Andrew,
Agreed on point 1: 1) "ReturnLeg" should be made abstract if this is
compatible with implementations by extension being used by substitution
(further to a comment from Andrew Jacobs when I asked why Product was
not abstract)
Agreed in principle on point 2: 2) change attribute "legIdentifier" to
be "id" in common with all other use of attribute type "xsd:ID" - any
feedback on the impact from people that are using this already - Marc
Teichman?
On the asset swap changes, any comments from the group?
Karel
-----Original Message-----
From: andrew.p.parry@xxxxxxxxxxxx [mailto:andrew.p.parry@xxxxxxxxxxxx]
Sent: Monday, June 13, 2005 3:34 AM
To: astf@xxxxxxxxxxxxxxxxxxxx
Cc: ird@xxxxxxxxxxxxxxxxxxxxxx; andrew_jacobs@xxxxxxxxxx
Subject: Re: FpML-ASTF updated asset swap task force document
Marc
#1 Total Return Swaps
Annex 1. "The proposed solution is to change name of the AssetSwapLeg
type
to ReturnLeg (removing asset swap reference). Technically, the use of
substitution group in the leg level will be kept but changing the name
of
it (returnLeg instead of assetSwapLeg)."
Improves the naming convention for a human reader but does not remove
open
choice of usage which arises from this simple base type. This should be
made clear in our documentation
I approve of your proposed solution for Total Return Swaps, and have two
further proposals
1) "ReturnLeg" should be made abstract if this is compatible with
implementations by extension being used by substitution ( further to a
comment from Andrew Jacobs when I asked why Product was not abstract )
2) change attribute "legIdentifier" to be "id" in common with all other
use of attribute type "xsd:ID"
#2 Asset Swap
My Asset Swap proposal is below
#3 Inflation Swap
GS and JPM hope to submit this proposal shortly
#4 Rename "Swap" to "InterestRateSwap"
Type "Swap" is implicitly "InterestRateSwap"
It should be explicitly renamed as such. This will not affect instance
documents
#5 Rename "EquitySwapBase" to "ReturnSwapBase"
This is a natural fit given that your proposal above would result in the
child element
<xsd:element ref="returnLeg" maxOccurs="unbounded"/>
#6 Consistency of Swap Models
I would like to discuss consistency of the following swap models
considering consistency both within a base type and across IRD and EQD
Asset Swap // IRD base
Equity Swap // EQD base
Inflation Swap // IRD base
Interest Rate Swap // IRD base
Total Return Swap // EQD base
Regards
"Marc Gratacos" <MGratacos@xxxxxxxx>
10/06/2005 22:29
Please respond to astf
To: <ird@xxxxxxxxxxxxxxxxxxxxxx>,
<astf@xxxxxxxxxxxxxxxxxxxx>
cc:
Subject: FpML-ASTF updated asset swap task force document
The document incorporates the discussion we had yesterday (see
discussion section - meeting June 9th.
Let us know your comments.
Regards,
-Marc
-----Original Message-----
From: Marc Gratacos [mailto:MGratacos@xxxxxxxx]
Sent: Friday, June 10, 2005 4:04 PM
To: astf@xxxxxxxxxxxxxxxxxxxx
Cc: ird@xxxxxxxxxxxxxxxxxxxxxx
Subject: FpML-IRD40 RE: FpML-ASTF Proposal Re: FpML-ASTF Asset
Swap/Condition Precedent Bond representation
Karel and I will update the asset swap task force document incorporating
the discussion we had in the meeting for equity swap and asset swap
representation. Harry will put together some notes about the
non-deliverable swap discussion.
Regards,
-Marc
-----Original Message-----
From: Guy Gurden [mailto:guy.gurden@xxxxxxxxxxxxx]
Sent: Friday, June 10, 2005 11:13 AM
To: astf@xxxxxxxxxxxxxxxxxxxx
Cc: ird@xxxxxxxxxxxxxxxxxxxxxx
Subject: RE: FpML-ASTF Proposal Re: FpML-ASTF Asset Swap/Condition
Precedent Bond representation
Harry/Marc - minutes?
-----Original Message-----
From: andrew.p.parry@xxxxxxxxxxxx [mailto:andrew.p.parry@xxxxxxxxxxxx]
Sent: Friday, June 10, 2005 11:13 AM
To: astf@xxxxxxxxxxxxxxxxxxxx
Cc: ird@xxxxxxxxxxxxxxxxxxxxxx
Subject: RE: FpML-ASTF Proposal Re: FpML-ASTF Asset Swap/Condition
Precedent Bond representation
Guy
Sorry I could not make the call, this proposal is based on a subset of
JPM
production usage
Inflation Swap has also been implement by extension of Swap then
composition
I would like both proposals to be consistent
Are there minutes of the discussion so that I can catch up ?
Regards
"Guy Gurden" <guy.gurden@xxxxxxxxxxxxx>
10/06/2005 16:00
Please respond to astf
To: <astf@xxxxxxxxxxxxxxxxxxxx>
cc: <ird@xxxxxxxxxxxxxxxxxxxxxx>
Subject: RE: FpML-ASTF Proposal Re: FpML-ASTF Asset
Swap/Condition Precedent Bond
representation
Andrew - we're using the additional terms for more than just asset
swaps. It's a pity you weren't on the call because a lot of alternatives
etc. were discussed.
-----Original Message-----
From: andrew.p.parry@xxxxxxxxxxxx [mailto:andrew.p.parry@xxxxxxxxxxxx]
Sent: Friday, June 10, 2005 10:57 AM
To: astf@xxxxxxxxxxxxxxxxxxxx
Cc: ird@xxxxxxxxxxxxxxxxxxxxxx
Subject: FpML-ASTF Proposal Re: FpML-ASTF Asset Swap/Condition Precedent
Bond representation
Please find alternate proposal attached
Two types have been added
1. AssetSwap EXTENDS Swap
2. AssociatedBond EXTENDS Bond
This proposal is compatible with FpML 4.1 and 4.2
Regards
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