[mgratacos]

Hello, I don’t think this is well defined as part of the standard. I’d personally suggest using MIC codes. I believe other standards such as FIX recommend MIC codes too. Regards, Marc

[mgratacos]

Hello, I don’t have a solution for you. The problem with code generators is that they are tightly coupled with the namespace so you’ll need to duplicate the code. No, an FpML 4.6 instance won’t validate against an FpML 5.0 Schema. FpML 5.0 doesn’t keep backward compatibility with previous 4.x versions. The product representations are very similar but still there, there are some differences between them. Hope this helps. Regards, Marc

[mgratacos]

Dear Tamar, That is correct. Rules in version 5 reporting would depend on your implementation and the data constraints that you apply in it. Regards, Marc

[mgratacos]

Yes, that’s right.

[mgratacos]

Hi Andy, Yes, there are people using FpML over an unordered transport. In version 5.0, a new element called sequenceNumber was introduced to solve the problem you are describing, which is still present in the 4.x versions. Kind Regards, Marc

[mgratacos]

Hi Etai, I don’t think the frequency information provided by FpML is enough to say that 1 Week is multiple of 6 Months. I think it would depend on the calendar data or system’s implementation of the frequencies to calculate that. Regards, Marc

[mgratacos]

Hi Harkik, JAXB used to have problems supporting XML Schema type substitution and that’s probably why it’s not generating the classes. I thought these were solved but it seems that version 2.0 still has the problem. Could you use a different binding tool like XMLBeans or NetBeans for your project? They support type substitution fine. Regards, Marc

[mgratacos]

Hi Jon, I don’t think there is any for the identifier. You could use the name of the valuation set, used to understand what it means. E.g., “EOD Values and Risks for Party A”. Regards, Marc

[mgratacos]

Could you please review the dates of your example? specifically the maturity date. Thanks, Marc

[mgratacos]

The compoundingMethod (Flat, Straight, SpreadExclusive) refers to the treatment of the component of the accrued interest amount attributable to the spread (floating rate margin). It is assumed that the remaining interest amount is always reinvested (i.e. increments the notional). Could you send an example of the trade you’re describing? Thanks, Marc

[mgratacos]

Compounding is expressed by comparing the calculation frequency against the payment frequency. Calculation frequency: … calculationPeriodFrequency> periodMultiplier>3/periodMultiplier> period>M/period> rollConvention>27/rollConvention> /calculationPeriodFrequency> … Payment frequency: … paymentFrequency> periodMultiplier>6/periodMultiplier> period>M/period> /paymentFrequency> … So there is compounding since we calculate every three months but pay every six.

[mgratacos]

When we developed support for various exotic options in 2001 (like digitals), we didnt specifically differentiate between discrete and continuous options. What we did was supply a start and end date (observationStartDate and observationEndDate within fxAmericanTrigger), and then based upon the information source, this would determine whether the frequency of observation, during a day. That being said, it might be appropriate to specifically designate a discrete or continuous observation period within FpML, to more clearly describe this condition. Rick Schumacher (ex-chair of the FpML FX Working Group)

[mgratacos]

Hi Tracey, Please take a look at section 3.3.12 of the specifications http://www.fpml.org/spec/fpml-4-8-3-tr-1/html/index.html Let me know if you have any questions. Kind regards, Marc

[mgratacos]

Hi Matt, We checked with Harry McAllister, chair of the Interest Rates Working Group. This is the answer he gave us: A swap on an OIS rate spanning a term in excess of a year, with annual accrual and payment frequencies, is represented in much the same way as any other swap with the same characteristics; I would expect to see calculation, payment & reset frequencies as: 1Y , 1Y, 1Y (reverting to 1D would be inconsistent with the established use of 1T in the single-period case). Note that fixing against an OIS index occurs in arrears, so resetDates would have resetRelativeTo = ‘CalculationPeriodEndDate’. The notes in the examples section of the spec (1.8 Example 7 – Fixed/Floating OIS Swap) explain why the reset frequency is not 1D: The floating rate reset date is the last day of the calculation period. The ISDA definition of the OIS floating rate index provides for the compounding of the overnight deposit rates to occur in the process of arriving at the floating rate. There is no need to specify compounding of the rate separately, i.e. calculationPeriodFrequency and paymentFrequency are the same and no compoundingMethod is specified

[mgratacos]

Hi, Are you trying to represent the cashflow alone? or the cashflow within the FX product? 1. If you are trying to represent the cashflow alone then yes, the bulletPayment works and there is no issue on the fact that the bulletPayment is defined within the IRD files. This is completely arbitrary since the product was developed by the IR Working Group but it can be used to represent multiple types of payments for multiple products. 2. Not sure what FX deals you are working on. Let’s say that with FX Spots. You could use the exchangeCurrency1 and exchangeCurrency2 structures filling out all details of the payments (payment dates, types, etc.). Regards, Marc

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