Zero coupon swaps with payment frequencies of 1T fire ird-2 even though the examples are correct from a business perspective. See answer from Harry: Marc, Lucio, I think the use of 1T for payment frequency in this case is justified – it is consistent with use of the idiom in other contexts, and provides a … Continued
[ERROR] Element “{http://www.fpml.org/2007/FpML-4-3}definePosition” shows up in more than one properties. line 496 of file:/E:/opensource/fpml/fpml-4-3-9-tr-1/xml/fpml-reconciliation-4-3.xsd
The FpML schema states that FxLeg is a kind of Product. A type that represents a single exchange of one currency for another. This is used for representing FX spot, forward, and swap transactions. This is not correct. A FxSwap is a kind of Product. An FxSwap has two or more Legs. Why is this … Continued
“TBILL” should exist in WeeklyRollConventionEnum to support interest rate swaps against USD-TBILL-H.15 index. Currently “TBILL” only exists as a valid value within the RollConventionEnum. On an interest rate swap with a floating leg referencing the USD-TBILL-H.15 floating rate index the resets occur weekly on the day that the corresponding maturity U.S. Treasury Bills are auctioned. … Continued
The FpML Architecture should define the criteria for an element to be a header or footer element. What is it that makes something a header or footer element? What is it that makes something a tradeHeader element? I suggest that there is no semantic significance to something being in a header or a body section, … Continued
Currently there are three views defined “Pre-Trade”, “Confirmation”, and “Reporting”. The problem I have is the schema file names clash across three views. For example fpml-5-0-main.xsd in Confirmation clashes with fpml-5-0-main.xsd in Pre-Trade. My suggestion is that each schema name is unique. This could be by a choice of: * Unique named generated using annotations … Continued
How do I know which leg of a Swap a partial termination notional applies to? And how do I know the remaining notional on the other leg? What happens when the Swap is cross-currency, or notionals are unbalanced, or legally balanced but economically unbalanced, etc.
In the FpML trunk the following messages exist: ContractCreated ContractCancelled ContractFullTermination ContractFullTerminationCancelled ContractIncreased ContractIncreasedCancelled ContractNovated ContractNovatedCancelled ContractPartialTermination ContractPartialTerminationCancelled The error in the sequence is that “ContractCancelled” should be “ContractCreatedCancelled”. A ContractCancelled gets confused with a ContractTermination. What is mean is the ContractCreation is cancelled.
Definition of type AssetValuation – cardinality element quote has change from 0 to many (FpML 4.2) to 1 to many (FpML 4.3) FpML 4.3: ………………. ….. ….. FpML 4.2: ……. ……. …….
In file fpml-shared-4-3.xsd, complex type RelativeDateOffset . The annotation reads: … the derived date *my* simply be a number of calendar periods … It obviously should read: … the derived date *may* simply be a number of calendar periods …