Due to an unexpected problem, Andrew Parry
requested me to postpone today’s call. He’ll send an email with an updated
agenda.
Sorry for the short notice.
Best regards,
Marc
From: eqdwg@xxxxxxxx [mailto:eqdwg@xxxxxxxx]
On Behalf Of andrew.p.parry@xxxxxxxxxxxx
Sent: Thursday, May 22, 2008 3:43
AM
To: eqdwg@xxxxxxxx
Subject: FpML-EQD v2 FpML EQD WG
Agenda 1400 LDN Fri 23 May 2008
Importance: High
* Telephone Conference
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Participant
code: 8682747
*
Agenda
1.
Actions from 1400 LDN Fri 16 May 2008
TA/JC
create further Swaps Wire proposal for inclusion in FpML-4-4-LCWD-2
MG
confirm that Swaps Wire interest leg date type proposal is consistent with
existing date type
LL
arrange area on FpML website to host XQuery implementation of FpML business
rules
RM
contact Harry McAllister ( IRD WG Chair ) for advice on approach to compounding
spread proposal
RM
create compounding spread proposal
MR
provide list of business rule condition and context
IY
correct validation examples recorded as issues 703, 704, 705, 706
2.
Swaps Wire Interest Leg proposal
MG
now confirms that FpML-4-3 is closed, this work must be included in FpML-4-4
onwards
3.
Swaps Wire Coding Scheme proposal
ISDA
have produced a draft of the 2008 Open Market Option annex for AEJ, the
following addition is propoosed for the master confirmation type scheme (
current version is "master-confirmation-type-5-7.xml" )
<Row>
<Value>
<SimpleValue>ISDA2008EquityOptionAsiaExcludingJapan</SimpleValue>
</Value>
<Value>
<SimpleValue>FpML</SimpleValue>
</Value>
<Value>
<SimpleValue>The
Cash-settled Open Market Equity Option
Annex
to the ISDA 2008 AEJ (Asia Excluding Japan) Master Equity
Derivatives
Confirmation Agreement applies.</SimpleValue>
</Value>
</Row>
4.
Time scale for seperation of schema and coding scheme values
Either
a date for implementation, or the date when we can expect a decision
This
is of particular interest to this group given the diversity of ISDA
documentation we must support, which does not always require schema changes
5.
DTCC Compounding Spread Proposal
Please
see attached "compounding.zip"
6.
Moving second order derivatives into FpML-4-5, Scope of FpML-4-5
I
propose that we move EQD second order derivatives ( Option on Correlation Swap,
Option on Dividend Swap, Option on Variance Swap ) into FpML-4-5, to allow time
for finalised ISDA documentation, and more input from the group
Product
scope of FpML-4-5 would be
Option
on Variance Swap ( ISDA draft in progress )
Variance
Swap on Dispersion Underlyer ( ISDA draft in progress )
and
in addition, if there is sufficient interest
Option
on Correlation Swap
Option
on Dividend Swap
other
products will be added, or existing products amended on a demand led basis
7.
Issues
http://www.fpml.org/issues/view.php?id=703
http://www.fpml.org/issues/view.php?id=701
http://www.fpml.org/issues/view.php?id=699
http://www.fpml.org/issues/view.php?id=684
http://www.fpml.org/issues/view.php?id=685
http://www.fpml.org/issues/view.php?id=698
http://www.fpml.org/issues/view.php?id=700
http://www.fpml.org/issues/view.php?id=702
http://www.fpml.org/issues/view.php?id=682
http://www.fpml.org/issues/view.php?id=672
http://www.fpml.org/issues/view.php?id=686
http://www.fpml.org/issues/view.php?id=683
http://www.fpml.org/issues/view.php?id=679
http://www.fpml.org/issues/view.php?id=675
http://www.fpml.org/issues/view.php?id=677
8.
AOB
Andrew
Parry
+44 20 7325 1486
Exotics and Hybrids Architecture
JP Morgan
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