I've attached Andrew's net position proposal. We'll discuss this the next
time we meet.
We'll meet again when the updates to the schema discussed at the last
meeting are ready; I don't have an ETA on this yet.
Brian Lynn, CTO
Global Electronic Markets, http://global-emarkets.com
High-speed FpML matching, reconciliation, and validation:
http://fpml-mediator.com
-----Original Message-----
From: andrew.p.parry@xxxxxxxxxxxx [mailto:andrew.p.parry@xxxxxxxxxxxx]
Sent: Tuesday, July 11, 2006 3:42 AM
To: Brian Lynn
Subject: RE: FpML-VALU PRWG minutes 2006-06-13
Brian
Please find presentation attached
Regards
Andrew Parry
+44 20 7325 1486
IBML Product Manager
http://ibml.jpmorgan.com
"Brian Lynn" <brian.lynn@xxxxxxxxxxxxxxxxxxx>
10/07/2006 16:53
To: <andrew.p.parry@xxxxxxxxxxxx>
cc:
Subject: RE: FpML-VALU PRWG minutes 2006-06-13
Andrew -
I was wondering when this proposal might be ready for discussion...
Regards,
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, June 14, 2006 3:04 AM
To: prwg@xxxxxxxx
Cc: christian@xxxxxxxxxxxxxxxx
Subject: Re: FpML-VALU PRWG minutes 2006-06-13
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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