From:
matthew.d.rawlings@xxxxxxxxxxxx [mailto:matthew.d.rawlings@xxxxxxxxxxxx]
Sent: 02 February 2009 12:24
To: harry.mcallister@xxxxxxxxxxxxxxxxx
Cc: mark.addison.uk@xxxxxxxxx;
MGratacos@xxxxxxxx
Subject: Re: working out which
Term the PeriodEnum refers to
Hi
Thank
you for explaining T.
There
are approximately 90 contexts (including sub-types), where "T" may
appear in FpML. From your answer I understand we should identify the relevant
date elements for each of those contexts. I shall propose adding a note to the
schema for each context stating the two date elements relevant to that context.
There would be no change to the XML, just notes added to the schema. Do you
think this is the best way forward (in conjunction with your proposal for issue
#662)?
Matthew
Rawlings
+44 7917 596 827
|
harry.mcallister@xxxxxxxxxxxxxxxxx
30/01/2009 19:26
|
|
To
|
matthew.d.rawlings@xxxxxxxxxxxx
|
|
cc
|
mark.addison.uk@xxxxxxxxx, MGratacos@xxxxxxxx
|
|
Subject
|
Re: working out which Term the PeriodEnum
refers to
|
|
Hi Matthew,
I'll start at the end; your mail closes with the compound question: When the
period is a Term, which Term is it? How would I know?
Let's refer to the annotation for the "T" member of PeriodEnum:
Term. The period commencing on the effective date and ending on the termination
date. The T period always appears in association with periodMultiplier = 1, and the notation is
intended for use in contexts where the interval thus qualified (e.g. accrual
period, payment period, reset period, ...) spans the entire term of the trade.
The term is construed as the period between an effective and a termination date
- the identity of these dates is implied by the context, so if the context is
an instance of InterestRateStream,
the Term is the interval between calculationPeriodDates/effectiveDate/unadjustedDate
and calculationPeriodDates/terminationDate/unadjustedDate.
This immediately raises the question of how to construe "Term" where
the context does not contain an "effective" or
"termination" date. Without verifying the hypothesis, I'd suggest
that it is possible to identify date elements which serve the roles of
"effective" and "termination" date in any context where
"1T" is meaningful.
The example of ExercisePeriod is instructive because it illustrates the subtly
different usages of Interval; earliestExerciseDateTenor
is an example of Interval-as-Duration - it describes an offset (time interval
to the start of the exercise period), so "T" is not an appropriate
value of period in this context.
However exerciseFrequency
describes a recurring time interval - it is an example of
Interval-as-Frequency, so period might
take the value "T", meaning once in the whole term of the trade
(although this would not make business sense in the context of ExercisePeriod);
note that periodMultiplier is
strictly positive in this usage.
In summary:
- period
= T is not meaningful, in business terms, in the context of ExercisePeriod.
- if it did have a
legitimate usage (only in the context Interval-as-Frequency), the meaning
would be "the term of the related InterestRateStream" (however
that relationship is construed)
- for legitimate usages, the
Term can be construed from context (a frequency, within an
InterestRateStream having effective- and termination-Dates)
I don't subscribe to the idea of replacing "T" with a reference to
dates; the idiom is well understood within the IRD community - changing the
protocol would impose an unacceptable implementation penalty on message
consumers, for zero business benefit.
However, I'm sympathetic to the idea of re-factoring the schema to distinguish
between the uses of Interval-as-Frequency and Interval-as-Duration (or Offset),
and proposed this recently in response to issue #642 (see
http://www.fpml.org/issues/view.php?id=642, notes #1547 & #1556):
- the "Frequency"
type permits "T" as a value of period; Duration does not (there
may also be some "Frequency" contexts where "T" is not
legitimate)
- Frequency/periodMultiplier
is a strictly positive integer; Duration/periodMultiplier may be positive,
negative, or zero.
Best regards,
Harry McAllister
Fixed Income Architecture
BNP Paribas
+44 (0)20 7595 3416
|
Internet
matthew.d.rawlings@xxxxxxxxxxxx
28/01/2009 11:52
|
|
To
|
Harry MCALLISTER
|
|
cc
|
MGratacos@xxxxxxxx, mark.addison.uk@xxxxxxxxx
|
|
Subject
|
working out which Term the PeriodEnum refers
to
|
|
Hi Harry -
I am working on implementing the FpML date rules. There is just one last big
issue left that I don't understand. The VWG couldn't help either. I am hoping
you can explain it to me.
FpML defines an Interval using a period of type PeriodEnum. One of the values
of PeriodEnum is "T", which is short for "Term". When I see
the Interval contains a Term period I don't know which Term it is. There are
many dozens uses of Interval or a descendant-type of Interval in FpML.
An example is Exercise Period, from the IRD part of FpML.
