Home
This page describes intended design of product definitions FpML schema, explanations of schema structure and business rules that govern message construction and parsing.
FpML product definitions view is intended for transmitting interest rate derivative product definitions in bulk. The primary users of this view are intended to be execution venues that provide trading of such securities (for example, SEFs, MTFs, etc) as well as their customers.
The primary use case is for an execution venue customer to request product definitions of all (or a subset of) products that the execution venue supports via some sort of a protocol such as FIX (not covered by the schema view), upon receiving such request, execution venue software responds with a message which embeds FpML payload with product definitions. Product definitions view is intended to facilitate creation and parsing of this payload.
Interest rate derivatives are complex OTC products. Market participants around the world are working on ways to standardise how these products are traded, described and identified. While more standard financial instruments can be identified via standard identification schemes, interest rate derivatives currently lack a widely accepted identification scheme. It is therefore problematic to share product definitions between market participants. FpML product definitions view aims to provide an XML schema that defines a standard way to represent and transmit interest rate derivative product definitions. Leveraging existing FpML schemas it can be extended to support other asset classes as well.
The schema is designed with the following main principles in mind:
-
Explicit structure - Product definitions are explicitly described and are expected to accurately represent contracts at a particular point in time. It is also expected that certain parameters within product definitions may change over time (for example, dates). It is assumed that a consumer of the messages will request product definitions from the producer at regular intervals, for example, at the start of a trading day.
-
Compatibility and consistency with existing FpML schemas - The schema aims to be consistent in its use of element names, schema design and usage of FpML types. The schema aims to re-use existing FpML structures as much as possible.
-
Clarity and completeness - The schema aims to be clear and complete even if it means larger message payloads.
-
Prevent duplication - The schema aims to prevent duplicating product definitions where possible. For example, package definitions reference individual component definitions by their product ids where applicable.
Product definitions document comprises of a header structure, counterparty definitions and a list of product definitions.
Product definitions are broadly divided into two categories:
- Single product definitions
- Package trade definitions - package trade definitions describe "pre-canned" package structures that comprise of 2 or more single product definitions
In addition to the product definition itself, view provides ways to "annotate" trade conventions:
Defines some basic metadata about the document.
Standard FpML party model is used to define parties that are used to describe trade sides. For more information please see Encoding trade sides.
