Author: h_mcallister

Model group Price.model defined in fpml-com has members priceCurrency and priceUnit, annotated as: The [currency|unit of measure] used to specify the digital barrier in terms of a price per unit of commodity. Price.model is referenced as a component of complex type FixedPrice, which is the underlying type of commodityDigitalOption/digital/trigger/levelPrice. However FixedPrice is used in a … Continued

The structure of MandatoryEarlyTermination.model is incorrectly generated in FpML-5-11/recordkeeping view (build 7). The model published in the Recommendation permits a strict choice of (mandatoryEarlyTerminationDateTenor|mandatoryEarlyTermination), whereas these elements were independently optional at previous versions of FpML-5/recordkeeping. The content model under confirmation view is an at-least-one-of choice. This has been adopted for OptionalEarlyTermination.model at 5-11; the same needs … Continued

Support for “trade packages” was introduced at FpML 5-7. The PackageSummary type (instantiated as tradeHeader/originatingPackage) continues to have no annotation for any of its content (child elements). This should be remediated retrospectively for all versions from 5-7 onward. FpML should not accept content for integration in the Standard without appropriate schema documentation (at minimum, meaningful annotation for … Continued

Floating rate cashflow calculation periods may include historical rate observations by means of the floatingRateDefinition/rateObservation component (optional, unbounded). RateObservation includes a observationWeight element, annotated as (my emphasis): The number of days weighting to be associated with the rate observation, i.e. the number of days such rate is in effect. This is applicable in the case of a … Continued

Code value “Percentage” in price-quote-units scheme has description: “A percentage values (sic) expressed as a decimal, i.e. .05 means 5%.” Contrast with “Rate”, documented as: “A yield (typically an interest rate) expressed as a decimal. I.e. 0.05 means 5%.” The Rate definition is consistent with the FpML convention of representing rates as absolute values (so … Continued

Location: Online documentation/FpML Schemes/Section 6 External Scheme definitions/6.204 partyIdScheme The canonical Scheme Identification for partyIdScheme is documented as URI http://www.fpml.org/coding-scheme/external/iso9362 (BIC Code). This is long superseded – the canonical URI should be http://www.fpml.org/coding-scheme/external/iso17442 (LEI) The Alternate Scheme URI http://www.fpml.org/coding-scheme/external/iso10383 is documented (insufficiently) as “For a Trading Venue”. The documentation should make clear that this is … Continued