
Extension Basket Asset

data BasketConstituent Source

A type describing each of the constituents of a basket.

Constructors

BasketConstituent

Fields

basketConstit_ID :: Maybe ID
basketConstit_underlyingAsset :: Maybe Asset: Define the underlying asset, either a listed security or other instrument.
basketConstit_constituentWeight :: Maybe ConstituentWeight: Specifies the weight of each of the underlyer constituent within the basket, either in absolute or relative terms. This is an optional component, as certain swaps do not specify a specific weight for each of their basket constituents.
basketConstit_dividendPayout :: Maybe DividendPayout: Specifies the dividend payout ratio associated with an equity underlyer. A basket swap can have different payout ratios across the various underlying constituents. In certain cases the actual ratio is not known on trade inception, and only general conditions are then specified. Users should note that FpML makes a distinction between the derivative contract and the underlyer of the contract. It would be better if the agreed dividend payout on a derivative contract was modelled at the level of the derivative contract, an approach which may be adopted in the next major version of FpML.
basketConstit_underlyerPrice :: Maybe Price: Specifies the price that is associated with each of the basket constituents. This component is optional, as it is not absolutely required to accurately describe the economics of the trade, considering the price that characterizes the equity swap is associated to the leg of the trade.
basketConstit_underlyerNotional :: Maybe Money: Specifies the notional (i.e. price * quantity) that is associated with each of the basket constituents. This component is optional, as it is not absolutely required to accurately describe the economics of the trade, considering the notional that characterizes the equity swap is associated to the leg of the trade.
basketConstit_underlyerSpread :: Maybe SpreadScheduleReference: Provides a link to the spread schedule used for this underlyer.
basketConstit_couponPayment :: Maybe PendingPayment: The next upcoming coupon payment.

Instances

Eq BasketConstituent
Show BasketConstituent
SchemaType BasketConstituent

data BasketId Source

Constructors

BasketId Scheme BasketIdAttributes

Instances

Eq BasketId
Show BasketId
SchemaType BasketId
Extension BasketId Scheme

data BasketIdAttributes Source

Constructors

BasketIdAttributes
Fields basketIdAttrib_basketIdScheme :: Maybe AnyURI

Instances

Eq BasketIdAttributes
Show BasketIdAttributes

data BasketName Source

Constructors

BasketName Scheme BasketNameAttributes

Instances

Eq BasketName
Show BasketName
SchemaType BasketName
Extension BasketName Scheme

data BasketNameAttributes Source

Constructors

BasketNameAttributes
Fields basketNameAttrib_basketNameScheme :: Maybe AnyURI

Instances

Eq BasketNameAttributes
Show BasketNameAttributes

data Bond Source

An exchange traded bond.

Constructors

Bond

Fields

bond_ID :: Maybe ID

bond_instrumentId :: [InstrumentId]

Identification of the underlying asset, using public and/or private identifiers.

bond_description :: Maybe XsdString

Long name of the underlying asset.

bond_currency :: Maybe IdentifiedCurrency

Trading currency of the underlyer when transacted as a cash instrument.

bond_exchangeId :: Maybe ExchangeId

Identification of the exchange on which this asset is transacted for the purposes of calculating a contractural payoff. The term Exchange is assumed to have the meaning as defined in the ISDA 2002 Equity Derivatives Definitions.

bond_clearanceSystem :: Maybe ClearanceSystem

Identification of the clearance system associated with the transaction exchange.

bond_definition :: Maybe ProductReference

An optional reference to a full FpML product that defines the simple product in greater detail. In case of inconsistency between the terms of the simple product and those of the detailed definition, the values in the simple product override those in the detailed definition.

bond_choice6 :: Maybe (OneOf2 XsdString PartyReference)

Specifies the issuer name of a fixed income security or convertible bond. This name can either be explicitly stated, or specified as an href into another element of the document, such as the obligor.

Choice between:

issuerName
issuerPartyReference

bond_seniority :: Maybe CreditSeniority

The repayment precedence of a debt instrument.

bond_couponType :: Maybe CouponType

Specifies if the bond has a variable coupon, step-up/down coupon or a zero-coupon.

bond_couponRate :: Maybe Decimal

Specifies the coupon rate (expressed in percentage) of a fixed income security or convertible bond.

bond_maturity :: Maybe Date

The date when the principal amount of a security becomes due and payable.

bond_parValue :: Maybe Decimal

Specifies the nominal amount of a fixed income security or convertible bond.

bond_faceAmount :: Maybe Decimal

Specifies the total amount of the issue. Corresponds to the par value multiplied by the number of issued security.

bond_paymentFrequency :: Maybe Period

Specifies the frequency at which the bond pays, e.g. 6M.

bond_dayCountFraction :: Maybe DayCountFraction

The day count basis for the bond.

Instances

Eq Bond
Show Bond
SchemaType Bond
Extension ConvertibleBond Bond
Extension Bond UnderlyingAsset
Extension Bond IdentifiedAsset
Extension Bond Asset

data Cash Source

Constructors

Cash
Fields cash_ID :: Maybe ID cash_instrumentId :: [InstrumentId] Identification of the underlying asset, using public and/or private identifiers. cash_description :: Maybe XsdString Long name of the underlying asset. cash_currency :: Maybe Currency The currency in which an amount is denominated.

Instances

Eq Cash
Show Cash
SchemaType Cash
Extension Cash Asset

data Commission Source

A type describing the commission that will be charged for each of the hedge transactions.

Constructors

Commission

Fields

commission_denomination :: Maybe CommissionDenominationEnum: The type of units used to express a commission.
commission_amount :: Maybe Decimal: The commission amount, expressed in the way indicated by the commissionType element.
commission_currency :: Maybe Currency: The currency in which an amount is denominated.
commission_perTrade :: Maybe Decimal: The total commission per trade.
commission_fxRate :: [FxRate]: FX Rates that have been used to convert commissions to a single currency.

Instances

Eq Commission
Show Commission
SchemaType Commission

data Commodity Source

A type describing a commodity underlying asset.

Constructors

Commodity

Fields

commodity_ID :: Maybe ID

commodity_instrumentId :: [InstrumentId]

Identification of the underlying asset, using public and/or private identifiers.

commodity_description :: Maybe XsdString

Long name of the underlying asset.

commodity_base :: Maybe CommodityBase

A coding scheme value to identify the base type of the commodity being traded. Where possible, this should follow the naming convention used in the 2005 ISDA Commodity Definitions. For example, Oil.

commodity_details :: Maybe CommodityDetails

A coding scheme value to identify the commodity being traded more specifically. Where possible, this should follow the naming convention used in the 2005 ISDA Commodity Definitions. For example, Brent.

commodity_unit :: Maybe QuantityUnit

A coding scheme value to identify the unit in which the undelryer is denominated. Where possible, this should follow the naming convention used in the 2005 ISDA Commodity Definitions.

commodity_currency :: Maybe Currency

The currency in which the Commodity Reference Price is published.

commodity_choice6 :: Maybe (OneOf2 ExchangeId InformationSource)

Choice between:

For those commodities being traded with reference to the price of a listed future, the exchange where that future is listed should be specified here.
For those commodities being traded with reference to a price distributed by a publication, that publication should be specified here.

commodity_specifiedPrice :: Maybe SpecifiedPriceEnum

The Specified Price is not defined in the Commodity Reference Price and so needs to be stated in the Underlyer definition as it will impact the calculation of the Floating Price.

commodity_choice8 :: Maybe (OneOf3 DeliveryDatesEnum AdjustableDate GYearMonth)

Choice between:

The Delivery Date is a NearbyMonth, for use when the Commodity Transaction references Futures Contract.
The Delivery Date is a fixed, single day.
The Delivery Date is a fixed, single month.

commodity_deliveryDateRollConvention :: Maybe Offset

Specifies, for a Commodity Transaction that references a listed future via the deliveryDates element, the day on which the specified future will roll to the next nearby month when the referenced future expires. If the future will not roll at all - i.e. the price will be taken from the expiring contract, 0 should be specified here. If the future will roll to the next nearby on the last trading day - i.e. the price will be taken from the next nearby on the last trading day, then 1 should be specified and so on.

commodity_multiplier :: Maybe PositiveDecimal

Specifies the multiplier associated with a Transaction.

