Package net.finmath.smartcontract.product.xml

Class FxForwardVolatilityAgreement

java.lang.Object
net.finmath.smartcontract.product.xml.Product
net.finmath.smartcontract.product.xml.FxForwardVolatilityAgreement
public class FxForwardVolatilityAgreement extends Product
Describes a contract on future levels of implied volatility. The main characteristic of this product is that the underlying is a straddle (underlying options) with a specific tenor starting from the fixing (effective or pricing) date, and are priced on that fixing date using a level of volatility that is agreed at the time of execution of the volatility agreement.

Java class for FxForwardVolatilityAgreement complex type.

The following schema fragment specifies the expected content contained within this class. 

 <complexType name="FxForwardVolatilityAgreement">
   <complexContent>
     <extension base="{http://www.fpml.org/FpML-5/confirmation}Product">
       <sequence>
         <group ref="{http://www.fpml.org/FpML-5/confirmation}BuyerSeller.model"/>
         <element name="quotedCurrencyPair" type="{http://www.fpml.org/FpML-5/confirmation}QuotedCurrencyPair"/>
         <element name="fixingDate" type="{http://www.w3.org/2001/XMLSchema}date"/>
         <element name="fixingTime" type="{http://www.fpml.org/FpML-5/confirmation}BusinessCenterTime" minOccurs="0"/>
         <element name="forwardVolatilityStrikePrice" type="{http://www.fpml.org/FpML-5/confirmation}PositiveDecimal"/>
         <element name="straddle" type="{http://www.fpml.org/FpML-5/confirmation}FxStraddle"/>
         <element name="additionalPayment" type="{http://www.fpml.org/FpML-5/confirmation}Payment" maxOccurs="unbounded" minOccurs="0"/>
       </sequence>
     </extension>
   </complexContent>
 </complexType>