FpML Issues Tracker

Summary

Some additional points for FpML 2.0 Rec.

1)

In the FpML 3 Draft, within the rollConventionScheme the name of the entry IMMCAD has changed to CADIMM. If this is a deliberate change, then it might make the migration from FpML 2 --> FpML 3 easier if this name change is also made in the FpML 2 Rec. ?

2)

Maybe each of the sub-classes of FpML_Product also requires a 'base' attribute.

3)

In the roundingScheme, it is not clear exactly what the 'Nearest' entry means when the value is exactly half-way between two values. There are a few different schemes in use and I think we should be precise.

I have included the approach taken for IEEE 754 floating-point arithmetic (extracted from MSDN) for rounding a number d:

When d is exactly halfway between two rounded values, the result is the rounded value that has an even digit in the far right decimal position. For example, when rounded to two decimals, the value 2.345 becomes 2.34 and the value 2.355 becomes 2.36. This process is known as rounding toward even, or rounding to nearest.

Regards,

James Battle

Ironbark Limited Greenwood House 4/7 Salisbury Court London EC4Y 8BT

Tel: +44 (0) 777 594 6279 Fax: +44 (0) 20 8789 3358 Web: http://www.ironbark.co.uk