Instances

Eq Commodity
Show Commodity
SchemaType Commodity
Extension Commodity IdentifiedAsset
Extension Commodity Asset

data CommodityBase Source

Constructors

CommodityBase Scheme CommodityBaseAttributes

Instances

Eq CommodityBase
Show CommodityBase
SchemaType CommodityBase
Extension CommodityBase Scheme

data CommodityBaseAttributes Source

Constructors

CommodityBaseAttributes
Fields commodBaseAttrib_commodityBaseScheme :: Maybe AnyURI

Instances

Eq CommodityBaseAttributes
Show CommodityBaseAttributes

data CommodityBusinessCalendar Source

Defines a commodity business day calendar.

Constructors

CommodityBusinessCalendar Scheme CommodityBusinessCalendarAttributes

Instances

Eq CommodityBusinessCalendar
Show CommodityBusinessCalendar
SchemaType CommodityBusinessCalendar
Extension CommodityBusinessCalendar Scheme

data CommodityBusinessCalendarAttributes Source

Constructors

CommodityBusinessCalendarAttributes
Fields cbca_commodityBusinessCalendarScheme :: Maybe AnyURI

Instances

Eq CommodityBusinessCalendarAttributes
Show CommodityBusinessCalendarAttributes

data CommodityBusinessCalendarTime Source

Specifies the time with respect to a commodity business calendar.

Constructors

CommodityBusinessCalendarTime

Fields

commodBusCalTime_hourMinuteTime :: Maybe HourMinuteTime: A time specified as Hour Ending in hh:mm:ss format where the second component must be '00', e.g. 11am would be represented as 11:00:00.
commodBusCalTime_timeZone :: Maybe TimeZone: An identifier for a specific location or region which translates into a combination of rules for calculating the UTC offset.
commodBusCalTime_businessCalendar :: Maybe CommodityBusinessCalendar: Identifies a commodity business day calendar.

Instances

Eq CommodityBusinessCalendarTime
Show CommodityBusinessCalendarTime
SchemaType CommodityBusinessCalendarTime

data CommodityDetails Source

Constructors

CommodityDetails Scheme CommodityDetailsAttributes

Instances

Eq CommodityDetails
Show CommodityDetails
SchemaType CommodityDetails
Extension CommodityDetails Scheme

data CommodityDetailsAttributes Source

Constructors

CommodityDetailsAttributes
Fields commodDetailsAttrib_commodityDetailsScheme :: Maybe AnyURI

Instances

Eq CommodityDetailsAttributes
Show CommodityDetailsAttributes

data ConstituentWeight Source

A type describing the weight of each of the underlyer constituent within the basket, either in absolute or relative terms.

Constructors

ConstituentWeight

Fields

constitWeight_choice0 :: Maybe (OneOf3 Decimal RestrictedPercentage Money)

Choice between:

The number of units (index or securities) that constitute the underlyer of the swap. In the case of a basket swap, this element is used to reference both the number of basket units, and the number of each asset components of the basket when these are expressed in absolute terms.
The relative weight of each respective basket constituent, expressed in percentage. A basket percentage of 5% would be represented as 0.05.
DEPRECATED. The relative weight of each respective basket constituent, expressed as a monetary amount.

Instances

Eq ConstituentWeight
Show ConstituentWeight
SchemaType ConstituentWeight

data ConvertibleBond Source

Constructors

ConvertibleBond

Fields

convertBond_ID :: Maybe ID

convertBond_instrumentId :: [InstrumentId]

Identification of the underlying asset, using public and/or private identifiers.

convertBond_description :: Maybe XsdString

Long name of the underlying asset.

convertBond_currency :: Maybe IdentifiedCurrency

Trading currency of the underlyer when transacted as a cash instrument.

convertBond_exchangeId :: Maybe ExchangeId

Identification of the exchange on which this asset is transacted for the purposes of calculating a contractural payoff. The term Exchange is assumed to have the meaning as defined in the ISDA 2002 Equity Derivatives Definitions.

convertBond_clearanceSystem :: Maybe ClearanceSystem

Identification of the clearance system associated with the transaction exchange.

convertBond_definition :: Maybe ProductReference

An optional reference to a full FpML product that defines the simple product in greater detail. In case of inconsistency between the terms of the simple product and those of the detailed definition, the values in the simple product override those in the detailed definition.

convertBond_choice6 :: Maybe (OneOf2 XsdString PartyReference)

Specifies the issuer name of a fixed income security or convertible bond. This name can either be explicitly stated, or specified as an href into another element of the document, such as the obligor.

Choice between:

issuerName
issuerPartyReference

convertBond_seniority :: Maybe CreditSeniority

The repayment precedence of a debt instrument.

convertBond_couponType :: Maybe CouponType

Specifies if the bond has a variable coupon, step-up/down coupon or a zero-coupon.

convertBond_couponRate :: Maybe Decimal

Specifies the coupon rate (expressed in percentage) of a fixed income security or convertible bond.

convertBond_maturity :: Maybe Date

The date when the principal amount of a security becomes due and payable.

convertBond_parValue :: Maybe Decimal

Specifies the nominal amount of a fixed income security or convertible bond.

convertBond_faceAmount :: Maybe Decimal

Specifies the total amount of the issue. Corresponds to the par value multiplied by the number of issued security.

convertBond_paymentFrequency :: Maybe Period

Specifies the frequency at which the bond pays, e.g. 6M.

convertBond_dayCountFraction :: Maybe DayCountFraction

The day count basis for the bond.

convertBond_underlyingEquity :: Maybe EquityAsset

Specifies the equity in which the convertible bond can be converted.

convertBond_redemptionDate :: Maybe Date

Earlier date between the convertible bond put dates and its maturity date.

Instances

Eq ConvertibleBond
Show ConvertibleBond
SchemaType ConvertibleBond
Extension ConvertibleBond UnderlyingAsset
Extension ConvertibleBond IdentifiedAsset
Extension ConvertibleBond Bond
Extension ConvertibleBond Asset

data CouponType Source

Defines a scheme of values for specifiying if the bond has a variable coupon, step-up/down coupon or a zero-coupon.

Constructors

CouponType Scheme CouponTypeAttributes

Instances

Eq CouponType
Show CouponType
SchemaType CouponType
Extension CouponType Scheme

data CouponTypeAttributes Source

Constructors

CouponTypeAttributes
Fields couponTypeAttrib_couponTypeScheme :: Maybe AnyURI

Instances

Eq CouponTypeAttributes
Show CouponTypeAttributes

data CurveInstrument Source

Abstract base class for instruments intended to be used primarily for building curves. (There are no subtypes defined for this abstract type.)

Constructors

CurveInstrument

Instances

Eq CurveInstrument
Show CurveInstrument
SchemaType CurveInstrument
Extension CurveInstrument IdentifiedAsset

data Deposit Source

Constructors

Deposit

Fields

deposit_ID :: Maybe ID
deposit_instrumentId :: [InstrumentId]: Identification of the underlying asset, using public and/or private identifiers.
deposit_description :: Maybe XsdString: Long name of the underlying asset.
deposit_currency :: Maybe IdentifiedCurrency: Trading currency of the underlyer when transacted as a cash instrument.
deposit_exchangeId :: Maybe ExchangeId: Identification of the exchange on which this asset is transacted for the purposes of calculating a contractural payoff. The term Exchange is assumed to have the meaning as defined in the ISDA 2002 Equity Derivatives Definitions.
deposit_clearanceSystem :: Maybe ClearanceSystem: Identification of the clearance system associated with the transaction exchange.
deposit_definition :: Maybe ProductReference: An optional reference to a full FpML product that defines the simple product in greater detail. In case of inconsistency between the terms of the simple product and those of the detailed definition, the values in the simple product override those in the detailed definition.
deposit_term :: Maybe Period: Specifies the term of the deposit, e.g. 5Y.
deposit_paymentFrequency :: Maybe Period: Specifies the frequency at which the deposit pays, e.g. 6M.
deposit_dayCountFraction :: Maybe DayCountFraction: The day count basis for the deposit.

