my XML is
<?xml version="1.0" encoding="UTF-8"?>
<trades TotalRecords="14">
    <ReportTimestamp>2006-01-13 16:44:16</ReportTimestamp>
    <StockTrades NumberOfRecords="3">
        <trade Action="New" AllocStatus="S" ..../>
<trade Action="Cancel" AllocStatus="S" ...../>

<trade Action="Cancel" AllocStatus="S" ..../>

       </StockTrades>
<BondTradesNumberOfRecords="2">
        <trade Action="New" AllocStatus="S"/>
<trade Action="Cancel" AllocStatus="S"/>

       </StockTrades>
</trades>

Now I want to generate an xml file like
<Trade>
 <TradeHeader>
   <action>New</action>
   <TradeId/>
   <ClientId/>
   <FundId/>
 </TradeHeader>
<Stocktrade>
...
</stocktrade>
<TradeHeader>
   <action>Cancel</action>
   <TradeId/>
   <ClientId/>
   <FundId/>
 </TradeHeader>
<Stocktrade>
...
</stocktrade>
<TradeHeader>
   <action>Cancel</action>
   <TradeId/>
   <ClientId/>
   <FundId/>
 </TradeHeader>
<Stocktrade>
...
</stocktrade>
<TradeHeader>
   <action>New</action>
   <TradeId/>
   <ClientId/>
   <FundId/>
 </TradeHeader>
<Bondtrade>
...
</Bondtrade>
<TradeHeader>
   <action>Cancel</action>
   <TradeId/>
   <ClientId/>
   <FundId/>
 </TradeHeader>
<Bondtrade>
...
</Bondtrade>
</trade>

I have written follwoing XSLT
<xsl:template match="trades">
        <Trade>
            <xsl:apply-templates/>
        </Trade>
    </xsl:template>

    <xsl:template match="StockTrades">
        <xsl:call-template name="StockTrade"/>
    </xsl:template>


    <xsl:template name="StockTrade">
                <xsl:call-template name="TradeHeader">
            <xsl:with-param name="Comments" select="Comments"/>
            <xsl:with-param name="TransactionId" select="TransactionId"/>
        </xsl:call-template>
        <xsl:call-template name="EquityDeal"/>
    </xsl:template>

    <xsl:template name="TradeHeader">
        <xsl:param name="Comments"/>
        <xsl:param name="TransactionId"/>
        <TradeHeader>
        <xsl:variable name="Action" select="go:UpperCase(@Action)"/>
        ......

It is not working...can anyone guide me?

Your StockTrades element does not have any children called Comment or TransactionId, so when you do this:

<xsl:call-template name="TradeHeader">
    <xsl:with-param name="Comments" select="Comments"/>
    <xsl:with-param name="TransactionId" select="TransactionId"/>
</xsl:call-template>

the value of both parameters will be an empty sequence.

Michael Kay
http://www.saxonica.com/
Author, XSLT Programmer's Reference and XPath 2.0 Programmer's Reference