[mgratacos]

I think you would use the optionExercise event since event it is a forward product, you are exercising the option component embedded within it (in case it has it).

Best Regards,
Marc
http://www.tradeheader.com

[mgratacos]

Hello,

No, the tool generates a JSON file from an XML input but it doesn’t generate JSON schemas.

Thanks,
Marc

[mgratacos]

Hi, we would use the same restructuring codes. The fact that you are using the 2003 or the 2014 Definitions would be expressed using the trade/documentation/contractualDefinitions element, with the values ISDA2003Credit or ISDA2014Credit. The available values are defined within https://www.fpml.org/coding-scheme/contractual-definitions-3-7.xml

Hope this helps.

Marc Gratacos
http://www.tradeheader.com

[mgratacos]

In 4.x there was only one product defined to work with the RFQ messages, the FX Quotable Product. If I remember correctly, since there were no pre-trade products being defined for the RFQ process, it was decided not to include the messages.

Best Regards,
Marc

[mgratacos]

Hi, I think that there is no support for RFQ in version 5.x.

Best Regards,
Marc

[mgratacos]

Yes, in the current default implementation of the FpML validator, a schema version is tied to a specific version of the coding schemes. This is not how it should be. However, the validator can be customized and you could potentially change the current defaults and allow a recent version of the floating rate index coding scheme in a 4.7 message.

Best Regards,
Marc

[mgratacos]

Yes, you can. The schema and the coding schemes are technically decoupled so they are not tied to specific versions.

Best Regards,
Marc

[mgratacos]

Hi,

The termination/sizeChange structure allows to provide two notionals with different currencies. It is available in the latest versions of FpML for sure including 5.9-5.11 but let me check when it was first introduced.

Kind Regards,
Marc

[mgratacos]

Hi,

My answers in >>

1) Do we submit both requestConsent to the outgoing and incoming party?
>> I think so. It will depend on the model but both submitting would work.

2) Do we populate requestAction = Novation
>> Yes, however it is not required since the content of the messages will have the novation event.

3) party fields:
– Do we stipulate each party of the transaction and in addition the clearing broker associated to each party (if client trade)
>> Yes, you can define the clearing broker as a role (using the ClearingFirm value) within the partyTradeInformation/relatedParty=”ClearingFirm” structure pointing to the party acting as a clearing broker.

4) firstPeriodStartDate – do I populate the first period start date post novationDate? and if novation date is in the middle of the cashflow period it will be the cashflow period start date before novation date?
>> Yes, that’s right. It will be the cashflow period start date before the novation date.

Thanks,
Marc

[mgratacos]

Hi Andrés,

The product structure for interest rate swaps has not changed much between 4.7 and 5 so it should be a matter of updating the namespaces/version but the product structure should be the same.

Thanks,
Marc

[mgratacos]

Hi Gary,

Yes, your understanding is correct. If you look at the structure in example ird-25:
…

<fxLinkedNotionalSchedule>
<constantNotionalScheduleReference href="notionalScheduleJPY"/>

…

The constantNotionalScheduleReference is actually mentioning the other currency which is located in the other leg:
…

<notionalSchedule id="notionalScheduleJPY">
<notionalStepSchedule>
<initialValue>1000000000</initialValue>
<currency>JPY</currency>
</notionalStepSchedule>
</notionalSchedule>

…

Looking at the schema there is no alternative to this and I don’t think you can express the “other currency amount” without referencing the other leg.

Thanks,
Marc

• This reply was modified 4 years, 8 months ago by mgratacos.
• This reply was modified 4 years, 8 months ago by mgratacos.

[mgratacos]

I created an issue on the FpML issues tracking system: http://www.fpml.org/ticket/1253/

[mgratacos]

I created an issue ticket on the FpML issue tracking system: http://www.fpml.org/ticket/1253/

[mgratacos]

Hi,

As initial step, my recommendation would be to look at the existing FpML Master Schema. The Master Schema is available in each FpML version. If you look at the latest one, FpML 5.10, it is available at: http://www.fpml.org/spec/fpml-5-10-5-rec-1/ (See Master Schema section)

See also papers on:
Master Schema – http://www.fpml.org/asset/00055fe7/aa489144.doc
FpML View Generation Syntax – http://www.fpml.org/asset/06e6a9e0/7ebf758f.doc

Best Regards,
Marc

[mgratacos]

Hi Glen,

Either you extend the Non Derivatives extension and add the Yield or you use the “new” FpML instrumentTradeDetails product to represent them. If you use intrumentTradeDetails, you can use the pricing/quote structure to represent different types of prices. The quote structure is a pair-value definition so it allows you to define the actual value in quote/value and the type of measure in the quote/measureType. The FpML defined measureTypes are available at: http://www.fpml.org/coding-scheme/asset-measure-5-5.xml

Best Regards,
Marc

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