Data.FpML.V53.Swaps.Variance

Documentation

data VarianceAmount

Calculation of a Variance Amount.

Constructors

VarianceAmount

Fields

varianAmount_calculationDates :: Maybe AdjustableRelativeOrPeriodicDates

Specifies the date on which a calculation or an observation will be performed for the purpose of calculating the amount.

varianAmount_observationStartDate :: Maybe AdjustableOrRelativeDate

The start of the period over which observations are made which are used in the calculation Used when the observation start date differs from the trade date such as for forward starting swaps.

varianAmount_optionsExchangeDividends :: Maybe Boolean

If present and true, then options exchange dividends are applicable.

varianAmount_additionalDividends :: Maybe Boolean

If present and true, then additional dividends are applicable.

varianAmount_allDividends :: Maybe Boolean

Represents the European Master Confirmation value of 'All Dividends' which, when applicable, signifies that, for a given Ex-Date, the daily observed Share Price for that day is adjusted (reduced) by the cash dividend and/or the cash value of any non cash dividend per Share (including Extraordinary Dividends) declared by the Issuer.

varianAmount_variance :: Maybe Variance

Specifies Variance.

Instances

Eq VarianceAmount

Show VarianceAmount

SchemaType VarianceAmount

Extension VarianceAmount CalculatedAmount

data VarianceLeg

A type describing return which is driven by a Variance Calculation.

Constructors

VarianceLeg

Fields

varianceLeg_ID :: Maybe ID

varianceLeg_legIdentifier :: [LegIdentifier]

Version aware identification of this leg.

varianceLeg_payerPartyReference :: Maybe PartyReference

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

varianceLeg_payerAccountReference :: Maybe AccountReference

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

varianceLeg_receiverPartyReference :: Maybe PartyReference

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

varianceLeg_receiverAccountReference :: Maybe AccountReference

A reference to the account that receives the payments corresponding to this structure.

varianceLeg_effectiveDate :: Maybe AdjustableOrRelativeDate

Specifies the effective date of this 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.

varianceLeg_terminationDate :: Maybe AdjustableOrRelativeDate

Specifies the termination date of this 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.

varianceLeg_underlyer :: Maybe Underlyer

Specifies the underlyer of the leg.

varianceLeg_settlementType :: Maybe SettlementTypeEnum

varianceLeg_settlementDate :: Maybe AdjustableOrRelativeDate

varianceLeg_choice10 :: Maybe (OneOf2 Money Currency)

Choice between:

1. Settlement Amount
2. Settlement Currency for use where the Settlement Amount cannot be known in advance

varianceLeg_fxFeature :: Maybe FxFeature

Quanto, Composite, or Cross Currency FX features.

varianceLeg_valuation :: Maybe EquityValuation

Valuation of the underlyer.

varianceLeg_amount :: Maybe 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.

Instances

Eq VarianceLeg

Show VarianceLeg

SchemaType VarianceLeg

Extension VarianceLeg Leg

Extension VarianceLeg DirectionalLegUnderlyerValuation

Extension VarianceLeg DirectionalLegUnderlyer

Extension VarianceLeg DirectionalLeg

data VarianceOptionTransactionSupplement

Constructors

VarianceOptionTransactionSupplement

Fields

vots_ID :: Maybe ID

vots_primaryAssetClass :: Maybe AssetClass

A classification of the most important risk class of the trade. FpML defines a simple asset class categorization using a coding scheme.

vots_secondaryAssetClass :: [AssetClass]

A classification of additional risk classes of the trade, if any. FpML defines a simple asset class categorization using a coding scheme.

vots_productType :: [ProductType]

A classification of the type of product. FpML defines a simple product categorization using a coding scheme.

vots_productId :: [ProductId]

A product reference identifier. The product ID is an identifier that describes the key economic characteristics of the trade type, with the exception of concepts such as size (notional, quantity, number of units) and price (fixed rate, strike, etc.) that are negotiated for each transaction. It can be used to hold identifiers such as the UPI (universal product identifier) required by certain regulatory reporting rules. It can also be used to hold identifiers of benchmark products or product temnplates used by certain trading systems or facilities. 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.

vots_buyerPartyReference :: Maybe PartyReference

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.

vots_buyerAccountReference :: Maybe AccountReference

A reference to the account that buys this instrument.

vots_sellerPartyReference :: Maybe PartyReference

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.

vots_sellerAccountReference :: Maybe AccountReference

A reference to the account that sells this instrument.

vots_optionType :: OptionTypeEnum

The type of option transaction. From a usage standpoint, putcall is the default option type, while payerreceiver indicator is used for options index credit default swaps, consistently with the industry practice. Straddle is used for the case of straddle strategy, that combine a call and a put with the same strike.

vots_equityPremium :: Maybe EquityPremium

The variance option premium payable by the buyer to the seller.

vots_equityExercise :: Maybe EquityExerciseValuationSettlement

The parameters for defining how the equity option can be exercised, how it is valued and how it is settled.

vots_exchangeLookAlike :: Maybe Boolean

For a share option transaction, a flag used to indicate whether the transaction is to be treated as an 'exchange look-alike'. This designation has significance for how share adjustments (arising from corporate actions) will be determined for the transaction. For an 'exchange look-alike' transaction the relevant share adjustments will follow that for a corresponding designated contract listed on the related exchange (referred to as Options Exchange Adjustment (ISDA defined term), otherwise the share adjustments will be determined by the calculation agent (referred to as Calculation Agent Adjustment (ISDA defined term)).

vots_methodOfAdjustment :: Maybe MethodOfAdjustmentEnum

Defines how adjustments will be made to the contract should one or more of the extraordinary events occur.

vots_choice13 :: Maybe (OneOf2 PositiveDecimal PositiveDecimal)

Choice between:

1. The number of shares per option comprised in the option transaction supplement.
2. Specifies the contract multiplier that can be associated with an index option.

vots_varianceSwapTransactionSupplement :: VarianceSwapTransactionSupplement

The variance swap details.

