[iyermakova]

You are saying that Business date rules are common… Can I ask you what sort of product you are trying to model? Thank you, Irina Yermakova

[iyermakova]

Browse the interest-rate-derivatives folder; you find many examples there, for instance example – ird-ex01-vanilla-swap.xml No-Business days will be adjusted if you use business day convention “FOLLOWING” or “MODFOLLOWING” for example (take a look at BusinessDayConventionEnum for other options); Note, you would only be checking for a business day in the Business Centers you list. FOLLOWING USNY GBLO 1 M 10 Regards, Irina Yermakova

[iyermakova]

Hello, Take a look at the example eqd-ex04-european-call-index-long-form.xml of the specifications (equity-options folder). It illustrates the additional disruption events for Cash Settled Index Option (long form) FpML 4-5 supports all Additional Disruption Events from your list except Maximum Stock Loan Rate and Initial Stock Loan Rate. maximumStockLoanRate and initialStockLoanRate are added in 4-6 LCWD (that is going to be public this week) as an optional elements of type “RestrictedPercentage” within AdditionalDisruptionEvents complex type to support US Share Swaps additional disruption events. Let us know if you have other questions. Regards, Irina Yermakova

[iyermakova]

You can express some English like values with AveragingSchedule type in 4-5, //First Monday of each month for example Out 2002-11-11 2003-11-11 1 M 1 MON but not 1-st day of the month. This became possible with addition of averagingPeriodFrequency in 4-6 WD-3. Out 2002-11-11 2003-11-11 1 M //1-st day of the month 1 However, if you using 4-5, you can create your own extension, adding RollConventionEnum that holds the required for that values, or CalculationPeriodFrequency (averagingPeriodFrequency) similar as it is done in 4-6-WD-3. As far as I know, there is no complete user / developer manual describing all the FpML elements and their usage for the moment in the market. However, you have a lot of options: – the web-based FpML specification can provide you with description and usage of some of the elements from the technical and business prospective. It also includes Oxygen-generated FpML schema documentation based on the FpML schemas elements annotations which get improved with each release. http://www.fpml.org/spec/latest.php – the FpML Users Guide may be a good starting point as well http://www.isda.org/publications/usrguidefpml.aspx – ISDA also offers FpML training courses in New York and London. http://www.fpml.org/index.html – It is also possible to watch/buy the introductory course online https://www.isdadocs.org/conf/shopondemand/fpml.asp – You can always join the FpML working groups to create your proposals, provide your feedback on proposed solutions, etc. http://www.fpml.org/wgroup/index.html – There is also the FpML Editor/Viewer tool available that might help you with your paper to FpML mapping. The tool also allows FpML trades to be created from scratch, loaded from a local file, or loaded from the World Wide Web – http://www.fpml.org/tools/editor/index.html Regards, Irina Yermakova

[iyermakova]

– Knock-in Price //”trigger/level” or “trigger/levelPercentage” – Knock-in Reference Security //defaulted to equity “underlyer” – Knock-in Determination Day(s) // “schedule” and/or “triggerDates” components. – Knock-in Valuation Time // “triggerTimeType” Regards, Irina Yermakova

[iyermakova]

Take a look at the Knock – TriggerEvent type in the fpml-option-shared sub-schema. Also – Select “19 – SCHEMA AND EXAMPLES” in this link http://www.fpml.org/spec/fpml-4-6-3-wd-3/html/index.html – Download “Schema and Example files” zip file. – Find xml/equity-options/eqd-ex25-equityOptionTransactionSupplement-index-option-knock-in-knock-out-features.xml which illustrates Knock-In-Knock-Out Features. Let me know if you have more questions. Kind Regards, Irina Yermakova

[iyermakova]

There a many examples for Cash Settled Index Option Transaction in FpML, in long form (equityOption) and short form (equityOptionTransactionSupplement) http://www.fpml.org/spec/fpml-4-6-3-wd-3/html/fpml-4-6-examples-frame.html Take a look at 6-Equity Options Examples. Kind Regards, Irina Yermakova

[iyermakova]

FpML Modeling Task Forces recommendation is to remove all products name prefixes in the elements names across all products in FpML 5-0. The Commodity is a new product, therefore, it should follow the MTF recommendations from the start. The modeling consistency across all products is important to the FpML standards. That was the reason to why the commodityExercise was renamed to exercise. If the name confuses the implementers is one thing, but the element exercise of type CommodityExercise cannot be substituted by any member of global element exercise substitution group as Chris suggests -> the element exercise in the Commodities Schema could be represented by any members of the Substitution Group exercise.

[iyermakova]

Your intention is to create a valuation scenario that would reference the set of market inputs to be used, and a separate valuation scenario for each different combination. Theres not really a way to explicitly link product types to market inputs within a single valuation scenario. If you would like to submit a proposal to the Pricing and Risk Working Group, they would be happy to consider it.

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