[roma]

Hi, scolebourne

I believe that knownAmountSchedule must be used only with known amount payments, but not the rate schedule or notional schedule. For rate schedule you can use calculationPeriodAmount/calculation/fixedRateSchedule.

[roma]

Thank you, Harry

[roma]

Hi Alex!

Can’t say for everyone. But in our system we use rule “initial notional at the start of the trade”. I think this choose give you more global look at trade -> you have less uncertainty at trade processing.

[roma]

About fix leg – you are absolutely right. It’s my mistake – i used example from 5.6 version which has some errors (wrong roll convention and payment freq.).

There is post about this – http://www.fpml.org/issues/view.php?id=1200

About compounding, i’m still think that there is no compounding on fixed leg (why not?), but i think best practice to use compoundingMethod = NONE in this cases.

[roma]

Hi,

i believe this configuration means that first period is 20.02.2005-22.05.2005 (for float leg) and 20.02.2005-31.12.2005 (and then apply adj.) (for fix leg). No “firstRegularPeriodStartDate” = no initial stub.

Also, i think there is no “compoundingMethod” on fix, because calculation period = payment period = 1Y.

this can be useful – http://www.fpml.org/_wgmail/_im-custodianmail/msg00030.html

[roma]

Strip options are used in commodity market. One trade, one premium, but several expirations at same strike. It trades as one product.
For example you can buy fuel for all 3 winter mounts (10k in each mount at 6$) and pay one premium for it. It is like long-time delivery contract. Strip options just cheaper and easier to work with, than buy basket of options.

[roma]

Option strip = series of options.
In this example it is the same as 3 options 10 000 MT each with expiration in the end of each month.

[roma]

Or you can use nonpublicExecutionReportRetracted element (example – http://www.fpml.org/spec/fpml-5-6-3-tr-1/html/confirmation/xml/business-processes/allocation/msg-ex24-cds-request-allocation-retracted.xml) for cancel previous message

[roma]

If amortization dates = payment dates, everything ok) but i have some examples: 1) Payment frq = 6M Reset frq = 3M Calculation period = 3M Compounding Method = Flat 2) Payment frq = 6M Amortization frq = 1M Calculation Period = 1M Compounding Method = None 3) Payment frq = 6M Reset frq = 3M Amortization frq = 1M Calculation Period = 1M Compounding Method = ???

[roma]

I think you should use 2 fxLinkedNotionalSchedule. 1. For (A) leg – set initialValue to 10.000.000 and add one varyingNotionalFixingDates relative to trade date for exmpl. 2. For (B) leg – set periodic notional change at reset dates or something. The problem is that you must set constantNotionalScheduleReference reference to another fx Linked Notional Schedule, but fxLinkedNotionalSchedule element has no attribute. But you can extend this type with attribute.

[roma]

I understand right? (exmpl) Calculation period number | (A) leg notinal | (B) leg notional ——————————————————————– 1. | 10.000.000 USD | (A)* rate USD/EUR at some date 2. | (B) * rate USD/UER | 12.000.000 EUR (because rate at 1 period was 1.2) 3. | (B) * rate USD/UER | 12.000.000 EUR 4. | (B) * rate USD/UER | 12.000.000 EUR etc

[roma]

Thank you, Alex. The problem with (2) is that for compounding i must set compoundingMethod = Flat (for exmpl), and for amortization compoundingMethod = None.

[roma]

Hello. I think you can use new message with “isCorrection” element set as “true”, and “exerciseAction” set to “Abandon”. Check this example for Request NOT to exercise options – http://www.fpml.org/spec/fpml-5-6-3-tr-1/html/confirmation/xml/business-processes/option-exercise-expiry/msg-ex02-request-execution-2-do-not-exercise.xml

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