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Attendees ======= Marc Gratacos Vlad Andrew Parry Brian Lynn Regrets ====== Amod Mahmoud Pierre L. Irina Sensitivity definition ============== We discussed the issue that Christian Nentwich raised (i.e.
that sensitivities contain an attribute that arguably contains business
content), and Andrew Parry’s proposal to change the sensitivity element into
a complex type that contains information describing the sensitivity (e.g. the
bucket). We decided that since most of the elements in the new
representation are optional, it can be used to represent sensitivities very
much as before, except there there is one additional level of nesting. We agreed in principle to make the change that Andrew
proposed. To maintain backward compatibility, we will allow a choice of the
existing or the new approach (at least during the 4.x series) but we will
document that the new approach is preferred and the old one is deprecated. Actions: -
Andrew will update the 4.2 schema to
add in his new types, coding schemes, enumerations, etc. to form a basis for
the updated schema. -
After this is done, Brian will
review and update the schema to make the change, and circulate to the group. Position Definition ============= We discussed the BPWG Position representation changes and
Marc reported that these have been incorporated in the FpML 4.2 trial
recommendation. (This, for example, adds a mandatory position identifier
to each position). AOB === Vlad discussed an interest in sensitivities and market
inputs for correlation curves based on default percentage buckets. Andrew suggested that additional usage guidelines and/or
validation rules would be helpful to understand how to use the PRWG definitions. Next meeting: ========== We will have another meeting once the above actions have
been completed. This is likely to be in 3-4 weeks. Brian Lynn, CTO Global Electronic Markets, http://global-emarkets.com High-speed FpML matching, reconciliation, and validation: |