Instances

Eq Deposit
Show Deposit
SchemaType Deposit
Extension Deposit UnderlyingAsset
Extension Deposit IdentifiedAsset
Extension Deposit Asset

data DividendPayout Source

A type describing the dividend payout ratio associated with an equity underlyer. In certain cases the actual ratio is not known on trade inception, and only general conditions are then specified.

Constructors

DividendPayout

Fields

dividPayout_choice0 :: Maybe (OneOf2 Decimal XsdString)

Choice between:

Specifies the actual dividend payout ratio associated with the equity underlyer.
Specifies the dividend payout conditions that will be applied in the case where the actual ratio is not known, typically because of regulatory or legal uncertainties.

dividPayout_dividendPayment :: [PendingPayment]

The next upcoming dividend payment or payments.

Instances

Eq DividendPayout
Show DividendPayout
SchemaType DividendPayout

data EquityAsset Source

An exchange traded equity asset.

Constructors

EquityAsset

Fields

equityAsset_ID :: Maybe ID
equityAsset_instrumentId :: [InstrumentId]: Identification of the underlying asset, using public and/or private identifiers.
equityAsset_description :: Maybe XsdString: Long name of the underlying asset.
equityAsset_currency :: Maybe IdentifiedCurrency: Trading currency of the underlyer when transacted as a cash instrument.
equityAsset_exchangeId :: Maybe ExchangeId: Identification of the exchange on which this asset is transacted for the purposes of calculating a contractural payoff. The term Exchange is assumed to have the meaning as defined in the ISDA 2002 Equity Derivatives Definitions.
equityAsset_clearanceSystem :: Maybe ClearanceSystem: Identification of the clearance system associated with the transaction exchange.
equityAsset_definition :: Maybe ProductReference: An optional reference to a full FpML product that defines the simple product in greater detail. In case of inconsistency between the terms of the simple product and those of the detailed definition, the values in the simple product override those in the detailed definition.
equityAsset_relatedExchangeId :: [ExchangeId]: A short form unique identifier for a related exchange. If the element is not present then the exchange shall be the primary exchange on which listed futures and options on the underlying are listed. The term Exchange is assumed to have the meaning as defined in the ISDA 2002 Equity Derivatives Definitions.
equityAsset_optionsExchangeId :: [ExchangeId]: A short form unique identifier for an exchange on which the reference option contract is listed. This is to address the case where the reference exchange for the future is different than the one for the option. The options Exchange is referenced on share options when Merger Elections are selected as Options Exchange Adjustment.
equityAsset_specifiedExchangeId :: [ExchangeId]: A short form unique identifier for a specified exchange. If the element is not present then the exchange shall be default terms as defined in the MCA; unless otherwise specified in the Transaction Supplement.

Instances

Eq EquityAsset
Show EquityAsset
SchemaType EquityAsset
Extension EquityAsset UnderlyingAsset
Extension EquityAsset IdentifiedAsset
Extension EquityAsset ExchangeTraded
Extension EquityAsset Asset

data ExchangeTradedCalculatedPrice Source

Abstract base class for all exchange traded financial products with a price which is calculated from exchange traded constituents.

Constructors

ExchangeTradedCalculatedPrice_Index Index
ExchangeTradedCalculatedPrice_ExchangeTradedFund ExchangeTradedFund

Instances

Eq ExchangeTradedCalculatedPrice
Show ExchangeTradedCalculatedPrice
SchemaType ExchangeTradedCalculatedPrice
Extension Index ExchangeTradedCalculatedPrice
Extension ExchangeTradedFund ExchangeTradedCalculatedPrice
Extension ExchangeTradedCalculatedPrice ExchangeTraded

data ExchangeTradedContract Source

An exchange traded derivative contract.

Constructors

ExchangeTradedContract

Fields

exchTradedContr_ID :: Maybe ID
exchTradedContr_instrumentId :: [InstrumentId]: Identification of the underlying asset, using public and/or private identifiers.
exchTradedContr_description :: Maybe XsdString: Long name of the underlying asset.
exchTradedContr_currency :: Maybe IdentifiedCurrency: Trading currency of the underlyer when transacted as a cash instrument.
exchTradedContr_exchangeId :: Maybe ExchangeId: Identification of the exchange on which this asset is transacted for the purposes of calculating a contractural payoff. The term Exchange is assumed to have the meaning as defined in the ISDA 2002 Equity Derivatives Definitions.
exchTradedContr_clearanceSystem :: Maybe ClearanceSystem: Identification of the clearance system associated with the transaction exchange.
exchTradedContr_definition :: Maybe ProductReference: An optional reference to a full FpML product that defines the simple product in greater detail. In case of inconsistency between the terms of the simple product and those of the detailed definition, the values in the simple product override those in the detailed definition.
exchTradedContr_relatedExchangeId :: [ExchangeId]: A short form unique identifier for a related exchange. If the element is not present then the exchange shall be the primary exchange on which listed futures and options on the underlying are listed. The term Exchange is assumed to have the meaning as defined in the ISDA 2002 Equity Derivatives Definitions.
exchTradedContr_optionsExchangeId :: [ExchangeId]: A short form unique identifier for an exchange on which the reference option contract is listed. This is to address the case where the reference exchange for the future is different than the one for the option. The options Exchange is referenced on share options when Merger Elections are selected as Options Exchange Adjustment.
exchTradedContr_specifiedExchangeId :: [ExchangeId]: A short form unique identifier for a specified exchange. If the element is not present then the exchange shall be default terms as defined in the MCA; unless otherwise specified in the Transaction Supplement.
exchTradedContr_multiplier :: Maybe PositiveInteger: Specifies the contract multiplier that can be associated with the number of units.
exchTradedContr_contractReference :: Maybe XsdString: Specifies the contract that can be referenced, besides the undelyer type.
exchTradedContr_expirationDate :: Maybe AdjustableOrRelativeDate: The date when the contract expires.

Instances

Eq ExchangeTradedContract
Show ExchangeTradedContract
SchemaType ExchangeTradedContract
Extension ExchangeTradedContract UnderlyingAsset
Extension ExchangeTradedContract IdentifiedAsset
Extension ExchangeTradedContract ExchangeTraded
Extension ExchangeTradedContract Asset

data ExchangeTradedFund Source

An exchange traded fund whose price depends on exchange traded constituents.

Constructors

ExchangeTradedFund

Fields

exchTradedFund_ID :: Maybe ID
exchTradedFund_instrumentId :: [InstrumentId]: Identification of the underlying asset, using public and/or private identifiers.
exchTradedFund_description :: Maybe XsdString: Long name of the underlying asset.
exchTradedFund_currency :: Maybe IdentifiedCurrency: Trading currency of the underlyer when transacted as a cash instrument.
exchTradedFund_exchangeId :: Maybe ExchangeId: Identification of the exchange on which this asset is transacted for the purposes of calculating a contractural payoff. The term Exchange is assumed to have the meaning as defined in the ISDA 2002 Equity Derivatives Definitions.
exchTradedFund_clearanceSystem :: Maybe ClearanceSystem: Identification of the clearance system associated with the transaction exchange.
exchTradedFund_definition :: Maybe ProductReference: An optional reference to a full FpML product that defines the simple product in greater detail. In case of inconsistency between the terms of the simple product and those of the detailed definition, the values in the simple product override those in the detailed definition.
exchTradedFund_relatedExchangeId :: [ExchangeId]: A short form unique identifier for a related exchange. If the element is not present then the exchange shall be the primary exchange on which listed futures and options on the underlying are listed. The term Exchange is assumed to have the meaning as defined in the ISDA 2002 Equity Derivatives Definitions.
exchTradedFund_optionsExchangeId :: [ExchangeId]: A short form unique identifier for an exchange on which the reference option contract is listed. This is to address the case where the reference exchange for the future is different than the one for the option. The options Exchange is referenced on share options when Merger Elections are selected as Options Exchange Adjustment.
exchTradedFund_specifiedExchangeId :: [ExchangeId]: A short form unique identifier for a specified exchange. If the element is not present then the exchange shall be default terms as defined in the MCA; unless otherwise specified in the Transaction Supplement.
exchTradedFund_constituentExchangeId :: [ExchangeId]: Identification of all the exchanges where constituents are traded. The term Exchange is assumed to have the meaning as defined in the ISDA 2002 Equity Derivatives Definitions.
exchTradedFund_fundManager :: Maybe XsdString: Specifies the fund manager that is in charge of the fund.

data FacilityType Source

A type describing the type of loan facility.

