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FpML-IRD FW: BOUNCE irdwg@xxxxxxxx: Non-member submission from ["Brian Lynn" <brian.lynn@xxxxxxxxxxxxxxxxxxx>]
See below response from Brian:
Guy -
In several other asset classes, we now have a pattern something like:
<terminationDate>
<adjustableDate>
<unadjustedDate>...</unadjustedDate>
<dateAdjustments> ...</dateAdjustments>
</adjustableDate>
</terminationDate>
or
<terminationDate>
<relativeDate>
...
</relativeDate>
</terminationDate>
IRD implements the same concept with a choice between an element that is
an
AdjustableDate and an element that is a RelativeDate. The suggestion (I
won't say recommendation, as we didn't come to any consensus that it
should
be a recommendation), was that we might change IRD to be consistent with
this pattern. It would not be backward compatible.
- Brian
-----Original Message-----
From: Guy Gurden [mailto:guy.gurden@xxxxxxxxxxxxx]
Sent: Monday, April 28, 2008 5:32 PM
To: irdwg@xxxxxxxx
Cc: brian.lynn@xxxxxxxxxxxxxxxxxxx; mgratacos@xxxxxxxx
Subject: RE: FpML-IRD FpML Modelling Task Force: Issues for IRD-WG
Harry,
On point 17. is the proposed change non-backward compatible in the
instance document for just the 'relative' date forms of the
effective/termination date? Is it backward compatible for the more
commonly used 'adjustable' dates form?
Guy
-----Original Message-----
From: irdwg@xxxxxxxx [mailto:irdwg@xxxxxxxx] On Behalf Of Valentino,
Jeffrey C
Sent: Monday, April 28, 2008 5:13 PM
To: irdwg@xxxxxxxx; irdwg@xxxxxxxx
Cc: brian.lynn@xxxxxxxxxxxxxxxxxxx; mgratacos@xxxxxxxx
Subject: RE: FpML-IRD FpML Modelling Task Force: Issues for IRD-WG
My opinion:
16. Leave as is....to Guy's point.
17. Leave as is....no clear benefit to the proposal. Compatibility is
more important than consistency with other asset classes in my opinion.
14. Leave as is....to your point.
________________________________
From: irdwg@xxxxxxxx on behalf of harry.mcallister@xxxxxxxxxxxxxxxxx
Sent: Fri 4/25/2008 3:34 PM
To: irdwg@xxxxxxxx
Cc: brian.lynn@xxxxxxxxxxxxxxxxxxx; mgratacos@xxxxxxxx
Subject: FpML-IRD FpML Modelling Task Force: Issues for IRD-WG
The FpML Modelling Task Force was created in the latter part of 2007
with
the objective to identify and address modelling issues and
inconsistencies
in FpML 4.
Some of these issues may be remedied in the FpML 4-x series, others
would
constitute breaking changes and so must be held over to FpML 5.
In the initial report from the task force, a number of issues were
raised
for the consideration of the Interest Rates Working Group. It has been
my
intention to discuss these at a meeting of the Group, but as the date of
the next call is (as yet) undetermined, I would like to invite comment
via
the mailing list so that we can report a consensus view back to the MTF.
The open issues are as follows (numbering is taken from the Initial
Report
issues list, please see document attached, section "Recommendations with
no
consensus"):
16) IRD: explore the feasibility of simplifying element names that
contain context, eg. cashSettlementPaymentDate to eliminate the
context.
17) IRD: Change IR effective and termination dates to be of type
AdjustableOrRelativeDate, to correspond to other asset classes.
The following issue was also considered by the MTF in the context of a
proposal to eliminate unnecessary use of substitution groups, and
requires
to be validated by the IRD-WG:
14) IRD: rateCalculation substitution group: we are satisfied with
the
existing representation and propose to leave as is
The arguments relating to these points can be summarised as follows:
16. As a general principle, element names should not repeat
information supplied by the enclosing context. In the case of
cashSettlement, the child elements cashSettlement-ValuationTime,
-ValuationDate, -PaymentDate, -Currency and -ReferenceBanks are
all
prefixed with "cashSettlement". The suggestion is to remove the
prefix, as this information is supplied by the context. This would
be
a backward-incompatible change.
Guy Gurden (SwapsWire) has argued in favour of retaining the
prefix,
pointing out that the element names correspond to defined terms
in
the ISDA confirmation language.
17. Within CalculationPeriodDates, we currently have alternate
representations for the effective- and termination- dates, either
as
[effective|termination]Date or
relative[effective|termination]Date.
The proposal is to merge these elements into a single type
(AdjustableOrRelativeDate) in line with usage in other asset
classes.
This would be a backward-incompatible change.
One possible problem with the proposal is that the "relative"
forms
of the dates are of subtly different types (relativeEffectiveDate
is
an instance of AdjustedRelativeDateOffset, which extends
RelativeDateOffset with optional BusinessDayAdjustments).
14. It was suggested that the substitution group headed by
rateCalculation within Calculation should be replaced with a
simple
choice (floatingRateCalculation|inflationRateCalculation).
I have argued that the substitution group provides an extension
point
for implementors who wish to specify other modes of rate
calculation
(e.g. range accrual) and should be retained for this reason.
I would be grateful if you would consider your position with regard to
these points, and submit your response to the IRDWG mailing list.
Best regards,
Harry McAllister
Chair, IRD-WG
BNP Paribas
Fixed Income Architecture
+44 20 7595 3416
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