RE: FpML-CD minor issues bond/cds options

[andrew.p.parry@xxxxxxxxxxxx]

Jamie

Yes, examples will need to be change, I was hoping Marc Gratacos would be 
able to do this in Subversion Source Control

Regards

Andrew Parry
+44 20 7325 1486
Exotics and Hybrids Architecture
JP Morgan




"Orme, Jamie" <jamie.orme@xxxxxx> 
Sent by: cdwg@xxxxxxxx
28/06/2007 13:10
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RE: FpML-CD minor issues bond/cds options






Apologies I have been out on vacation, hence I wasn't able to attend the 
meeting yesterday.  The change sounds good to me - do the examples need 
updating as well?

From: cdwg@xxxxxxxx [mailto:cdwg@xxxxxxxx] On Behalf Of Marc Gratacos
Sent: Wednesday, June 27, 2007 3:31 PM
To: cdwg@xxxxxxxx
Subject: Re: FpML-CD minor issues bond/cds options

As discussed in today's call, I propose the following two minor changes to 
the options work:
1.      rename swapCurveReference to referenceSwapCurve. 
2.      Use the FloatingRateIndex.model group within SwapCurveValuation to 
keep consistency. As consequence, the spread will appear after the 
indexTenor. 
Let me know if there is any objection to this before next Monday.

Kind regards,
Marc


On 6/27/07, Marc Gratacos < MGratacos@xxxxxxxx> wrote: 
All,
 
While committing the bond and cds options proposal (schema, examples, and 
documentation) into the trunk (this is done by the way), I found a couple 
of minor things that I'd like to check with the group:
1.      Naming of swapCurveReference: we usually use the suffix Reference 
for elements that are pointers to intra-document references (hrefs). We 
actually discussed this last week in the AWG and we added a rule to use 
the suffix Reference for hrefs. Would be possible to rename this to 
swapCurveParameters or any better name? 
2.      The SwapCurveValuation contains the floatingRateIndex and the 
indexTenor elements. The spread element sits between them. Would be 
possible to reuse the FloatingRateIndex.model for consistency? The spread 
element would then appear after the indexTenor element. 
<xsd:group name="FloatingRateIndex.model">
                        <xsd:sequence>
                                    <xsd:element name="floatingRateIndex" 
type="FloatingRateIndex"/>
                                    <xsd:element name="indexTenor" 
type="Interval" minOccurs="0">
                                                <xsd:annotation>
 <xsd:documentation xml:lang="en">The ISDA Designated Maturity, i.e. the 
tenor of the floating rate.</xsd:documentation>
                                                </xsd:annotation>
                                    </xsd:element>
                        </xsd:sequence>
            </xsd:group>
 
Kind Regards,
-Marc
+13472846531 
 
 
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