Constructors

FacilityType Scheme FacilityTypeAttributes

Instances

Eq FacilityType
Show FacilityType
SchemaType FacilityType
Extension FacilityType Scheme

data FacilityTypeAttributes Source

Constructors

FacilityTypeAttributes
Fields facilTypeAttrib_facilityTypeScheme :: Maybe AnyURI

Instances

Eq FacilityTypeAttributes
Show FacilityTypeAttributes

data Future Source

An exchange traded future contract.

Constructors

Future

Fields

future_ID :: Maybe ID
future_instrumentId :: [InstrumentId]: Identification of the underlying asset, using public and/or private identifiers.
future_description :: Maybe XsdString: Long name of the underlying asset.
future_currency :: Maybe IdentifiedCurrency: Trading currency of the underlyer when transacted as a cash instrument.
future_exchangeId :: Maybe ExchangeId: Identification of the exchange on which this asset is transacted for the purposes of calculating a contractural payoff. The term Exchange is assumed to have the meaning as defined in the ISDA 2002 Equity Derivatives Definitions.
future_clearanceSystem :: Maybe ClearanceSystem: Identification of the clearance system associated with the transaction exchange.
future_definition :: Maybe ProductReference: An optional reference to a full FpML product that defines the simple product in greater detail. In case of inconsistency between the terms of the simple product and those of the detailed definition, the values in the simple product override those in the detailed definition.
future_relatedExchangeId :: [ExchangeId]: A short form unique identifier for a related exchange. If the element is not present then the exchange shall be the primary exchange on which listed futures and options on the underlying are listed. The term Exchange is assumed to have the meaning as defined in the ISDA 2002 Equity Derivatives Definitions.
future_optionsExchangeId :: [ExchangeId]: A short form unique identifier for an exchange on which the reference option contract is listed. This is to address the case where the reference exchange for the future is different than the one for the option. The options Exchange is referenced on share options when Merger Elections are selected as Options Exchange Adjustment.
future_specifiedExchangeId :: [ExchangeId]: A short form unique identifier for a specified exchange. If the element is not present then the exchange shall be default terms as defined in the MCA; unless otherwise specified in the Transaction Supplement.
future_multiplier :: Maybe PositiveInteger: Specifies the contract multiplier that can be associated with the number of units.
future_contractReference :: Maybe XsdString: Specifies the future contract that can be referenced, besides the equity or index reference defined as part of the UnderlyerAsset type.
future_maturity :: Maybe Date: The date when the future contract expires.

Instances

Eq Future
Show Future
SchemaType Future
Extension Future UnderlyingAsset
Extension Future IdentifiedAsset
Extension Future ExchangeTraded
Extension Future Asset

data FutureId Source

A type defining a short form unique identifier for a future contract.

Constructors

FutureId Scheme FutureIdAttributes

Instances

Eq FutureId
Show FutureId
SchemaType FutureId
Extension FutureId Scheme

data FutureIdAttributes Source

Constructors

FutureIdAttributes
Fields futureIdAttrib_futureIdScheme :: Maybe AnyURI

Instances

Eq FutureIdAttributes
Show FutureIdAttributes

data FxConversion Source

Constructors

FxConversion
Fields fxConversion_choice0 :: Maybe (OneOf2 AmountReference [FxRate]) Choice between: amountRelativeTo Specifies a currency conversion rate.

Instances

Eq FxConversion
Show FxConversion
SchemaType FxConversion

data FxRateAsset Source

Constructors

FxRateAsset

Fields

fxRateAsset_ID :: Maybe ID
fxRateAsset_instrumentId :: [InstrumentId]: Identification of the underlying asset, using public and/or private identifiers.
fxRateAsset_description :: Maybe XsdString: Long name of the underlying asset.
fxRateAsset_currency :: Maybe IdentifiedCurrency: Trading currency of the underlyer when transacted as a cash instrument.
fxRateAsset_exchangeId :: Maybe ExchangeId: Identification of the exchange on which this asset is transacted for the purposes of calculating a contractural payoff. The term Exchange is assumed to have the meaning as defined in the ISDA 2002 Equity Derivatives Definitions.
fxRateAsset_clearanceSystem :: Maybe ClearanceSystem: Identification of the clearance system associated with the transaction exchange.
fxRateAsset_definition :: Maybe ProductReference: An optional reference to a full FpML product that defines the simple product in greater detail. In case of inconsistency between the terms of the simple product and those of the detailed definition, the values in the simple product override those in the detailed definition.
fxRateAsset_quotedCurrencyPair :: Maybe QuotedCurrencyPair: Defines the two currencies for an FX trade and the quotation relationship between the two currencies.
fxRateAsset_rateSource :: Maybe FxSpotRateSource: Defines the source of the FX rate.

Instances

Eq FxRateAsset
Show FxRateAsset
SchemaType FxRateAsset
Extension FxRateAsset UnderlyingAsset
Extension FxRateAsset IdentifiedAsset
Extension FxRateAsset Asset

data IdentifiedAsset Source

A generic type describing an identified asset.

Constructors

IdentifiedAsset_UnderlyingAsset UnderlyingAsset
IdentifiedAsset_CurveInstrument CurveInstrument
IdentifiedAsset_Commodity Commodity

Instances

Eq IdentifiedAsset
Show IdentifiedAsset
SchemaType IdentifiedAsset
Extension UnderlyingAsset IdentifiedAsset
Extension SimpleIRSwap IdentifiedAsset
Extension SimpleFra IdentifiedAsset
Extension SimpleCreditDefaultSwap IdentifiedAsset
Extension RateIndex IdentifiedAsset
Extension MutualFund IdentifiedAsset
Extension Mortgage IdentifiedAsset
Extension Loan IdentifiedAsset
Extension Index IdentifiedAsset
Extension IdentifiedAsset Asset
Extension FxRateAsset IdentifiedAsset
Extension Future IdentifiedAsset
Extension ExchangeTradedFund IdentifiedAsset
Extension ExchangeTradedContract IdentifiedAsset
Extension EquityAsset IdentifiedAsset
Extension Deposit IdentifiedAsset
Extension CurveInstrument IdentifiedAsset
Extension ConvertibleBond IdentifiedAsset
Extension Commodity IdentifiedAsset
Extension Bond IdentifiedAsset

data Index Source

A published index whose price depends on exchange traded constituents.

Constructors

Index

Fields

index_ID :: Maybe ID
index_instrumentId :: [InstrumentId]: Identification of the underlying asset, using public and/or private identifiers.
index_description :: Maybe XsdString: Long name of the underlying asset.
index_currency :: Maybe IdentifiedCurrency: Trading currency of the underlyer when transacted as a cash instrument.
index_exchangeId :: Maybe ExchangeId: Identification of the exchange on which this asset is transacted for the purposes of calculating a contractural payoff. The term Exchange is assumed to have the meaning as defined in the ISDA 2002 Equity Derivatives Definitions.
index_clearanceSystem :: Maybe ClearanceSystem: Identification of the clearance system associated with the transaction exchange.
index_definition :: Maybe ProductReference: An optional reference to a full FpML product that defines the simple product in greater detail. In case of inconsistency between the terms of the simple product and those of the detailed definition, the values in the simple product override those in the detailed definition.
index_relatedExchangeId :: [ExchangeId]: A short form unique identifier for a related exchange. If the element is not present then the exchange shall be the primary exchange on which listed futures and options on the underlying are listed. The term Exchange is assumed to have the meaning as defined in the ISDA 2002 Equity Derivatives Definitions.
index_optionsExchangeId :: [ExchangeId]: A short form unique identifier for an exchange on which the reference option contract is listed. This is to address the case where the reference exchange for the future is different than the one for the option. The options Exchange is referenced on share options when Merger Elections are selected as Options Exchange Adjustment.
index_specifiedExchangeId :: [ExchangeId]: A short form unique identifier for a specified exchange. If the element is not present then the exchange shall be default terms as defined in the MCA; unless otherwise specified in the Transaction Supplement.
index_constituentExchangeId :: [ExchangeId]: Identification of all the exchanges where constituents are traded. The term Exchange is assumed to have the meaning as defined in the ISDA 2002 Equity Derivatives Definitions.
index_futureId :: Maybe FutureId: A short form unique identifier for the reference future contract in the case of an index underlyer.

data Lien Source

A type describing the liens associated with a loan facility.

