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RE: FpML-IRD40 Updated Early Termination Provision proposal



Title: RE: FpML-IRD40 Updated Early Termination Provision proposal

Guy,

I think that making the two elements optional inside the two sequences makes the model too loose. It allows a potential situation where you have an earlyTerminationProvision element without any child. I don't think this makes any business sense in this case. I think we should try to avoid that with the schema.

Let me try to explain the background for the structure I suggested in my last e-mail.

Guy, I think that what you are trying to accomplish here is something like:

<choice>

      <choice>

            mandatoryEarlyTermination

                mandatoryEarlyTerminationDateTenor

            <sequence>

                        mandatoryEarlyTermination

                  mandatoryEarlyTerminationDateTenor

            </sequence>

      </choice>

      <choice>

            optionalEarlyTermination

                optionalEarlyTerminationParameters

            <sequence>

                  optionalEarlyTermination

                  optionalEarlyTerminationParameters

            </sequence>

      <choice>

</choice>

So, in the first leg you have the option of choosing mandatoryEarlyTermination OR mandatoryEarlyTerminationDateTenor OR both. The same applies to the second leg.

Is my assumption correct? Is this the behavior which you are trying to accomplish?

If it is, this structure presents what is call "non-deterministic content model" because the processor, if it first encounters a child mandatoryEarlyTermination, will not know whether it should validate it against the first declaration of mandatoryEarlyTermination or the second declaration of mandatoryEarlyTermination (inside sequence), without looking ahead to see if there is also a child of mandatoryEarlyTerminationDateTenor. It may seem that it should not matter which mandatoryEarlyTermination declaration we are talking about; they both have the same type. However, they may have other different properties, such as default values, identity constraints, or annotations.

The following structure represents the same desired content model, in a deterministic way (it's the same I suggested in my first e-mail). It's nothing I invented, it's the solution presented in the Schema literature.

<choice>

      <choice>

            mandatoryEarlyTermination

            <sequence>

                  mandatoryEarlyTerminationDateTenor

                  mandatoryEarlyTermination (minOccurs=”0”)

            </sequence>

      </choice>

      <choice>

            optionalEarlyTermination

            <sequence>

                  optionalEarlyTermination

                  optionalEarlyTerminationParameters (minOccurs=”0”)

            </sequence>

      <choice>

</choice>

<choice>

      <choice>

            mandatoryEarlyTermination

            <sequence>

                  mandatoryEarlyTerminationDateTenor

                  mandatoryEarlyTermination (minOccurs=”0”)

            </sequence>

      </choice>

      <choice>

            optionalEarlyTermination

            <sequence>

                  optionalEarlyTermination

                  optionalEarlyTerminationParameters (minOccurs=”0”)

            </sequence>

      <choice>

</choice>


Sorry for my long explanation. Let me know if you have questions/comments.

Regards,

Marc


-----Original Message-----
From: Guy Gurden [mailto:guy.gurden@xxxxxxxxxxxxx]
Sent: October 13, 2004 9:21 AM
To: ird@xxxxxxxxxxxxxxxxxxxxx
Subject: FpML-IRD40 Updated Early Termination Provision proposal

Attached is an updated proposal following discussions at the last WG

meeting.

Marc G - The Schema I implemented here is slightly different to what you

circulated (see attached XSD Schema file for details)

Guy


-----Original Message-----

From: steven.lord@xxxxxxx [mailto:steven.lord@xxxxxxx]

Sent: Thursday, September 30, 2004 10:20 AM

To: ird@xxxxxxxxxxxxxxxxxxxxx

Subject: FpML-IRD40 FpML IRD WG - Minutes Thurs 30th

Minutes of WG meeting held on Thursday 30th September

Attendees:

Steven Lord

John Aldridge

Jeff Valentino (for Keri Jackson)

Guy Gurden

Bob Green

Marc Gratacos

RelativeSwap Proposal

There was general agreement that the proposal was ok. The changes that

Guy suggested via email should be incorporated.

Early Termination Provision Proposal

Guy talked the group through his proposal.

- If the optionalEarlyTerminationParameters element is included it is

assumed to be a mutual put

- Guy had tried to get a structure that would ensure that the mandatory

elements could not be included in a document with the optional ones.

ACTION: Marc to look at possible ways of achieving this

- There was agreement that this structure covered the use case that

prompted it - namely Broker Confirmations

- There was some discussion around whether these additional parameters

combined with the existing elements would be sufficient for

confirmations that include this parameterised view.

ACTION: Bob to look at how confirmation examples will fit into this

structure.

Bond Reference Proposal

Bob talked the group through his proposal. It was clarified that these

parameters were included for two purposes:

1. They indicated that the swap transaction was contingent on this bond

issue being completed

2. If the swap parameters differed from the bond then the bond would

take precedence.

There was alot of discussion around where this element should be placed

- there was agreement on the usefulness of including it. The agreement

was that it should be placed on the swap as this best reflected the

wording in a confirmation. It was agreed that a more generic structure

should be put in place to allow for over such contingencies to be

included.

ACTION: Bob to revamp proposal reflect the above and circulate to the

group for discussion at the next meeting.


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