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General FpML Discussion Technical & Implementation Questions Commodity derivatives – period definitions

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    paultabor1
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    At Standard Bank, we’re using FpML to send commodity derivative messages from Murex to our Credit Risk System, Adaptiv. We’re using FpML 4.5.1 as a base for defining messages. We need to provide Adaptiv with a non-parametric representation of each commodity swap or commodity option’s calculation periods and fx calculation periods. Adaptiv requires both the start and end date of each calculation period and fx calculation period. To represent calculation periods, FpML supports the specification of a set of unadjusted dates, each representing the start date of a period. However, we’ve found that this isn’t sufficient to describe the data we require as the end date may be either the same as the start date, one day before the end date, or possibly a fixed number of business days after the start date. There are also some trades where one leg has calculation periods which do not match the other leg, so the rules for each leg is different. We’ve therefore concluded that we need to explicitly state the start and end date of each period. To represent fx calculation periods, FpML supports the specification of a set of unadjusted dates in each period, when observations will be made, but doesnt appear to make provision for the actual start and end date of each period – which may not be the same as the first and last observation dates. We have extended the schema as follows, and would appreciate any thoughts or comments on these extensions. [img align=left]http://www.fpml.org/dev/uploads/img4c18f209612a4.jpg[/img][img align=left]http://www.fpml.org/dev/uploads/img4c18f23c3076e.jpg[/img] Many thanks Paul

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