FpML Issues Tracker

229: Relax schema validation on certain Swaption elements to support confirmation under ISDA Settlement Matrix and broker confirms

October 3, 2006

closed

Feature

Always

Schema

ggurden

iyermakova

Summary

Supplement number 20 to the 2000 ISDA Definitions (http://www.isda.org/cgi-bin/_isdadocsdownload/download.asp?DownloadID=163) incorporated the ISDA Settlement Matrix into the 2000 Definitions. This removed the need to specify certain terms within each confirmation since they would be incorporated by virtue of referencing the ISDA Settlement Matrix. As a result it is proposed that certain schema constraints are relaxed to avoid the need for their inclusion in a Swaption trade. The same requirement also exists for submitting broker confirmations using FpML. The proposed changes are:

1. Make swaption/exerciseProcedure optional 2. Make cashSettlement/cashSettlementValuationTime optional 3. Make cashSettlement/cashSettlementValuationDate optional 4. Make the cashSettlement choice group of cash settlement methods optional

2, 3, and 4 would allow an empty element to be valid which is desirable since the presence of this element is still needed to indicate that cash settlement is applicable. Absence of the element indicates physical settlement is applicable.

Notes:

  • ggurden

    10/03/06 2:36 pm

    Additionally to support broker confirmations we’d like to see swaption/calculationAgent made optional.

    Guy Gurden

  • mgratacos

    11/13/06 2:03 pm

    Changes as described below have been committed to the trunk. They’ll be published in the next release of version 4.2.

    1. Made swaption/exerciseProcedure optional
    2. Made cashSettlement/cashSettlementValuationTime optional
    3. Made cashSettlement/cashSettlementValuationDate optional
    4. Made the cashSettlement choice group of cash settlement methods optional
    5. Made swaption/calculationAgent optional.

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