RE: FpML-VALU Sensitivity element does not carry enough information

["Brian Lynn" <brian.lynn@xxxxxxxxxxxxxxxxxxx>]

Let's hold a PRWG meeting next week if we can, to discuss this issue and
Andrew's proposal.  

The standard time would be 11 am NY time (1600 UK time) on Tuesday, June 13.
Would that work for people?  (In particular, would it work for you, Andrew?)


To progress this we would need people to participate.  My recollection is
that the proposal below was never discussed in that much detail due to lack
of participation.



Brian Lynn, CTO
Global Electronic Markets, http://global-emarkets.com
High-speed FpML matching, reconciliation, and validation:
http://fpml-mediator.com
 
-----Original Message-----
From: prwg@xxxxxxxx [mailto:prwg@xxxxxxxx] On Behalf Of
andrew.p.parry@xxxxxxxxxxxx
Sent: Wednesday, June 07, 2006 7:31 AM
To: prwg@xxxxxxxx
Cc: christian@xxxxxxxxxxxxxxxx
Subject: Re: FpML-VALU Sensitivity element does not carry enough information

Does this look more workable ;-) 

This is an alternate approach we have discussed in the past, which has 
been adopted in house for the processing reasons set out below


        <xsd:complexType name="SensitivityItem">
                <xsd:annotation>
                        <xsd:documentation xml:lang="en">A Risk 
Sensitivity Item</xsd:documentation>
                </xsd:annotation>
                <xsd:sequence>
                        <xsd:element name="value" type="xsd:decimal"/>
                        <xsd:element name="asianFixing" 
type="xsd:dateTime" minOccurs="0"/>
                        <xsd:element name="tenorCode" type="TenorCode" 
minOccurs="0"/>
                        <xsd:element name="bucket" 
type="SensitivityBucket" minOccurs="0"/>
                        <xsd:element name="dimension" 
type="FpML:GenericDimension" minOccurs="0" maxOccurs="unbounded"/>
                        <xsd:element name="definition" 
type="SensitivityItemCode" minOccurs="0"/>
                </xsd:sequence>
        </xsd:complexType>

                <!-- AP 2005.05.09 added -->
        <xsd:complexType name="SensitivitySet">
                <xsd:annotation>
                        <xsd:documentation xml:lang="en">A Set of 
Sensitivities. References definitions that explain the meaning/type of the 
sensitivities and scenarios.</xsd:documentation>
                </xsd:annotation>
                <xsd:complexContent>
                        <xsd:extension base="FpML:SensitivitySet">
                                <xsd:sequence>
                                        <xsd:element name="definition" 
type="SensitivitySetCode" minOccurs="0"/>
                                        <xsd:element 
name="valuationScenarioReference" type="FpML:Reference" minOccurs="0"/>
                                        <xsd:element name="scenario" 
type="ValuationScenarioCode" minOccurs="0"/>
                                        <xsd:element 
name="sensitivityItem" type="SensitivityItem" minOccurs="0" 
maxOccurs="unbounded"/>
                                </xsd:sequence>
                        </xsd:extension>
                </xsd:complexContent>
        </xsd:complexType>

Andrew Parry
+44 20 7325 1486
IBML Product Manager
http://ibml.jpmorgan.com





"Marc Gratacos" <MGratacos@xxxxxxxx>
Sent by: prwg@xxxxxxxx
06/06/2006 10:24
Please respond to prwg
 
        To:     <prwg@xxxxxxxx>
        cc:     <christian@xxxxxxxxxxxxxxxx>
        Subject:        FpML-VALU Sensitivity element does not carry 
enough information


See issue reported by Christian Nentwich on the issues list:
 
Sensitivities are reported in sensitivity sets as follows:
 
<sensitivity name="3M">119</sensitivity>
<sensitivity name="DEC03">120</sensitivity>
 
This meets the Pricing and Risk group's requirements of display the 
sensitivity in graphs, but is insufficient for processing - the name 
attribute needs microparsing and its content is unconstrained.
 
 
 
 
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