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RE: FpML-EQD FpML EQD Agenda 1400 LDN Fri 06 May 2008 v2
Apologies, I cannot attend today.
-Jim
* Supporting Materials
* 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 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 zip file, sub directory "DTCC"
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. EUR
Var Dispersion Proposal
Please see
attached zip file, sub directory "EURVarDispersion"
8. 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
9. AOB
Andrew
Parry
+44 20 7325 1486
Exotics and Hybrids Architecture
JP
Morgan
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