Author: philipleach

Attached is a proposal for changes to support digital Caps and Floors. Included in the zip file are : – Proposal Document – Amended schema (fpml-ird-4-5.xsd). – Example instance document.

Attached is a proposal for changes to support digital Caps and Floors. Included in the zip file are : – Proposal Document – Amended schema (fpml-ird-4-5.xsd). – Example instance document.

Given that the interpolationMethod element is mandatory within inflationRateCalculation there is currently no way of specifing cases where no interpolation applies. I suggest adding a value of “None”. None FpML No Interpolation applicable

Attached is a proposal to bring the FpML FRA model into line with the ISDA 2006 Definitions.

The 2006 ISDA Inflation Derivatives Definitions define the concept of a Fallback Bond in addition to a Related Bond and more crucially the ability for Fallback Bond: Not applicable to be specified in the confirmation. As of the latest working draft (July 30th 2007) this is not supported in FpML 4.3. Details are in the … Continued

A value of “ISDA2006Inflation” is required to refer to the “2006 ISDA Inflation Derivatives Definitions”