All, First of all, we published yesterday the first working draft for version 4.2 including our work in the MWG. I’d like to thank everybody for their contributions. The working draft is available at: <http://www.fpml.org/spec/2005/wd-fpml-4-2-2005-05-04/> http://www.fpml.org/spec/2005/wd-fpml-4-2-2005-05-04/ The only remaining point in our things to do, besides refining the published material, is option exercise. We briefly discussed Matthew’s proposal in the last meeting. I have updated it according to the comments I got: - Naming “option” element - it’s more a reference to an existing option trade. A suggestion was to name it “originalTrade” - Done. - Create a container called exerciseCharacteristics containing the timing information and whether the option exercise is full or partial. - Done. - Do we need the information of the underlying asset if it is a full exercise? Participants don’t think so. Asset information should be contained inside “partial” element. - Done. - Reuse the existing underlying asset elements instead of creating a new asset component and add effective/termination dates if necessary..- Done. I reused the underlying asset element and I added the effective/termination dates in simpleIrSwap, simpleCreditDefaultSwap, and simpleFra. * It’s still open whether these dates should be adjusted or adjustable. - In case of physical settlement, after the option exercise notification, should we send a message back with the updated product information? - in case of Bermudan options the start date is relative to the exercise date. - Not done. - It’s still not clear to me the physical settlement part. I put a reference pointing to the underlying asset (which will be contained inside partial exercise) since effective/termination dates will be included in the underlying physical swap/security. But I am not sure I am doing this correctly. See jpg and updated schema files. Let me know your thoughts on this. Best Regards, -Marc +1-212-901-6028
<<attachment: winmail.dat>>