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RE: FpML-CD Upfront Payment Amounts
Ian
"I would like to request that the definition of this element is changed in
a future FpML version so that it is only allowed to be an Unsigned value.
Some other elements may also require a review"
FpML *convention* is non negative, directional payments
To enforce this convention, I wrote types such as "NonNegativeMoney" and "NonNegativePayment"
Regards
-----Original Message-----
From: cdwg@xxxxxxxx [mailto:cdwg@xxxxxxxx] On Behalf Of ian.scott@xxxxxxxxxxxxxxxxx
Sent: 18 August 2009 13:32
To: cdwg@xxxxxxxx
Subject: FpML-CD Upfront Payment Amounts
Hi All,
Following a number of problems, could I request an evolution to the CDS
schema, affecting the element:
CreditDefaultSwap/feeLeg/initialPayment/paymentAmount/amount
Currently, the element :
feeLeg/initialPayment/paymentAmount
is of ComplexType "Money". Within "Money", the "amount" element is a
decimal.
As far as I read the schema, this means that one is allowed to transmit a
signed value in this field (please correct me if I am wrong). Certain
brokers have been doing this.
This means that our processing logic to receive FpML trades needs to be as
follows (substitute ("BNPP" for "us" in all cases)):
IF initialPayment/payerPartyReference = BNPP
THEN
IF initialPayment/paymentAmount/amount < 0
THEN
BNPP Fee direction = Receive
ELSE
BNPP Fee direction = Pay
END IF
ELSE
IF initialPayment/paymentAmount/amount < 0
THEN
BNPP Fee direction = Pay
ELSE
BNPP Fee direction = Receive
END IF
END IF
Given that the initialPayment block allows the user to specify who the fee
payer is and who the fee receiver is then this additional logic should be
unnecessary, in my opinion.
I would like to request that the definition of this element is changed in
a future FpML version so that it is only allowed to be an Unsigned value.
Some other elements may also require a review.
Many thanks,
Ian
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