[iyermakova]

Hi, Could you please clarify: What are your plans for non-derivative product representation in the FpML Recordkeeping View and what reporting obligation would it cover? Thank you, Irina Yermakova

[iyermakova]

Hello, 1. If you are new to FpML, it is good to start with the latest version 5.3, it covers more business processes compared to 5.2 (e.g. SDRs reporting). To learn more about the versions, visit Current FpML Specifications page – http://www.fpml.org/spec/latest.php 2. On compatibility, please read this repose: http://www.fpml.org/dev/modules/newbbex/viewtopic.php?viewmode=thread&topic_id=177&forum=4&post_id=408#408 You can read more on the compatibility on the FpML Version 5.0 forum. Regards, Irina Yermakova

[iyermakova]

Hello, FpML 5.x does not include a pre-trade view (pre-trade business category) at this point in time. In the earlier stage of FpML 5.0, the pre-trade view was published, based on work done in the 4.x series. Because the pre-trade view has not been reviewed by a working group to date, we do not publish it as a separate view for the moment. The pre-trade business processes (PlaceOrder, OrderAcknowledgement, OrderException, PlaceOrderRetracted, RequestQuote, Quote, QuoteAcknowledgement QuoteException) are part of the FpML master schema and we can expect that these will be evaluated in the near term together with the work from the Electronic Trading Task Force, which is concentrating more on the pre-trade product representation. Regards, Irina Yermakova

[iyermakova]

Hello Paul, – At the moment, you would have to create your own XSLT. – 5.x FX refactoring includes an additional product – Dual Currency (which is a feature inside FxOption). Plus, in 5.3 some other fields were added e.g. tenorName/tenorPeriod was added to all products – to allowing the models to pass this tenor for UPI generation especially, etc. Regrads, Irina Yermakova

[iyermakova]

Hello, In 4-2, – In case of post-trade, take a look inside (fpml-posttrade.xsd) Novation -> NovationDetails.model (it extends Event base class) – In case of execution advice, take a look inside (fpml-contract-novation.xsd) ContractNovated -> ContractNovationDetails.model Example: msg_ex26_alleged_novation.xml FpML-5-2: confirmationStatus/allegedEvent/novation/transferor/ confirmationStatus/allegedEvent/novation/transferee/ Corresponds to FpML-4-2: /FpML/novation/transferor/ /FpML/novation/transferee/ Note: in above example, FpML of type “NovationAlleged” You can find a spreadsheet with message mapping here – http://www.fpml.org/documents/groupdocs.html [February 02, 2012: Messaging Mapping Table between Version 4.9 and 5.3 excel ] Regards, Irina Yermakova

[iyermakova]

Hello In FpML, only a minor FpML version is a version that is intended to be fully backward compatible on the instance level within the current major version (e.g. FpML 4.7, 4.8, 4.9 within FpML 4). A major FpML version (e.g. FpML 4, FpML 5) is a complete re-release of the standard. FpML 5 introduces a new messaging model which dramatically modifies the document structure so the translation between 4.x and 5.x may be extremely difficult. Regards, Irina Yermakova

[iyermakova]

Hello Paul, With FpML 5.x schema refactoring work: – all FpML messages ere refactored see the Messaging Mapping Table between Version 4.9 and 5.3 excel link I mentioned in my previous reply. – all FX products (sub-schema fpml-fx.xsd) have been refactored (e.g. elements were moved around/grouped differently/renamed to bring related data together) As a result of the refactoring work, following has been updated to reflect the changes: – All Business Validation rules – All instant documents that use FpML schema (xsd) version 5.x You are correct; you would need an XSLT to transform 4.5 to 5.3 for FpML FX products and FpML messages. For FX, you can follow this document for your mapping now http://www.fpml.org/_wgmail/_fxwgmail/docSexeI7hRsi.doc (although it is a bit outdated as there were some more changes) Regards, Irina Yermakova

[iyermakova]

Hi nikhilpv, You may be looking at FpML extensions? In FpML 5.2, -/executionAdvice/trade/creditDefaultSwap/feeLeg/initialPayment/ component specifies a single fixed payment and contains only payer/receiver model, dates, and paymentAmount of Money type. It does not contain calculationAmount. Regards, Irina Yermakova

[iyermakova]

Hello, 1. The main difference between 4.x and 5.x is around messaging and business processes (introduction of Confirmation/Reporting/Transparency/Recordkeeping Views business process categories. You can find a spreadsheet with message mapping here – http://www.fpml.org/documents/groupdocs.html [February 02, 2012: Messaging Mapping Table between Version 4.9 and 5.3 excel ] 2. The products have very minimum changes apart from FX refactoring. – IRD almost no changes; – CD – empty elements replaced by Boolean and creditDefaultSwap/generalTerms/sellerPartyReference/ and PartyReference/ was moved around; /creditDefaultSwap/generalTerms/scheduledTerminationDate/adjustableDate/unadjustedDate (adjusted date container was dropped) – EQD – prePaymentAmount, “paymentAmount”, notional”, “additionalPayment” are of type “NonNegativeMoney” instead of “Money” and a couple of more changes like the type of the element “localJurisdiction” is renamed from “Country” to “CountryCode”. – FX was refactored. You can review new FX PRODUCT ARCHITECTURE.doc here – http://www.fpml.org/_wgmail/_fxwgmail/docSexeI7hRsi.doc where the changes were outlined. There are also floating comments in FpML 5.1 and 5.2 visions that would show the difference. I think it could be also possible to diff the 4.x and 5.x product XSD (e.g. fpml-cd.xsd, fpml-ird.xsd, etc.) 3. Loan messages have been removed from 5.x as they are currently getting refactored and will be added in a later Version of FpML Regards, Irina Yermakova

