FloatingLegCalculation

A type to capture details relevant to the calculation of the floating price.

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Field	Type	Description	Print form title	FFSM title	Properties	Conditions
pricingDates	CommodityPricingDates	Commodity Pricing Dates.	Pricing dates.		1-1, mre
averagingMethod	AveragingMethodEnum	The parties may specify a Method of Averaging where more than one pricing Dates is being specified as being applicable.	Averaging method.		0-1, afr
conversionFactor	xsd:decimal	If the Notional Quantity is specified in a unit that does not match the unit in which the Commodity Reference Price is quoted, the scaling or conversion factor used to convert the Commodity Reference Price unit into the Notional Quantity unit should be stated here. If there is no conversion, this element is not intended to be used. In heat rate options the heat rate multiplier is entered into this element.	Conversion factor.		0-1, afr
rounding	Rounding	Rounding direction and precision for price values.	Rounding.		0-1, ncf
Choice begin
Branch1
spread	CommoditySpread	The spread over or under the Commodity Reference Price for this leg of the trade.	Spread.		1-1, mre, afr
Branch2
spreadSchedule	CommoditySpreadSchedule	The spread over or under the Commodity Reference Price for this leg of the trade for each Calculation Period.	Spread schedule.		1-∞, mre, afr
Branch3
spreadPercentage	xsd:decimal	The spread percentage over or under the Commodity Reference Price for this leg of the trade.	Spread percentage.		1-1, mre, afr
Choice end
fx	CommodityFx	FX observations to be used to convert the observed Commodity Reference Price to the Settlement Currency.	FX rate.		0-1, ncf

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FloatingLegCalculation

pricingDates(CommodityPricingDates)

	Commodity Pricing Dates.

A choice of the dates specifying method.

pricingDates(AdjustableDates)

	A list of adjustable dates on which the trade would price. Each date will price for the Calculation Period within which it falls.

unadjustedDate(IdentifiedDate)

	A date subject to adjustment.

Sequence

averagingMethod(AveragingMethodEnum)

	The parties may specify a Method of Averaging where more than one pricing Dates is being specified as being applicable.
	Unweighted;Weighted;

conversionFactor(decimal)

If the Notional Quantity is specified in a unit that does not match the unit in which the Commodity Reference Price is quoted, the scaling or conversion factor used to convert the Commodity Reference Price unit into the Notional Quantity unit should be stated here. If there is no conversion, this element is not intended to be used. In heat rate options the heat rate multiplier is entered into this element.

A choice of the spread representation.

spread(CommoditySpread)

	The spread over or under the Commodity Reference Price for this leg of the trade.

currency(Currency)

	The currency in which an amount is denominated.
	Code of currency of denomination.

amount(decimal)

	The monetary quantity in currency units. For the purposes of reporting to the repository, an amount is specified with 7 decimal places. For example, 350.1234567. The value of 350.45 would be represented as 350.4500000.

spreadConversionFactor(decimal)

	spreadConversionFactor should be used when the unit of measure of the Commodity Reference Price and the unit of measure in which the spread is quoted are different. The value of spreadConversionFactor is the number of units of measure in which the spread is quoted per unit of measure of the Commodity Reference Price.

spreadUnit(QuantityUnit)

	spreadUnit should be used when the unit of measure of the Commodity Reference Price and the unit of measure in which the spread is quoted are different. The value of spreadUnit is the unit of measure in which the spread is quoted.

spreadSchedule(CommoditySpreadSchedule)

	The spread over or under the Commodity Reference Price for this leg of the trade for each Calculation Period.

spreadStep(CommoditySpread)

	The spread per Calculation Period. There must be a spread step specified for each Calculation Period, regardless of whether the spread changes or remains the same between periods.

currency(Currency)

	The currency in which an amount is denominated.
	Code of currency of denomination.

amount(decimal)

	The monetary quantity in currency units. For the purposes of reporting to the repository, an amount is specified with 7 decimal places. For example, 350.1234567. The value of 350.45 would be represented as 350.4500000.

spreadConversionFactor(decimal)

	spreadConversionFactor should be used when the unit of measure of the Commodity Reference Price and the unit of measure in which the spread is quoted are different. The value of spreadConversionFactor is the number of units of measure in which the spread is quoted per unit of measure of the Commodity Reference Price.

spreadUnit(QuantityUnit)

	spreadUnit should be used when the unit of measure of the Commodity Reference Price and the unit of measure in which the spread is quoted are different. The value of spreadUnit is the unit of measure in which the spread is quoted.

spreadPercentage(decimal)

	The spread percentage over or under the Commodity Reference Price for this leg of the trade.