FpML-FXWG-Legacy Fwd: FW: [fpml-fx] 2 questions regarding FX DTD

["Danielle Cauthen" <dcauthen@xxxxxxxx>]

--- In fpml-fx@xxxxxxxxxxxxxxx, Rick Schumacher 
<rick.schumacher@...> wrote:

FYI ... Steven's comments, per last week.  We will make a small 
change to
the DTD to eliminate the id and href attributes on these specific 
elements.

Rick


-----Original Message-----
From: Steven.Lord@... [mailto:Steven.Lord@...]
Sent: Monday, December 03, 2001 8:29 AM
To: rick.schumacher@...
Subject: RE: [fpml-fx] 2 questions regarding FX DTD


Rick,
 
I think you are right with your approach. I remember it coming up in 
the Citi/UBSW proposal and whether or not these references would add 
anything. It boils down to the old issue of how much validation you 
try 
and make implicit in the DTD - in general we have found the more you 
have the less clear the standard becomes.
 
There are similar cases in the IRD standard - for instance the 
currency 
of the rate being observed and the currency of the notional on which 
interest will be calculated are independent even though, in general, 
they would be the same. It is left to some validation routine to 
check 
this.
 
Steven
 
-----Original Message-----
From: rick.schumacher 
Sent: 03 December 2001 02:24
To: Lord, Steven
Cc: rick.schumacher
Subject: FW: [fpml-fx] 2 questions regarding FX DTD


Steven,
 
I hope you had a good holiday.  I'd like you review issue below, 
where 
we've decided that the usage of id and href attributes was really 
ugly 
for options (to ensure that the quoted currency was one of the dealt 
currencies of the option).  These originally came from the Citi/UBS 
Warburg spec, but when we tried doing an XML example for a straddle, 
this gets really bad.  We are planning to eliminate the id attribute 
on 
the <callCurrencyAmount> and <putCurrencyAmount> tags, and then we 
will 
eliminate the href attribute from the optional <optionOnCurrency> 
and 
<faceOnCurrency> tags, and here we will simply reference a 
currency ... 
we would therefore expect a validation routine to check to ensure 
that 
if these optional tags are used, they must be one of the two dealt 
currencies in that leg.
 
See below for reason why we decided this.  If you have any comments, 
please let me know.
 
Rick
 
-----Original Message-----
From: Rick Schumacher 
Sent: Wednesday, November 28, 2001 2:40 PM
To: 'fpml-fx@xxxxxxxxxxxxxxx'
Subject: RE: [fpml-fx] 2 questions regarding FX DTD


Regarding #2, I think this needs a bit more explanation.  Ned is 
putting together a straddle example, which would be a typical 
options 
strategy.  For those of you not familiar with a straddle, it 
consists 
of either a long call and a long put, or a short call and a short 
put, 
where both options have the same exercise price and expire at the 
same 
time. If both the call and put are purchased, the trader is said to 
be 
long the straddle; if both options are sold, the trader is said to 
be 
short the straddle.  So, in FpML terms, there are two occurrences of 
fxSimpleOption within the strategy node.  The issue is that if you 
simply designate "put currency" and "call currency," how do you know 
which put currency and which call currency, because they are 
different 
for each "leg."  Here's a snippet of what it looks like 
(I've stripped 
out all of the premium and expiry stuff, to make this easier to 
focus 
on the issue):
 
  <strategy>
   <productType>STRADDLE</productType>
   <fxSimpleOption>                                  **** Here's the 
AUD put
    <buyerPartyReference href = "#CHASE"/>
    <sellerPartyReference href = "#ABN"/>
    <expiryDateTime></expiryDateTime>
    <exerciseStyle>European</exerciseStyle>
    <fxOptionPremium></fxOptionPremium>
    <valueDate>2001-12-24</valueDate>
    <settlementType>
     <physical/>
    </settlementType>
    <putCurrencyAmount id = "putcurrencyleg1">       **** have had 
to 
designate this as "leg1"
     <currency>AUD</currency>
     <amount>50000000</amount>
    </putCurrencyAmount>
    <callCurrencyAmount id = "callcurrencyleg1">     **** have had 
to 
designate this as "leg1"
     <currency>USD</currency>
     <amount>26000000</amount>
    </callCurrencyAmount>
    <strikePrice>
     <rate>0.5200</rate>
     <strikeQuoteBasis>CALLCURRENCYPERPUTCURRENCY</strikeQuoteBasis>
    </strikePrice>
    <quotedAs>
     <optionOnCurrencyReference href = "#putcurrencyleg1"/>  **** 
reference "leg1"
     <faceOnCurrencyReference href = "#callcurrencyleg1"/>   **** 
reference "leg1"
     <quotedTenor>
      <periodMultiplier>1</periodMultiplier>
      <period>M</period>
     </quotedTenor>
    </quotedAs>
   </fxSimpleOption>
   <fxSimpleOption>                                      **** Here's 
the AUD call
    <buyerPartyReference href = "#CHASE"/>
    <sellerPartyReference href = "#ABN"/>
    <expiryDateTime></expiryDateTime>
    <exerciseStyle>European</exerciseStyle>
    <fxOptionPremium></fxOptionPremium>
    <valueDate>2001-12-24</valueDate>
    <settlementType>
     <physical/>
    </settlementType>
    <putCurrencyAmount id = "putcurrencyleg2">                 **** 
Reference leg2
     <currency>USD</currency>
     <amount>26000000</amount>
    </putCurrencyAmount>
    <callCurrencyAmount id = "callcurrencyleg2">               **** 
Reference leg2
     <currency>AUD</currency>
     <amount>50000000</amount>
    </callCurrencyAmount>
    <strikePrice>
     <rate>0.5200</rate>
     <strikeQuoteBasis>PUTCURRENCYPERCALLCURRENCY</strikeQuoteBasis>
    </strikePrice>
    <quotedAs>
     <optionOnCurrencyReference href = "#callcurrencyleg2"/>   **** 
Reference leg2
     <faceOnCurrencyReference href = "#putcurrencyleg2"/>      **** 
Reference leg2
     <quotedTenor>
      <periodMultiplier>1</periodMultiplier>
      <period>M</period>
     </quotedTenor>
    </quotedAs>
   </fxSimpleOption>
  </strategy>
 
I just don't see what we gain by having these.  There is no 
guarantee 
that there are only two option legs in a strategy.  We could 
eliminate 
the id attribute on putCurrencyAmount and callCurrencyAmount, and we 
could eliminate the href attribute for the optionOnCurrency and 
faceOnCurrency, and it seems like a separate validation tool could 
validate that the optionOnCurrency and faceOnCurrency must be one of 
the deal currencies.
 
Rick

To:   fpml-fx@xxxxxxxxxxxxxxx
cc:
Subject:  [fpml-fx] 2 questions regarding FX DTD

... 
2. optionOnCurrencyReference and faceOnCurrencyReference.  In doing 
an
option strategy, Ned found that the parser was complaining about 
having
duplicate id's defined for PUTCURRENCY.  Ned is wondering why we 
need 
the
href at all ... can't we just use the currency code instead?

     e.g., instead of <optionOnCurrencyReference 
href="#PUTCURRENCY"/>

     use <optionOnCurrency>EUR</optionOnCurrency>


Rick




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