Hello, Could you please clarify if there is an element in FpML schema for Cross Currency Fixed Fixed instrument that can indicate the trade settlement days (the quantity of days between trade date and the date when trade is deemed to be settled) or the settlement date by itself, that usually ranges from one to … Continued
Hello, could you please clarify how the cashflow for IRS fixed/float instrument will look like when <cashflowsMatchParameters>is set to ‘false’. Do I correctly understand that in this case the <paymentCalculationPeriod> section would be available in cashflow and will contain <unadjustedPaymentDate> instead of <adjustedPaymentDate>? Could you please provide some examples for IRS fixed/float instrument with cashflow … Continued
Good evening FpML experts. I have a question about the rollConvention for swaption fixed-float. I have reviewed example 2.38 Example 30 – Compounding and Averaging Swap with Relative Dates in detail, and I have the following questions regarding these parts of the code: code_part1 <tradeDateid=”tradeDate”>2005-07-31</tradeDate> </tradeHeader> <swap> <productType>InterestRate:IRSwap:FixedFloat</productType> <swapStreamid=”swapStream_0_0″> <payerPartyReferencehref=”party1″/> <receiverPartyReferencehref=”party2″/> <calculationPeriodDatesid=”calculationPeriodDates_0_0″> <relativeEffectiveDateid=”effectiveDate_0_0″> <periodMultiplier>2</periodMultiplier> <period>D</period> … Continued
Good afternoon FpML experts. I have a question about validation rule “ref-34 (Mandatory)”. Link where it is stored: REF rules – FpML 5.3 Validation Rules – 2012-07-20 Description of the rule: Context: ScheduleReference (complex type) The @href attribute is equal to the @id attribute of an element of type Schedule I have the following input: PART1 <exerciseFeeSchedule> <payerPartyReference href=”Coca-Colla”/> … Continued
A few firms have reported to MarkitWire a discrepancy in the market for Brazilian swaps between bilateral and cleared transactions. This overnight rate has a daily reset, so should fall on a good Brazil business day as per EMTA-ISDA market practice. Some clearing houses believe this reset date should be unadjusted. Reported by Amanda Murray, … Continued
Examples of EBA portfolio benchmarking for FRTB The Fundamental Review of the Trading Book (FRTB) Propose the inclusion of the EBA Portfolio as FPML examples.
Good afternoon FpML experts. I have a question about the element relatedParty in swaption FpML schema. XPaths: /dataDocument/trade/tradeHeader/partyTradeInformation/relatedParty/role The system I use contains a “Custodian” field, which I need to map with the corresponding element from the FpML schema. 1) I would like to make sure whether this is the only place in the … Continued
Good morning FpML experts. I have a question about the element tradeId in swaption FpML schema. XPaths: /dataDocument/trade/tradeHeader/partyTradeIdentifier[1]/tradeId (PartyAndAccountReferences.model) 2. /dataDocument/trade/tradeHeader/partyTradeIdentifier[2]/tradeId (PartyAndAccountReferences.model) These elements are mandatory according to the schema. Annotation gives the following description: “A trade reference identifier allocated by a party. FpML does not define the domain values associated with this element. Note … Continued
Good morning FpML experts. I have a question about the elements expirationTime and earliestExerciseTime in swaption FpML schema. XPaths: 1.swaption/europeanExercise (american +bemudan) /expirationTime 2.swaption/europeanExercise (american +bemudan) /earliestExerciseTime These elements are mandatory according to the scheme. Suppose I use the system that does not contain separate fields where these data can be specified. I want … Continued
Good morning FpML experts. I have a question about the elements for defining CCPs in swaption FpML schema. There are three different XPaths where these elements may be located: swaption/physicalSettlement/predeterminedClearingOrganizationPartyReference swaption/physicalSettlement/mutuallyAgreedClearinghouse swaption/cashSettlement/collateralizedCashPriceMethod/mutuallyAgreedClearinghouse Since the FpML schema for the swaption gives only these XPaths to define the CCP, which looks like it is common to both … Continued