I am not an expert on commodities but I’ll
try to answer some questions.
First of all, we don’t have to use
the same underlyer every time. In some case may be a future, in some others it
could be an index, on any other underlyer defined in FpML.
In the situations where the underlyer is
an index (or can be represented as an index), you’d use the index
underlyer.
<underlyer>
<singleUnderlyer>
<index>
<instrumentId
instrumentIdScheme="http://www.nymex.com/coding-scheme/instrument-id">GO_0.5_SING</instrumentId>
<description>Singapore Index</description>
<exchangeId>NYMEX</exchangeId>
</index>
</singleUnderlyer>
</underlyer>
As for the non-standard currency payment,
you could use the fxFeature within the FloatingPriceLeg to represent a quanto
or composite.
In terms of the commodity underlyer, is
there anything else needed to represent physicals??? If not, we could broad the
definition to include them.
Best regards,
-Marc
From: commwg@xxxxxxxx [mailto:commwg@xxxxxxxx]
On Behalf Of Joseph, Rosh
Sent: Thursday, April 12, 2007
3:55 PM
To: commwg@xxxxxxxx
Subject: RE: FpML-Com ISDA FpML
Commodities Working Group - the updated schema and documentation for Comm Swap
Product
In the BarCap1.GasBasisSwap.TradeCreated
example and if we were to use an underlying of a future, how would we then
represent an EFS?
Also I noticed that the
"Commodity" has been introduced as a new underlyer which in the
comments describes it as a "listed commodity contract". If so, how
would we represent an index-based location and, although not in the case of the
swap but for other tradables, will this underlyer also be used to
represent physicals?
From: commwg@xxxxxxxx [mailto:commwg@xxxxxxxx]
On Behalf Of Whiting, Elaine
Sent: Thursday, April 12, 2007
8:46 PM
To: commwg@xxxxxxxx
Subject: Re: FpML-Com ISDA FpML
Commodities Working Group - the updated schema and documentation for Comm Swap
Product
I'm
not a techie but will try to assist on interpretation. Where exactly are you
seeing this? Marc, can you assist too please?
Regards,
Elaine
----- Original Message -----
From: commwg@xxxxxxxx <commwg@xxxxxxxx>
To: commwg@xxxxxxxx <commwg@xxxxxxxx>
Sent: Thu Apr 12 20:41:47 2007
Subject: RE: FpML-Com ISDA FpML Commodities Working Group - the updated
schema and documentation for Comm Swap Product
I had mentioned concerns from the examples that were included regarding the use
of "future" within the leg representations and in a more recent email
asked how a particular index swap with non-standard currency payment be
handled. As I'm not an FpML expert I was hoping to get some response on this
but received no reply on either.
Regards,
Rosh
________________________________
From: commwg@xxxxxxxx
[mailto:commwg@xxxxxxxx] On Behalf Of
Irina Yermakova
Sent: Thursday, April 12, 2007 7:41
PM
To: commwg@xxxxxxxx
Subject: RE: FpML-Com ISDA FpML
Commodities Working Group - the updated schema and documentation for Comm Swap
Product
Yes, that is correct, Commodity Swap
Product will be published in 4.3 WD2 at the beginning of next week.
Regards,
Irina
________________________________
From: commwg@xxxxxxxx
[mailto:commwg@xxxxxxxx] On Behalf Of
Whiting, Elaine
Sent: Thursday, April 12, 2007 12:38
PM
To: commwg@xxxxxxxx
Subject: RE: FpML-Com ISDA FpML
Commodities Working Group - the updated schema and documentation for Comm Swap
Product
Irina circulated this and we have
requested feedback and comments on several occasions. Irina/Marc - please
confirm the latest status (I believe from Marc that it is due to be included in
the latest Working Draft of Version 4.3?)
Thanks,
Elaine
________________________________
From: commwg@xxxxxxxx
[mailto:commwg@xxxxxxxx] On Behalf Of
Joseph, Rosh
Sent: 12 April 2007 17:36
To: commwg@xxxxxxxx
Subject: RE: FpML-Com ISDA FpML
Commodities Working Group - the updated schema and documentation for Comm Swap
Product
But don't we need to wrap up the
swap definition first, if we want to submit the definition soon.
Regards,
Rosh
________________________________
From: commwg@xxxxxxxx
[mailto:commwg@xxxxxxxx] On Behalf Of
Whiting, Elaine
Sent: Thursday, April 12, 2007 5:19
PM
To: commwg@xxxxxxxx
Subject: RE: FpML-Com ISDA FpML
Commodities Working Group - the updated schema and documentation for Comm Swap
Product
At present no - I am hoping that
people are going to submit some examples of Options trades as requested so that
we can kick off on Phase 2.
Regards,
Elaine
________________________________
From: commwg@xxxxxxxx
[mailto:commwg@xxxxxxxx] On Behalf Of
Joseph, Rosh
Sent: 12 April 2007 17:04
To: commwg@xxxxxxxx
Subject: RE: FpML-Com ISDA FpML
Commodities Working Group - the updated schema and documentation for Comm Swap
Product
Are we still set for Friday 13th?
Regards,
Rosh
________________________________
From: commwg@xxxxxxxx [mailto:commwg@xxxxxxxx] On Behalf Of Whiting,
Elaine
Sent: Wednesday, April 04, 2007 8:17
PM
To: commwg@xxxxxxxx
Subject: Re: FpML-Com ISDA FpML
Commodities Working Group - the updated schema and documentation for Comm Swap
Product
Provisionally next Friday 13 April,
to be confirmed. However, we are keen to get some dialogue going on the group
email as to review of the swaps schema, and also I still need people to send
their example options docs for phase 2 please.
Thanks,
Elaine
----- Original Message -----
From: commwg@xxxxxxxx
<commwg@xxxxxxxx>
To: commwg@xxxxxxxx
<commwg@xxxxxxxx>
Sent: Wed Apr 04 16:05:55 2007
Subject: RE: FpML-Com ISDA FpML
Commodities Working Group - the updated schema and documentation for Comm
Swap Product
Hi,
Just wanted to know when the next
meeting to discuss the latest schema will be.
________________________________
From: commwg@xxxxxxxx
[mailto:commwg@xxxxxxxx] On Behalf Of
Irina Yermakova
Sent: Wednesday, March 21, 2007 4:04
PM
To: commwg@xxxxxxxx
Subject: FpML-Com ISDA FpML
Commodities Working Group - the updated schema and documentation for Comm Swap
Product
Importance: High
All,
Attached is the updated schema and
revised documentation for Commodity Swap Product.
Please, send your comments to the
Group email address.
Kind Regards,
Irina Yermakova
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