[fpmladmin]

Jim, The formula component was introduced in FpML 4.2 as part of the work to support Inflation swaps. There is no convention on the use of the formula component with interest rate products – that is to say, it has no designated role (although it is possible that one could be devised in future). This needs to be documented more clearly in the schema – I was looking at this recently, so it’s already on my to-do list. In your example, the structure is represented using the floatingRateMultiplierSchedule (optional child of FloatingRate), which permits a series of multiplier values to be defined over the term of the swap (compare the use of notionalStepSchedule, spreadSchedule etc.). In your case the multiplier is constant over the term, so it is only necessary to specify floatingRateMultiplierSchedule/initialValue. The resulting structure looks something like: USD-LIBOR-BBA 1 M 0.7 – note that (as elsewhere in FpML) the percentage is expressed as a real number i.e. 70% = 0.7 Best regards, Harry

[fpmladmin]

Alistair, We currently have no courses planned in Australia. We would be interested in organizing one though. We have had requests from other Australian financial institutions. Regards, Karl

[fpmladmin]

Hi Kirsty, The roll convention list is defined within as we called enumeration, which allows to have schema validation on these values. If you look at the latest version of the schema files, take a look at the one called fpml-enum-4-2.xsd. One of the types is called RollConventionEnum, which defines the list of values you are looking for. Best regards, Marc

[fpmladmin]

Hi Brian, We are about to publish a representation of a loan underlyer to support cds on loans. We will make it public beginning of February 2007 but the representation has been already agreed by the credit derivatives working group. I can send you the materials before then if you are interested. Just let me know. Best regards, Marc

[fpmladmin]

Richard I have already written Futures and Options, which has already been accepted as an unofficial extension for FpML, and is only unofficial because ISDA were not fully comfortable extending to exchange traded derivatives, login to FpML.org and download, contact Marc and Irina if you have any problems locating the extension http://www.fpml.org/spec/login.php Regards Andrew

[fpmladmin]

Hi Tony, The group is still active but it hasn’t met for a few months. We always welcome new participants to the group, specially participants that have experience or want to implement the specifications and/or have any feedback. Let me know if you want to be added to the mailing list. I am copying Andrew on this e-mail. He has done some work using the pricing and risk spec internally at JPMorgan. I am not aware of vendors using it yet. Hope this helps. Best regards, Marc

[fpmladmin]

Marc, Nancy, That looks fine to me. To expand a little: Clearly payment frequency depends on the terms of the trade – there are two common flavours of inflation swap, year-on-year (pay annually) and zero-coupon (pay at maturity). In the latter case, payment frequency = calculation period frequency = term of trade. We could also specify payment frequency = 1T here, by analogy with zero-coupon & OIS swaps (so, periodMultiplier=1, period=T, where T signifies that the interval spans the Term of the trade). “initialValue” means the initial value in a sequence of schedule values (in this case, fixed rates) – the initialValue may be followed by an optional sequence of dated “step” values.. Here a single value applies throughout, so we only need to produce the initialValue. 1 means 100%, because rates are always represented as real numbers in FpML (so 0.05 signifies 5%). I guess the value here is so high relative to the other examples (fixedRateSchedule/initialValue= 0.01 = 1%) because it represents (an estimate of) the cumulative change in the underlying index level over the 30Y term of the trade. Best regards, Harry

[fpmladmin]

Hi Nancy, My answers: I am not sure how to determine the payment frequency for the party paying the inflation linked rate. Is it annually or only once at the termination date similar to the fixed rate. I think you will pay annually 1 Y – No rate is set for the party paying fixedshould there be? Yes, initial value =1 means rate of 100% – What is meant by initial value = 1? Rate of 100% – Ditto for day count fraction = 1 over 1 1/1 means 1, look at Annex to the 2000 ISDA Definitions (June 2000 Version), Section 4.16. Day Count Fraction, paragraph (a). I am ccing Harry McAllister, who is the chair of the IRDWG. He can correct my answers if necessary. Best regards, Marc

