CalculationPeriodAmount

A type defining the parameters used in the calculation of fixed or floating rate calculation period amounts or for specifying a known calculation period amount or known amount schedule.

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Field	Type	Description	Print form title	FFSM title	Properties	Conditions
Choice begin
Branch1
calculation	Calculation	The parameters used in the calculation of fixed or floaring rate calculation period amounts.	Amount calculation parameters.		1-1, mre	Conditionally filled element. This is to be included in case of reporting calculation parameters of regular calculation period amounts. In other cases this is not supposed to be used. All underlying elements are included only in specified case.
Branch2
knownAmountSchedule	AmountSchedule	The known calculation period amount or a known amount schedule expressed as explicit known amounts and dates. In the case of a schedule, the step dates may be subject to adjustment in accordance with any adjustments specified in calculationPeriodDatesAdjustments.	Known amount schedule.		1-1, mre	Conditionally filled element. This is to be included in case of reporting known amount schedule. In other cases this is not supposed to be used. All underlying elements are included only in specified case.
Choice end

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CalculationPeriodAmount

A choice of calculation period amount.

calculation(Calculation)

	Conditionally filled element. This is to be included in case of reporting calculation parameters of regular calculation period amounts. In other cases this is not supposed to be used. All underlying elements are included only in specified case.
	The parameters used in the calculation of fixed or floaring rate calculation period amounts.

A choice of notional amount.

notionalSchedule(Notional)

	The notional amount or notional amount schedule.
	Notional amount; Amortization / increase code.

notionalStepSchedule(NonNegativeAmountSchedule)

	The notional amount or notional amount schedule expressed as explicit outstanding notional amounts and dates. In the case of a schedule, the step dates may be subject to adjustment in accordance with any adjustments specified in calculationPeriodDatesAdjustments.
	Notional amount; Amortization / increase code.

initialValue(NonNegativeDecimal)

	The non-negative initial rate or amount, as the case may be. An initial rate of 5% would be represented as 0.05.
	[0;

step(NonNegativeStep)

	The schedule of step date and non-negative value pairs. On each step date the associated step value becomes effective. A list of steps may be ordered in the document by ascending step date. An FpML document containing an unordered list of steps is still regarded as a conformant document.

stepDate(date)

	The date on which the associated stepValue becomes effective. This day may be subject to adjustment in accordance with a business day convention.

stepValue(NonNegativeDecimal)

	The non-negative rate or amount which becomes effective on the associated stepDate. A rate of 5% would be represented as 0.05.
	[0;

currency(Currency)

	The currency in which an amount is denominated.

fxLinkedNotionalSchedule(FxLinkedNotionalSchedule)

	A notional amount schedule where each notional that applied to a calculation period is calculated with reference to a notional amount or notional amount schedule in a different currency by means of a spot currency exchange rate which is normally observed at the beginning of each period.

initialValue(decimal)

	The initial currency amount for the varying notional. This may be omitted for a forward starting swap if the FX-linked notional value is not known at deal inception.

varyingNotionalCurrency(Currency)

	The currency of the varying notional amount, i.e. the notional amount being determined periodically based on observation of a spot currency exchange rate.

fxSpotRateSource(FxSpotRateSource)

The information source and time at which the spot currency exchange rate will be observed.

primaryRateSource(InformationSource)

	The primary source for where the rate observation will occur. Will typically be either a page or a reference bank published rate.
	Code of price source.

rateSource(InformationProvider)

An information source for obtaining a market rate. For example Bloomberg, Reuters, Telerate etc.

A choice of interest rate.

rateCalculation(Rate)

Is substituted by one of the elements: floatingRateCalculation

	The base element for the floating rate calculation definitions.

Sequence

fixedRateSchedule(Schedule)

	The fixed rate or fixed rate schedule expressed as explicit fixed rates and dates. In the case of a schedule, the step dates may be subject to adjustment in accordance with any adjustments specified in calculationPeriodDatesAdjustments.
	Fixed rate; Amortization / increase code.

initialValue(decimal)

	The initial rate or amount, as the case may be. An initial rate of 5% would be represented as 0.05.

step(Step)

	The schedule of step date and value pairs. On each step date the associated step value becomes effective. A list of steps may be ordered in the document by ascending step date. An FpML document containing an unordered list of steps is still regarded as a conformant document.

stepDate(date)

	The date on which the associated stepValue becomes effective. This day may be subject to adjustment in accordance with a business day convention.

stepValue(decimal)

	The rate or amount which becomes effective on the associated stepDate. A rate of 5% would be represented as 0.05.

dayCountFraction(DayCountFraction)

	The day count fraction.

discounting(Discounting)

The parameters specifying any discounting conventions that may apply. This element must only be included if discounting applies.

discountingType(DiscountingTypeEnum)

	The discounting method that is applicable.
	Standard;FRA;FRAYield;

discountRate(decimal)

A discount rate, expressed as a decimal, to be used in the calculation of a discounted amount. A discount amount of 5% would be represented as 0.05.

discountRateDayCountFraction(DayCountFraction)

A discount day count fraction to be used in the calculation of a discounted amount.

compoundingMethod(CompoundingMethodEnum)

	If more that one calculation period contributes to a single payment amount this element specifies whether compounding is applicable, and if so, what compounding method is to be used. This element must only be included when more that one calculation period contributes to a single payment amount.
	Flat;None;Straight;SpreadExclusive;

knownAmountSchedule(AmountSchedule)

	Conditionally filled element. This is to be included in case of reporting known amount schedule. In other cases this is not supposed to be used. All underlying elements are included only in specified case.
	The known calculation period amount or a known amount schedule expressed as explicit known amounts and dates. In the case of a schedule, the step dates may be subject to adjustment in accordance with any adjustments specified in calculationPeriodDatesAdjustments.

initialValue(decimal)

	The initial rate or amount, as the case may be. An initial rate of 5% would be represented as 0.05.

step(Step)

	The schedule of step date and value pairs. On each step date the associated step value becomes effective. A list of steps may be ordered in the document by ascending step date. An FpML document containing an unordered list of steps is still regarded as a conformant document.

stepDate(date)

	The date on which the associated stepValue becomes effective. This day may be subject to adjustment in accordance with a business day convention.

stepValue(decimal)

	The rate or amount which becomes effective on the associated stepDate. A rate of 5% would be represented as 0.05.

currency(Currency)

	The currency in which an amount is denominated.