Package net.finmath.smartcontract.product.xml

Class FxAccrualOption

java.lang.Object
net.finmath.smartcontract.product.xml.Product
net.finmath.smartcontract.product.xml.Option
net.finmath.smartcontract.product.xml.FxAccrualOption
public class FxAccrualOption extends Option
An FX Accrual Option product The product defines a list of fixing (or observation) dates. There are m total fixings. At the expiry date of the product, the buyer of the option has the right to an FX settlement with n/m * Notional. Payout can be cash or physical.

Java class for FxAccrualOption complex type.

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

 <complexType name="FxAccrualOption">
   <complexContent>
     <extension base="{http://www.fpml.org/FpML-5/confirmation}Option">
       <sequence>
         <group ref="{http://www.fpml.org/FpML-5/confirmation}PutCallCurrency.model"/>
         <element name="notionalAmount" type="{http://www.fpml.org/FpML-5/confirmation}NonNegativeAmountSchedule"/>
         <element name="accrual" type="{http://www.fpml.org/FpML-5/confirmation}FxAccrual"/>
         <group ref="{http://www.fpml.org/FpML-5/confirmation}FxExpiryDateOrSchedule.model"/>
         <group ref="{http://www.fpml.org/FpML-5/confirmation}FxSettlementDateOrSchedule.model"/>
         <element name="exerciseProcedure" type="{http://www.fpml.org/FpML-5/confirmation}ExerciseProcedure" minOccurs="0"/>
         <element name="spotRate" type="{http://www.fpml.org/FpML-5/confirmation}PositiveDecimal" minOccurs="0"/>
         <choice>
           <sequence>
             <element name="strike" type="{http://www.fpml.org/FpML-5/confirmation}FxOptionStrikePrice"/>
             <element name="counterCurrencyAmount" type="{http://www.fpml.org/FpML-5/confirmation}NonNegativeAmountSchedule" minOccurs="0"/>
           </sequence>
           <element name="averageStrike" type="{http://www.fpml.org/FpML-5/confirmation}FxAverageStrike"/>
         </choice>
         <element name="averageRate" type="{http://www.fpml.org/FpML-5/confirmation}FxAverageRate" minOccurs="0"/>
         <element name="barrier" type="{http://www.fpml.org/FpML-5/confirmation}FxAccrualBarrier" maxOccurs="unbounded" minOccurs="0"/>
         <element name="premium" type="{http://www.fpml.org/FpML-5/confirmation}FxOptionPremium" maxOccurs="unbounded" minOccurs="0"/>
       </sequence>
     </extension>
   </complexContent>
 </complexType>