FpML Issues Tracker

1235: FxFlexibleForward should allow zero notionals

June 13, 2017

closed

Major

Always

FX

andrew

mgratacos

Summary

The notionalAmount and settlementAmount in the FxFlexibleForward should be changed from PositiveMoney to NonNegativeMoney in views used for regulatory reporting to allow a zero value to be stored.

Unlike other FX products these products are periodically updated in regulatory reports as the buyer takes up the underlying currency. The notionals are changed to reflect the remaining amount which could be zero.

As a tactical solution we currently replace zero values with a small positive value (e.g. 0.0001) in instance document to pass schema validation but strategically it would be better to allow a zero value directly.

Notes:

  • mgratacos

    03/08/18 10:27 am

    Discussed at the AWG 2018-03-08. Agreement to make the change and allow 0 notional for regulatory reporting. This would be used for an ESMA termination report, not for the trading of the product.

  • mgratacos

    03/08/18 10:33 am

    The change has been committed to subversion.

  • Leave an update

    You must be logged in to post an update.