The International Swaps and Derivatives Association (ISDA) has announced the publication of Financial Products Markup Language (FpML) version 3.0, including a working draft specification, data dictionary, scheme definition document, DTD, and related resources. FpML is an XML-based protocol "enabling e-commerce activities in the field of financial derivatives. The development of the standard, controlled by FpML, will ultimately allow the electronic integration of a range of services, from electronic trading and confirmations to portfolio specification for risk analysis. All types of over-the-counter (OTC) derivatives will, over time, be incorporated into the standard. FpML 3.0 has been expanded to include equity derivatives and provide Portfolio support. In addition to equity derivatives, Version 3.0 covers all previously defined IRD products in FpML Version 2.0, as well as FX products such as FX Spot, Forwards, Non-deliverable forwards, FX Swaps and FX OTC Options, making it the first FpML version to cover different asset classes." A new 'Tools' section of the FpML website references twelve current tools (Storage Tools, Development Tools, Application Components, Service Components) and list of vendors; this resource is used to "promote the development and support of FpML tools or utilities, which will facilitate the widespread use and adoption of the FpML standard across the OTC financial industry."
Bibliographic information: FpML Financial product Markup Language. Version: 3.0. Working Draft 17-April-2002. Latest version URL: http://www.fpml.org/spec/wd-fpml-3-0-2002-04-17. Previous version URL: http://www.fpml.org/spec/2002/wd-fpml-3-0-2002-01-30. The XML DTD, IRD Samples, EqD Samples, and FX Samples are provided in separate files.
From the 3.0 specification. "The root element contains three elements: trades, portfolios and parties. Portfolios contain only trade references, if the trade itself needs to be included in the document then the trades can be included within the root element... The optimum level of granularity is important to FpML. FpML separates the elements which collectively describe a feature of a product or trade into a separate component with each component serving a particular semantic purpose. Every grouping of elements in FpML is regarded as a component and each component is regarded as a container for the elements that describe that component. In the majority of cases each component will contain a mixture of other components and primitive elements, e.g. a date or string, that collectively describe the features of the component. Components are typically represented in the FpML Document Type Definition (DTD) as XML entities. Generally speaking, the lower level a component is, the more re-usable it will be. FpML makes use of a number of primitive entity components that describe the basic building blocks of financial products, for example, FpML_Money, FpML_AdjustableDate, FpML_BusinessCenters, FpML_Interval, FpML_BusinessDayAdjustments, etc. These primitive components are re-used in different business contexts. Primitive components are contained in higher level components that describe the features of particular products. For this reason these higher level components will tend not to be re-usable to the same extent. Examples within the definition of swapStream are the components required to construct schedules of dates such as calculationPeriodDates, resetDates and paymentDates. However, it should not be inferred from this that any fundamental distinction is drawn between components in usage or structure..."
- Announcement 2002-04-19: "ISDA Expands FpML To Include Equity Derivatives. Vendors Actively Developing FpML Tools." [source]
- FpML 3.0 HTML format
- FpML 3.0 PDF format. [cache, main spec document]
- FpML 3.0 XML DTDs
- FpML 3.0 Data Dictionary
- FpML 3.0 Scheme Definitions
- FpML Tools website
- International Swaps and Derivatives Association (ISDA)
- See "Financial Products Markup Language (FpML)" - Main reference page.