FpML-EQD InterpolationPeriodEnum revision proposal

Irina, Andrew,

As discussed in the working group today, the 2009 European Index Swap (Client) MCA defines two additional values for Interpolation Period – “final” and “any Period”.

Please find attached an xsd file containing the proposed revision, and the relevant Index Annex. The relevant code fragment is also passed below.

As far as I can see there’s no other outstanding FpML issue in respect of the above MCA. So, in view of avoiding the situation where users have to upgrade their implementation to FpML4.8 for the sole purpose of supporting these values, we wish to seek possibilities of having this revision included in FpML4.7.

<xsd:simpleType name="InterpolationPeriodEnum">

<xsd:annotation>

<xsd:documentation xml:lang="en">Defines applicable periods for interpolation.</xsd:documentation>

</xsd:annotation>

<xsd:restriction base="xsd:token">

<xsd:enumeration value="Initial">

<xsd:annotation>

<xsd:documentation xml:lang="en">Interpolation is applicable to the initial period only.</xsd:documentation>

</xsd:annotation>

</xsd:enumeration>

<xsd:enumeration value="InitialAndFinal">

<xsd:annotation>

<xsd:documentation xml:lang="en">Interpolation is applicable to the initial and final periods only.</xsd:documentation>

</xsd:annotation>

</xsd:enumeration>

<xsd:enumeration value="Final">

<xsd:annotation>

<xsd:documentation xml:lang="en">Interpolation is applicable to the final period only.</xsd:documentation>

</xsd:annotation>

</xsd:enumeration>

<xsd:enumeration value="AnyPeriod">

<xsd:annotation>

<xsd:documentation xml:lang="en">Interpolation is applicable to any non-standard period.</xsd:documentation>

</xsd:annotation>

</xsd:enumeration>

</xsd:restriction>

</xsd:simpleType>

Regards,

Takeo