Hello,
FPML uses Oasis Generic Code Lists (gcl) to define standard coding schemes.
We would like to extend some FPML coding schemes for the internal use without necessarily creating a new scheme or a basic enumerator.
For example, our internal FX Option quote representation can utilize delta, gamma, vega (all supported by FPML <assetMeasureScheme>) and volatility smile (not supported).
It would be good to see a working example of extending <assetMeasureScheme> (or any other coding scheme) to represent additional values in the context of Oasis GCL tabular format, such as:
<MyExtension>
…
<Row>
<Value><SimpleValue>Volatility Smile</SimpleValue></Value>
<Value><SimpleValue>MyCompanyML</SimpleValue></Value>
<Value><SimpleValue>Implied volatility for a series of options that has the same expiration date</SimpleValue></Value>
</Row>
</MyExtension>
Thanks,
Dmitriy
