FpML version 5.0

An introduction

FpML version 5.0

An introduction

Sept. 2007Karel Engelen, ISDA

Andrew Jacobs, HandcodedMarc Gratacos, ISDA

Brian Lynn, Global Electronic Markets

Sept. 2007Karel Engelen, ISDA

Andrew Jacobs, HandcodedMarc Gratacos, ISDA

Brian Lynn, Global Electronic Markets

KEngelen 2

AgendaAgenda

• 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

• 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

AJacobs 3

Major vs. Minor ReleasesMajor 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

• 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 5.0Architectural 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

• 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 ElementsMultiple 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” … >

• 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 RootsExample of Multiple Roots

FpML 4.3

FpML 5.0

AJacobs 7

Rationale for Multiple RootsRationale for Multiple Roots

• Easier to understand than xsi:type• Certain tools (e.g. binding frameworks, some

editors) have problems with xsi:type

• Easier to understand than xsi:type• Certain tools (e.g. binding frameworks, some

editors) have problems with xsi:type

AJacobs 8

Multiple RootsMultiple Roots

• Questions about multiple root elements?• Questions about multiple root elements?

MGratacos 9

Introduction of “Views”Introduction of “Views”

• Objective of views• Views in 5.0• Example of views• Business processes by view• Implementation of views• Impact on FpML users

• 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 viewsObjective 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

• 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 5.0Views 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

• 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

ExampleExample• 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

• 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

ExampleExample• 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

• 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

ExampleExample• 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

• 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 ViewBusiness 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

• 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 - ImplementationViews - 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

• 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 - ImpactViews - 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

• 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 - ImpactViews - 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

• 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 RequestedViews - Feedback Requested

• Number of views• Business processes per view• Product representation per view• Issues related to in-house extensions

• Number of views• Business processes per view• Product representation per view• Issues related to in-house extensions

MGratacos 20

ViewsViews

• Questions about views?• Questions about views?

AJacobs 21

Possible Changes in 5.0Possible 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

• 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 5.0Business 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)

• 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 5.0Business 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

• 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 5.0Business Content Changes in 5.0

• Questions about business content changes?• Questions about business content changes?

BLynn 25

Materials Distributed For 5.0Materials Distributed For 5.0

• Initial distribution (will probably change a little)– Zip files, contents– HTML Documentation– Schema and examples

• Initial distribution (will probably change a little)– Zip files, contents– HTML Documentation– Schema and examples

BLynn 26

Version 5.0 - Zip files, contentsVersion 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 DocumentationLaunching HTML Documentation

Unpack ZIP files

to see content

Double-click onIndex.html

for menu version

BLynn 28

Overview of HTML DocumentationOverview of HTML Documentation

Section 2.1-3discusses views

Click on linkto go to section

Specific viewshown at top

BLynn 29

Documentation differences between viewsDocumentation differences between views

Section 3 (Bus. Processes)

varies by view

Specific viewshown at top

BLynn 30

Schema and examples Schema and examples

Unpack ZIP filesto see contents

Directories forview-specific examples

View-specific schema files

BLynn 31

ConclusionsConclusions

• 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

• 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

(All) 32

FpML 5.0FpML 5.0

• Questions on any aspect of version 5.0?• Questions on any aspect of version 5.0?