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FpML-VAL FW: BOUNCE valwg@xxxxxxxx: Non-member submission from [harry.w.mcallister@xxxxxxxxxxxx]
See response from Harry:
Brian infers the rule "a fixed stream may not have a calculation period
different from the payment period"
- which seems intuitive, but implementors beware: don't forget that a
zero-coupon fixed stream wil have a calculation period e.g. = 6M, but
payment period = 1T (single payment at term)
Best regards,
HMcA
"Brian Lynn" <brian.lynn@xxxxxxxxxxxxxxxxxxx>
05/04/2007 13:45
To
<valwg@xxxxxxxx>
cc
<Daniel.Dui@xxxxxxx>, <steven.lord@xxxxxxx>,
<harry.w.mcallister@xxxxxxxxxxxx>
Subject
RE: FpML-VAL VWG Agenda 2007-04-03
It seems to me that rules ird-7 and ird-9 imply another rule, which is
that
a fixed stream may not have a calculation period different from the
payment
period. This rule isn't really necessary to be stated explicitly, but
it
might make things clearer.
I rechecked the example and it seems to me that both the fixed stream
and
the float stream pass both ird-7 and ird-9.
Fixed stream: calc period = 30y, payment period = 30y, no compounding
method specified. (neither rule applies, since the periods are equal
and
no
compounding method is specified)
Float stream: calc period = 3m, payment period = 1y, compounding
method=None. (ird-7 passes because compounding method is specified,
ird-9
because the floating stream has a resetDates element.)
So I don't understand why the rules would be violated.
- Brian
-----Original Message-----
From: valwg@xxxxxxxx [mailto:valwg@xxxxxxxx] On Behalf Of Christian
Nentwich
Sent: Wednesday, April 04, 2007 10:44 AM
To: valwg@xxxxxxxx
Cc: Daniel.Dui@xxxxxxx; steven.lord@xxxxxxx
Subject: Re: FpML-VAL VWG Agenda 2007-04-03
Steven, Daniel,
how is interpolation different from averaging, which I believe is
specified using a reset frequency higher than calculation frequency?
thanks,
Christian
steven.lord@xxxxxxx wrote:
> As I said to Daniel I think the compoundingMethod element name is
> perhaps slightly misleading. It's more:
> methodRequiredWhenThereAreMoreCalculationPeriodsThanPaymentPeriods !!
> Bit verbose but indicates it's purpose. Thus if calculation period
> frequency is same as payment frequency this element is not required.
If
> calc period frequency is greater then we need this element either to
say
> there is no compounding or if there is compounding what method to use.
>
>
>
> -----Original Message-----
> From: Dui, Daniel
> Sent: 04 April 2007 15:14
> To: valwg@xxxxxxxx
> Cc: Lord, Steven
> Subject: RE: FpML-VAL VWG Agenda 2007-04-03
>
> About these issues...
>
> ird-9
> Says compoundingMethod can only be present if resetDates element is
> present. Should probably say "can only be present with a value <>
'None'
> if resetDates element is present".
>
> ird-7
> compoundingMethod is present if and only if the payment and
calculation
> period frequency are different.
>
> One inflation swap specifies a calculation period that differs from
the
> payment period, without specifying compounding. The example is
intended
> to demonstrate interpolation, rather than compounding.. this would
seem
> to indicate that the rule has to be changed from "if and only if" to
> just "if" - because at the moment compoundingMethod must be present if
> the frequencies differ.
>
> I have spoken with Steven Lord.
>
> On ird-9: he does not agree with the suggested change. He thinks the
> rule is fine as it is.
>
> About compoundingMethod=None: indicates that, although there are
> multiple calculation periods for a payment period, the calculated
> amounts should just be added up and paid at the end of the payment
> period. No compounding should take place.
>
>
> -daniel
>
>
> ________________________________________
> From: valwg@xxxxxxxx [mailto:valwg@xxxxxxxx] On Behalf Of Simon
Heinrich
> Sent: 02 April 2007 11:59
> To: valwg@xxxxxxxx
> Subject: FpML-VAL VWG Agenda 2007-04-03
>
> All,
>
> Agenda for tomorrow's meeting attached.
>
> We have a lot of items to discuss and actions to chase from the last
> meeting.
>
> Please notify me if you are unable to attend.
>
>
> Regards,
>
>
> Simon Heinrich
> IONA Technologies
>
> Visit our website at http://www.ubs.com
>
> This message contains confidential information and is intended only
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>
> UBS Clearing and Execution Services Limited is a company registered
> in England & Wales under company number 03123037, whose registered
> office is at 1 Finsbury Avenue, London, EC2M 2PP, United Kingdom.
