Group UnderlyingReturnRateGrp Scenario base


ID Abbr NumInGroup ID NumInGroup name
4418RtnRt43034NoUnderlyingReturnRates

Pedigree

Added EP Updated EP Deprecated EP
FIX.5.0SP2208

Members

ID Name Abbr Presence Description
43035UnderlyingReturnRatePriceSequencePxSeq optional SYNOPSIS: Specifies the type of price sequence of the return rate.
43036UnderlyingReturnRateCommissionBasisCommBasis optional SYNOPSIS: Specifies the basis or unit used to calculate the commission.
43037UnderlyingReturnRateCommissionAmountCommAmt optional SYNOPSIS: The commission amount.
43038UnderlyingReturnRateCommissionCurrencyCommCcy optional SYNOPSIS: Specifies the currency the commission amount is denominated in. Uses ISO 4217 currency codes.
43039UnderlyingReturnRateTotalCommissionPerTradeTotCommPerTrd optional SYNOPSIS: The total commission per trade.
43040UnderlyingReturnRateDeterminationMethodDtrmnMeth optional SYNOPSIS: Specifies the method by which the underlier prices are determined. See http://www.fpml.org/coding-scheme/determination-method for values.
4420UnderlyingReturnRatePriceGrpPxoptionalSYNOPSIS: UnderlyingReturnRatePriceGrp is a repeating subcomponent within the UnderlyingReturnRateGrp component. It is used to specify the return rate prices for an equity return swap payment stream.
ELABORATION:
4417UnderlyingReturnRateFXConversionGrpFxCnvrsnoptionalSYNOPSIS: UnderlyingReturnRateFXConversionGrp is a repeating subcomponent within the UnderlyingReturnRateGrp component. It is used to specify the FX conversion rates for an equity return swap payment stream.
ELABORATION:
43041UnderlyingReturnRateAmountRelativeToAmtReltv optional SYNOPSIS: Specifies the reference amount when the return rate amount is relative to another amount in the trade. See http://www.fixtradingcommunity.org/codelists#Payment_Amount_Relative_To for code list of relative amounts.
43042UnderlyingReturnRateQuoteMeasureTypeQteTyp optional SYNOPSIS: Specifies the type of the measure applied to the return rate's asset, e.g. valuation, sensitivity risk. This could be an NPV, a cash flow, a clean price, etc. See http://www.fpml.org/coding-scheme/asset-measure for values.
43043UnderlyingReturnRateQuoteUnitsQteUnit optional SYNOPSIS: Specifies the units that the measure is expressed in. If not specified, the default is a price/value in currency units. See http://www.fpml.org/coding-scheme/price-quote-units for values.
43044UnderlyingReturnRateQuoteMethodQteMeth optional SYNOPSIS: Specifies the type of quote used to determine the return rate of the swap.
43045UnderlyingReturnRateQuoteCurrencyQteCcy optional SYNOPSIS: Specifies the currency the return rate quote is denominated in. Uses ISO 4217 Currency Code.
43046UnderlyingReturnRateQuoteCurrencyTypeQteCcyTyp optional SYNOPSIS: Specifies the type of currency, e.g. settlement currency, base currency, etc., that the quote is reported in. See http://www.fpml.org/coding-scheme/reporting-currency-type for values.
43047UnderlyingReturnRateQuoteTimeTypeQteTmTyp optional SYNOPSIS: Specifies how or the timing when the quote is to be obtained.
43048UnderlyingReturnRateQuoteTimeQteTm optional SYNOPSIS: The time when the quote is to be generated.
43049UnderlyingReturnRateQuoteDateQteDt optional SYNOPSIS: The date when the quote is to be generated.
43050UnderlyingReturnRateQuoteExpirationTimeQteExpTm optional SYNOPSIS: The time when the quote ceases to be valid.
43051UnderlyingReturnRateQuoteBusinessCenterQteBizCtr optional SYNOPSIS: The business center calendar used for adjustments associated with UnderlyingReturnRateQuoteTimeType(43047) or UnderlyingReturnRateQuoteTime(43048) and UnderlyingReturnRateQuoteDate(43049), e.g. "GBLO". See http://www.fpml.org/coding-scheme/business-center for standard 4-character code values.
43052UnderlyingReturnRateQuoteExchangeQteExch optional SYNOPSIS: Specifies the exchange (e.g. stock or listed futures/options exchange) from which the quote is obtained.
4419UnderlyingReturnRateInformationSourceGrpInfoSrcoptionalSYNOPSIS: UnderlyingReturnRateInformationSourceGrp is a repeating subcomponent within the UnderlyingReturnRateGrp component. It is used to specify the information sources for equity prices and FX rates for an equity return swap payment stream.
ELABORATION:
43053UnderlyingReturnRateQuotePricingModelQteModel optional SYNOPSIS: Specifies the pricing model used to evaluate the underlying asset price. See http://www.fpml.org/coding-scheme/pricing-model for values.
43054UnderlyingReturnRateCashFlowTypeCshFlow optional SYNOPSIS: Specifies the type of cash flows, e.g. coupon payment, premium fee, settlement fee, etc. See http://www.fpml.org/coding-scheme/cashflow-type for values.
4416UnderlyingReturnRateDateGrpDtoptionalSYNOPSIS: UnderlyingReturnRateDateGrp is a repeating subcomponent within the UnderlyingReturnRateGrp component. It is used to specify the equity and dividend valuation dates for an equity return swap payment stream.
ELABORATION:
43055UnderlyingReturnRateValuationTimeTypeValTmTyp optional SYNOPSIS: Specifies the timing at which the calculation agent values the underlying.
43056UnderlyingReturnRateValuationTimeValTm optional SYNOPSIS: The time at which the calculation agent values the underlying asset.
43057UnderlyingReturnRateValuationTimeBusinessCenterValTmBizCtr optional SYNOPSIS: The business center calendar used for adjustments associated with UnderlyingReturnRateValuationTimeType(43055) or UnderlyingReturnRateValuationTime(43056) , e.g. "GBLO". See http://www.fpml.org/coding-scheme/business-center for standard 4-character code values.
43058UnderlyingReturnRateValuationPriceOptionValPxOpt optional SYNOPSIS: Indicates whether an ISDA price option applies, and if applicable which type of price.
43059UnderlyingReturnRateFinalPriceFallbackFnlPxFallbck optional SYNOPSIS: Specifies the fallback provision for the hedging party in the determination of the final price.