FpML-PRWG RE: FpML 4-3 CreditCurveValuation

Marc –

No, unfortunately I don’t remember why we removed the element. It’s possible that we decided that it wasn’t necessary if you had all of the inputs, but that doesn’t really make a lot of sense to me at the moment.

PRWG members:

Does anyone remember why we commented out/removed the “creditSpreadCurve” from the CreditCurveValuation type?

From: Marc Gratacos [mailto:MGratacos@xxxxxxxx]
Sent: Friday, April 04, 2008 12:37 PM
To: Brian Lynn
Subject: FW: FpML 4-3 CreditCurveValuation

Brian,

See question below. Do you know the answer?

Thanks,

Marc

From: Van Begin Daniel (DBB) [mailto:daniel.vanbegin@xxxxxxxxx]
Sent: Monday, March 10, 2008 8:28 AM
To: Marc Gratacos
Cc: Rossi Marie-Josée (DBB); Tsapzang Cyrille (DBB)
Subject: FpML 4-3 CreditCurveValuation

Hello Marc,

You'll be happy to know that we have successfully moved our first FpML project into production.
The result is now that more and more projects are targeted towards this FpML-based platform.
We started with version 4-3 and we have been able to extend our own dML with respect of the FpML guidelines.

For a new project, we will be notifying market data (valuation) from one application to another.
For modelling credit curves and their valuation, we would like to use the CreditCurveValuation type. Unfortunately, beside the recovery curve, it lacks a TermCurve.

Since we noticed that this exact element exists as a comment in the type definition, we are puzzled !

By any chance, do you remember why this element was removed from the CreditCurveValuation definition and if it has been replaced by another structure ?

<xsd:complexType name="CreditCurveValuation">
<xsd:annotation>
<xsd:documentation xml:lang="en">A set of credit curve values, which can include pricing inputs (which are typically credit spreads), default probabilities, and recovery rates.</xsd:documentation>

</xsd:annotation>
<xsd:complexContent>
<xsd:extension base="PricingStructureValuation">
   <xsd:sequence>
    <xsd:element name="inputs" type="QuotedAssetSet" minOccurs="0"/>

    <xsd:element name="defaultProbabilityCurve" type="DefaultProbabilityCurve" minOccurs="0">
     <xsd:annotation>
       <xsd:documentation xml:lang="en">A curve of default probabilities.</xsd:documentation>
     </xsd:annotation>
    </xsd:element>
    <xsd:group ref="RecoveryRate.model" minOccurs="0">
     <xsd:annotation>
      <xsd:documentation xml:lang="en">A recovery rate value or curve.</xsd:documentation>
     </xsd:annotation>
    </xsd:group>
   </xsd:sequence>
</xsd:extension>
</xsd:complexContent>
</xsd:complexType>

Cheers,
Daniel Van Begin

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