FpML Discussion

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    Hi Could someone please assist in explaining how to use the product taxomonies. I believe that i need to use this as i need granular level of the products and not just “SWAP” or “Credit Default Swap”. For an credit trade i need to be able to define whether it is a swap or index, is there a simple way to do this without having to do a combination of the Base product and Sub Product fields. Ideally i dont want to use the product code field as then i need to map each one of the options. from the file coud someone assist in advising what would be populated in each fo the following FPML Fields regards


    Averil – thanks for submitting this question. These fields are part of the base Product model (available in all products) and are defined in the schema within the reusable Product.model group. See Note that these are all optional fields and you would use what makes sense for your situation. A classification of the most important risk class of the trade. choose from values defined by the FpML assetClass coding scheme A classification of additional risk classes of the trade, if any. Draw values from the same assetClass scheme. Populate this field with the type of product using the ISDA taxonomy code published at >A product reference identifier. This element is deprecated in favor of the primaryAssetClass. Onto your specific question, how about: Credit Credit:SingleName:ABS:CDSonCDO For an index, you might have Credit Credit:Index:LCDX:LCDX (took these sample values from the FpML product taxonomy scheme based on the published ISDA OTC Derivatives Taxonomies.) Hope this helps. Let me know if you have any additional questions. Regards, Lyteck ISDA

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