FpML Issues Tracker

1261: ‘period’ element not defined consistently

August 30, 2019

closed

Block

Always

Schema

d1i2p3

mgratacos

Summary

Hello,

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.

Thanks,

Dip Sanghvi

Notes:

  • d1i2p3

    08/30/19 3:17 pm

    Please correct the typo above from “PeriodExte0ndedEnum” to “PeriodExtendedEnum”. Thanks.

  • mgratacos

    09/06/19 4:52 am

    AWG 2019-09-05

    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).

  • mgratacos

    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

  • mgratacos

    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.

  • d1i2p3

    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?

  • mgratacos

    09/10/19 11:58 am

    Yes, the change will be applied to all views.

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