RE: FpML-IRD FpML Modelling Task Force: Issues for IRD-WG

["Valentino, Jeffrey C" <jeffrey.c.valentino@xxxxxxxxxxxxxxxxxx>]

My opinion:
 
16. Leave as is....to Guy's point.
17. Leave as is....no clear benefit to the proposal. Compatibility is more important than consistency with other asset classes in my opinion.
14. Leave as is....to your point.

________________________________

From: irdwg@xxxxxxxx on behalf of harry.mcallister@xxxxxxxxxxxxxxxxx
Sent: Fri 4/25/2008 3:34 PM
To: irdwg@xxxxxxxx
Cc: brian.lynn@xxxxxxxxxxxxxxxxxxx; mgratacos@xxxxxxxx
Subject: FpML-IRD FpML Modelling Task Force: Issues for IRD-WG



The FpML Modelling Task Force was created in the latter part of 2007 with
the objective to identify and address modelling issues and inconsistencies
in FpML 4.

Some of these issues may be remedied in the FpML 4-x series, others would
constitute breaking changes and so must be held over to FpML 5.

In the initial report from the task force, a number of issues were raised
for the consideration of the Interest Rates Working Group. It has been my
intention to discuss these at a meeting of the Group, but as the date of
the next call is (as yet) undetermined, I would like to invite comment via
the mailing list so that we can report a consensus view back to the MTF.

The open issues are as follows (numbering is taken from the Initial Report
issues list, please see document attached, section "Recommendations with no
consensus"):

   16) IRD:  explore the feasibility of simplifying element names that
   contain context, eg. cashSettlementPaymentDate to eliminate the context.

   17) IRD: Change IR effective and termination dates to be of type
   AdjustableOrRelativeDate, to correspond to other asset classes.

The following issue was also considered by the MTF in the context of a
proposal to eliminate unnecessary use of substitution groups, and requires
to be validated by the IRD-WG:

   14) IRD: rateCalculation substitution group:  we are satisfied with the
   existing representation and propose to leave as is

The arguments relating to these points can be summarised as follows:

   16.      As a general principle, element names should not repeat
      information supplied by the enclosing context. In the case of
      cashSettlement, the child elements cashSettlement-ValuationTime,
      -ValuationDate, -PaymentDate, -Currency and -ReferenceBanks are all
      prefixed with "cashSettlement". The suggestion is to remove the
      prefix, as this information is supplied by the context. This would be
      a backward-incompatible change.

      Guy Gurden (SwapsWire) has argued in favour of retaining the prefix,
         pointing out that the element names correspond to defined terms in
         the ISDA confirmation language.

   17.      Within CalculationPeriodDates, we currently have alternate
      representations for the effective- and termination- dates, either as
      [effective|termination]Date or relative[effective|termination]Date.
      The proposal is to merge these elements into a single type
      (AdjustableOrRelativeDate) in line with usage in other asset classes.
      This would be a backward-incompatible change.

      One possible problem with the proposal is that the "relative" forms
      of the dates are of subtly different types (relativeEffectiveDate is
      an instance of AdjustedRelativeDateOffset, which extends
      RelativeDateOffset with optional BusinessDayAdjustments).

   14.      It was suggested that the substitution group headed by
      rateCalculation within Calculation should be replaced with a simple
      choice (floatingRateCalculation|inflationRateCalculation).

      I have argued that the substitution group provides an extension point
      for implementors who wish to specify other modes of rate calculation
      (e.g. range accrual) and should be retained for this reason.

I would be grateful if you would consider your position with regard to
   these points, and submit your response to the IRDWG mailing list.

Best regards,

Harry McAllister
Chair, IRD-WG

BNP Paribas
Fixed Income Architecture
+44 20 7595 3416



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