An additional code value is needed to support JPY inflation swaps referencing the Japan CPI. The Japan CPI was rebased in 2006 (see footnote 2 to the Bank of Japan article http://www.boj.or.jp/en/type/release/teiki/tenbo/gor0610.htm – also copied below for convenience) “In August 2006, the CPI was rebased from a 2000 base to a 2005 base, and year-on-year … Continued
‘fpml-credit-event-notification-5-0.xsd’ is limited to the reporting view, is listed as src-include in the Confirmation view of ‘fpml-shared-5-0.xsd’
5.0 Equity Swaps examples fail to pass validation. The problem seems to be in xsd:group name=”CurrencyAndDeterminationMethod.model”. The currency element is of type Currency instead of Identified Currency. This makes that references to this currency element fail to validate since there is no id attribute within it. One of the examples failing validation is eqs-ex01-single-underlyer-execution-long-form.xml
indexFactor element is missing in fpml-cd-5-0.xsd
empty sequence in fpml-asset-5.0.xsd lines 1159
We are working on a FTP drop of FpML formatted contract messages and have an issue with more than one FpML document in a single file due to multiple declarations of the same party (i.e. the partyid=”party1″ appears more than once in the file). Is there a recommended way to handle batch transfer of contract … Continued
The values used in commodity-reference-price-1-0.xml for Codes use a string and not a code value: e.g. “COCOA-GBP-EURONEXT LIFFE” and “BENZENE-CONTRACT BENZENE (FOB USGC/GAL)-GALLON-B&D” Ditto: floating-rate-index-2-1.xml: “CAD-ISDA-Swap Rate” commodity-business-calendar-2-2.xml: “BM&F” – possibly others. Is there a technical justification for departure from a Code? I can see our internal infrastructure needing major surgery to cater for this. … Continued
fpml-com-5-0.xsd line 440 reads : please correct the spelling of SequencedDisruptionFallback
Between FpML 4.2 and 4.3 two additional optional elements where added to ExerciseProcedure to support bond options namely limitedRightToConfirm and splitTicket. The new elements appear as valid content within the Swaption product even though they are not appropriate. I would like to use the original portion of this class in the refactored 5.0 FX products … Continued
The definition of the asian option features allows ‘averagingInOut’ code to be specified independently of the associated periods. It is possible to define that the option has ‘averagingIn’ whilst only providing a period for averaging out. Whilst this could be prevented by the definition of a business rule as few implementations actually check business rules … Continued