Transcript Document

FpML version 5.0
An introduction
Sept. 2007
Karel Engelen, ISDA
Andrew Jacobs, Handcoded
Marc Gratacos, ISDA
Brian Lynn, Global Electronic Markets
Agenda
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Major vs. Minor Releases
Technical/Architecture Changes in 5.0
Possible Changes in 5.0
Business Content Changes in 5.0
Materials Distributed for 5.0
Conclusions
KEngelen
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Major vs. Minor Releases
• Minor versions can add new functionality but are
limited
– Instance documents must be backward compatible
– No deletions/changes to existing elements
– Legal technical/architectural changes are limited
• Major versions can
– Introduce more significant technical/architectural changes
– Redesign existing product representations
• Version 5.0 is intended to introduce technical
and design changes that have been deferred for
compatibility reasons
AJacobs
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Architectural Changes in 5.0
• Currently implemented architectural changes
– Multiple Root Elements
– Introduction of “Views”
• These are included in first 5.0 Working Draft
• Feedback is requested while other 5.0 features
are being implemented
AJacobs
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Multiple Root Elements
• FpML v 1-4.x use “<FpML>” as the root of all documents
• FpML 4.x uses “xsi:type” to distinguish between
message types, e.g.
– <FpML version=“4-3” xsi:type=“RequestTradeMatch” … >
• FpML 5.x
– uses different element names to distinguish between message
types (no <FpML> root any more)
– Changes “version” to “fpmlVersion” to make it easier to
determine where the FpML starts, e.g.
– <requestTradeMatch fpmlVersion=“5-0”
AJacobs
… >
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Example of Multiple Roots
FpML 4.3
FpML 5.0
AJacobs
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Rationale for Multiple Roots
• Easier to understand than xsi:type
• Certain tools (e.g. binding frameworks, some
editors) have problems with xsi:type
AJacobs
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Multiple Roots
• Questions about multiple root elements?
AJacobs
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Introduction of “Views”
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Objective of views
Views in 5.0
Example of views
Business processes by view
Implementation of views
Impact on FpML users
MGratacos
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Objective of views
• Existing FpML has a single representation for each product
– (some products have short form and long form)
• FpML product representation is primarily designed for confirmation
– Many details, precise description
• It may be difficult to use FpML when not all detail is known/needed,
e.g.
– Pretrade: structuring, negotiation
– Summary reporting
• Making most/all elements optional would make confirmation too
loose
• Views are intended to provide multiple product representations, from
very loose to very tight
MGratacos
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Views in 5.0
• FpML 5.0 currently supports 3 views
– Pretrade
• Very loose product representation
• elements like parties, notionals, and dates are optional
• Everything in confirmation view is available (maybe optional)
– Reporting
• Intermediate representation
• Key economics are required (notionals, key dates, parties) but
details are not (e.g. date adjustments)
• Everything in confirmation view is available (maybe optional)
– Confirmation
• As current 4.x product representation
MGratacos
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Example
• Pretrade IR Swap, for RFQ
– Required
• Floating rate index
– Optional
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Payer/receiver parties
Effective and Termination dates
Calculation Frequency
Payment date details
Notional
Fixed Rate
Day Count Fraction
Adjustments
MGratacos
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Example
• Reporting IR Swap
– Required
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Floating rate index
Payer parties
Effective and Termination dates
Notional
Fixed Rate
– Optional
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Receiver Parties
Calculation Frequency
Payment date details
Day Count Fraction
Adjustments
MGratacos
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Example
• Confirmation IR Swap
– Required
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Floating rate index
Payer/receiver parties
Effective and Termination dates
Notional
Fixed Rate
Calculation Frequency
Payment date details
Day Count Fraction
Adjustments
MGratacos
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Business Processes by View
• Pre-trade
– RFQ
• Confirmation
– Confirmation,
– Post-trade event confirmation
• Reporting
– Everything else, e.g.
