FpML-EQD FpML EQD WG Agenda 1400 LDN Fri 22 Feb 2008

[andrew.p.parry@xxxxxxxxxxxx]

* Telephone Conference

Access Number:  +44 20 8328 1756
Participant Code:       *3039*

* Agenda

1. Review actions from our last meeting 1400 LDN Fri 08 Feb 2008

PE: contact Robert Stowsky regarding property index derivatives
PE: update group on ISDA Option on Variance Swap documentation

MG: contact Hugh Brunswick of EFETNet regarding FpML engagement and 
commodity proposal

AP: provide Robert Stowsky contact details to PE
AP: follow up with Citadel group regarding second order derivatives
AP: follow up with Goldman Sachs regarding commodity underlyer proposal

2. Validation

We have several validation rules which contradict FpML Architecture

"Section 4.6.1 states: "The context of the rule must be defined such that 
incorporates everything referred to in a rule. The rule must not use the 
ancestor or parent axis, or use them in conjunction with any other axis. 
For example "../../tradeHeader" is precluded."

http://www.fpml.org/issues/view.php?id=553
http://www.fpml.org/issues/view.php?id=554
http://www.fpml.org/issues/view.php?id=555
http://www.fpml.org/issues/view.php?id=556
http://www.fpml.org/issues/view.php?id=557

My proposed solution in each case is to provide a full context to obey 
FpML Architecture

3. Naming

Use of "equity" prefix on element names will be removed in FpML-5-0 

4. Modelling

Consistent modelling of exercise will be introduced in FpML-5-0

http://www.fpml.org/issues/view.php?id=295 

5. AOB

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

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