Answer is in your question below
"numberOfUnderlyingSecurities is used for bond positions to report the
product of the open units and the par value of the bond."
"Marc Gratacos" <MGratacos@xxxxxxxx>
03/10/2005 21:55
To: <valuation@xxxxxxxxxxxxxxxxxxxxxx>,
<andrew.p.parry@xxxxxxxxxxxx>
cc:
Subject: RE: FpML-VALU40 PRWG agenda 2005-10-04
EQS DSWG pricing extensions
Question: Andrew Parry, it's not clear to me how the
numberOfUnderlyingSecurities can be calculated with the existing elements.
Maybe you could clarify.
TRS Support; extensions to SingleUnderlyer
DSWG proposes the following extensions to the SingleUnderlyer type:
- underlyerPrice holds the price information for the underlyer at deal
inception or at the most recent reset.
- currentMarketPrice holds the most recent closing market quote for the
asset.
- numberOfUnderlyingSecurities is used for bond positions to report the
product of the open units and the par value of the bond.
- couponPayments holds any pending coupon payments that may be required
for bonds.
Decision by the Equity Derivatives Working Group:
- underlyerPrice NO this is a pricing and risk subject. It should be
represented by the Pricing and Risk Working Group.
- currentMarkePrice NO this is a pricing and risk subject. It should be
represented by the Pricing and Risk Working Group.
- numberOfUnderlyingSecurities NO this can be calculated already (MG:
how?)
- couponPayments YES in support of irregular payments in addition to
existing regular payment support. Extension implemented by the Equity
Derivatives Working Group.
TRS Support; extensions to BasketConstituent
DSWG proposes the following extensions to the BasketUnderlyer type:
- currentMarketPrice holds the most recent closing market quote for the
asset.
- numberOfUnderlyingSecurities is used for bond positions to report the
product of the open units and the par value of the bond.
- couponPayments holds any pending coupon payments that may be required
for bonds.
Decision by the Equity Derivatives Working Group:
- currentMarkePrice NO this is a pricing and risk subject.
- numberOfUnderlyingSecurities NO this can be calculated already. (MG:
how?)
- couponPayments YES in support of irregular payments in addition to
existing regular payment support. Extension implemented by the Equity
Derivatives Working Group.
Thanks in advance,
-Marc
+1-212-901-6028
-----Original Message-----
From: Brian Lynn [mailto:brian.lynn@xxxxxxxxxxxxxxxxxxx]
Sent: Monday, October 03, 2005 11:59 AM
To: valuation@xxxxxxxxxxxxxxxxxxxxxx
Subject: FpML-VALU40 PRWG agenda 2005-10-04
Dial-in:
US: 888 481 3032
Intl: 617 801 9600
Code: 8682747
Tuesday, 11:00 am - noon NY time.
Agenda:
======
* Status of actions
- Henri to update scheme for reporting detail level
- Marc to clarify responsibilities for certain EQS DSWG pricing
extensions
* Reporting of underlyer prices for EQS (to meet DSWG requirements) -
develop plan for addressing this.
* AOB
Brian Lynn, CTO
Global Electronic Markets, http://global-emarkets.com
High-speed FpML matching, reconciliation, and validation:
http://fpml-mediator.com
-----Original Message-----
From: Brian Lynn [mailto:brian.lynn@xxxxxxxxxxxxxxxxxxx]
Sent: Tuesday, September 27, 2005 11:34 AM
To: valuation@xxxxxxxxxxxxxxxxxxxxxx
Subject: FpML-VALU40 PRWG minutes 2005-09-27
Attendees
=========
Henri
Marc
Brian
Regrets
=======
Pierre L.
Mahmoud (to be off for a few months)
Vlad
Ayesha
Status of actions
=================
- Marc has sent updated versions of the schema and example, closing out
that
action. The example the FX rate updates, as well some EQD changes that
have
been agreed by that WG.
- Henri has circulated a list of the scenarios with no examples. We
reviewed the list and concluded that there are no missing examples for the
scenarios that we currently have schemas defined for.
- valuation input request still is waiting a message schema
We discussed the amount of detail that can be requested and agreed that
Henri will define coding scheme values for the "detail" element of the
valuation set, and fill these values in the requests.
Equity Derivatives DSWG support
===============================
We discussed how some DSWG extensions in the area of EQS will be moved
into
FpML. These will be done as valuation items. Marc will follow up with
Andrew P. to determine who will do this.
Actions:
========
Henri set up valuation detail coding scheme & update examples
Marc f/u with Andrew P on EQS DSWG extensions.
Brian Lynn, CTO
Global Electronic Markets, http://global-emarkets.com
High-speed FpML matching, reconciliation, and validation:
http://fpml-mediator.com
-----Original Message-----
From: Brian Lynn [mailto:brian.lynn@xxxxxxxxxxxxxxxxxxx]
Sent: Monday, September 26, 2005 1:40 PM
To: valuation@xxxxxxxxxxxxxxxxxxxxxx
Subject: FpML-VALU40 PRWG agenda 2005-09-27
Dial-in:
US: 888 481 3032
Intl: 617 801 9600
Code: 8682747
Tuesday, 11:00 am - noon NY time.
Agenda:
======
Status of actions
- Marc to update schema & examples - schema done
- Henri to circulate missing use case examples - done
Discuss DSWG open items for EQD
Plan for missing examples
AOB
Brian Lynn, CTO
Global Electronic Markets, http://global-emarkets.com
High-speed FpML matching, reconciliation, and validation:
http://fpml-mediator.com
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