FpML Issues Tracker
I am trying to model a Total Return Swap with Bond underlying in FpML. The <paymentFrequency> element (XPath: /dataDocument/trade/returnSwap/returnLeg/underlyer/singleUnderlyer/bond/paymentFrequency) contains <period> element that is defined as type="PeriodEnum" instead of type="PeriodExte0ndedEnum" (See this link). This prevents me from using enum value of "T" which is available for other <period> element defined elsewhere (See this link )
Please suggest possible resolution for this issue as I am currently blocked and our Order Management System cannot send the value of "1T" to denote a Zero Coupon Bond.
08/30/19 3:17 pm
Please correct the typo above from “PeriodExte0ndedEnum” to “PeriodExtendedEnum”. Thanks.
09/06/19 4:52 am
This is a bug and it should be fixed in the next release of FpML. PeriodExtendedEnum should be used instead of PeriodEnum to support Zero Coupon bonds (value 1T).
09/10/19 3:01 am
Revision 13771 – (fpml-asset.xsd) Changed the type of bond/paymentFrequency from Period to Frequency to support Zero Coupon bonds with the value 1T
09/10/19 3:04 am
This has been fixed in the FpML subversion repository and it will be published in version 5.11 Trial Recommendation (build 5). The Trial Recommendation is expected to be published next month, during the first half of October.
09/10/19 11:56 am
Thank You !
Will this change be also applied to the merged schema of Reporting view? FYI, we are using \Reporting View\reporting-merged-schema-5-11\reporting\fpml-main-5-11.xsd at our firm. I see you have mentioned about “fpml-asset.xsd” , but safe to assume that it will be applied to merged schema too?
09/10/19 11:58 am
Yes, the change will be applied to all views.
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