Constructors

Lien Scheme LienAttributes

Instances

Eq Lien
Show Lien
SchemaType Lien
Extension Lien Scheme

data LienAttributes Source

Constructors

LienAttributes
Fields lienAttrib_lienScheme :: Maybe AnyURI

Instances

Eq LienAttributes
Show LienAttributes

data Loan Source

A type describing a loan underlying asset.

Constructors

Loan

Fields

loan_ID :: Maybe ID

loan_instrumentId :: [InstrumentId]

Identification of the underlying asset, using public and/or private identifiers.

loan_description :: Maybe XsdString

Long name of the underlying asset.

loan_currency :: Maybe IdentifiedCurrency

Trading currency of the underlyer when transacted as a cash instrument.

loan_exchangeId :: Maybe ExchangeId

Identification of the exchange on which this asset is transacted for the purposes of calculating a contractural payoff. The term Exchange is assumed to have the meaning as defined in the ISDA 2002 Equity Derivatives Definitions.

loan_clearanceSystem :: Maybe ClearanceSystem

Identification of the clearance system associated with the transaction exchange.

loan_definition :: Maybe ProductReference

An optional reference to a full FpML product that defines the simple product in greater detail. In case of inconsistency between the terms of the simple product and those of the detailed definition, the values in the simple product override those in the detailed definition.

loan_choice6 :: [OneOf2 LegalEntity LegalEntityReference]

Specifies the borrower. There can be more than one borrower. It is meant to be used in the event that there is no Bloomberg Id or the Secured List isn't applicable.

Choice between:

borrower
borrowerReference

loan_lien :: Maybe Lien

Specifies the seniority level of the lien.

loan_facilityType :: Maybe FacilityType

The type of loan facility (letter of credit, revolving, ...).

loan_maturity :: Maybe Date

The date when the principal amount of the loan becomes due and payable.

loan_creditAgreementDate :: Maybe Date

The credit agreement date is the closing date (the date where the agreement has been signed) for the loans in the credit agreement. Funding of the facilities occurs on (or sometimes a little after) the Credit Agreement date. This underlyer attribute is used to help identify which of the company's outstanding loans are being referenced by knowing to which credit agreement it belongs. ISDA Standards Terms Supplement term: Date of Original Credit Agreement.

loan_tranche :: Maybe UnderlyingAssetTranche

The loan tranche that is subject to the derivative transaction. It will typically be referenced as the Bloomberg tranche number. ISDA Standards Terms Supplement term: Bloomberg Tranche Number.

Instances

Eq Loan
Show Loan
SchemaType Loan
Extension Loan UnderlyingAsset
Extension Loan IdentifiedAsset
Extension Loan Asset

data Mortgage Source

A type describing a mortgage asset.

Constructors

Mortgage

Fields

mortgage_ID :: Maybe ID

mortgage_instrumentId :: [InstrumentId]

Identification of the underlying asset, using public and/or private identifiers.

mortgage_description :: Maybe XsdString

Long name of the underlying asset.

mortgage_currency :: Maybe IdentifiedCurrency

Trading currency of the underlyer when transacted as a cash instrument.

mortgage_exchangeId :: Maybe ExchangeId

Identification of the exchange on which this asset is transacted for the purposes of calculating a contractural payoff. The term Exchange is assumed to have the meaning as defined in the ISDA 2002 Equity Derivatives Definitions.

mortgage_clearanceSystem :: Maybe ClearanceSystem

Identification of the clearance system associated with the transaction exchange.

mortgage_definition :: Maybe ProductReference

An optional reference to a full FpML product that defines the simple product in greater detail. In case of inconsistency between the terms of the simple product and those of the detailed definition, the values in the simple product override those in the detailed definition.

mortgage_choice6 :: Maybe (OneOf2 LegalEntity LegalEntityReference)

Applicable to the case of default swaps on MBS terms. For specifying the insurer name, when applicable (when the element is not present, it signifies that the insurer is Not Applicable)

Choice between:

insurer
insurerReference

mortgage_choice7 :: Maybe (OneOf2 XsdString PartyReference)

Specifies the issuer name of a fixed income security or convertible bond. This name can either be explicitly stated, or specified as an href into another element of the document, such as the obligor.

Choice between:

issuerName
issuerPartyReference

mortgage_seniority :: Maybe CreditSeniority

The repayment precedence of a debt instrument.

mortgage_couponType :: Maybe CouponType

Specifies if the bond has a variable coupon, step-up/down coupon or a zero-coupon.

mortgage_couponRate :: Maybe Decimal

Specifies the coupon rate (expressed in percentage) of a fixed income security or convertible bond.

mortgage_maturity :: Maybe Date

The date when the principal amount of a security becomes due and payable.

mortgage_paymentFrequency :: Maybe Period

Specifies the frequency at which the bond pays, e.g. 6M.

mortgage_dayCountFraction :: Maybe DayCountFraction

The day count basis for the bond.

mortgage_originalPrincipalAmount :: Maybe Decimal

The initial issued amount of the mortgage obligation.

mortgage_pool :: Maybe AssetPool

The morgage pool that is underneath the mortgage obligation.

mortgage_sector :: Maybe MortgageSector

The sector classification of the mortgage obligation.

mortgage_tranche :: Maybe Token

The mortgage obligation tranche that is subject to the derivative transaction.

Instances

Eq Mortgage
Show Mortgage
SchemaType Mortgage
Extension Mortgage UnderlyingAsset
Extension Mortgage IdentifiedAsset
Extension Mortgage Asset

data MortgageSector Source

A type describing the typology of mortgage obligations.

Constructors

MortgageSector Scheme MortgageSectorAttributes

Instances

Eq MortgageSector
Show MortgageSector
SchemaType MortgageSector
Extension MortgageSector Scheme

data MortgageSectorAttributes Source

Constructors

MortgageSectorAttributes
Fields mortgSectorAttrib_mortgageSectorScheme :: Maybe AnyURI

Instances

Eq MortgageSectorAttributes
Show MortgageSectorAttributes

data MutualFund Source

Constructors

MutualFund

Fields

mutualFund_ID :: Maybe ID
mutualFund_instrumentId :: [InstrumentId]: Identification of the underlying asset, using public and/or private identifiers.
mutualFund_description :: Maybe XsdString: Long name of the underlying asset.
mutualFund_currency :: Maybe IdentifiedCurrency: Trading currency of the underlyer when transacted as a cash instrument.
mutualFund_exchangeId :: Maybe ExchangeId: Identification of the exchange on which this asset is transacted for the purposes of calculating a contractural payoff. The term Exchange is assumed to have the meaning as defined in the ISDA 2002 Equity Derivatives Definitions.
mutualFund_clearanceSystem :: Maybe ClearanceSystem: Identification of the clearance system associated with the transaction exchange.
mutualFund_definition :: Maybe ProductReference: An optional reference to a full FpML product that defines the simple product in greater detail. In case of inconsistency between the terms of the simple product and those of the detailed definition, the values in the simple product override those in the detailed definition.
mutualFund_openEndedFund :: Maybe Boolean: Boolean indicator to specify whether the mutual fund is an open-ended mutual fund.
mutualFund_fundManager :: Maybe XsdString: Specifies the fund manager that is in charge of the fund.

Instances

Eq MutualFund
Show MutualFund
SchemaType MutualFund
Extension MutualFund UnderlyingAsset
Extension MutualFund IdentifiedAsset
Extension MutualFund Asset

data PendingPayment Source

A structure representing a pending dividend or coupon payment.

