FpML Issues Tracker
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Examples/Test Cases
5.13 Second Working Draft (Build 2)
XAPWG
JasonPolis
JasonPolis
Summary
Examples of EBA portfolio benchmarking for FRTB
The Fundamental Review of the Trading Book (FRTB)
Propose the inclusion of the EBA Portfolio as FPML examples.
Notes:
JasonPolis
07/05/23 9:51 am
One known issue: In the FpML representation (ex14_equity_eqo_short_bayer.xml) of
FRTB Example 14 – Short 100 call options on Bayer, June year T, 10% OTM
the numberOfOptions is -100, which is disallowed.
Instead the number should be 100, with reversal of the buyer and seller references/identifiers.
JasonPolis
07/06/23 6:59 am
XAPWG: discussion about whether FPML should host examples from this and other Market Infrastructures.