FpML-EQD InterpolationPeriodEnum revision proposal

The FpML Equity Derivatives WG had a meeting last Friday and they discussed the feedback from the Coordination Committee on the InterpolationPeriodEnum proposal, specifically on the 'AnyPeriod' value. The conclusion from the equity group is that they would like the value to be 'AnyPeriod' in order to follow the ISDA legal documentation as close as possible (the legal confirmation uses the term Any Period).

There was no discussion on changing the value to 'Any' instead of 'AnyPeriod' to be consistent with the rest of the values, which don't include the suffix 'Period' but I guess the same argument in terms of following exactly the ISDA legal terms could be applied.

Marc

From: coord@xxxxxxxx [mailto:coord@xxxxxxxx] On Behalf Of Irina Yermakova
Sent: Monday, March 01, 2010 9:23 AM
To: coord@xxxxxxxx
Subject: [fpml-coord] FW: InterpolationPeriodEnum revision proposal

From: Takeo Asakura [mailto:Takeo.Asakura@xxxxxxxxxxxxxx]
Sent: Friday, February 19, 2010 9:45 AM
To: Irina Yermakova; Andrew P Parry
Cc: eqdwg@xxxxxxxx
Subject: 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

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FpML-EQD InterpolationPeriodEnum revision proposal - AnyPeriod value