RE: FpML-IRD Stubs representation

["Orme, Jamie" <Jamie.Orme@xxxxxx>]

Both of the below proposals make perfect sense to me.

Thanks

Jamie

-----Original Message-----
From: irdwg@xxxxxxxx [mailto:irdwg@xxxxxxxx] On Behalf Of
harry.mcallister@xxxxxxxxxxxxxxxxx
Sent: Tuesday, November 13, 2007 5:26 PM
To: irdwg@xxxxxxxx
Cc: iyermakova@xxxxxxxx; mgratacos@xxxxxxxx
Subject: FpML-IRD Stubs representation

All,

I'd like to draw your attention to a couple of proposed changes to the
stubs model under InterestRateStream. The changes are essentially
technical and are not expected to affect compliant instance documents -
they are discussed on the FpML issues list at:
http://www.fpml.org/issues/view.php?id=518:

   Change the cardinality of StubValue/floatingRate, from 1..* to 1..2.
   Rationale: the stub can be produced with a single rate/tenor,
applicable
   for the broken period, or with two rate/tenors, interpreted as bounds
   for calculation of an interpolated rate. More than two instances of
   StubValue/floatingRate are inconsistent with the existing annotation,
   not meaningful in business terms, and should not be permitted by the
   schema.


   Change the content model of StubCalculationPeriodAmount to enforce
the
   presence of at-least-one-of initialStub|finalStub. Rationale: at
present
   both elements are optional, so StubCalculationPeriodAmount can be
   produced with no stub content, contrary to the documented intended
   usage, while remaining schema-valid. This change aligns the content
   model with the analagous StubCalculationPeriod in eq-shared.

I believe these changes are straighforward rationalisations of the model
- your comments and observations are invited.

Best regards,

Harry McAllister
Chair, FpML IRD-WG

Fixed Income Architecture
BNP Paribas
+44 20 7595 3416


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