InflationRateCalculation

A type defining the components specifiying an Inflation Rate Calculation

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Field	Type	Description	Print form title	FFSM title	Properties	Conditions
@id	xsd:ID				1-1, ncf
floatingRateIndex	FloatingRateIndex	Defines floating rate index.	Floating rate index.	Float rate code.	1-1, mre, mfr
indexTenor	Period	The ISDA Designated Maturity, i.e. the tenor of the floating rate.	Floating rate index tenor.		0-1, mre
floatingRateMultiplierSchedule	Schedule	A rate multiplier or multiplier schedule to apply to the floating rate. A multiplier schedule is expressed as explicit multipliers and dates. In the case of a schedule, the step dates may be subject to adjustment in accordance with any adjustments specified in the calculationPeriodDatesAdjustments. The multiplier can be a positive or negative decimal. This element should only be included if the multiplier is not equal to 1 (one) for the term of the stream.	Floating rate multiplyer schedule.		0-1
spreadSchedule	SpreadSchedule	The ISDA Spread or a Spread schedule expressed as explicit spreads and dates. In the case of a schedule, the step dates may be subject to adjustment in accordance with any adjustments specified in calculationPeriodDatesAdjustments. 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.	Floating rate spread schedule.		0-∞
rateTreatment	RateTreatmentEnum	The specification of any rate conversion which needs to be applied to the observed rate before being used in any calculations. The two common conversions are for securities quoted on a bank discount basis which will need to be converted to either a Money Market Yield or Bond Equivalent Yield. See the Annex to the 2000 ISDA Definitions, Section 7.3. Certain General Definitions Relating to Floating Rate Options, paragraphs (g) and (h) for definitions of these terms.	Rate treatment.		0-1, ncf
capRateSchedule	StrikeSchedule	The cap rate or cap rate schedule, if any, which applies to the floating rate. The cap rate (strike) is only required where the floating rate on a swap stream is capped at a certain strike level. A cap rate schedule is expressed as explicit cap rates and dates and the step dates may be subject to adjustment in accordance with any adjustments specified in calculationPeriodDatesAdjustments. The cap rate is assumed to be exclusive of any spread and is a per annum rate, expressed as a decimal. A cap rate of 5% would be represented as 0.05.	Cap rate schedule.	Cap rate.	0-∞
floorRateSchedule	StrikeSchedule	The floor rate or floor rate schedule, if any, which applies to the floating rate. The floor rate (strike) is only required where the floating rate on a swap stream is floored at a certain strike level. A floor rate schedule is expressed as explicit floor rates and dates and the step dates may be subject to adjustment in accordance with any adjustments specified in calculationPeriodDatesAdjustments. The floor rate is assumed to be exclusive of any spread and is a per annum rate, expressed as a decimal. A floor rate of 5% would be represented as 0.05.	Floor rate schedule.	Floor rate.	0-∞
initialRate	xsd:decimal	The initial floating rate reset agreed between the principal parties involved in the trade. This is assumed to be the first required reset rate for the first regular calculation period. It should only be included when the rate is not equal to the rate published on the source implied by the floating rate index. An initial rate of 5% would be represented as 0.05.	Initial rate.		0-1, mre, mfr
finalRateRounding	Rounding	The rounding convention to apply to the final rate used in determination of a calculation period amount.	Final rate rounding convention.		0-1, ncf
averagingMethod	AveragingMethodEnum	If averaging is applicable, this component specifies whether a weighted or unweighted average method of calculation is to be used. The component must only be included when averaging applies.	Averaging method.		0-1, ncf
negativeInterestRateTreatment	NegativeInterestRateTreatmentEnum	The specification of any provisions for calculating payment obligations when a floating rate is negative (either due to a quoted negative floating rate or by operation of a spread that is subtracted from the floating rate).	Negative interest rate treatment.		0-1, ncf
inflationLag	Offset	An offsetting period from the payment date which determines the reference period for which the inflation index is observed.	Inflation lag.		0-1
indexSource	RateSourcePage	The reference source such as Reuters or Bloomberg.	Index source.		0-1, mre, mfr
mainPublication	MainPublication	The current main publication source such as relevant web site or a government body.	Main publication source.		0-1, afr
interpolationMethod	InterpolationMethod	The method used when calculating the Inflation Index Level from multiple points - the most common is Linear.	Interpolation method.		0-1, afr
initialIndexLevel	xsd:decimal	Initial known index level for the first calculation period.	Initial index level.		0-1, afr
fallbackBondApplicable	xsd:boolean	The applicability of a fallback bond as defined in the 2006 ISDA Inflation Derivatives Definitions, sections 1.3 and 1.8. Omission of this element implies a value of true.	Applicability of a fallback bond.		0-1, afr

