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RE: FpML-EQD FpML EQD WG Meeting 1400 LDN Fri 09 Nov 2007
Marc
This text is taken from the document "FpML43FpML44.doc" which was
circulated to the group by email on 28 Sep 2007 within the attached zip
file "schema-2940.zip", and provides the rationale for the changes
"Return Swap Framework
The Return Swap Framework is based on the Equity Swap proposal from
Goldman Sachs, which has been a major contribution to FpML, and proved its
value over time, acting both as a basis for extension, and an inspiration
for other work
The scope of the Return Swap is the exchange of price and/or cash flow
return on and asset against a payment stream. The key points from a
modelling perspective are that
• We have clearly identified the nature of the Product at the top
level
• Are exchanging directional streams, which are not netted
• Only have content in the which is required to model a Return Swap
Due to the utility of the Return Swap model, we have used it to model
Variance Swap, and propose to use it to model Correlation Swap, by
creating leg types within the Return Swap model which
• Do not identify the nature of the Product at the top level, which
remains Return Swap, rather the “Product per Risk Factor”
• Use single netted legs
• Have content in the Return Swap model which is not applicable,
meaning that we have a great deal of content which is schema legal, but
has no business sense, and so requires the creation and application of
business rules for correct processing"
Regards
Andrew Parry
+44 20 7325 1486
Exotics and Hybrids Architecture
JP Morgan
"Marc Gratacos" <MGratacos@xxxxxxxx>
Sent by: eqdwg@xxxxxxxx
07/11/2007 10:25
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RE: FpML-EQD FpML EQD WG Meeting 1400 LDN Fri 09 Nov 2007
Hi Andrew,
Do you have some documentation for the rationale of changes made in the
representation of variance swap and correlation swap?
A few lines should be fine. We'll include that in the release
documentation.
This was asked by the coordination committee on Monday since changes are
significant. They agreed with changes but they thought some rationale
should be available in the release. I'll send the minutes shortly.
Thanks,
Marc
-----Original Message-----
From: eqdwg@xxxxxxxx [mailto:eqdwg@xxxxxxxx] On Behalf Of
andrew.p.parry@xxxxxxxxxxxx
Sent: Tuesday, November 06, 2007 11:34 AM
To: eqdwg@xxxxxxxx
Subject: RE: FpML-EQD FpML EQD WG Meeting 1400 LDN Fri 09 Nov 2007
Piers
Yes, I am hoping that Marc and Irina produce a tagged version in the
FpML
subversion repository and a release distribution in the next few days
Regards
Andrew Parry
+44 20 7325 1486
Exotics and Hybrids Architecture
JP Morgan
"Piers Evans" <piers.evans@xxxxxxxxxxxxx>
Sent by: eqdwg@xxxxxxxx
06/11/2007 16:25
Please respond to
eqdwg@xxxxxxxx
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<eqdwg@xxxxxxxx>
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RE: FpML-EQD FpML EQD WG Meeting 1400 LDN Fri 09 Nov 2007
Andrew,
>> FpML-4-3-LCWD-2 was announced at the FpML Co Ordination Meeting on
Mon 05 Nov 2007
Is this going to be up on fpml.org in the next couple of days?
Thanks,
Piers Evans
-----Original Message-----
From: eqdwg@xxxxxxxx [mailto:eqdwg@xxxxxxxx] On Behalf Of
andrew.p.parry@xxxxxxxxxxxx
Sent: 06 November 2007 08:40
To: eqdwg@xxxxxxxx
Subject: FpML-EQD FpML EQD WG Meeting 1400 LDN Fri 09 Nov 2007
Importance: High
* Telephone Conference
Access Number: +44 20 8328 1756
Participant Code: *3039*
* Agenda
1. Actions from our last meeting 1400 LDN Fri 29 Oct 2007
MG: update master confirmation schema with value
"ISDA2007EquityFinanceSwapEuropean"
AP: update release candidate schema with the decisions of this meeting
AP: add schema documentation regarding the difference between dividend
payout on an underlyer, and the dividend payout that is agreed on a
derivative contract
HP/RM: multiple exchange traded product proposal
SI: review SwapsWire ISDA 2007 Equity Finance Share Swap proposal with
Pierre Lamy
SI: follow up with Bin Shen regarding what information other that the
existing element exchangeTradedContractNearest IS-A boolean may be
required
2. Comments on FpML-4-3-LCWD-2
FpML-4-3-LCWD-2 was announced at the FpML Co Ordination Meeting on Mon
05 Nov 2007
3. FpML-4-4
We have completed the equity derivative scope of second order
derivatives as per the FpML roadmap
http://www.fpml.org/roadmap/roadmap.pdf
What other proposals would the group like to advance ?
4. FpML-4-5
Note that FpML-4-5 is now included on the FpML roadmap ( pg 2 of 5 ) but
without a release schedule
5. FpML-5-0
I have requested that the following agenda items are added to the next
FpML standards sommittee meeting
"Karel
These questions are around what will be released under the FpML license,
and how people should extend and contribute proposals
1. Will the master schema be released ?
2. Will the transform from master schema to views be released ?
3. Is the extension point the master schema or views ?
4. Should proposals extend the master schema or views ?"
6. AOB
Regards
Andrew Parry
+44 20 7325 1486
Exotics and Hybrids Architecture
JP Morgan
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