FpML Issues Tracker
closed
Major
Always
Modeling Task Force
Admin
mgratacos
Summary
Modeling change recommendation: As part of FX rate structuring, attempt to make rate observation representation for FX and IRD consistent.
closed
Major
Always
Modeling Task Force
Admin
mgratacos
Modeling change recommendation: As part of FX rate structuring, attempt to make rate observation representation for FX and IRD consistent.
Notes:
iyermakova
12/07/07 9:05 pm
Reviewed at Modeling Task Force on 11/30/2007. Assigned to FX
iyermakova
11/11/10 8:01 pm
11-11-2010 FX WG reviewed the issue.
– FX WG awaits for Harry McAllister’s proposal to redesign the observed rate model
FX WG will revisit the issue after the redesigned observed rate model is reviewed by the FX WG.
Harry commented that it might be too late to make rate observation representation for FX and IRD consistent for FpML 5.x
h_mcallister
11/12/10 4:16 pm
I think what I said on the FX WG call was:
– the IRD RateObservation is over-featured with respect to the Fx requirement, so not appropriate for direct re-use in the Fx context
– the Fx and IRD models might be made consistent to the extent of factoring out common properties into a base type, from which Fx and IRD rate observations could be specialised
– this work might not be a high priority for 5-1
iyermakova
12/15/10 2:39 pm
12-09-2010 FX WG reviewed the issue. Andrew Jacobs commented that it is unlikely that any refactoring would happen in the IRD area. The issue can be closed and feedback can be passed to BP WG.
mgratacos
02/24/20 11:34 am
AWG 2020-02-20