[fpmladmin]

Hi Peter, To find ISDA definitions you would need to go to http://www.isda.org bookstore/publications section. There you can find the exact legal definitions. Regards, The FpML team

[fpmladmin]

Hi Alex, An FpML document is a representation of an ISDA agreement. Elements such as interestShortFallCap correspond to their respective provisions of a particular agreement. In the case of interestShortFallCap: it corresponds to the Interest Shortfall Cap provision (2003 ISDA Credit Derivatives Definitions) of a Credit Default Swap. In an FpML document its XPath is: /FpML/trade/creditDefaultSwap/protectionTerms/floatingAmountEvents/interestShortfall/interestShortfallCap. In deciding which elements can go under what type you really need to start at the root element and work outward. Regards, Robert

[fpmladmin]

Hi Mark, FpML doesnt have specific messaging for collateral yet. The closest we got is a set of messaging for portfolio reconciliation that could be used as previous set towards collateral automation. In addition, the FpML representation of a transaction includes the concept of independent amount that can be used for CDS trades for example. I can send you information about the portfolio reconciliation messaging if you are interested in it. Let me know. Kind regards, Marc

[fpmladmin]

Hello Luis, FpML defines a standard format for exchanging information about OTC derivatives, mainly for confirmation purposes, in XML format. See attached an example of an FpML file for representing a vanilla interest rate swap. You can open it with a text editor like notepad for example. The rationale for FpML is that in case of electronic communication, it gets very expensive if each institution or service provider defines its own format for representing the data. Its much more efficient if all parties use a standard format to exchange otc derivatives data. Lets say that the European Investment Bank wants to communicate OTC trades in electronic format with counterparty x. Instead of each institution defining their own data models and then investing resources in translating from one format to the other, its much more efficient if both parties use an open electronic standard such as FpML to communicate the information (no translation is required). The same format can also be used in the future for other parties or service providers. FpML doesnt provide any confirmation, matching service. FpML only provides the format of the data and the definition of some business processes around the otc products. Confirmation/Affirmation services, such as DTCC or SwapsWire, use FpML (or extension of FpML) so when you communicate to them to send your trades, you can use FpML to do that. All major investment banks and service providers in the otc market use FpML in some way or another. FpML comes to scene when you have an automation project related to derivatives and you need to communicate the data between systems or between parties. While building your application, you need to choose a data format for that communication. FpML provides you a free and open standardized format for most the otc derivatives products and processes. Id recommend you to download the FpML Editor Viewer at http://www.fpml.org/tools/editor/index.html. Its free for all ISDA members. The FpML Users Guide is also a good manual to start with FpML https://www.isdadocs.org/publications/fpmlusrguideindex.html In addition, ISDA offers FpML training courses in New York and London, customized in-house training, and consulting services around FpML. Hope this helps. Marc

[fpmladmin]

Brian, If you go to the FpML website (http://www.fpml.org/spec/login.php) and register you can access the schemas and documentation for all the releases of FpML. Andrew

[fpmladmin]

Robin #1 Simple, static value sets: Schema Validation Business day convention is controlled by an enumerated value “BusinessDayConventionEnum” in the file “fpml-enum.xsd”, an extract is below The convention for adjusting any relevant date if it would otherwise fall on a day that is not a valid business day. Note that FRN is included here as a type of business day convention although it does not strictly fall within ISDA’s definition of a Business Day Convention and does not conform to the simple definition given above. The non-business date will be adjusted to the first following day that is a business day #2 Semi static value sets: Business Rule Validation FpML has a series of “coding scheme” files which hold sets of semi static information sets such as business center, an example of which is “business-center-3-0.xml” in the attached Regards Andrew

[fpmladmin]

That error message doesnt give a lot of information. You should check the order of the elements and make sure they are valid according to the schema. This is the schema structure for tradeHeader in 4.1 available in the Specification: X12345 TRD0987 1900-01-01 Marc

[Author]

Posts