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1311: predeterminedClearingOrganizationPartyReference AND mutuallyAgreedClearinghouse

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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

1310: Cashflow for Cross-Currency Fixed/Float Swap with Mark-to-Market Condition

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Hello, Could you please clarify the question of a content of cashflow for cross-currency fixed/float swap with mark-to-market condition. We are currently considering Example 26 (2.34 Example 26 – Fixed/Floating IRS Where The Floating Stream Notional Is Reset Based On Prevailing Spot Exchange Rate – Cashflows) where the conditions of the mark-to-market are met, i.e. … Continued

1308: Autocallable Equity Derivatives

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Mei Chen of Barclays asks if there is wider interest in standardising Autocallable and Autocallable OTC equity exotic as a product on their own. ISDA has drafted standard confirmation templates, but has received limited feedback so far. For autocallable (OTC) , though it is not compulsory to have a put in it,  put is the … Continued

1307: Request for CrossCurrency Basis and FixedFixed examples

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Hello, Could you please provide with the FpML examples for InterestRate:CrossCurrency:Basis and InterestRate:CrossCurrency:FixedFixed product types? Also, could you please provide with the FpML examples for InterestRate:CrossCurrency:Basis product type with OIS index where reset frequency is equal to 1D? Best regards, Liudmyla  

1306: portfolioName

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Good evening FpML experts. I have a question about the portfolioName element, which is located in the dataDocument element (swaption instrument schema). XPath://dataDocument/portfolio/partyPortfolioName/portfolioName Plese help me with such questions regarding this element: Can this element be used as the name of the portfolio of the party on whose behalf the trade is being processed in … Continued

1305: onBehalfOf

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Good evening FpML experts. I have a question about the onBehalfOf element, which is located in the dataDocument element (swaption instrument schema). The annotation to the element says the following: Indicates which party (and accounts) a trade is being processed for. Plese help me with such questions regarding this element: 1) Am I correct in … Continued

1304: Validation rule ird-1 for the example with structure

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Hello, Could you please help with the question below: When validating Example 2.50 Example 42 – Daily compounding swap with payment delay that contains <calculationParameters> structure instead <resetDates> structure, via FpML Validator there is the next error: ‘resetDates must be present if and only if a floatingRateCalculation or inflationRateCalculation element is present in calculationPeriodAmount’. This … Continued

1303: Which compounding method for spread is used when structure is applied?

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Hello, Could you please clarify if the <spreadSchedule> element for the Floating leg can be present when the <calculationParameters> structure is applied? If it can be present, which <compoundingMethod> in such a case is used? According to the validation rule ird-9 the calculationPeriodAmount/calculation/compoundingMethod can only be present if an <resetDates> element is present, therefore it … Continued

1302: productId

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Good afternoon FpML experts.   I have a question regarding the element productId (swaption schema), xpath: /dataDocument/trade/swaption.   1) Please clarify, what other data can be stored in this <productId> element besides UPI? The annotation to the element says the following: “It can also be used to hold identifiers of benchmark products or product templates … Continued