The following additions have been implemented since FpML 4.6 build:
- Commodity Derivatives:
- Added an optional totalPrice element to the Commodity Fixed Price model group.
- Added commodity product type values to the "ProductTypeSimple" scheme.
- Added support for additional commodity swap legs and commodity forward legs as an extension point in Commodity Swap and Commodity Forward respectively.
- Credit Derivatives:
- Added support for Implied Writedown Credit Event and Floating Rate Payment Event in order to support CDS on CDO.
- Equity Derivatives:
- Added Support for:
- EU (Interdealer) Share Swap
- ISDA Hedging Party
- Forward Starting / Strike Date
- Initial Price Election
- Linear Interpolation
- Composition of Dividends
- Treatment of Non-cash Dividends
- Dividend Settlement Currency
- Break Fee Election / Break Fee Rate
- Treatment of Non-cash Dividends
- “ISDA2009EquityEuropean” value to the "MasterConfirmationAnnexType” scheme
- Pan-Asia (Interdealer) Share Swap
- ISDA Hedging Party
- Determining Party
- Break Fee Election / Break Fee Rate
- Dividend Payment Date
- Added “ISDA2009EquityPanAsia” value to the "MasterConfirmationType” scheme
- Added “SDA2009ShareSwapPanAsia” value to the "MasterConfirmationAnnexType” scheme
- Added settlement price default election to fully support the 2009 AEJ Closed Markets MCA.
- Added support for Multiple Exchange Annex ( MEA ) II.
- Interest Rate Derivatives:
- Added an optional Future Value Notional structure to support Brazilian CDI swaps.
- Restricted the notional step schedule by making the initial- and step-Values non-negative.
- Cross-asset changes:
- Split the PeriodEnum enumeration into two separate enumerations, one containing the value 'T' for Term, named PeriodExtendedEnum, and another without the value 'T', named PeriodEnum. Replaced the Interval complex type by two new complex types: Frequency and Period. Period contains a period element of type PeriodEnum while Frequency contains a period element of type PeriodExtendedEnum. Elements of type Interval are now of type Frequency or type Period depending on the applicable business values.
- Added id attribute to UnderlyingAsset Currency. Rationale: Sometimes the referenced currency (e.g. the dividend payment currency) can be the underlyer's currency, therefore, the target "currency" element needs to contain an id attribute.
- Coding Schemes:
- The following schemes have been added:
- MultipleExchangeAnnex
- SettlementPriceDefaultElection
- The following schemes have been updated:
- MasterConfirmationType
- MasterConfirmationAnnexType
- ProductTypeSimple
- DeterminationMethod