The FpML Sec WG agreed with the following per leg approach: o BuyerAndSeller.model per Leg: – Annotate the farLeg element with the rule already on the FarRepoTransactionLeg type. – Change the BuyerSeller.model annotation in the RepoTransactionLeg type to “References to the buyer and seller of this leg of the repo contract.” AND – Specify new … Continued
The feeTrade element was added to the FpML schema to support regulatory reporting of novations. It plays no part in the confirm view of novation and should be excluded from schema during its generation. Versions of FpML back to 5.5 should be checked and corrected.
The documentation on the feeTrade element in FeeTrade.model … “Indicates the original trade between the transferor and the remaining party.” … appears to have been copied from oldTrade (in OldTrade.model). It should be corrected to something like.: “Indicates the trade for which a novation fee payment is being made between the transferee and transferor.” Versions … Continued
In some trades, we’ve seen dividend swaps with a dividendLeg/dividendPeriod/fixedStrike equal to 0. Making the fixedStrike as a PositiveDecimal is too strict. It should be changed to NonNegativeDecimal.
I’ve just noticed in a diff of 5-6 and 5-7-4 that the Party complex type has changed to allow joint and several party references instead of party content. 1. Where is the documentation on the change, and the proposal for it ? 2. What are the use cases for it ? 3. What alternate models … Continued
There are two problems with this example 1. In the fixed leg the calculationPeriodFrequency/rollConvention has been set to NONE. To be consistent with the effective and termination dates (and the floating leg) it should be ’22’. 2. The fixed leg as been defined as 3% calculated annually for 30 years but this means there is … Continued
Documentation pages like “fpml-5-7-intro.html” have a table of contents where the numbering and linking of the table of contents is out of sync, starting at 6 CROSS-ASSET PRODUCT ARCHITECTURE, which should like to #s5.
I think the documentation for net and gross is backwards. Surely net excludes, and gross includes fees & commissions.
Supplement No. 22 to the 2006 ISDA Definitions, published July 2010, provides for the addition of a new Section 7.1(r)(iii) containing definitions for the PLN-POLONIA-OIS-COMPOUND rate. Please see http://www.isda.org/publications/pdf/Supplement-No-22-to-2006Defs.pdf for the full supplement. As a result a new value needs to be added to the floating-rate-index scheme: Value: PLN-POLONIA-OIS-COMPOUND Source: ISDA Description: Per 2006 ISDA … Continued
Capitalise the initial F ! I think the [ecore:reference=”floatingRateCalculation”] should be [ecore:reference=”FloatingRateCalculation”] in order to refer to the type, rather than the element.