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RE: FpML-EQD FpML EQD WG Agenda 1400 LDN Fri 30 Nov 2007
Andrew,
Related to validation rules, could we also review this issue
http://www.fpml.org/issues/view.php?id=465 ?
Thanks,
Marc
-----Original Message-----
From: eqdwg@xxxxxxxx [mailto:eqdwg@xxxxxxxx] On Behalf Of
andrew.p.parry@xxxxxxxxxxxx
Sent: Wednesday, November 28, 2007 3:23 AM
To: eqdwg@xxxxxxxx
Cc: andrew.jacobs@xxxxxxxxxxxxxx
Subject: FpML-EQD FpML EQD WG Agenda 1400 LDN Fri 30 Nov 2007
* Telephone Conference
Access Number: +44 20 8328 1756
Participant Code: *3039*
* Agenda
1. Actions from our last meeting 1400 LDN Fri 09 Nov 2007
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
RM: provide summary and presentation from ISDA conference on handling
disruption
AP: propose support for basket underlyer within basket
AP: create more samples for newer products
AP: improve annotation of second order derivatives
2. FpML Co Ord Minutes 19 Nov 2007
Point 1. Regarding the Multiple exchange traded proposal from the DTCC
is
below
"1. Multiple exchange traded instrument proposal (See Proposal
Multiple exchangeId.zip and original e-mail below)
a. Andrew Parry described the proposal from DTCC to allow multiple
exchange Id for equity indices. For equity indices, exchangeId indicates
the exchanges from which valuation/price of each constitutent will be
based in case of disruption.
b. Participants felt this was overloading the use of exchangeId,
which is meant to represent the exchange where a stock is traded.
c. It was suggested to add an additional element within the index
underlyer called constituentExchangeId (optional, multiple occurrence)
to
support the business requirement but distinguish it from exchangeId.
d. FpML underlyers should be refactored in 5.0 to make sure that
elements present in an underlyer have sense from a business
perspective."
3. Option Features
3.1 Deprecation comment
On the complex type EquityDerivativeLongFormBase we should restore the
comment that the element equityFeatures is deprecated, which I believe
to
have been lost in the merge process, because this content is now
accessible in the complex type EquityDerivativeBase through the model
group Feature.model
3.2 Consistency
SOTF work was completed before the Citadel proposal on Dividend
Adjustment
3.2.1 element dividendAdjustment IS-A DividendAdjustment should be added
to model group OptionFeature.model
3.2.2 model group OptionFeature.model should then be used to provide the
content model for both complexType OptionFeatures ( EQD ) and
complexType
OptionFeature ( SOTF )
3.3 Encapsulation
Note that the complex type OptionFeature ( SOTF ) is a container for all
the current accessible features ( fxFeature, strategyFeature, asian,
barrier, knock, passThrough ), at present ommitting dividend adjustment
as
noted above
4. Using SOTF work
We should start to consider how SOTF materials can be applied to Equity
Derivatives
FpML-5-0 is a good opportunity to improve the current Equity Derivative
models
5. Business Rules
Andrew Jacobs, Chair of the FpML AWG posed some questions around
multiple
exercise business rules
All of my comments below relate to the complex type
EquityMultipleExercise
a) "you cannot exercise more than the number of options you have"
maxiumumNumberOfOptions <= numberOfOptions
b) "maximum number of options to exercise must be greater than or equal
to
minimum number of options to exercise"
maxiumumNumberOfOptions >= minimumNumberOfOptions
c) "when integral multiple exercise is present, minimum and maximum
number
of options exercised must be a positive integer multiple"
( minimumNumberOfOptions / integralMultipleExercise ) IS-A Positive
Integer
( maximumNumberOfOptions / integralMultipleExercise ) IS-A Positive
Integer
6. AOB
Andrew Parry
+44 20 7325 1486
Exotics and Hybrids Architecture
JP Morgan
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