FpML Issues Tracker
closed
Major
Always
Schema
philipleach
mgratacos
Summary
The 2006 ISDA Inflation Derivatives Definitions define the concept of a Fallback Bond in addition to a Related Bond and more crucially the ability for Fallback Bond: Not applicable to be specified in the confirmation. As of the latest working draft (July 30th 2007) this is not supported in FpML 4.3.
Details are in the attached proposal.
Notes:
h_mcallister
08/30/07 11:50 am
Comment posted on irdwg by Guy Gurden, 2007-08-20:
Specifically on the inflation swap Fallback Bond proposal I have a
couple of comments:
The 2006 ISDA Inflation Derivatives Definitions specify a mechanism
solely for indicating that Fallback Bond is not applicable (by
specifying “Fallback Bond: Not Applicable” in the related Confirmation).
I think it would not be in keeping with the wording of the definitions
(and not backwardly compatible with existing FpML inflation swap
implementations) to introduce a mechanism that explicitly requires to
state that Fallback Bond is applicable. The definitions provide that a
bond can be specified as the “Related Bond” in the confirmation and if
no such bond is specified that the “Related Bond” shall be the “Fallback
Bond” per the definition in Section 1.3 of the Definitions. In the
current FpML Schema a specific bond to use as the Related Bond is
specified in the swapadditionalTermsbondReferencebond structure. So
with or without the swapadditionalTermsbondReferencebond structure
being present Fallback Bond is automatically applicable in the existing
implementation.
In summary therefore I think the proposal should be limited to defining
a mechanism for indicating that Fallback Bond is not applicable,
possibly by including an optional empty element suitably named. For
example, fallbackBondNotApplicable.
Regards
Guy
philipleach
10/02/07 2:21 pm
Updated proposal attached following IRD WG call.
mgratacos
03/17/08 11:48 am
This has been been committed to the trunk (version 4.4) and 5.0.