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Hi Steven,
Tried to send this to FpML-discuss but doesn't seem to have gone through. But I think you may be the appropriate person to send this to, if not then bounce it back to me and I'll try to sort out what's happening with the discussion group.
We've gone through the FpML2 working draft to update our toolkit to the new version, and as usual it was quite thorough but we would appreciate clarification of the following details:
FpML_ExerciseFee and FpML_ExerciseFeeSchedule: Both have an element "notionalReference" described as: "a pointer style reference to the associated notional schedule defined elsewhere in the document". What is the actual type of the object referred to; is it FpML_Notional, FpML_Schedule, FpML_AmountSchedule...?
Same question for FpML_FxLinkedNotionalSchedule and FpML_PartialExercise
FpML_MandatoryEarlyTermination and FpML_OptionalEarlyTermination: Contain an element called "productReference". What is it? - it's shown in the diagram but there is no descriptive text. Is it really an href (as with everything else ending with "Reference") and if so, what is the type of the data to which it refers?
FpML_CancelableProvisionAdjustedDates: Text says "cancellable" provision, and contains element "cancellationEvent" which is of type FpML_CancellationEvent. Inconsistent spelling - should it be 1 or 2 L's?
FpML_AmericanExercise, FpML_EuropeanExercise, FpML_BermudanExercise: All contain "relevantUnderlyingDate" which is of type FpML_AdjustableOrRelativeDates. Perhaps nit-picking but wouldn't it be clearer to use the plural "relevantUnderlyingDates" to be consistent with the plural on the type name?
FpML_Trade: The descriptive text needs to be updated, it doesn't describe the element productStrategy, and this I assume would be an instance of FpML_Strategy?
A general note - FpML 2 seems to introduce the use of a type "double" as well as the previously used type "decimal". Is this on purpose and if so what's the distinction?
Examples 1-8 use "#" in hrefs while examples 9-26 don't. Which should it be?
Example 28 - bullet payment: the example contains 2 instances of element "bulletPayment" in the product, but the spec says "exactly one occurrence", although the subsequent text says "A product to represent one or more known payments". Which is it - one or several?
No examples provided using product strategy - this would be useful.
That's about it. The examples provided were very useful for testing the FpML2 release of our toolkit which is now available (subject to refinement as the specification is firmed up).
Paul Newton Kronos Software Ltd E-mail: paul@krns.com Tel +44 20 7739 9272, fax +44 20 7739 5482, mobile +44 7768 166 648
Notes:
mgratacos
04/13/05 5:30 pm
—–Original Message—–
From: Lord, Steven
Sent: 24 September 2001 11:01
To: Paul.Newton
Subject: RE: FpML2 specification – comments
Hi,
1. FpML_ExerciseFee and FpML_ExerciseFeeSchedule:
The reference here refers to the element notionalSchedule which is of
type FpML_Notional
2. FpML_MandatoryEarlyTermination and FpML_OptionalEarlyTermination:
This is an error in the document. The diagrams are out of date, the dtd
does not include a product reference. I will add this to the errata
list.
3. FpML_CancelableProvisionAdjustedDates:
The spelling of cancelable was a debateably point !! It was agreed to
go with cancelable and cancellation. You have indeed spotted an
inconsistency in the document. I will add to the errata list.
4. FpML_AmericanExercise, FpML_EuropeanExercise, FpML_BermudanExercise:
It’s a tough one since depending on it’s use it refers to one or more
dates. For instance in EuropeanExercise it referes to one date. In
American and Bermudan where there is no partial or multiple exercise
then there is only one relevant underlying date (though there are
multiple candidates prior to exercise).
5. FpML_Trade:
Good spot. The diagram is out of date. I will add to errata list.
6. use of ‘double’
This is an error. They should be decimal. I will add to errata list.
7. The use of the # in hrefs was debated with the Architecture group.
For consistency with schema they were suggesting their removal. The
first set of examples of the FpML 1.0 examples recast however I feel
that they should all be consistent. I will raise this with the group
and try and get a resolution.
8. BulletPayment
It having two bullet payments in the product is an error. This was an
earlier version. It was changed for consistency so that the bullet
payment product was a single bullet payment, multiple ones are
represented as a productStrategy.
9. No product strategy example.
This was specifically excluded as we could not think of a legitimate
example in the IRD world. It was been added to increase flexibility (eg
if a system wants to represent a cancelable swap as a swap and a
swaption) but also with future asset classes in mind – for instance FX
want to be able to represent a fx option and it’s associated spot hedge
as a single trade – a product strategy would be used.
These will be dicussed with the working group and decide whether it is
worth pushing out an updated document immediately or whether to leave
these points on the errata list for the moment.
Thanks for your thorough review.
Steven