Constructors

PendingPayment

Fields

pendingPayment_ID :: Maybe ID
pendingPayment_paymentDate :: Maybe Date: The date that the dividend or coupon is due.
pendingPayment_amount :: Maybe Money: The amount of the dividend or coupon payment. Value of dividends or coupon between ex and pay date. Stock: if we are between ex-date and pay-date and the dividend is payable under the swap, then this should be the ex-div amount * # of securities. Bond: regardless of where we are vis-a-vis resets: (coupon % * face of bonds on swap * (bond day count fraction using days last coupon pay date of the bond through today).
pendingPayment_accruedInterest :: Maybe Money: Accrued interest on the dividend or coupon payment. When the TRS is structured to pay a dividend or coupon on reset after payable date, you may earn interest on these amounts. This field indicates the interest accrued on dividend/coupon from pay date to statement date. This will only apply to a handful of agreements where dividendss are held to the next reset AND you receive/pay interest on unpaid amounts.

Instances

Eq PendingPayment
Show PendingPayment
SchemaType PendingPayment
Extension PendingPayment PaymentBase

data Price Source

A type describing the strike price.

Constructors

Price

Fields

price_commission :: Maybe Commission

This optional component specifies the commission to be charged for executing the hedge transactions.

price_choice1 :: OneOf3 (DeterminationMethod, Maybe ActualPrice, Maybe ActualPrice, Maybe Decimal, Maybe FxConversion) AmountReference (Maybe ActualPrice, Maybe ActualPrice, Maybe Decimal, Maybe FxConversion)

Choice between:

Sequence of:

Specifies the method according to which an amount or a date is determined.
Specifies the price of the underlyer, before commissions.
Specifies the price of the underlyer, net of commissions.
Specifies the accrued interest that are part of the dirty price in the case of a fixed income security or a convertible bond. Expressed in percentage of the notional.
Specifies the currency conversion rate that applies to an amount. This rate can either be defined elsewhere in the document (case of a quanto swap), or explicitly described through this component.

The href attribute value will be a pointer style reference to the element or component elsewhere in the document where the anchor amount is defined.
Sequence of:

Specifies the price of the underlyer, before commissions.
Specifies the price of the underlyer, net of commissions.
Specifies the accrued interest that are part of the dirty price in the case of a fixed income security or a convertible bond. Expressed in percentage of the notional.
Specifies the currency conversion rate that applies to an amount. This rate can either be defined elsewhere in the document (case of a quanto swap), or explicitly described through this component.

price_cleanNetPrice :: Maybe Decimal

The net price excluding accrued interest. The Dirty Price for bonds is put in the netPrice element, which includes accrued interest. Thus netPrice - cleanNetPrice = accruedInterest. The currency and price expression for this field are the same as those for the (dirty) netPrice.

price_quotationCharacteristics :: Maybe QuotationCharacteristics

Allows information about how the price was quoted to be provided.

Instances

Eq Price
Show Price
SchemaType Price
Extension ReturnLegValuationPrice Price

data PriceQuoteUnits Source

The units in which a price is quoted.

Constructors

PriceQuoteUnits Scheme PriceQuoteUnitsAttributes

Instances

Eq PriceQuoteUnits
Show PriceQuoteUnits
SchemaType PriceQuoteUnits
Extension PriceQuoteUnits Scheme

data PriceQuoteUnitsAttributes Source

Constructors

PriceQuoteUnitsAttributes
Fields priceQuoteUnitsAttrib_priceQuoteUnitsScheme :: Maybe AnyURI

Instances

Eq PriceQuoteUnitsAttributes
Show PriceQuoteUnitsAttributes

data QuantityUnit Source

Constructors

QuantityUnit Scheme QuantityUnitAttributes

Instances

Eq QuantityUnit
Show QuantityUnit
SchemaType QuantityUnit
Extension QuantityUnit Scheme

data QuantityUnitAttributes Source

Constructors

QuantityUnitAttributes
Fields quantUnitAttrib_quantityUnitScheme :: Maybe AnyURI

Instances

Eq QuantityUnitAttributes
Show QuantityUnitAttributes

data QuotationCharacteristics Source

A type representing a set of characteristics that describe a quotation.

Constructors

QuotationCharacteristics

Fields

quotChar_measureType :: Maybe AssetMeasureType

The type of the value that is measured. This could be an NPV, a cash flow, a clean price, etc.

quotChar_quoteUnits :: Maybe PriceQuoteUnits

The optional units that the measure is expressed in. If not supplied, this is assumed to be a price/value in currency units.

quotChar_side :: Maybe QuotationSideEnum

The side (bidmidask) of the measure.

quotChar_currency :: Maybe Currency

The optional currency that the measure is expressed in. If not supplied, this is defaulted from the reportingCurrency in the valuationScenarioDefinition.

quotChar_currencyType :: Maybe ReportingCurrencyType

The optional currency that the measure is expressed in. If not supplied, this is defaulted from the reportingCurrency in the valuationScenarioDefinition.

quotChar_timing :: Maybe QuoteTiming

When during a day the quote is for. Typically, if this element is supplied, the QuoteLocation needs also to be supplied.

quotChar_choice6 :: Maybe (OneOf2 BusinessCenter ExchangeId)

Choice between:

A city or other business center.
The exchange (e.g. stock or futures exchange) from which the quote is obtained.

quotChar_informationSource :: [InformationSource]

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

quotChar_pricingModel :: Maybe PricingModel

.

quotChar_time :: Maybe DateTime

When the quote was observed or derived.

quotChar_valuationDate :: Maybe Date

When the quote was computed.

quotChar_expiryTime :: Maybe DateTime

When does the quote cease to be valid.

quotChar_cashflowType :: Maybe CashflowType

For cash flows, the type of the cash flows. Examples include: Coupon payment, Premium Fee, Settlement Fee, Brokerage Fee, etc.

Instances

Eq QuotationCharacteristics
Show QuotationCharacteristics
SchemaType QuotationCharacteristics

data QuoteTiming Source

The type of the time of the quote.

Constructors

QuoteTiming Scheme QuoteTimingAttributes

Instances

Eq QuoteTiming
Show QuoteTiming
SchemaType QuoteTiming
Extension QuoteTiming Scheme

data QuoteTimingAttributes Source

Constructors

QuoteTimingAttributes
Fields quoteTimingAttrib_quoteTimingScheme :: Maybe AnyURI

Instances

Eq QuoteTimingAttributes
Show QuoteTimingAttributes

data RateIndex Source

Constructors

RateIndex

Fields

rateIndex_ID :: Maybe ID
rateIndex_instrumentId :: [InstrumentId]: Identification of the underlying asset, using public and/or private identifiers.
rateIndex_description :: Maybe XsdString: Long name of the underlying asset.
rateIndex_currency :: Maybe IdentifiedCurrency: Trading currency of the underlyer when transacted as a cash instrument.
rateIndex_exchangeId :: Maybe ExchangeId: Identification of the exchange on which this asset is transacted for the purposes of calculating a contractural payoff. The term Exchange is assumed to have the meaning as defined in the ISDA 2002 Equity Derivatives Definitions.
rateIndex_clearanceSystem :: Maybe ClearanceSystem: Identification of the clearance system associated with the transaction exchange.
rateIndex_definition :: Maybe ProductReference: An optional reference to a full FpML product that defines the simple product in greater detail. In case of inconsistency between the terms of the simple product and those of the detailed definition, the values in the simple product override those in the detailed definition.
rateIndex_floatingRateIndex :: Maybe FloatingRateIndex
rateIndex_term :: Maybe Period: Specifies the term of the simple swap, e.g. 5Y.
rateIndex_paymentFrequency :: Maybe Period: Specifies the frequency at which the index pays, e.g. 6M.
rateIndex_dayCountFraction :: Maybe DayCountFraction: The day count basis for the index.

Instances

Eq RateIndex
Show RateIndex
SchemaType RateIndex
Extension RateIndex UnderlyingAsset
Extension RateIndex IdentifiedAsset
Extension RateIndex Asset

data ReportingCurrencyType Source

A scheme identifying the type of currency that was used to report the value of an asset. For example, this could contain values like SettlementCurrency, QuoteCurrency, UnitCurrency, etc.

