Here is the proposed wording
for the guidelines to be included in the documentation. Comments welcome.
The FpML Pricing and Risk
definitions include two types of messages for reporting valuations.
- The
PositionReport is a relatively simple structure intended to link trade
economics and valuation information for applications that require
notification of the current open positions and their valuations. It
is not intended for complex risk reporting applications.
- The
ValuationReport is a structure that groups related valuation information
and supports anywhere from simple to complex reports. It is intended
to be used when the primary application is to report valuations and sensitivities
and not trade economics.
Following are some
guidelines on when to use each type of message:
- Use
the ValuationReport in any of the following cases:
- When
reporting portfolio-level information
- When
reporting trade level valuations without the trade economics, e.g. a list
of NPVs for a large number of trades.
- When
reporting sensitivities
- When
reporting on valuation scenarios, such as stress tests
- When
providing market inputs
- When
responding to a ValuationRequest message
- Use
the PositionReport message:
- When
providing both trade economics and valuations together, and
- When
providing a statement of current position, rather than any kind of
what-if analysis, and/or
- When
performing portfolio reconciliation
Brian Lynn, CTO
Global Electronic Markets, http://global-emarkets.com
High-speed FpML matching, reconciliation, and validation:
http://fpml-mediator.com