All
Model
SwapLegBase ( abstract )
+
+++++++SwapLegWithUnderlyer ( concrete base type )
+ +
+ +++++++AssetLeg ( implementation )
+ +++++++EquityLeg ( implementation )
+
++++++++++++++InterestLeg ( implementation )
++++++++++++++VarianceLeg ( implementation )
Asset Swap
New Product, one to many legs of any type ( assetLeg, equityLeg, ... )
Equity Swap
Revert to distinct leg types as per FpML 4.0 ( EquityLeg, InterestLeg )
add option of Variance Leg
NOTE EquityLeg can support any Underlyer, see note on inflationLeg below
We should debate naming this "Return Swap"
Inflation Swap
New Product, work done for JPM/BGI by Andrew Jacobs of IBM
NOTE inflationLeg IS-A EquityLeg to make use of the fact that EquityLeg
can support any Underlyer, which in this case is an inflation index
Change
Baseline for this work is FpML 4-1 CVS as of Mon 11 Apr 2005 1200 LDN
fpml-as-4-1.xsd
// add new file
// add AssetSwap
// add AssetLeg
// add assetSwap
// add assetSwapLeg
// TOD confirm features ( ie ) valuation against documentation
// NOTE earlyTermination ( EQS startingDate and party ) *vs*
earlyTerminationProvision
fpml-eqs-4-1.xsd
// move AssetLeg to fpml-as-shared-4-1.xsd
// AssetLeg now extends SwapLegWithUnderlyer
// add include for fpml-swap-shared-4-1.xsd
// EquityLeg now extends SwapLegWithUnderlyer
// InterestLeg now extends SwapLegBase
// VarianceLeg now extends SwapLegBase
// assetSwapLeg now of type SwapLegBase
// move assetSwapLeg to fpml-as-4-1.xsd
// revert EquitySwapTransacationSupplement distinct leg types
// move global elements equityLeg, interestLeg, varianceLeg to
fpml-as-4-1.xsd
fpml-main-4-1.xsd
// add includes for new files
fpml-is-4-1.xsd
// add new file
// Inflation Swap work done for JPM/BGI by Andrew Jacobs of IBM
fpml-swap-shared-4-1.xsd
// add new file
// rename AssetSwapLeg to SwapLegBase
// make SwapLegBase abstract
// add SwapLegWithUnderlyer
Attached
<<attachment: winmail.dat>>