PaymentCalculationPeriod

A type defining the adjusted payment date and associated calculation period parameters required to calculate the actual or projected payment amount. This type forms part of the cashflow representation of a swap stream.

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Field	Type	Description	Print form title	FFSM title	Properties	Conditions
@id	xsd:ID				1-1, ncf
unadjustedPaymentDate	xsd:date	Payment date subject to adjustment.	Unadjusted payment date.		0-1, mfr
adjustedPaymentDate	xsd:date	The adjusted payment date. This date should already be adjusted for any applicable business day convention. This component is not intended for use in trade confirmation but may be specified to allow the fee structure to also serve as a cashflow type component (all dates the Cashflows type are adjusted payment dates).	Adjusted payment date.		0-1, mfr
Choice begin
Branch1
calculationPeriod	CalculationPeriod	The parameters used in the calculation of a fixed or floating rate calculation period amount. A list of calculation period elements may be ordered in the document by ascending start date. An FpML document which contains an unordered list of calculation periods is still regarded as a conformant document.	Calculation period.		1-∞, mre, mfr
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fixedPaymentAmount	xsd:decimal	A known fixed payment amount.	Fixed payment amount.		1-1, mre, mfr
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discountFactor	xsd:decimal	A decimal value representing the discount factor used to calculate the present value of cash flow.	Discount factor.		0-1, ncf	This is not used in messages to the repository.
forecastPaymentAmount	Money	A monetary amount representing the forecast of the future value of the payment.	Forecast payment amount.		0-1, ncf	This is not used in messages to the repository.
presentValueAmount	Money	A monetary amount representing the present value of the forecast payment.	Payment present value.		0-1, ncf	This is not used in messages to the repository.
@href	xsd:IDREF				1-1

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PaymentCalculationPeriod

unadjustedPaymentDate(date)

	Payment date subject to adjustment.

adjustedPaymentDate(date)

	The adjusted payment date. This date should already be adjusted for any applicable business day convention. This component is not intended for use in trade confirmation but may be specified to allow the fee structure to also serve as a cashflow type component (all dates the Cashflows type are adjusted payment dates).

Selecting one of variants:

calculationPeriod(CalculationPeriod)

	The parameters used in the calculation of a fixed or floating rate calculation period amount. A list of calculation period elements may be ordered in the document by ascending start date. An FpML document which contains an unordered list of calculation periods is still regarded as a conformant document.

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.

fixedPaymentAmount(decimal)

	A known fixed payment amount.