Instances

Eq VarianceOptionTransactionSupplement

Show VarianceOptionTransactionSupplement

SchemaType VarianceOptionTransactionSupplement

Extension VarianceOptionTransactionSupplement Product

Extension VarianceOptionTransactionSupplement OptionBase

Extension VarianceOptionTransactionSupplement Option

data VarianceSwap

A Variance Swap.

Constructors

VarianceSwap

Fields

varianceSwap_ID :: Maybe ID

varianceSwap_primaryAssetClass :: Maybe AssetClass

A classification of the most important risk class of the trade. FpML defines a simple asset class categorization using a coding scheme.

varianceSwap_secondaryAssetClass :: [AssetClass]

A classification of additional risk classes of the trade, if any. FpML defines a simple asset class categorization using a coding scheme.

varianceSwap_productType :: [ProductType]

A classification of the type of product. FpML defines a simple product categorization using a coding scheme.

varianceSwap_productId :: [ProductId]

A product reference identifier. The product ID is an identifier that describes the key economic characteristics of the trade type, with the exception of concepts such as size (notional, quantity, number of units) and price (fixed rate, strike, etc.) that are negotiated for each transaction. It can be used to hold identifiers such as the UPI (universal product identifier) required by certain regulatory reporting rules. It can also be used to hold identifiers of benchmark products or product temnplates used by certain trading systems or facilities. 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.

varianceSwap_additionalPayment :: [ClassifiedPayment]

Specifies additional payment(s) between the principal parties to the netted swap.

varianceSwap_extraordinaryEvents :: Maybe 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.

varianceSwap_varianceLeg :: [VarianceLeg]

Variance Leg.

Instances

Eq VarianceSwap

Show VarianceSwap

SchemaType VarianceSwap

Extension VarianceSwap Product

Extension VarianceSwap NettedSwapBase

data VarianceSwapTransactionSupplement

A Variance Swap Transaction Supplement.

Constructors

VarianceSwapTransactionSupplement

Fields

varianSwapTransSuppl_ID :: Maybe ID

varianSwapTransSuppl_primaryAssetClass :: Maybe AssetClass

A classification of the most important risk class of the trade. FpML defines a simple asset class categorization using a coding scheme.

varianSwapTransSuppl_secondaryAssetClass :: [AssetClass]

A classification of additional risk classes of the trade, if any. FpML defines a simple asset class categorization using a coding scheme.

varianSwapTransSuppl_productType :: [ProductType]

A classification of the type of product. FpML defines a simple product categorization using a coding scheme.

varianSwapTransSuppl_productId :: [ProductId]

A product reference identifier. The product ID is an identifier that describes the key economic characteristics of the trade type, with the exception of concepts such as size (notional, quantity, number of units) and price (fixed rate, strike, etc.) that are negotiated for each transaction. It can be used to hold identifiers such as the UPI (universal product identifier) required by certain regulatory reporting rules. It can also be used to hold identifiers of benchmark products or product temnplates used by certain trading systems or facilities. 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.

varianSwapTransSuppl_varianceLeg :: [VarianceLeg]

Variance Leg.

varianSwapTransSuppl_choice5 :: Maybe (OneOf2 Boolean Boolean)

Choice between:

1. For an index option transaction, a flag to indicate whether a relevant Multiple Exchange Index Annex is applicable to the transaction. This annex defines additional provisions which are applicable where an index is comprised of component securities that are traded on multiple exchanges.
2. For an index option transaction, a flag to indicate whether a relevant Component Security Index Annex is applicable to the transaction.

varianSwapTransSuppl_localJurisdiction :: Maybe CountryCode

Local Jurisdiction is a term used in the AEJ Master Confirmation, which is used to determine local taxes, which shall mean taxes, duties, and similar charges imposed by the taxing authority of the Local Jurisdiction If this element is not present Local Jurisdiction is Not Applicable.

varianSwapTransSuppl_relevantJurisdiction :: Maybe CountryCode

Relevent Jurisdiction is a term used in the AEJ Master Confirmation, which is used to determine local taxes, which shall mean taxes, duties and similar charges that would be imposed by the taxing authority of the Country of Underlyer on a Hypothetical Broker Dealer assuming the Applicable Hedge Positions are held by its office in the Relevant Jurisdiction. If this element is not present Relevant Jurisdiction is Not Applicable.

Instances

Eq VarianceSwapTransactionSupplement

Show VarianceSwapTransactionSupplement

SchemaType VarianceSwapTransactionSupplement

Extension VarianceSwapTransactionSupplement Product

elementVarianceOptionTransactionSupplement :: XMLParser VarianceOptionTransactionSupplement

Specifies the structure of a variance option.

elementToXMLVarianceOptionTransactionSupplement :: VarianceOptionTransactionSupplement -> [Content ()]

elementVarianceSwap :: XMLParser VarianceSwap

Specifies the structure of a variance swap.

elementToXMLVarianceSwap :: VarianceSwap -> [Content ()]

elementVarianceSwapTransactionSupplement :: XMLParser VarianceSwapTransactionSupplement

Specifies the structure of a variance swap transaction supplement.

elementToXMLVarianceSwapTransactionSupplement :: VarianceSwapTransactionSupplement -> [Content ()]

module Data.FpML.V53.Eqd