[mgratacos]

There are some messages, like the TradeExecutionModified (section 3.3.2 of the Specification) that allows you to send the old version of the trade and the revised trade in the same message. Hope this helps. Marc

[mgratacos]

Hello, Please take a look at the RollConventionEnum (fpml-enum-xx.xsd file). It contains values such as […] ‘IMM’: IMM Settlement Dates. The third Wednesday of the (delivery) month. ‘IMMCAD’: …The second London banking day prior to the third Wednesday of the contract month….. […] Hope this helps. -Marc

[mgratacos]

Hi, The structure to represent the fixed payments for CDS/CDI is the feeLeg. Please look at section 6.4 of the specification for the different types of payments that can be represented. The section also includes snippets with examples of the different fixed payments. Hope this helps. -Marc

[mgratacos]

The Asset Swap representation is supported since version 4.2 but it’s using the ‘swap’ product element adding an optional reference to a Bond underlyer. Look at section 5.2 of the Specification. The Total Return Swap representation is supported explicitly since version 4.2 also. It’s using the ‘returnSwap’ product element. Look at section 9 of the Specification. Hope this helps. Regards, -Marc

[mgratacos]

Hi Shahar, I dont think there is such type to do so. The default behavior of the business center in a legal confirmation, which corresponds to FpMLs assumptions, is that a valid business day should be a valid business day on all the business centers on the list. If you need to make that explicit and also add the option that “a valid business day should be a valid business day on at least one of the business days on the list”, youll need to extend the type to add the appropriate data to it. Hope this helps. Regards, Marc

[mgratacos]

Nariel, Could you send the message you’re trying to parse? We may be able to give you a more specific answer if we know the type of message you are working on. Best regards, Marc

[mgratacos]

I know institutions have developed relational models to store trade data that are used for a variety of things including client reporting. However, as far as I know, these models are not public. Sorry but i don’t have more specifics about this. Maybe others can comment. Kind regards, Marc

[mgratacos]

An issue has been raised: [url=http://www.fpml.org/issues/view.php?id=591]http://www.fpml.org/issues/view.php?id=591[/url]

[mgratacos]

You’ll always have to go to the product to compare the calculation frequency and the payment frequency. Only doing that you’ll be able to determine whether there is compounding in any of the legs.

[mgratacos]

Vlad, I am not sure I understand your question but did you take a look at the example called inflation-swap-ex05-zc.xml inside the inflation-swaps folder? It’s an RPI ZC swap with a ZC fixed leg and a floating leg calculating quarterly and paying annually. You can play around with the calculation and payment frequencies in order to represent the behavior of your product. Hope this helps. Marc

[mgratacos]

Hi Sukant, 1) You can extend FpML by creating your own schema and from there importing the FpML Schema. The recommendation is that you should not touch the FpML Schema. Examples and guidelines are available at the [url=http://www.fpml.org/spec/2007/tr-fpml-arch-2-1-2007-09-17/]Architecture Specification[/url] -> see Section 6 Extending FpML ISDA organizes some FpML training courses in New York and London and there is one specific for extensions. See the [url=http://www.fpml.org]home page[/url] for links to the courses’ information. 2) In order to validate it, it needs to have the schema with the extensions. 3) I am not sure I understand the question regarding FpML version. It depends on what you want to do with the messages. Minor versions in FpML are backward compatible, so as an example, you should be able to validate a 4.0 message with a 4.1 schema (changing namespace at the instance document level). With major versions, backward compatibility is not guaranteed. Hope this helps. -Marc 😀

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