[iyermakova]

Hello, Harry McAllister’s reply (http://www.fpml.org/dev/modules/newbbex/viewtopic.php?forum=5&post_id=390&topic_id=170#forumpost390) is correct. fxAccumulatingBoostedForward is not an FpML product. To review FpML products go to http://www.fpml.org/spec/latest.php Regards, Irina Yermakova

[iyermakova]

see reply here -> http://www.fpml.org/dev/modules/newbbex/viewtopic.php?viewmode=thread&topic_id=163&forum=2&post_id=371#371

[iyermakova]

Hello, Here are the corresponding fields: -4.x:fxSimpleOption/valueDate -5.x:fxOption/europeanExercise/valueDate -Comments:in 5.x,’valueDate’ was moved under specific exercise structure (e.g. fxOption/europeanExercise/valueDate) and renamed to ‘latestValueDate’ in ‘americanExercise’ -4.x:fxSimpleOption/fxOptionPremium/premiumAmount/amount -5.x:fxOption/premium -Comments:in 5.x, element ‘premiumAmount’ was renamed ‘amount’ -4.x:fxSimpleOption/expiryDateTime/expiryDat -5.x:fxOption/europeanExercise/expiryDate -Comments:in 5.x,’expiryDate’ element moved under specific exercise structure -4.x:fxSimpleOption/expiryDateTime/expiryTime/businessCenter -5.x:fxOption/europeanExercise/expiryTime/businessCenter -Comments:in 5.x,’expiryTime’ element moved under specific exercise structure. ‘expiryTime’ made optional —- In addition, you can review FX PRODUCT ARCHITECTURE.doc (http://www.fpml.org/_wgmail/_fxwgmail/docSexeI7hRsi.doc )where the changes were outlined There are also floating comments in fpml-fx.xsd of FpML 5.1 and 5.2 visions that would show the difference. This should help you with the mapping in the meantime. Regards, Irina Yermakova

[iyermakova]

You can find 5.1 FpML schema (including fpml-fx-5-1 sub-schema) and FX option examples (fx-ex09-euro-opt.xml, fx-ex10-amer-opt.xml, fx-ex11-non-deliverable-option.xml, fx-ex12-fx-barrier-option.xml, fx-ex13-fx-dbl-barrier-option.xml, fx-ex14-euro-digital-option.xml, fx-ex15-euro-range-digital-option.xml, fx-ex16-one-touch-option.xml, fx-ex17-no-touch-option.xml, fx-ex18-double-one-touch-option.xml, fx-ex19-double-no-touch-option.xml, fx-ex20-avg-rate-option-parametric.xml, fx-ex21-avg-rate-option-parametric-plus-rate-observation.xml, fx-ex22-avg-rate-option-specific.xml) here http://www.fpml.org/spec/fpml-5-1-8-rec-2/. Under the section Schema and Examples (download), download Confirmation zip file. Regards, Irina Yermakova

[iyermakova]

Hello Mark, “mandatoryEarlyTerminationAdjustedDates”, where you can optionally supply (if needed) the adjusted (actual) dates for the dates you are required to provide such as the unadjusted early termination, cash settlement valuation and payment dates + their adjustments. Ex. 2011-11-28 FOLLOWING GBLO EUTA 2011-11-28// this date includes adjustments if any. Regards, Irina Yermakova

[iyermakova]

You can find FpML Spec documentation of your FpML version choice on FpML website, under Specifications tab ( http://www.fpml.org/spec – it would require you to login to see the FpML specification). There you would have a choice of viewing – the current major versions of FpML Specifications (click on the left menu – Current). – all FpML major and minor versions and the date of their publication (click on the left menu – Archived). If you have no preferences in FpML versions, I recommend you to look at the latest version. When you click on one of the versions link, youd see 1. Online Documentation: links. These are the links to view specific 1.1. FpML online documentation (pick a link with the required view, e.g. Confirmation). Look for section called ” RETURN SWAPS PRODUCT ARCHITECTURE ” (in the latest versions, it is under the section 10). 1.2. Schema and Examples – Look at the bottom of the menu for links to SCHEMA AND EXAMPLES (in the latest versions, it is under the section 19) 1.2.1. online Description of Examples. Look at Equity Swaps Examples (in the latest versions, it is under the section 8). Feel free to look though the examples. The examples I described earlier are (in the latest versions, it is under the section 8.16) – Example 15 and 16 – Forward Starting European Interdealer Share Swap Short Form 1.2.2. for download Schema and Example files (same as below) 2. Schema and Examples (download): links. For each of these views, there are schema files and example (pick a link with the required view e.g. Confirmation. Under the Confirmation view directory, you will see Confirmation view set of FpML schema) Plus, each view directory contains subdirectories for each group of FpML examples. The equity-swaps examples, you will find under confirmation/products/equity-swaps directory Hope it helps. Irina Yermakova

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