NSD’s trade repository messages specifications

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Current specification

StrikeSchedule

A type describing a schedule of cap or floor rates.

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Field	Type	Description	Print form title	FFSM title	Properties	Conditions
initialValue	xsd:decimal	The initial rate or amount, as the case may be. An initial rate of 5% would be represented as 0.05.	Initial value.		1-1, mre, mfr
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.	Step.		0-∞
@id	xsd:ID				1-1, ncf
buyer	IdentifiedPayerReceiver	The buyer of the option, i.e. the buyer of the cap or the floor protection.	Cap / floor buyer.		0-1, ncf
seller	IdentifiedPayerReceiver	The party that has sold the cap or the floor protection.	Cap / floor seller.		0-1, ncf

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StrikeSchedule

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.