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FpML version 5.0 An introduction

FpML version 5.0 An introduction. Sept. 2007 Karel Engelen, ISDA Andrew Jacobs, Handcoded Marc Gratacos, ISDA Brian Lynn, Global Electronic Markets. Agenda. Major vs. Minor Releases Technical/Architecture Changes in 5.0 Possible Changes in 5.0 Business Content Changes in 5.0

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FpML version 5.0 An introduction

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  1. FpML version 5.0 An introduction Sept. 2007 Karel Engelen, ISDA Andrew Jacobs, Handcoded Marc Gratacos, ISDA Brian Lynn, Global Electronic Markets

  2. Agenda • 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

  3. 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

  4. 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

  5. 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

  6. Example of Multiple Roots FpML 4.3 FpML 5.0 AJacobs

  7. Rationale for Multiple Roots • Easier to understand than xsi:type • Certain tools (e.g. binding frameworks, some editors) have problems with xsi:type AJacobs

  8. Multiple Roots • Questions about multiple root elements? AJacobs

  9. Introduction of “Views” • Objective of views • Views in 5.0 • Example of views • Business processes by view • Implementation of views • Impact on FpML users MGratacos

  10. 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

  11. 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

  12. Example • Pretrade IR Swap, for RFQ • Required • Floating rate index • Optional • Payer/receiver parties • Effective and Termination dates • Calculation Frequency • Payment date details • Notional • Fixed Rate • Day Count Fraction • Adjustments MGratacos

  13. Example • Reporting IR Swap • Required • Floating rate index • Payer parties • Effective and Termination dates • Notional • Fixed Rate • Optional • Receiver Parties • Calculation Frequency • Payment date details • Day Count Fraction • Adjustments MGratacos

  14. Example • Confirmation IR Swap • Required • Floating rate index • Payer/receiver parties • Effective and Termination dates • Notional • Fixed Rate • Calculation Frequency • Payment date details • Day Count Fraction • Adjustments MGratacos

  15. Business Processes by View • Pre-trade • RFQ • Confirmation • Confirmation, • Post-trade event confirmation • Reporting • Everything else, e.g. • Allocation • Contract Notification • Reconciliation (cash flow and portfolio) • Valuation reporting • Post-trade event negotiation MGratacos

  16. Views - Implementation • 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” • FpML publishes separate view-specific schemas, one per view • Each view is generated from the master prior to publication • Each view has documentation and examples • Each view-specific schema will have its own namespace, e.g., • http://www.fpml.org/FpML-5-0/pretrade • End users will use a view-specific schema, not the master MGratacos

  17. 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

  18. 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

  19. Views - Feedback Requested • Number of views • Business processes per view • Product representation per view • Issues related to in-house extensions MGratacos

  20. Views • Questions about views? MGratacos

  21. Possible Changes in 5.0 • Product representation • 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

  22. Business Content Changes in 5.0 • Currently, plans are for NO “new” business content in 5.0 • 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

  23. Business Content Changes in 5.0 • In addition, deprecated structures in 4.x versions will be removed, e.g. • A2A Messages (TradeCreated, etc.) • Equity Swaps • Contractual Supplement • some minor date-related options AJacobs

  24. Business Content Changes in 5.0 • Questions about business content changes? AJacobs

  25. Materials Distributed For 5.0 • Initial distribution (will probably change a little) • Zip files, contents • HTML Documentation • Schema and examples BLynn

  26. Version 5.0 - Zip files, contents ZIP files of view-specific HTML documentation ZIP files of view-specific schemas and examples Unpack ZIP files to see contents BLynn

  27. Launching HTML Documentation Unpack ZIP files to see content Double-click on Index.html for menu version BLynn

  28. Overview of HTML Documentation Specific view shown at top Section 2.1-3 discusses views Click on link to go to section BLynn

  29. Documentation differences between views Specific view shown at top Section 3 (Bus. Processes) varies by view BLynn

  30. Schema and examples Directories for view-specific examples View-specific schema files Unpack ZIP files to see contents BLynn

  31. 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

  32. FpML 5.0 • Questions on any aspect of version 5.0? (All)

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