FpML-BP Underlying rate proposal for cash flow calculations.

[Henri Pegeron <hpegeron@xxxxxxxx>]

All,

I'm attaching a proposal to add a rate to the cashflow matching schema
as a calculation detail.

Currently the notional can be specified, however there is nowhere to specify
the rate of the underlying transaction on a cashflow record (without the
use of tradeIdentifyingItems).  A calculatedRate is available, however
it is not appropriate to refer to the underlying rate as a calculated rate,
and thus the proposal.

The general idea is to add an "underlyingRate"
to the CashflowCalculationElements of Type "CashflowRate".  

Details are in the attached word document.
 
I've also attached 2 sample messages
using the proposal as a follow up to my previous example in which an observationElement
was (incorrectly) being used to express the "Fixed Rate".

I'd like to talk through this proposal/examples
at the next BPWG.

Thanks and Regards,
Henri Pegeron: DTCC
Business Analyst: ADM
+1 212 855 1682


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Attachment: CashflowMatchingRateProposal.doc
Description: Binary data

Attachment: fpml-cashflow-matching-4-2.xsd
Description: Binary data

Attachment: Cashflow_Proposal_CDS_Single_Coupon.xml
Description: Binary data

Attachment: Cashflow_Proposal_CDS_Index_Coupon_Factor.xml
Description: Binary data