Author: Admin

I think ConvertibleBond should extend Bond to add underlyingEquity paymentFrequency and dayCountFraction are present in Bond but omitted from ConvertibleBond for some reason Regards Andrew

Supplement Number 15 to the 2000 ISDA Definitions (see http://www.isda.org/publications/pdf/Supplement-15-to-2000DefinitionsAnnex.pdf) defines the term ?SAS Settlement Day?as a day on which the Reserve Bank of New Zealand? Exchange Settlement Account system is open. In order to reference this business day convention within FpML SwapsWire proposes the addition of the following code to the businessCenterScheme set of … Continued

We would like to use the relativeEffectiveDate field, introduced in 4.2, to model the standard convention for determining the effective date of a USD LIBOR swap, namely: (1) Add 2 London business days to the trade date. (2) Adjust the resulting date to be a valid New York & London business day, using the MODIFIEDFOLLOWING … Continued

Multiple xyzReference data types are synonyms for Reference Examples include PartyReference, SensitivitySetDefinitionReference, … xzyReference data types should be removed All element of type xyzReference should be changed to type Reference

IdentifiedDate and TradeDate are data type synonyms ( as below ) TradeDate should be removed All elements currently of type TradeDate should be changed to type IdentifiedDate ++++++++++++++++++++++++ File locations +++++++++++++++++++++++++++++++++++++ C:cvsrootfpml41srcschema>grep -n ‘name=”IdentifiedDate”‘ *.xsd fpml-shared-4-1.xsd:1015: C:cvsrootfpml41srcschema>grep -n ‘name=”TradeDate”‘ *.xsd fpml-doc-4-1.xsd:418: ++++++++++++++++++++++++ Data type synonyms ++++++++++++++++++++++++++++++ A date which can be referenced elsewhere. The type … Continued

I’ve been looking through the FX portion of the DTD (3.0) and schema (4.0 + 4.1) and there seems to be a problem with the definition of the routingId element. In the examples the routingId elements is used to hold a BIC code for a bank. As such you would expect the qualifying scheme to … Continued

The fpml-enum-4-1.xsd had no declaration of elementFormDefault, attributeFormDefault. I couldn’t think of a reason for not defining that explicitly. So I added elementFormDefault=”qualified” attributeFormDefault=”unqualified” to the schema root element in the enum file. In pr-shared-4-1.xsd the xsd:group QuoteLocation didn’t have the “.model” suffix at the end. I have added it. quotableProduct global element should be … Continued

Some specific suggestions for cleaning up: 1. The enum file should only be included by shared. Every other package sees it through shared. The link from posttrade to enum could be removed. 2. The pr-shared file is not shared with anything. I suggest the name reflects its purpose or usage. 3. “pr” is a taciturn … Continued

Relax schema constraints for Equity Derivatives to support Transaction Supplement without the need to fill out long form elements. Specifically, Swapswire demands that latestExerciseTimeType should be optional within EquityAmericanExercise complex type

methodOfAdjustment element to be made available within the EquityOptionTransactionSupplement complex type. Currently methodOfAdjustment is only available within EquityDerivativeLongFormBase complex type. This is to support interdealer trade confirmation in Europe.