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Attached is a proposal for changes to support digital Caps and Floors. Included in the zip file are : – Proposal Document – Amended schema (fpml-ird-4-5.xsd). – Example instance document.

Attached is a proposal for changes to support digital Caps and Floors. Included in the zip file are : – Proposal Document – Amended schema (fpml-ird-4-5.xsd). – Example instance document.

We have an unprecedented scenario in the marketplace with US Treasury rates dropping into negative territory. I request verification whether or not firms will have an issue. Cashflows reverse in reality but not necessarily in IBML/FpML encoding nor in application code. Cashflow direction is primarily modeled as a unidirectional flow based upon the designation of … Continued

Given the current market conditions, we expect to hit zero or negative interest rate situations. Just wanted to give a heads up to make sure that we look for places where this could cause an issue – so far I have only seen ird-25 rule, which currently applies to fixedRateSchedule ( when there are no … Continued

The precise description of shared-9 should be: ” iff(not exists(businessCentersReference|businessCenters), businessDayConvention = (“NONE”, “NotApplicable”)) “

shared-1 rule is: ” iff(exist businessCentersReference or businessCenters, businessDayConvention ne “NONE” or “NotApplicable”) ” This is illegal XPath. The rule should be: ” iff(exists(businessCentersReference|businessCenters), not(businessDayConvention = (“NONE”, “NotApplicable”))) “

Many of the Validation Examples are schema invalid. It looks like a problem with masterAgreementVersion under masterAgreement. This is in the validation-rules branch. The warnings I get from XML Spy are: File C:workingganny-wsvalidation-rulessrcvalidationexamplesvalid-testcasesvalid-cd-1-01.xml is not valid. Element is not allowed under element . Reason: The following elements are expected at this location (see below) Annotations … Continued

Please add the following for the ISDA1999Creditr precise description of the PreCondition: ” some $document in (//element(*, Trade)|//element(*, Contract))/documentation/(contractualDefinitions|masterConfirmation/masterConfirmationType) satisfies contains($document, “ISDA1999Credit”) “

The rule today: ” iff(exist weeklyRollConvention, period = “W”) ” The correct rule: ” iff(exist weeklyRollConvention, period eq “W”) “

The rule is currently: ” rollConvention ne (“NONE”, “SFE”, “MON”, “TUE”, “WED”, “THU”, “FRI”, “SAT”,”SUN”) ” The rule should be: ” not(rollConvention = (“NONE”, “SFE”, “MON”, “TUE”, “WED”, “THU”, “FRI”, “SAT”,”SUN”)) “