[mgratacos]

Amit, Take a look at the example ird-ex05-long-stub-swap.xml of the specifications (interest-rate-derivatives folder). It shows the representation of an initial and final stub. In terms of dates, the data points that need to be considered in order to define the stub periods are: [firstPeriodStartDate, firstRegularPeriodStartDate] will define the initial stub, and [lastRegularPeriodEndDate, terminationDate] will define the final stub. If the firstPeriodStartDate is the same as the effectiveDate, the effectiveDate will be populated instead of the firstPeriodStartDate. In that case, [effectiveDate, firstRegularPeriodStartDate] will define the initial stub, and [lastRegularPeriodEndDate, terminationDate] will define the final stub. In terms of stub amounts, the stubCalculationPeriodAmount defines how the rates will be defined for the initial and final stubs. Hope this helps. Kind regards, Marc

[mgratacos]

Hi Benoit, We don’t have explicit support for Bond Forwards in FpML. In theory, the Forward schema supports it or it’s the closer thing to it by using the bond underlyer as you mention but it hasn’t been validated by a business working group so I cannot answer you whether there are missing data elements or too many in order to represent a Bond Forward. Have you done the analysis yourself? Kind Regards, Marc

[mgratacos]

Hi Amit, You need to use the node for both. In FpML the recipient of the message needs to calculate the duration of the stub and compare it against the duration of a regular period in order to know whether it’s short or long. There is a short/long field available, in CalculationPeriodDates/stubPeriodType (values of StubPeriodTypeEnum = {ShortInitial, ShortFinal, Longinitial, LongFinal}) but it doesn’t support initial and final stubs at the same time. Hope this helps. Marc

[mgratacos]

Hi Amit, There is an example of a zero coupon swap in the current specifications. If you look at version 4.6, there is an interest rate derivatives folder containing the ird-ex32-zero-coupon-swap.xml example. Example that shows a zero coupon swap with the following characteristics: * Floating vs fixed interest streams * Single term payment on both streams at termination date * Periodic compounding allowed on the floating rate stream * Periodic compounding also allowed on the fixed rate stream It is also available online at: http://www.fpml.org/spec/fpml-4-6-3-wd-3/xml/interest-rate-derivatives/ird-ex32-zero-coupon-swap.xml Best regards, Marc

[mgratacos]

Happy to take a look at it. Kind Regards, Marc

[mgratacos]

Hi Ana, Corporate action is not available. There are a set of extensions available on the FpML website http://www.fpml.org/documents/extensions.html, which would cover some of the products you are listing (e.g. repos). FpML has a bulletPayment product, which I think corresponds to your Simple Transfer. There is also a deposit product. You could create some extensions to include what FpML or the extensions don’t cover. Let me know if you need some guidance on that. Kind Regards, Marc

[mgratacos]

If the notional amount of the original transaction was 100, would the notional amounts between A and CCP and B and CCP be 50 each? Thanks, Marc

[mgratacos]

Hi Paul, We don’t have any additional coverage for the moment. We’ll probably update the extensions to reference FpML version 4.5. If you want to submit a proposal to cover FRNs, happy to add it as part of the extensions. Thanks, Marc

[mgratacos]

Hi Arpit, I think you’ll need an extension at that level to be able to represent the payoff. Thanks, Marc

[mgratacos]

Hi, Did you you look at the spreadSchedule structure within FloatingRateCalculation complex type? Thanks, Marc

[mgratacos]

Hi, Currently there are no plans to include exchange traded derivatives as part of official FpML Specification. We’ll look into upgrading the extensions to use FpML 4.5. However, it shouldn’t be very difficult to do that yourself since it should be a matter of referencing the 4.5 schemas instead of 4.3. The upgrade shouldn’t affect the extensions. Kind regards, Marc

[mgratacos]

Hi Amit, Can you represent them using the capRateSchedule and the floorRateSchedule? Best regards, Marc

[mgratacos]

Dear Miloud, FpML currently doesn’t support FVAs on swaptions and we haven’t received a proposal so far but we are happy to consider one to include it as part of the standard. Best regards, Marc

[mgratacos]

Dear Miloud, I don’t think FpML supports digital payouts on caps/floors. However, I’d think that only a simple extension with a an element to indicate that the payout is digital would be necessary in this case since the additionalPayment structures would allow you to represent the r’ Best regards, Marc

[mgratacos]

See below response from Rick Schumacher, chair of the FX Working Group: I quickly looked at the FX Digital Option specification. I believe we have provisions to allow for more than one trigger, but we never did anything to differentiate between AND and OR conditions. (You can have multiple triggers and then have trigger values like TOUCH or NOTOUCH.) Examples 18 and 19 from the spec offer some examples. These essentially are AND conditions. An extension might be warranted to support this, but it would have to be fully analyzed. Rick ——————————————————————————– From: Marc Gratacos Sent: Tuesday, February 03, 2009 1:10 PM To: Rick Schumacher Subject: Questions of FX Options Hi Rick, I got a question on the forum and I need your help. See question below: [quote] ut08x4 wrote: FXDigitalOption and Range digitalOption Hi all, can someone tell me how to create a range digital option where the pay-off is equal to the notional when fixingAtMaturity is higher than B1 AND lower than B2? Is it OK to create an FxDigitalOption with two FxEuropeanTrigger? FxEuropeanTrigger(1): triggerCondition = Above, triggerRate = B1,… FxEuropeanTrigger(2): triggerCondition = Below, triggerRate = B2,… The second question is then, how to create a range digital option where the pay-off is equal to the notional when fixingAtMaturity is lower than B1 OR higher than B2[/quote] Rick, My understanding is that the fx digital option works as an ‘OR’ operator for all triggers, so if one gets hit, there is a payout. Should I recommend him to extend FpML if they need to include the ‘AND’ operator?? Thanks in advance, Marc

[Author]

Posts