CalculationPeriod

A type defining the parameters used in the calculation of a fixed or floating rate calculation period amount. This type forms part of cashflows representation of a swap stream.

Nested view
Tree view

Field	Type	Description	Print form title	FFSM title	Properties	Conditions
unadjustedStartDate	xsd:date	The calculation period start date subject to adjustment.	Unadjusted start date.		0-1, mfr
unadjustedEndDate	xsd:date	The calculation period end date subject to adjustment.	Unadjusted end date.		0-1, mfr
adjustedStartDate	xsd:date	The calculation period start date, adjusted according to any relevant business day convention.	Adjusted start date.		0-1, mfr
adjustedEndDate	xsd:date	The calculation period end date, adjusted according to any relevant business day convention.	Adjusted end date.		0-1, mfr
calculationPeriodNumberOfDays	xsd:positiveInteger	The number of days from the adjusted effective / start date to the adjusted termination / end date calculated in accordance with the applicable day count fraction.	Calculation period number of days.		0-1, mfr
Choice begin
Branch1
notionalAmount	xsd:decimal	The amount that a cashflow will accrue interest on.	Notional amount.	Notional amount.	1-1, mre, mfr
Branch2
fxLinkedNotionalAmount	FxLinkedNotionalAmount	The amount that a cashflow will accrue interest on. This is the calculated amount of the fx linked - ie the other currency notional amount multiplied by the appropriate fx spot rate.	FX linked notional amount.	Notional amount.	1-1, mre, mfr
Choice end
Choice begin
Branch1
floatingRateDefinition	FloatingRateDefinition	The floating rate reset information for the calculation period.	Floating rate definition.		1-1, mre, mfr
Branch2
fixedRate	xsd:decimal	The calculation period fixed rate. A per annum rate, expressed as a decimal. A fixed rate of 5% would be represented as 0.05.	Fixed rate.	Fixed rate.	1-1, mre, mfr
Choice end
dayCountYearFraction	xsd:decimal	The year fraction value of the calculation period, result of applying the ISDA rules for day count fraction defined in the ISDA Annex.	Day count year fraction.		0-1, mfr
forecastAmount	Money	The amount representing the forecast of the accrued value of the calculation period. An intermediate value used to generate the forecastPaymentAmount in the PaymentCalculationPeriod.	Forecast amount.		0-1, ncf	This is not used in messages to the repository.
forecastRate	xsd:decimal	A value representing the forecast rate used to calculate the forecast future value of the accrual period. This is a calculated rate determined based on averaging the rates in the rateObservation elements, and incorporates all of the rate treatment and averaging rules. A value of 1% should be represented as 0.01.	Forecast rate.		0-1, ncf	This is not used in messages to the repository.
@id	xsd:ID				1-1, ncf

Collapse All | Expand All

CalculationPeriod

unadjustedStartDate(date)

	The calculation period start date subject to adjustment.

unadjustedEndDate(date)

	The calculation period end date subject to adjustment.

adjustedStartDate(date)

	The calculation period start date, adjusted according to any relevant business day convention.

adjustedEndDate(date)

	The calculation period end date, adjusted according to any relevant business day convention.

calculationPeriodNumberOfDays(positiveInteger)

	The number of days from the adjusted effective / start date to the adjusted termination / end date calculated in accordance with the applicable day count fraction.

Selecting one of variants:

notionalAmount(decimal)

	The amount that a cashflow will accrue interest on.
	Notional amount.

fxLinkedNotionalAmount(FxLinkedNotionalAmount)

	The amount that a cashflow will accrue interest on. This is the calculated amount of the fx linked - ie the other currency notional amount multiplied by the appropriate fx spot rate.
	Notional amount.

resetDate(date)

	Specifies a reset date.

adjustedFxSpotFixingDate(date)

	The date on which the fx spot rate is observed. This date should already be adjusted for any applicable business day convention.

observedFxSpotRate(decimal)

	The actual observed fx spot rate.

notionalAmount(decimal)

	The calculation period notional amount.

Selecting one of variants:

floatingRateDefinition(FloatingRateDefinition)

	The floating rate reset information for the calculation period.

calculatedRate(decimal)

	The final calculated rate for a calculation period after any required averaging of rates. A calculated rate of 5% would be represented as 0.05.

rateObservation(RateObservation)

	The details of a particular rate observation, including the fixing date and observed rate. A list of rate observation elements may be ordered in the document by ascending adjusted fixing date. An FpML document containing an unordered list of rate observations is still regarded as a conformant document.

resetDate(date)

	The reset date.

adjustedFixingDate(date)

	The adjusted fixing date, i.e. the actual date the rate is observed. The date should already be adjusted for any applicable business day convention.

observedRate(decimal)

	The actual observed rate before any required rate treatment is applied, e.g. before converting a rate quoted on a discount basis to an equivalent yield. An observed rate of 5% would be represented as 0.05.

treatedRate(decimal)

	The observed rate after any required rate treatment is applied. A treated rate of 5% would be represented as 0.05.

observationWeight(positiveInteger)

	The number of days weighting to be associated with the rate observation, i.e. the number of days such rate is in effect. This is applicable in the case of a weighted average method of calculation where more than one reset date is established for a single calculation period.

rateReference(RateReference)

	A pointer style reference to a floating rate component defined as part of a stub calculation period amount component. It is only required when it is necessary to distinguish two rate observations for the same fixing date which could occur when linear interpolation of two different rates occurs for a stub calculation period.

floatingRateMultiplier(decimal)

	A rate multiplier to apply to the floating rate. The multiplier can be a positive or negative decimal. This element should only be included if the multiplier is not equal to 1 (one).

spread(decimal)

	The ISDA Spread, if any, which applies for the calculation period. The spread is a per annum rate, expressed as a decimal. For purposes of determining a calculation period amount, if positive the spread will be added to the floating rate and if negative the spread will be subtracted from the floating rate. A positive 10 basis point (0.1%) spread would be represented as 0.001.

capRate(Strike)

strikeRate(decimal)

	The rate for a cap or floor.
	Cap rate; Floor rate.

buyer(IdentifiedPayerReceiver)

	The party that is the buyer of the option.

seller(IdentifiedPayerReceiver)

	The party that has sold the option.

floorRate(Strike)

	The floor rate, if any, which applies to the floating rate for the calculation period. The floor rate (strike) is only required where the floating rate on a swap stream is floored at a certain strike level. The floor rate is assumed to be exclusive of any spread and is a per annum rate, expressed as a decimal. The floor rate of 5% would be represented as 0.05.
	Floor rate.

strikeRate(decimal)

	The rate for a cap or floor.
	Cap rate; Floor rate.

buyer(IdentifiedPayerReceiver)

	The party that is the buyer of the option.

seller(IdentifiedPayerReceiver)

	The party that has sold the option.

fixedRate(decimal)

	The calculation period fixed rate. A per annum rate, expressed as a decimal. A fixed rate of 5% would be represented as 0.05.
	Fixed rate.

dayCountYearFraction(decimal)

	The year fraction value of the calculation period, result of applying the ISDA rules for day count fraction defined in the ISDA Annex.