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RE: FpML-VALU changes to position model
Andrew -
See comments below.
Please let me know if you'd like me to schedule a PRWG meeting to discuss.
Brian Lynn, CTO
Global Electronic Markets, http://global-emarkets.com
High-speed FpML matching, reconciliation, and validation:
http://fpml-mediator.com
-----Original Message-----
From: prwg@xxxxxxxx [mailto:prwg@xxxxxxxx] On Behalf Of
andrew.p.parry@xxxxxxxxxxxx
Sent: Wednesday, April 05, 2006 10:28 AM
To: prwg@xxxxxxxx
Cc: IBML_Core_Group@xxxxxxxxxxxx; dean.h.carr@xxxxxxxxxxxx
Subject: RE: FpML-VALU changes to position model
Brian
Apologies for not providing feedback earlier, a few comments around
"PositionReport", which I am taking as an analog of "ValuationReport"
PositionReport // fpml-reporting-4-2.xsd
#1 asOfDate
An identified date, which does not give you a context such as "london
1700" or "london open"
>> Context information such as location, timing, reporting currency, etc.
can be supplied in the quotation characteristics element at the report
level. This provides a set of default characteristics that can be
overridden for specific quotations.
#2 dataSetName
A string, elsewhere we have "id" and "type" such as we product
>> Andrew - I don't fully understand this comment. The dataSetName is just
a report name that is supposed to identify the data set. What do you
propose doing here, renaming the element? Making 2 elements, dataSetId and
dataSetType?
#3 positions
"the swap positions" I hope is a typo !
>> Thanks for pointing this out - Marc, can you please delete "swap" as
discussed?
Position // fpml-valuation-4-2.xsd
consituent only allows for trade or trade reference, not an aggregate
representation of the position
>> We had discussed this in the PRWG and we ultimately removed this. The
BPWG didn't change this aspect of the position.
scheduledDates does not give any sense of what these scheduled dates might
be from the element name
>> I don't much like the element name either, but it is what was what the
DSWG ultimately agreed to (I had proposed streamEvents, but this was
rejected), and the PRWG agreed to keep the naming. This wasn't changed by
the BPWG.
valuations ! are PositionReport and ValuationReport intended mirrors of
each other ?
>> Position report is intended to be a simpler report allowing a limited
number of pieces of valuation information with full trade economics (if
desired). ValuationReport is intended to support more complex risk reports
on individual trades and portfolios.
Regards
Andrew Parry
+44 20 7325 1486
IBML Product Manager
http://ibml.jpmorgan.com
"Brian Lynn" <brian.lynn@xxxxxxxxxxxxxxxxxxx>
Sent by: prwg@xxxxxxxx
04/04/2006 13:28
Please respond to prwg
To: <prwg@xxxxxxxx>
cc:
Subject: RE: FpML-VALU changes to position model
Since no one had any comments on this, we'll go ahead with the change and
won't meet today.
One thing to point out is that this change will add a required position Id
and version to the position ? it might be that for our purposes at least
the version should be optional.
Brian Lynn, CTO
Global Electronic Markets, http://global-emarkets.com
High-speed FpML matching, reconciliation, and validation:
http://fpml-mediator.com
From: prwg@xxxxxxxx [mailto:prwg@xxxxxxxx] On Behalf Of Brian Lynn
Sent: Wednesday, March 29, 2006 10:28 AM
To: prwg@xxxxxxxx
Subject: RE: FpML-VALU changes to position model
The changes are relatively minor, including some minor structural changes,
some increased optionality, and some additional identification
information.
If anyone has any questions, comments, or objections to this change,
please circulate them to the list (note the new email address for the
list).
If there are significant issues raised with this by Friday, we'll schedule
a meeting for next week to review this in more detail.
Also, if anyone has any other issues or proposals that they'd like to
raise, please let me know and/or circulate to the group. I'd be happy to
hold a meeting if we have anything substantial to discuss.
Brian Lynn, CTO
Global Electronic Markets, http://global-emarkets.com
High-speed FpML matching, reconciliation, and validation:
http://fpml-mediator.com
From: prwg@xxxxxxxx [mailto:prwg@xxxxxxxx] On Behalf Of Marc Gratacos
Sent: Wednesday, March 29, 2006 9:49 AM
To: prwg@xxxxxxxx
Subject: FpML-VALU changes to position model
All,
The Business Process Working Group is working on having an FpML
representation for portfolio reconciliation. One of the tasks has been to
review the current position representation defined by this group because
we wanted to reuse the same representation for portfolio reconciliation.
We have identified some potential changes to the Position type.
Position_current.jpg is the current position representation in 4.2 defined
by this working group.
Positon_new.jpg is the new proposed position representation defined by the
Business Process Working Group, which will be used for position reporting
and portfolio reconciliation.
The changes include:
Removed containers scheduledDates and valuations since the architecture
specification doesn't recommend its use.
Made reportingRoles optional since for some portfolio reconciliation
messages it's not appropriate.
Added position identification elements: positionId, version.
Changed constituent content
Made choice structure optional for extensibility purposes.
Added positionVersionReference to reference the information of a submitted
position.
Changed to a single partyTradeIdentifier block to reduce ambiguity.
Let me know your thoughts.
Best regards,
-Marc
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