Good day. I have the following questions about the scheme equityOption: 1) why is the notional element not mandatory according to this scheme? The reason for this is that we can calculate it due to the presence of other elements, for example: strikePrice, numberOfOptions, optionEntitlement ? 2) can a notional element be present in … Continued
We have been asked internally to provide a way to represent the Gibralter business calendar for a given set of trades. From a bit of digging Gibralter aligns with the UK holiday calendar in the main, but has some additional local holidays, which need to be considered for these trades. I see that Gibralter is … Continued
The ISO 3166-2 code of Guatemala is GT. In fact, GU is assigned to a different country, Guam. The code should read GTGC.
Good day, I have the following question regarding the calculation agent in the CreditDefaultSwap scheme. As you know, starting with ISDA 1999 and ending in 2014, the term calculationAgent, which takes part in many important processes, was often referred to. In FpML version 5.12 (confirmation), there is no such element for creditDefaultSwap. In contrast, … Continued
The annotations of the enumerated values for SettlementTypeEnum are option specific but the type is being used in the future underlyer, productSummary, and the genericProduct. Should we update the annotations to make them more generic or have a more specialized type that is not option specific? “Cash”: The intrinsic value of the option will be … Continued
DTCC has told us that we should direct this inquiry to “ISDA / FpML” . The issue is with reporting PPD messages to the DTCC for rates trades that have an amortization schedule. With the latest UPI implementation , DTCC will be adding additional validation rules on PPD messages that the FpML scheme for “transparency” … Continued
Good afternoon, I have a question about the FloatingRate.model section, which is located in the floatingRateCalculation section. 1) Do I understand correctly that this section is used to explicitly provide information about what actually happened with the reference rates, i.e. to provide clear dates and rate values for these dates that were previously provided … Continued
Hello, could you please clarify how the knownAmountSchedule section will be represented for the Cross Currency fixed/floating IR Swap instrument? Do I understand correctly that for such an instrument, the <step> section inside <knownAmountSchedule> should be applied. For example I expect the following representation: <knownAmountSchedule> <initialValue>1000000</initialValue> <step> <stepDate>2023-09-05</stepDate> <stepValue>1500000</stepValue> </step> <currency>EUR</currency> </knownAmountSchedule> where <initialValue> will … Continued
Guy Gurden requested on XAPWG mailing list: businessCenterScheme – Descriptions need updating to additionally reference 2021 ISDA Definitions where applicable – FpML
Good day ! I have a question regarding the observationShift section, in particular the observationPeriodDates element. The element contains three options: SetInAdvance, Standard, FixingDate. Everything seems clear with the SetInAdvance value, but there are questions about the other two. 1) Can you explain with an example what “Standard” actually means? Am I correct in … Continued