>
>
>
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--=_alternative 00477084802572B4_=
Content-Type: text/html; charset=US-ASCII
Content-Transfer-Encoding: 7bit
<br><font size=2 face="sans-serif">Brian infers the rule
"</font><font size=2><tt>a
fixed stream may not have a calculation period different from the
payment
period</tt></font><font size=2 face="sans-serif">"</font>
<br>
<br><font size=2 face="sans-serif">- which seems intuitive, but
implementors
beware: don't forget that a zero-coupon fixed stream wil have a
calculation
period e.g. = 6M, but payment period = 1T (single payment at
term)</font>
<br>
<br><font size=2 face="sans-serif">Best regards,</font>
<br><font size=2 face="sans-serif">HMcA<br>
</font>
<br>
<br>
<br>
<br>
<table width=100%>
<tr valign=top>
<td width=40%><font size=1 face="sans-serif"><b>"Brian Lynn"
<brian.lynn@xxxxxxxxxxxxxxxxxxx></b> </font>
<p><font size=1 face="sans-serif">05/04/2007 13:45</font>
<td width=59%>
<table width=100%>
<tr valign=top>
<td>
<div align=right><font size=1 face="sans-serif">To</font></div>
<td><font size=1 face="sans-serif"><valwg@xxxxxxxx></font>
<tr valign=top>
<td>
<div align=right><font size=1 face="sans-serif">cc</font></div>
<td><font size=1 face="sans-serif"><Daniel.Dui@xxxxxxx>,
<steven.lord@xxxxxxx>,
<harry.w.mcallister@xxxxxxxxxxxx></font>
<tr valign=top>
<td>
<div align=right><font size=1 face="sans-serif">Subject</font></div>
<td><font size=1 face="sans-serif">RE: FpML-VAL VWG Agenda
2007-04-03</font></table>
<br>
<table>
<tr valign=top>
<td>
<td></table>
<br></table>
<br>
<br>
<br><font size=2><tt>It seems to me that rules ird-7 and ird-9 imply
another
rule, which is that<br>
a fixed stream may not have a calculation period different from the
payment<br>
period. This rule isn't really necessary to be stated explicitly,
but it<br>
might make things clearer.<br>
<br>
I rechecked the example and it seems to me that both the fixed stream
and<br>
the float stream pass both ird-7 and ird-9.<br>
<br>
Fixed stream: calc period = 30y, payment period = 30y, no
compounding<br>
method specified. (neither rule applies, since the periods are
equal
and no<br>
compounding method is specified)<br>
<br>
Float stream: calc period = 3m, payment period = 1y, compounding<br>
method=None. (ird-7 passes because compounding method is specified,
ird-9<br>
because the floating stream has a resetDates element.)<br>
<br>
So I don't understand why the rules would be violated. <br>
<br>
- Brian<br>
<br>
-----Original Message-----<br>
From: valwg@xxxxxxxx [mailto:valwg@xxxxxxxx] On Behalf Of Christian
Nentwich<br>
Sent: Wednesday, April 04, 2007 10:44 AM<br>
To: valwg@xxxxxxxx<br>
Cc: Daniel.Dui@xxxxxxx; steven.lord@xxxxxxx<br>
Subject: Re: FpML-VAL VWG Agenda 2007-04-03<br>
<br>
Steven, Daniel,<br>
<br>
how is interpolation different from averaging, which I believe is <br>
specified using a reset frequency higher than calculation frequency?<br>
<br>
thanks,<br>
Christian<br>
<br>
steven.lord@xxxxxxx wrote:<br>
> As I said to Daniel I think the compoundingMethod element name
is<br>
> perhaps slightly misleading. It's more:<br>
> methodRequiredWhenThereAreMoreCalculationPeriodsThanPaymentPeriods
!!<br>
> Bit verbose but indicates it's purpose. Thus if calculation
period<br>
> frequency is same as payment frequency this element is not
required.
