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Fpml Version 2.0 Trial Recommendation 30 August 2002

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Fpml Version 2.0 Trial Recommendation 30 August 2002 FpML Version 2.0 Trial Recommendation 30 August 2002 This version: http://www.fpml.org/spec/2002/tr-fpml-2-0-2002-08-30 Latest version: http://www.fpml.org/spec/fpml-2-0 Previous version: http://www.fpml.org/spec/2002/tr-fpml-2-0-2002-05-01 Errata for this version: http://groups.yahoo.com/group/fpml-issues/files/tr-fpml-2-0-2002-08-30- errata.html Copyright © 1999 - 2002. All rights reserved. Financial Products Markup Language is subject to the FpML Public License. A copy of this license is available at http://www.fpml.org/documents/license. FpML 2.0 Trial Recommendation Status of this Document: This is the Trial Recommendation of the FpML Version 2.0 specification. This specification is considered stable by the Interest Rate Derivative Product Working Group and has been reviewed by the FpML Standards Committee which has agreed to its publication as a Trial Recommendation. It is available for review during the Trial Recommendation period. The period of review ends on 30th September 2002 after which the FpML Standards Committee will consider moving this to a Recommendation. The FpML Standards Committee invites implementation feedback, both in the form of comments on the standard and confirmation of its successful implementation. Comments on this document and reports of successful implementations should be sent via http://www.fpml.org/issues/. An archive of the comments is available at http://www.fpml.org/issues/archive.asp. Public discussion of FpML takes place on the FpML Discussion List at [email protected] (subscribe at http://www.fpml.org/mailing-lists/join-discuss.asp ) A list of current FpML Recommendations and other technical documents can be found at http://www.fpml.org/spec. While implementation experience reports are welcomed, the FpML Consortium will not allow early implementation to constrain its ability to make changes to this specification prior to final release. This document has been produced as part of the FpML Version 2.0 activity and is part of the Standards Approval Process. This Activity was initiated by the FpML Board of Directors in October 2000 to extend the FpML Version 1.0 product definitions, which covered interest rate swaps and FRAs, to include further interest rate derivatives products and features. Working Group Members and Acknowledgements: This document was produced in the IRD Products Working Group, which comprises of the following members: • Steven Lord (UBS Warburg), chair • Guy Gurden (SwapsWire), previous chair • Andrew Addison (Merrill Lynch) • Ariane Athalie (BNP Paribas) • Owen Bugge (Blackbird) • Marisol Collazo (Mizuho Capital Markets) • Marie-Paule Dumont (S.W.I.F.T.) • Alexander Ernst (RiskTrak Financial) • Tom Fahy (Goldman Sachs) • Doug Gallager (Reval.com) • Mark Golding (JPMorgan) • David Gorans (BNP Paribas) • Paul Hoskins (Barclays Capital) • Saleem Huda (Algorithmics) • Vlad Iordanov (FinTrack Systems) • Keri Jackson (Cygnifi) - 3 - FpML 2.0 Trial Recommendation • Sathy Kovvali (Citigroup) • Philippe Negri (SunGard Trading & Risk Systems) • Michael North (Reuters) • Henry Teng (UBS Warburg) • Ian Thomas (Credit Suisse First Boston) • Patrick Treanor (Wall Street Systems) • Olga Urrutia (S.W.I.F.T.) • James Williams (Deutsche Bank) • Barry Witkow (Treasury Connect) • Chuck Witter (Bank of America) Working Group Guests • Nicholas Davies (Cygnifi) Editor • Steven Lord (UBS Warburg) - 4 - FpML 2.0 Trial Recommendation TABLE OF CONTENTS 1 INTRODUCTION ..............................................................................................................................................8 2 SCOPE.................................................................................................................................................................9 2.1 Scope ................................................................................................................................................................9 2.2 Architecture Framework...................................................................................................................................9 2.3 DTD Structure ................................................................................................................................................10 3 PRODUCT ARCHITECTURE OVERVIEW................................................................................................11 3.1 Introduction ....................................................................................................................................................11 3.2 Component Framework .................................................................................................................................11 3.3 Overview of Core Trade Components............................................................................................................12 3.3.1 The Trade Component ...........................................................................................................................12 3.3.2 The Product Component ........................................................................................................................13 3.4 Coding Schemes .............................................................................................................................................14 4 INTEREST RATE DERIVATIVE PRODUCT ARCHITECTURE............................................................15 4.1 Interest Rate Swap..........................................................................................................................................15 4.1.1 Swap Stream Diagrams .........................................................................................................................19 4.2 Forward Rate Agreement................................................................................................................................28 4.3 Option Components........................................................................................................................................30 4.3.1 European Exercise.................................................................................................................................30 4.3.2 American Exercise.................................................................................................................................32 4.3.3 Bermuda Exercise..................................................................................................................................33 4.3.4 Early Termination Provision .................................................................................................................33 4.3.5 Cancelable Provision.............................................................................................................................34 4.3.6 Extendible Provision..............................................................................................................................35 4.3.7 Swaption ................................................................................................................................................36 4.3.8 Cap / Floor ............................................................................................................................................38 4.4 Cash Settlement..............................................................................................................................................38 5 COMPONENT DEFINITIONS.......................................................................................................................40 5.1 Interpreting the Diagrams...............................................................................................................................40 5.2 Root Element Definition.................................................................................................................................41 5.3 Entity Definitions ...........................................................................................................................................42 6 DOCUMENT TYPE DEFINITION (DTD)..................................................................................................177 6.1 fpml-dtd-2-0 .................................................................................................................................................177 7 DATA DICTIONARY....................................................................................................................................194 7.1 Element Definitions......................................................................................................................................194 8 CHARACTER ENCODING AND CHARACTER REPERTOIRE ..........................................................247 8.1 Character Encoding ......................................................................................................................................247 8.2 Character Repertoire.....................................................................................................................................247 9 DATATYPES AND CODING SCHEMES...................................................................................................248 9.1 Datatypes......................................................................................................................................................248 9.1.1 date ......................................................................................................................................................248
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