<xsd:complexType name="ExercisePeriod">
<xsd:annotation>
<xsd:documentation xml:lang="en">This defines the time
interval to the start of the exercise period, i.e. the earliest exercise date,
and the frequency of subsequent exercise dates (if
any).</xsd:documentation>
</xsd:annotation>
<xsd:sequence>
<xsd:element name="earliestExerciseDateTenor"
type="Interval">
<xsd:annotation>
<xsd:documentation xml:lang="en">The time
interval to the first (and possibly only) exercise date in the exercise
period.</xsd:documentation>
</xsd:annotation>
</xsd:element>
<xsd:element name="exerciseFrequency"
type="Interval" minOccurs="0">
<xsd:annotation>
<xsd:documentation xml:lang="en">The
frequency of subsequent exercise dates in the exercise period following the
earliest exercise date. An interval of 1 day should be used to indicate an
American style exercise period.</xsd:documentation>
</xsd:annotation>
</xsd:element>
</xsd:sequence>
<xsd:attribute name="id" type="xsd:ID"/>
</xsd:complexType>
ExercisePeriod contains two elements of type Interval. These each contain a
period that may be a Term. When the period is a Term, which Term is it? How
would I know?
Regards -
Matthew Rawlings
+44 7917 596 827
This
communication is for informational purposes only. It is not intended as an
offer or solicitation for the purchase or sale of any financial instrument or
as an official confirmation of any transaction. All market prices, data and
other information are not warranted as to completeness or accuracy and are
subject to change without notice. Any comments or statements made herein do not
necessarily reflect those of JPMorgan Chase & Co., its subsidiaries and
affiliates. This transmission may contain information that is privileged,
confidential, legally privileged, and/or exempt from disclosure under
applicable law. If you are not the intended recipient, you are hereby notified
that any disclosure, copying, distribution, or use of the information contained
herein (including any reliance thereon) is STRICTLY PROHIBITED. Although this
transmission and any attachments are believed to be free of any virus or other
defect that might affect any computer system into which it is received and
opened, it is the responsibility of the recipient to ensure that it is virus
free and no responsibility is accepted by JPMorgan Chase & Co., its
subsidiaries and affiliates, as applicable, for any loss or damage arising in
any way from its use. If you received this transmission in error, please
immediately contact the sender and destroy the material in its entirety,
whether in electronic or hard copy format. Thank you. Please refer to
http://www.jpmorgan.com/pages/disclosures for disclosures relating to UK legal
entities.
This communication is confidential, may be
privileged and is meant only
for the intended recipient. If you are not the
intended recipient, please
notify the sender by reply and delete the message
from your system.
Any unauthorised dissemination, distribution or
copying hereof is
prohibited.
BNP Paribas Trust Corporation UK Limited, BNP
Paribas UK Limited, BNP
Paribas Commodity Futures Limited, BNP Paribas
Asset Management UK
Limited and Investment Fund Services Limited are
authorised and
regulated by the Financial Services Authority.
BNP Paribas London Branch and BNP Paribas Private
Bank London
Branch are authorised by the CECEI and supervised
by the Commission
Bancaire.
BNP Paribas London Branch is authorised and
subject to limited
regulation by the Financial Services Authority.
Details about the extent
of our authorisation and regulation by the
Financial Services Authority
are available from us on request. BNP Paribas is
also a member of the
London Stock Exchange.
BNP Paribas Private Bank London Branch is subject
to limited regulation
by the Financial Services Authority. Details
about the extent of our
authorisation and regulation by the Financial
Services Authority are
available from us on request.
BNP Paribas Securities Services London Branch is
authorised by the
CECEI and supervised by the AMF, and subject to
limited regulation by
the Financial Services Authority. Details on
the extent of our regulation
by the Financial Services Authority are available
from us on request.
BNP Paribas Securities Services is also a member
of the London Stock
Exchange.
This
communication is for informational purposes only. It is not intended as an
offer or solicitation for the purchase or sale of any financial instrument or
as an official confirmation of any transaction. All market prices, data and
other information are not warranted as to completeness or accuracy and are
subject to change without notice. Any comments or statements made herein do not
necessarily reflect those of JPMorgan Chase & Co., its subsidiaries and
affiliates. This transmission may contain information that is privileged,
confidential, legally privileged, and/or exempt from disclosure under applicable
law. If you are not the intended recipient, you are hereby notified that any
disclosure, copying, distribution, or use of the information contained herein
(including any reliance thereon) is STRICTLY PROHIBITED. Although this
transmission and any attachments are believed to be free of any virus or other
defect that might affect any computer system into which it is received and
opened, it is the responsibility of the recipient to ensure that it is virus
free and no responsibility is accepted by JPMorgan Chase & Co., its
subsidiaries and affiliates, as applicable, for any loss or damage arising in
any way from its use. If you received this transmission in error, please
immediately contact the sender and destroy the material in its entirety,
whether in electronic or hard copy format. Thank you. Please refer to
http://www.jpmorgan.com/pages/disclosures for disclosures relating to UK legal
entities.