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Allocation
Contract Notification
Reconciliation (cash flow and portfolio)
Valuation reporting
Post-trade event negotiation
MGratacos
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Views - Implementation
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FpML maintains a single master
schema
Master schema contains
annotations with view-specific
details,
– “make this optional in view X”
– “put this only in view Y”
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FpML publishes separate viewspecific schemas, one per view
– Each view is generated from the
master prior to publication
– Each view has documentation and
examples
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Each view-specific schema will
have its own namespace, e.g.,
– http://www.fpml.org/FpML-50/pretrade
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End users will use a view-specific
schema, not the master
MGratacos
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Views - Impact
• FpML users must decide which view (schema) to use for
a given application/system
• Business processes are generally contained in a single
view
• Some messages may be available in several views (e.g.
“MessageRejected”)
• Once the view is selected, instance documents should
be closely compatible with previous FpML versions
• Choosing a looser view (e.g. pre-trade) allows more
flexibility about what data must be included in an
instance document
MGratacos
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Views - Impact
• Extensions will be impacted by the views
– Extensions will need to import the appropriate views
(e.g. <xsd:import
namespace=“http://www.fpml.org/FpML-5-0/pretrade”
…>
– Extensions applicable to multiple views will need to
be duplicated
MGratacos
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Views - Feedback Requested
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Number of views
Business processes per view
Product representation per view
Issues related to in-house extensions
MGratacos
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Views
• Questions about views?
MGratacos
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Possible Changes in 5.0
• Product representation
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A task force is starting to look at refactoring product designs
Aim for increased consistency across asset classes
Better support for multi-feature and hybrid products
More generic FX option product representation
Swaption, equity option, and FX option representations aligned with new
CDS options and bond options models.
• Message architecture
– Discussions are on-going about rationalizing/ refactoring message set to
improve consistency and completeness
• Identification
– There are ongoing discussions about trade, event, and business
process identification that may result in changes
• These are not major technical changes, but must be in a
major version due to backward incompatibility
AJacobs
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Business Content Changes in 5.0
• Currently, plans are for NO “new” business content in 5.0
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No new products
No new product features
No new business processes
EXCEPT possibly as below
• As a result of the refactoring/redesign, there may be new
business capabilities in 5.0
– Pre-trade capability across many products
– New messages (more complete and consistent)
– More flexible product capabilities (e.g. combinations of features)
AJacobs
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Business Content Changes in 5.0
• In addition, deprecated structures in 4.x versions
will be removed, e.g.
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A2A Messages (TradeCreated, etc.)
Equity Swaps
Contractual Supplement
some minor date-related options
AJacobs
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Business Content Changes in 5.0
• Questions about business content changes?
AJacobs
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Materials Distributed For 5.0
• Initial distribution (will probably change a little)
– Zip files, contents
– HTML Documentation
– Schema and examples
BLynn
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Version 5.0 - Zip files, contents
ZIP files of
view-specific
HTML
documentation
ZIP files of
view-specific
schemas and
examples
BLynn
Unpack
ZIP files
to see contents
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Launching HTML Documentation
Unpack
ZIP files
to see content
Double-click on
Index.html
for menu version
BLynn
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Overview of HTML Documentation
Specific view
shown at top
Section 2.1-3
discusses views
Click on link
to go to section
BLynn
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Documentation differences between views
Specific view
shown at top
Section 3
(Bus. Processes)
varies by view
BLynn
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Schema and examples
Directories for
view-specific examples
View-specific
schema files
Unpack ZIP files
to see contents
BLynn
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Conclusions
• Version 5.0 introduces a number of technical
changes
– Multiple root elements
– Multiple views
• Version 5.0 may introduce additional changes
– Product and message refactoring
• Version 5.0 won’t add new products or business
areas
• Existing product and business areas may
become more flexible
• Version 5.0 is distributed using several .zip files
BLynn
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FpML 5.0
• Questions on any aspect of version 5.0?
(All)
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