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InflationRateCalculation

floatingRateIndex(FloatingRateIndex)

	Defines floating rate index.
	Float rate code.

indexTenor(Period)

The ISDA Designated Maturity, i.e. the tenor of the floating rate.

periodMultiplier(integer)

	A time period multiplier, e.g. 1, 2 or 3 etc. A negative value can be used when specifying an offset relative to another date, e.g. -2 days.

period(PeriodEnum)

	A time period, e.g. a day, week, month or year of the stream. If the periodMultiplier value is 0 (zero) then period must contain the value D (day).
	D;W;M;Y;

floatingRateMultiplierSchedule(Schedule)

A rate multiplier or multiplier schedule to apply to the floating rate. A multiplier schedule is expressed as explicit multipliers and dates. In the case of a schedule, the step dates may be subject to adjustment in accordance with any adjustments specified in the calculationPeriodDatesAdjustments. The multiplier can be a positive or negative decimal. This element should only be included if the multiplier is not equal to 1 (one) for the term of the stream.

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.

spreadSchedule(SpreadSchedule)

The ISDA Spread or a Spread schedule expressed as explicit spreads and dates. In the case of a schedule, the step dates may be subject to adjustment in accordance with any adjustments specified in calculationPeriodDatesAdjustments. 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.

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.

capRateSchedule(StrikeSchedule)

	The cap rate or cap rate schedule, if any, which applies to the floating rate. The cap rate (strike) is only required where the floating rate on a swap stream is capped at a certain strike level. A cap rate schedule is expressed as explicit cap rates and dates and the step dates may be subject to adjustment in accordance with any adjustments specified in calculationPeriodDatesAdjustments. The cap rate is assumed to be exclusive of any spread and is a per annum rate, expressed as a decimal. A cap rate of 5% would be represented as 0.05.
	Cap rate.

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.

floorRateSchedule(StrikeSchedule)

	The floor rate or floor rate schedule, if any, which applies to the floating rate. The floor rate (strike) is only required where the floating rate on a swap stream is floored at a certain strike level. A floor rate schedule is expressed as explicit floor rates and dates and the step dates may be subject to adjustment in accordance with any adjustments specified in calculationPeriodDatesAdjustments. The floor rate is assumed to be exclusive of any spread and is a per annum rate, expressed as a decimal. A floor rate of 5% would be represented as 0.05.
	Floor rate.

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.

initialRate(decimal)

The initial floating rate reset agreed between the principal parties involved in the trade. This is assumed to be the first required reset rate for the first regular calculation period. It should only be included when the rate is not equal to the rate published on the source implied by the floating rate index. An initial rate of 5% would be represented as 0.05.

inflationLag(Offset)

An offsetting period from the payment date which determines the reference period for which the inflation index is observed.

periodMultiplier(integer)

	A time period multiplier, e.g. 1, 2 or 3 etc. A negative value can be used when specifying an offset relative to another date, e.g. -2 days.

period(PeriodEnum)

	A time period, e.g. a day, week, month or year of the stream. If the periodMultiplier value is 0 (zero) then period must contain the value D (day).
	D;W;M;Y;

dayType(DayTypeEnum)

	In the case of an offset specified as a number of days, this element defines whether consideration is given as to whether a day is a good business day or not. If a day type of business days is specified then non-business days are ignored when calculating the offset. The financial business centers to use for determination of business days are implied by the context in which this element is used. This element must only be included when the offset is specified as a number of days. If the offset is zero days then the dayType element should not be included.
	Business;Calendar;CommodityBusiness;CurrencyBusiness;ExchangeBusiness;ScheduledTradingDay;

indexSource(RateSourcePage)

	The reference source such as Reuters or Bloomberg.

mainPublication(MainPublication)

The current main publication source such as relevant web site or a government body.

interpolationMethod(InterpolationMethod)

The method used when calculating the Inflation Index Level from multiple points - the most common is Linear.

initialIndexLevel(decimal)

Initial known index level for the first calculation period.

fallbackBondApplicable(boolean)

The applicability of a fallback bond as defined in the 2006 ISDA Inflation Derivatives Definitions, sections 1.3 and 1.8. Omission of this element implies a value of true.