Constructors

ReportingCurrencyType Scheme ReportingCurrencyTypeAttributes

Instances

Eq ReportingCurrencyType
Show ReportingCurrencyType
SchemaType ReportingCurrencyType
Extension ReportingCurrencyType Scheme

data ReportingCurrencyTypeAttributes Source

Constructors

ReportingCurrencyTypeAttributes
Fields reportCurrenTypeAttrib_reportingCurrencyTypeScheme :: Maybe AnyURI

Instances

Eq ReportingCurrencyTypeAttributes
Show ReportingCurrencyTypeAttributes

data SimpleCreditDefaultSwap Source

Constructors

SimpleCreditDefaultSwap

Fields

simpleCreditDefaultSwap_ID :: Maybe ID

simpleCreditDefaultSwap_instrumentId :: [InstrumentId]

Identification of the underlying asset, using public and/or private identifiers.

simpleCreditDefaultSwap_description :: Maybe XsdString

Long name of the underlying asset.

simpleCreditDefaultSwap_currency :: Maybe IdentifiedCurrency

Trading currency of the underlyer when transacted as a cash instrument.

simpleCreditDefaultSwap_exchangeId :: Maybe ExchangeId

Identification of the exchange on which this asset is transacted for the purposes of calculating a contractural payoff. The term Exchange is assumed to have the meaning as defined in the ISDA 2002 Equity Derivatives Definitions.

simpleCreditDefaultSwap_clearanceSystem :: Maybe ClearanceSystem

Identification of the clearance system associated with the transaction exchange.

simpleCreditDefaultSwap_definition :: Maybe ProductReference

An optional reference to a full FpML product that defines the simple product in greater detail. In case of inconsistency between the terms of the simple product and those of the detailed definition, the values in the simple product override those in the detailed definition.

simpleCreditDefaultSwap_choice6 :: Maybe (OneOf2 LegalEntity LegalEntityReference)

Choice between:

The entity for which this is defined.
An XML reference a credit entity defined elsewhere in the document.

simpleCreditDefaultSwap_term :: Maybe Period

Specifies the term of the simple CD swap, e.g. 5Y.

simpleCreditDefaultSwap_paymentFrequency :: Maybe Period

Specifies the frequency at which the swap pays, e.g. 6M.

Instances

Eq SimpleCreditDefaultSwap
Show SimpleCreditDefaultSwap
SchemaType SimpleCreditDefaultSwap
Extension SimpleCreditDefaultSwap UnderlyingAsset
Extension SimpleCreditDefaultSwap IdentifiedAsset
Extension SimpleCreditDefaultSwap Asset

data SimpleFra Source

Constructors

SimpleFra

Fields

simpleFra_ID :: Maybe ID
simpleFra_instrumentId :: [InstrumentId]: Identification of the underlying asset, using public and/or private identifiers.
simpleFra_description :: Maybe XsdString: Long name of the underlying asset.
simpleFra_currency :: Maybe IdentifiedCurrency: Trading currency of the underlyer when transacted as a cash instrument.
simpleFra_exchangeId :: Maybe ExchangeId: Identification of the exchange on which this asset is transacted for the purposes of calculating a contractural payoff. The term Exchange is assumed to have the meaning as defined in the ISDA 2002 Equity Derivatives Definitions.
simpleFra_clearanceSystem :: Maybe ClearanceSystem: Identification of the clearance system associated with the transaction exchange.
simpleFra_definition :: Maybe ProductReference: An optional reference to a full FpML product that defines the simple product in greater detail. In case of inconsistency between the terms of the simple product and those of the detailed definition, the values in the simple product override those in the detailed definition.
simpleFra_startTerm :: Maybe Period: Specifies the start term of the simple fra, e.g. 3M.
simpleFra_endTerm :: Maybe Period: Specifies the end term of the simple fra, e.g. 9M.
simpleFra_dayCountFraction :: Maybe DayCountFraction: The day count basis for the FRA.

Instances

Eq SimpleFra
Show SimpleFra
SchemaType SimpleFra
Extension SimpleFra UnderlyingAsset
Extension SimpleFra IdentifiedAsset
Extension SimpleFra Asset

data SimpleIRSwap Source

Constructors

SimpleIRSwap

Fields

simpleIRSwap_ID :: Maybe ID
simpleIRSwap_instrumentId :: [InstrumentId]: Identification of the underlying asset, using public and/or private identifiers.
simpleIRSwap_description :: Maybe XsdString: Long name of the underlying asset.
simpleIRSwap_currency :: Maybe IdentifiedCurrency: Trading currency of the underlyer when transacted as a cash instrument.
simpleIRSwap_exchangeId :: Maybe ExchangeId: Identification of the exchange on which this asset is transacted for the purposes of calculating a contractural payoff. The term Exchange is assumed to have the meaning as defined in the ISDA 2002 Equity Derivatives Definitions.
simpleIRSwap_clearanceSystem :: Maybe ClearanceSystem: Identification of the clearance system associated with the transaction exchange.
simpleIRSwap_definition :: Maybe ProductReference: An optional reference to a full FpML product that defines the simple product in greater detail. In case of inconsistency between the terms of the simple product and those of the detailed definition, the values in the simple product override those in the detailed definition.
simpleIRSwap_term :: Maybe Period: Specifies the term of the simple swap, e.g. 5Y.
simpleIRSwap_paymentFrequency :: Maybe Period: Specifies the frequency at which the swap pays, e.g. 6M.
simpleIRSwap_dayCountFraction :: Maybe DayCountFraction: The day count basis for the swap.

Instances

Eq SimpleIRSwap
Show SimpleIRSwap
SchemaType SimpleIRSwap
Extension SimpleIRSwap UnderlyingAsset
Extension SimpleIRSwap IdentifiedAsset
Extension SimpleIRSwap Asset

data SingleUnderlyer Source

A type describing a single underlyer

Constructors

SingleUnderlyer

Fields

singleUnderly_underlyingAsset :: Maybe Asset: Define the underlying asset, either a listed security or other instrument.
singleUnderly_openUnits :: Maybe Decimal: The number of units (index or securities) that constitute the underlyer of the swap. In the case of a basket swap, this element is used to reference both the number of basket units, and the number of each asset components of the basket when these are expressed in absolute terms.
singleUnderly_dividendPayout :: Maybe DividendPayout: Specifies the dividend payout ratio associated with an equity underlyer. A basket swap can have different payout ratios across the various underlying constituents. In certain cases the actual ratio is not known on trade inception, and only general conditions are then specified. Users should note that FpML makes a distinction between the derivative contract and the underlyer of the contract. It would be better if the agreed dividend payout on a derivative contract was modelled at the level of the derivative contract, an approach which may be adopted in the next major version of FpML.
singleUnderly_couponPayment :: Maybe PendingPayment: The next upcoming coupon payment.
singleUnderly_averageDailyTradingVolume :: Maybe AverageDailyTradingVolumeLimit: The average amount of individual securities traded in a day or over a specified amount of time.
singleUnderly_depositoryReceipt :: Maybe Boolean: A Depository Receipt is a negotiable certificate issued by a trust company or security depository. This element is used to represent whether a Depository Receipt is applicable or not to the underlyer.

Instances

Eq SingleUnderlyer
Show SingleUnderlyer
SchemaType SingleUnderlyer

data TimeZone Source

Defines an identifier for a specific location or region which translates into a combination of rules for calculating the UTC offset.

Constructors

TimeZone Scheme TimeZoneAttributes

Instances

Eq TimeZone
Show TimeZone
SchemaType TimeZone
Extension TimeZone Scheme

data TimeZoneAttributes Source

Constructors

TimeZoneAttributes
Fields timeZoneAttrib_timeZoneScheme :: Maybe AnyURI

Instances

Eq TimeZoneAttributes
Show TimeZoneAttributes

data Underlyer Source

A type describing the whole set of possible underlyers: single underlyers or multiple underlyers, each of these having either security or index components.

Constructors

Underlyer
Fields underlyer_choice0 :: Maybe (OneOf2 SingleUnderlyer Basket) Choice between: Describes the swap's underlyer when it has only one asset component. Describes the swap's underlyer when it has multiple asset components.

