FX Derivatives Working Group
- To redesign the existing FX product model in FpML to make it consistent with other FpML product representations.
- To define a set of reusable components that facilitates product development. Existing and future FX products will leverage these building blocks (and define new ones) to ensure the FX model is coherent and easy to maintain, as per FpML best practices.
- To expand the existing coverage to include Range Accrual options and Dual Currency Deposits, and other products agreed to by the working group.
Chairs of Working Group
Richard Haslock (MarkitServ)
ParticipantsHarry McAllister (BNP Paribas) Rahul Gaddam (BNY Mellon) Devansh Rastorgi (DTCC) Brian Lynn (GEM) Christina Yeung (Goldman Sachs) Andrew Gregory (HSBC) Andrew Jacobs (HSBC) Stephen Turner (JP Morgan Chase) Charles Wahab (MarkitSERV) Chris Boyes (MarkitSERV) Vijay Addanky (State Street) Adrian Bain (UBS) Irina Yermakova (ISDA) Karel Engelen (ISDA) Lyteck Lynhiavu (ISDA) Marc Gratacos (ISDA)
Group CharterScope: The FX Working Group will evaluate proposals, including the FX redesign proposal developed by the Modeling Task Force (MTF), and will deliver updates to the FpML specifications for the following FX Products: Basic FX Products:
- FX Spots
- FX Forwards, including "Non-Deliverable Forward" (NDF)
- FX Swaps
- Simple FX options (barrier, average rates)
- Digital options
- Range Accrual
- Term Deposits:
- Money Market Deposits
- Dual Currency Deposits
- Trade Strategies (e.g., delta hedge, multiple options)
- Collaboration with the IRD Products WG and the Equity Derivatives Products WG via Coordination Committee, to define a consistent model for products such as options and deposits.
- Collaboration with the Validation WG, to update the existing FX validation rules based on the resulting schema changes
- Ensuring that the resulting schema, examples, and coding schemes are published to the FpML.org website once approved
- technical interoperability of the FpML and FIXML Schemas
- to evaluate FIX business processes that are applicable to OTC derivatives.
- FpML-FX proposal developed by the Modelling Task Force (MTF)
- Knowledge of FX Products
- Knowledge of the existing FpML FX specification
Date for completion
Call for participation
March 19 2010
Kick off group, review charter
April 15 2010
Review scope with Standards Committee
Develop examples and documentation
November 1 2010