Re: FpML-VALU PRWG minutes 2006-06-13

[Brian Lynn <brian.lynn@xxxxxxxxxxxxxxxxxxx>]

Andrew - 

Can you circulate to the group a description of that model?

Thanks,

Brian

On Wed Jun 14  1:04 , andrew.p.parry@xxxxxxxxxxxx sent:

>Brian
>
>I also have a NetPosition model if this would be of interest
>
>Regards
>
>Andrew Parry
>+44 20 7325 1486
>IBML Product Manager
>http://ibml.jpmorgan.com
>
>
>
>
>
>"Brian Lynn" brian.lynn@xxxxxxxxxxxxxxxxxxx>
>Sent by: prwg@xxxxxxxx
>13/06/2006 16:57
>Please respond to prwg
> 
>        To:     prwg@xxxxxxxx>
>        cc:     christian@xxxxxxxxxxxxxxxx>
>        Subject:        FpML-VALU PRWG minutes 2006-06-13
>
>
>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:
>http://fpml-mediator.com
> 
> 
>
>
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