Instances

Eq Underlyer
Show Underlyer
SchemaType Underlyer

data UnderlyingAsset Source

Abstract base class for all underlying assets.

data UnderlyingAssetTranche Source

Constructors

UnderlyingAssetTranche Scheme UnderlyingAssetTrancheAttributes

Instances

Eq UnderlyingAssetTranche
Show UnderlyingAssetTranche
SchemaType UnderlyingAssetTranche
Extension UnderlyingAssetTranche Scheme

data UnderlyingAssetTrancheAttributes Source

Constructors

UnderlyingAssetTrancheAttributes
Fields underlyAssetTrancheAttrib_loanTrancheScheme :: Maybe AnyURI

Instances

Eq UnderlyingAssetTrancheAttributes
Show UnderlyingAssetTrancheAttributes

elementBasket :: XMLParser Basket Source

Defines the underlying asset when it is a basket.

elementToXMLBasket :: Basket -> [Content ()]Source

elementBond :: XMLParser Bond Source

Identifies the underlying asset when it is a series or a class of bonds.

elementToXMLBond :: Bond -> [Content ()]Source

elementCash :: XMLParser Cash Source

Identifies a simple underlying asset type that is a cash payment. Used for specifying discounting factors for future cash flows in the pricing and risk model.

elementToXMLCash :: Cash -> [Content ()]Source

elementCommodity :: XMLParser Commodity Source

Identifies the underlying asset when it is a listed commodity.

elementToXMLCommodity :: Commodity -> [Content ()]Source

elementConvertibleBond :: XMLParser ConvertibleBond Source

Identifies the underlying asset when it is a convertible bond.

elementToXMLConvertibleBond :: ConvertibleBond -> [Content ()]Source

elementCurveInstrument :: XMLParser Asset Source

Defines the underlying asset when it is a curve instrument.

elementToXMLCurveInstrument :: Asset -> [Content ()]Source

elementDeposit :: XMLParser Deposit Source

Identifies a simple underlying asset that is a term deposit.

elementToXMLDeposit :: Deposit -> [Content ()]Source

elementEquity :: XMLParser EquityAsset Source

Identifies the underlying asset when it is a listed equity.

elementToXMLEquity :: EquityAsset -> [Content ()]Source

elementExchangeTradedFund :: XMLParser ExchangeTradedFund Source

Identifies the underlying asset when it is an exchange-traded fund.

elementToXMLExchangeTradedFund :: ExchangeTradedFund -> [Content ()]Source

elementFuture :: XMLParser Future Source

Identifies the underlying asset when it is a listed future contract.

elementToXMLFuture :: Future -> [Content ()]Source

elementFx :: XMLParser FxRateAsset Source

Identifies a simple underlying asset type that is an FX rate. Used for specifying FX rates in the pricing and risk model.

elementToXMLFx :: FxRateAsset -> [Content ()]Source

elementIndex :: XMLParser Index Source

Identifies the underlying asset when it is a financial index.

elementToXMLIndex :: Index -> [Content ()]Source

elementLoan :: XMLParser Loan Source

Identifies a simple underlying asset that is a loan.

elementToXMLLoan :: Loan -> [Content ()]Source

elementMortgage :: XMLParser Mortgage Source

Identifies a mortgage backed security.

elementToXMLMortgage :: Mortgage -> [Content ()]Source

elementMutualFund :: XMLParser MutualFund Source

Identifies the class of unit issued by a fund.

elementToXMLMutualFund :: MutualFund -> [Content ()]Source

elementRateIndex :: XMLParser RateIndex Source

Identifies a simple underlying asset that is an interest rate index. Used for specifying benchmark assets in the market environment in the pricing and risk model.

elementToXMLRateIndex :: RateIndex -> [Content ()]Source

elementSimpleCreditDefaultSwap :: XMLParser SimpleCreditDefaultSwap Source

Identifies a simple underlying asset that is a credit default swap.

elementToXMLSimpleCreditDefaultSwap :: SimpleCreditDefaultSwap -> [Content ()]Source

elementSimpleFra :: XMLParser SimpleFra Source

Identifies a simple underlying asset that is a forward rate agreement.

elementToXMLSimpleFra :: SimpleFra -> [Content ()]Source

elementSimpleIrSwap :: XMLParser SimpleIRSwap Source

Identifies a simple underlying asset that is a swap.

elementToXMLSimpleIrSwap :: SimpleIRSwap -> [Content ()]Source

elementUnderlyingAsset :: XMLParser Asset Source

Define the underlying asset, either a listed security or other instrument.

elementToXMLUnderlyingAsset :: Asset -> [Content ()]Source

module Data.FpML.V53.Shared

ExchangeTraded_Future Future
ExchangeTraded_ExchangeTradedContract ExchangeTradedContract
ExchangeTraded_ExchangeTradedCalculatedPrice ExchangeTradedCalculatedPrice
ExchangeTraded_EquityAsset EquityAsset

Eq ExchangeTradedFund
Show ExchangeTradedFund
SchemaType ExchangeTradedFund
Extension ExchangeTradedFund UnderlyingAsset
Extension ExchangeTradedFund IdentifiedAsset
Extension ExchangeTradedFund ExchangeTradedCalculatedPrice
Extension ExchangeTradedFund ExchangeTraded
Extension ExchangeTradedFund Asset

Eq Index
Show Index
SchemaType Index
Extension Index UnderlyingAsset
Extension Index IdentifiedAsset
Extension Index ExchangeTradedCalculatedPrice
Extension Index ExchangeTraded
Extension Index Asset

UnderlyingAsset_SimpleIRSwap SimpleIRSwap
UnderlyingAsset_SimpleFra SimpleFra
UnderlyingAsset_SimpleCreditDefaultSwap SimpleCreditDefaultSwap
UnderlyingAsset_RateIndex RateIndex
UnderlyingAsset_MutualFund MutualFund
UnderlyingAsset_Mortgage Mortgage
UnderlyingAsset_Loan Loan
UnderlyingAsset_FxRateAsset FxRateAsset
UnderlyingAsset_ExchangeTraded ExchangeTraded
UnderlyingAsset_Deposit Deposit
UnderlyingAsset_Bond Bond

Asset_IdentifiedAsset IdentifiedAsset
Asset_Cash Cash
Asset_Basket Basket

Eq Asset
Show Asset
SchemaType Asset
Extension SimpleIRSwap Asset
Extension SimpleFra Asset
Extension SimpleCreditDefaultSwap Asset
Extension RateIndex Asset
Extension MutualFund Asset
Extension Mortgage Asset
Extension Loan Asset
Extension Index Asset
Extension IdentifiedAsset Asset
Extension FxRateAsset Asset
Extension Future Asset
Extension ExchangeTradedFund Asset
Extension ExchangeTradedContract Asset
Extension EquityAsset Asset
Extension Deposit Asset
Extension ConvertibleBond Asset
Extension Commodity Asset
Extension Cash Asset
Extension Bond Asset
Extension Basket Asset

Eq ExchangeTraded
Show ExchangeTraded
SchemaType ExchangeTraded
Extension Index ExchangeTraded
Extension Future ExchangeTraded
Extension ExchangeTradedFund ExchangeTraded
Extension ExchangeTradedContract ExchangeTraded
Extension ExchangeTradedCalculatedPrice ExchangeTraded
Extension ExchangeTraded UnderlyingAsset
Extension EquityAsset ExchangeTraded

Eq UnderlyingAsset
Show UnderlyingAsset
SchemaType UnderlyingAsset
Extension UnderlyingAsset IdentifiedAsset
Extension SimpleIRSwap UnderlyingAsset
Extension SimpleFra UnderlyingAsset
Extension SimpleCreditDefaultSwap UnderlyingAsset
Extension RateIndex UnderlyingAsset
Extension MutualFund UnderlyingAsset
Extension Mortgage UnderlyingAsset
Extension Loan UnderlyingAsset
Extension Index UnderlyingAsset
Extension FxRateAsset UnderlyingAsset
Extension Future UnderlyingAsset
Extension ExchangeTradedFund UnderlyingAsset
Extension ExchangeTradedContract UnderlyingAsset
Extension ExchangeTraded UnderlyingAsset
Extension EquityAsset UnderlyingAsset
Extension Deposit UnderlyingAsset
Extension ConvertibleBond UnderlyingAsset
Extension Bond UnderlyingAsset