Andrew,
hope you are well. You had made some enquiries about kicking off some activity on fund derivatives som time back. Did this go anywhere? The background is that I am inteviewing at the moment for role which will involve enabling the scaling a fund derivatives business.
Many thanks
To: eqdwg@xxxxxxxx
CC: matthew.d.rawlings@xxxxxxxxxxxx; mark.a.addison@xxxxxxxxxxxx
Subject: FpML-EQD FpML EQD WG Agenda 1400 LDN Fri 16 May 2008
From: andrew.p.parry@xxxxxxxxxxxx
Date: Thu, 15 May 2008 09:23:07 +0100
* Telephone Conference
US: 1 888 481 3032
UK: 0 800 904 7961
Intl: 1 617 801 9600
Participant code: 8682747
* Agenda
1. Actions from 1400 LDN Fri 02 May
2008
KE provide ISDA perspective on what
is driving the complexity of the legal drafting process
AP make schema changes for FpML-4-4
release within branch "FpML-4-4-5-LCWD-1-EQD" created from tag
"FpML-4-4-5-LCWD-1-EQD"
RM determine treatment of linear interpolation
** FpML-4-4 source code changes **
1. add optional element relevantJurisdiction
IS-A Country on type EquitySwapTransactionSupplement, with annotation as
per "2008 AEJ EFS FpML proposal.doc" from Robert Masri, DTCC
[ AP done ]
2. add “ISDA2008EquityFinanceSwapAsiaExcludingJapan”
scheme should be added to "master-confirmation-type.xml", with
annotation as per "2008 AEJ EFS FpML proposal.doc" from Robert
Masri, DTCC [ IY done]
3. make element notionalReset IS-A xsd:boolean
optional on type ReturnLegValuation [ AP done ]
4. make element settlementType optional
within OptionSettlement.model [ IY done ]
5. add optional element nonCashDividend
IS-A xsd:boolean as the last child of type DividendLeg [ AP done ]
2. Actions from 1400 LDN Fri 09 May
2008
MG make XQuery implementation of FpML
business rules available for download on FpML web site
AP propose solution to issue 682
AP review rule context for complex types
Trade vs Contract vs Strategy ( related to issue 675 )
AP review using of type Compounding
within EquityDerivatives
IY commit resolution for issue 674
** FpML-4-4 source code changes ***
None required from our group. Element
compounding IS-A Compounding is an optional child of InterestCalculation,
which is only used within InterestLeg of Return Swaps. Since compounding
is optional within the EQD product scope, we are not exposed to the value
'None' within CompoundingMethodEnum
** Business rule issue **
http://www.fpml.org/issues/view.php?id=682
We have discussed that integralMultipleExercise
is not applicable for the last exercise ( automatic or manual ) as per
Robert Masri and Piers Evans. Since we cannot capture 'last exercise' as
a context, we may have to remove rule eqd-17
** Business rule context **
EQD business rules to date are based
on a product context, such as 'EquityOption' which is applicable to Trade,
Contract, and Strategy. Automated production of a rule context list would
be welcome
3. AOB
Regards
Andrew Parry
+44 20 7325 1486
Exotics and Hybrids Architecture
JP Morgan
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