The following additions have been implemented since FpML 4.6:
- Interest Rate Derivatives:
- Added an optional Future Value Notional structure to support Brazilian CDI swaps.
- Commodity Derivatives:
- Added an optional totalPrice element to the Commodity Fixed Price model group.
- Added commodity product type values to the "ProductTypeSimple" scheme.
- Equity Derivatives:
- Added Support for:
- EU (Interdealer) Share Swap
- ISDA Hedging Party
- Forward Starting / Strike Date
- Initial Price Election
- Linear Interpolation
- Composition of Dividends
- Treatment of Non-cash Dividends
- Dividend Settlement Currency
- Break Fee Election / Break Fee Rate
- Treatment of Non-cash Dividends
- “ISDA2009EquityEuropean” value to the "MasterConfirmationAnnexType” scheme
- Pan-Asia (Interdealer) Share Swap
- ISDA Hedging Party
- Determining Party
- Break Fee Election / Break Fee Rate
- Dividend Payment Date
- Added “ISDA2009EquityPanAsia” value to the "MasterConfirmationType” scheme
- Added “SDA2009ShareSwapPanAsia” value to the "MasterConfirmationAnnexType” scheme
- Cross-asset changes:
- Split the PeriodEnum enumeration into two separate enumerations, one containing the value 'T' for Term, named PeriodExtendedEnum, and another without the value 'T', named PeriodEnum.
- Replaced the Interval complex type by two new complex types: Frequency and Period. Period contains a period element of type PeriodEnum while Frequency contains a period element of type PeriodExtendedEnum.
- Elements of type Interval are now of type Frequency or type Period depending on the applicable business values.
- Coding Schemes:
- The following schemes have been updated:
- MasterConfirmationType
- MasterConfirmationAnnexType
- ProductTypeSimple
- DeterminationMethod
- The following issues have been resolved:
View PDF for details on schema changes
View PDF for details on validation rules changes