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

Marc -

Where "T" is applicable, please add a column to record the XPath to the start of the term and the end of the term. That way we'll know which term is being referred to.


Matthew +44 7917 596 827


-----Original Message-----
From: valwg@xxxxxxxx [mailto:valwg@xxxxxxxx] On Behalf Of Marc Gratacos
Sent: 30 April 2009 16:53
To: coord@xxxxxxxx
Cc: valwg@xxxxxxxx
Subject: FpML-VAL RE: [fpml-coord] Frequency vs. Offset

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
>
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--

Christian Nentwich

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

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