Sensitivities are reported in sensitivity sets as follows: 119 120 This meets the Pricing and Risk group’s requirements of display the sensitivity in graphs, but is insufficient for processing – the name attribute needs microparsing and its content is unconstrained.
The enumerations in this type have some copy and paste left in them – the last four treatment methods need to have the proper documentation added (or at least the wrong one removed).
The start date of an initial stub can be identified in two separate places 1) swapstream.stubCalculationPeriodAmount.initalStub 2) swapstream.calculationPeriodDates.firstPeriodStartDate This is an issue because both fields identify the same information and they can conflict with each other. If this is the case, please advise me which element to use and what is the purpose of both … Continued
In the FpML 4.2 TR 8th May 2006 there are two Readme files in the xml directory of the downloadable zip. “Readme” is for the LCWD release “Readme.txt” is for the TR release Correct behaviour is for all files to have the “.txt” file name extension. Correct behaviour is for only the one readme to … Continued
Within the FpML issues, FpML 4.2 Trial Recommendation 8th May 2006, is missing from the “Product Version” dropdown. Add this version to the list of issues.
DTCC DerivSERV clients have expressed the need for an additional Business Center value representing Dsseldorf, Germany. Currently, “DEFR – Frankfurt” is the only German location. The proposal is to add a new scheme value of “DEDU – Dsseldorf” to the current Business Center scheme, http://www.fpml.org/coding-scheme/business-center, in the next release of FpML 4.2. Regards, Henri Pegeron: … Continued
Where an entity trades with itself – what is the sequence of messages to issue? Does the booking entity issue one trade message or two in the FpML Trade Sequence?
Provide a link of type PartyReference from the Beneficiary, Correspondent, and Intermediary to their Parties. CHASUS33 ABNANL2A 1 ABNANL2A
Please add the depository to the settlement instructions as a reference to a Party. An example with fx_ex09_euro_opt.xml: CHASUS33 ABNANL2A CHASUS33 CHASE ABNANL2A ABN Amro KSDCKRSE Korea Securities Depository
The rule refers to referencePrice, which is in ReferenceInformation, not in ReferenceObligation.