If<br>
> calc period frequency is greater then we need this element either
to say<br>
> there is no compounding or if there is compounding what method to
use.<br>
><br>
> <br>
><br>
> -----Original Message-----<br>
> From: Dui, Daniel <br>
> Sent: 04 April 2007 15:14<br>
> To: valwg@xxxxxxxx<br>
> Cc: Lord, Steven<br>
> Subject: RE: FpML-VAL VWG Agenda 2007-04-03<br>
><br>
> About these issues...<br>
><br>
> ird-9<br>
> Says compoundingMethod can only be present if resetDates element
is<br>
> present. Should probably say "can only be present with a value
<> 'None'<br>
> if resetDates element is present". <br>
><br>
> ird-7<br>
> compoundingMethod is present if and only if the payment and
calculation<br>
> period frequency are different. <br>
><br>
> One inflation swap specifies a calculation period that differs from
the<br>
> payment period, without specifying compounding. The example is
intended<br>
> to demonstrate interpolation, rather than compounding.. this would
seem<br>
> to indicate that the rule has to be changed from "if and only
if" to<br>
> just "if" - because at the moment compoundingMethod must
be present if<br>
> the frequencies differ. <br>
><br>
> I have spoken with Steven Lord.<br>
><br>
> On ird-9: he does not agree with the suggested change. He thinks
the<br>
> rule is fine as it is.<br>
><br>
> About compoundingMethod=None: indicates that, although there
are<br>
> multiple calculation periods for a payment period, the
calculated<br>
> amounts should just be added up and paid at the end of the
payment<br>
> period. No compounding should take place.<br>
><br>
><br>
> -daniel<br>
><br>
><br>
> ________________________________________<br>
> From: valwg@xxxxxxxx [mailto:valwg@xxxxxxxx] On Behalf Of Simon
Heinrich<br>
> Sent: 02 April 2007 11:59<br>
> To: valwg@xxxxxxxx<br>
> Subject: FpML-VAL VWG Agenda 2007-04-03<br>
><br>
> All,<br>
><br>
> Agenda for tomorrow's meeting attached.<br>
><br>
> We have a lot of items to discuss and actions to chase from the
last<br>
> meeting.<br>
><br>
> Please notify me if you are unable to attend.<br>
><br>
><br>
> Regards,<br>
><br>
><br>
> Simon Heinrich<br>
> IONA Technologies<br>
><br>
> Visit our website at http://www.ubs.com<br>
><br>
> This message contains confidential information and is intended only
<br>
> for the individual named. If you are not the named addressee
you <br>
> should not disseminate, distribute or copy this e-mail.
Please
<br>
> notify the sender immediately by e-mail if you have received this
<br>
> e-mail by mistake and delete this e-mail from your system.<br>
><br>
> E-mail transmission cannot be guaranteed to be secure or error-free
<br>
> as information could be intercepted, corrupted, lost, destroyed,
<br>
> arrive late or incomplete, or contain viruses. The sender
therefore
<br>
> does not accept liability for any errors or omissions in the
contents
<br>
> of this message which arise as a result of e-mail transmission.
If
<br>
> verification is required please request a hard-copy version.
This
<br>
> message is provided for informational purposes and should not be
<br>
> construed as a solicitation or offer to buy or sell any securities
or <br>
> related financial instruments.<br>
><br>
> UBS Limited is a company registered in England & Wales under
company<br>
> number 2035362, whose registered office is at 1 Finsbury
Avenue,<br>
> London, EC2M 2PP, United Kingdom.<br>
><br>
> UBS AG (London Branch) is registered as a branch of a foreign
company<br>
> under number BR004507, whose registered office is at<br>
> 1 Finsbury Avenue, London, EC2M 2PP, United Kingdom.<br>
><br>
> UBS Clearing and Execution Services Limited is a company
registered<br>
> in England & Wales under company number 03123037, whose
registered<br>
> office is at 1 Finsbury Avenue, London, EC2M 2PP, United
Kingdom.<br>
><br>
><br>
><br>
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<br><BR/>
This communication is for informational purposes only. It is not
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financial instrument or as an official confirmation of any transaction.
All market prices, data and other information are not warranted as to
completeness or accuracy and are subject to change without notice. Any
comments or statements made herein do not necessarily reflect those of
JPMorgan Chase & Co., its subsidiaries and affiliates.<BR>
<BR>
This transmission may contain information that is privileged,
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believed to be free of any virus or other defect that might affect any
computer system into which it is received and opened, it is the
responsibility of the recipient to ensure that it is virus free and no
responsibility is accepted by JPMorgan Chase & Co., its subsidiaries and
affiliates, as applicable, for any loss or damage arising in any way
from its use. If you received this transmission in error, please
immediately contact the sender and destroy the material in its entirety,
whether in electronic or hard copy format. Thank you.<BR>
Please refer to http://www.jpmorgan.com/pages/disclosures for
disclosures relating to UK legal entities.
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