Christian, Thank you, very good points. I added a column to indicate whether "T" is applicable. Need help from the WG to fill it out. ________________________________________ From: coord@xxxxxxxx [coord@xxxxxxxx] On Behalf Of Christian Nentwich [christian@xxxxxxxxxxxxxxxx] Sent: Thursday, April 30, 2009 5:25 PM To: coord@xxxxxxxx Cc: valwg@xxxxxxxx Subject: Re: [fpml-coord] Frequency vs. Offset 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 > > ------------------------------------------------------------------------ > The information contained in either this email and, if applicable, the > attachment, are confidential and are intended only for the recipient. > The contents of either the email or the attachment may not be > disclosed or used by anyone other than the addressee. If you are not > the intended recipient(s), any use, disclosure, copying, or > distribution is prohibited and may be unlawful. If you have received > this communication in error, please notify us by e-mail at > isda@xxxxxxxx <mailto:isda@xxxxxxxx> then delete the e-mail and all > attachments and any copies thereof. This communication is part of an > ISDA process and is not intended for unauthorized use or distribution. -- Christian Nentwich Director, Model Two Zero Ltd. +44-(0)7747-061302 http://www.modeltwozero.com ------------------------------------------------------------------------------- To unsubscribe: Email majordomo@xxxxxxxx with a blank subject line In the body include the line: unsubscribe coord youremail@address To view archives: http://www.fpml.org/_wgmail/_coordmail/threads.html The information contained in either this email and, if applicable, the attachment, are confidential and are intended only for the recipient. The contents of either the email or the attachment may not be disclosed or used by anyone other than the addressee. If you are not the intended recipient(s), any use, disclosure, copying, or distribution is prohibited and may be unlawful. If you have received this communication in error, please notify us by e-mail at isda@xxxxxxxx <mailto:isda@xxxxxxxx> then delete the e-mail and all attachments and any copies thereof. This communication is part of an ISDA process and is not intended for unauthorized use or distribution.
Attachment:
PeriodEnum.xls
Description: PeriodEnum.xls