FpML-VAL Re: [fpml-coord] Frequency vs. Offset

[Christian Nentwich <christian@xxxxxxxxxxxxxxxx>]

Marc,

this spreadsheet looks very useful. Recalling discussions in the 
MTF/ValWG, I would recommend that perhaps the working groups could make 
a note of whether "T" is applicable for every row in the spreadsheet.

This is because while offsets may not be terms, some frequencies should 
not be either. I cannot think of a case where "T" makes sense for 
indexTenor, for example.

Christian
p.s. also, should earliestExerciseDateTenor be an offset?

Marc Gratacos wrote:
> As requested, Irina and I put together a spreadsheet (see attached) 
> identifying the elements/types using the Period type. Currently the 
> Period type is being used for two different situations:
>  
> 1. A frequency like calculation or reset frequency is expressed
> 2. An offset is expressed.
>  
> The period 'T' (term) is only meaningful for frequencies so the idea 
> would be to have two separate enumerations for frequencies and 
> offsets, one with the value T and the other without it.
>  
> It would be good if the chairs of the WGs can take a look at the 
> elements and make sure that we made the distinction between offset and 
> frequency correctly.
>  
> Let us know if you have any comments.
>  
> Marc
>
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--

Christian Nentwich

Director, Model Two Zero Ltd.
+44-(0)7747-061302
http://www.modeltwozero.com

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