Beruflich Dokumente
Kultur Dokumente
This document describes the key features of the MxML format used through the EAWE
workflow and the ARAA API. This format is used to describe requests for prices (RFP),
requests for quotes (RFQ) as well as answers to these requests.
1General principles
.1.1Basic format
.1.1.1<Dealing>
The key object that we are manipulating is <dealing>. A single request can include either
one or several <dealing> nodes.
<MxML version="1-1">
<dealings>
<dealing>
</dealings>
</MxML>
Dec-05
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all that is necessary to protect these rights, including but not limited to, taking all measures necessary to keep confidential the
information notified by MUREX. In addition you shall not directly or indirectly use or divulge, or allow to be used or divulged
such information to or by any third party. You shall immediately notify MUREX of anything which may adversely affect such
information or MUREXs rights thereunder. Copyright Murex
<MxML version="1-1">
<dealings>
<dealing>
<dealing>
<dealing>
</dealings>
</MxML>
Practically, when using the workflow for RFPs and RFQs, a <dealing> represents a unitary
request sent to the workflow. This request can either be for a simple product or a multilegged strategy. As mentioned, it is possible to include several <dealing> nodes in the same
request. This gives the possibility to price several products simultaneously. This feature can
typically be used for FX volatility streaming : It is possible to price simultaneously a
collection of FX Vanilla options with different delta/strike and maturities.
.1.1.2<dealingId>
Since more than one <dealing> can be included in a request, it is necessary to index the
different <dealing> through the use of <dealingId>.
Dec-05
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all that is necessary to protect these rights, including but not limited to, taking all measures necessary to keep confidential the
information notified by MUREX. In addition you shall not directly or indirectly use or divulge, or allow to be used or divulged
such information to or by any third party. You shall immediately notify MUREX of anything which may adversely affect such
information or MUREXs rights thereunder. Copyright Murex
<MxML version="1-1">
<dealings>
<dealing>
<remoteEdition />
<dealingCode />
<dealingId>1</dealingId>
</dealing>
<dealing>
<remoteEdition />
<dealingCode />
<dealingId>3M25D</dealingId>
</dealing>
</dealings>
</MxML>
The <dealingId> PCDATA is alpha-numeric and should be unique in a request. It allows the
client application to map the request and the answer. It is the responsibility of the client
application to generate identifiers that are unique within a request.
Dec-05
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All proprietary rights in and associated with the information notified by MUREX shall at all times rest with MUREX. You shall do
all that is necessary to protect these rights, including but not limited to, taking all measures necessary to keep confidential the
information notified by MUREX. In addition you shall not directly or indirectly use or divulge, or allow to be used or divulged
such information to or by any third party. You shall immediately notify MUREX of anything which may adversely affect such
information or MUREXs rights thereunder. Copyright Murex
.1.1.3 <remoteEdition>
The main son of <dealing> is <remoteEdition>. Conceptually, a <dealing> could have
several complex sons of different nature but practically, for current RFP and RFQ workflows,
<dealing> will always have a single main <remoteEdition> son.
<dealing>
< remoteEdition >
<dealingCode>
<dealingId>
</dealing>
Dec-05
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all that is necessary to protect these rights, including but not limited to, taking all measures necessary to keep confidential the
information notified by MUREX. In addition you shall not directly or indirectly use or divulge, or allow to be used or divulged
such information to or by any third party. You shall immediately notify MUREX of anything which may adversely affect such
information or MUREXs rights thereunder. Copyright Murex
<modifiedMembersHistory>
<solvingConstraints>
<requiredObjects>
<returnedObjects>
</ remoteEdition >
From a functional perspective, <businessObject > defines the original document sent to
the workflow. <modifiedMembers> contains the attributes modified in the last
communication iteration (practically, it can be the first). <modifiedMembersHistory>
describes the attributes modified in previous communication iterations.
<solvingConstraints> contains the target and implied attributes. <requiredObjects>
defines the required output attributes and <returnedObjects> contains the output
attributes that were required.
Dec-05
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all that is necessary to protect these rights, including but not limited to, taking all measures necessary to keep confidential the
information notified by MUREX. In addition you shall not directly or indirectly use or divulge, or allow to be used or divulged
such information to or by any third party. You shall immediately notify MUREX of anything which may adversely affect such
information or MUREXs rights thereunder. Copyright Murex
.1.1.4<dealingCode>
.1.1.5<businessObject>
For RFP and RFQ workflow, <businessObject> has two attributes: mefClass and
mefClassInstanceType as well as a son : <flatObject>.
</businessObject>
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all that is necessary to protect these rights, including but not limited to, taking all measures necessary to keep confidential the
information notified by MUREX. In addition you shall not directly or indirectly use or divulge, or allow to be used or divulged
such information to or by any third party. You shall immediately notify MUREX of anything which may adversely affect such
information or MUREXs rights thereunder. Copyright Murex
<flatObject>
<memberValuePairs>
<memberValuePair>
<memberId>
<path>NP#VBIDASK</path>
<memberType>string</memberType>
</memberId>
<memberValue>
<memberData>Bid/Ask</memberData>
</memberValue>
</memberValuePair>
</memberValuePairs>
Dec-05
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all that is necessary to protect these rights, including but not limited to, taking all measures necessary to keep confidential the
information notified by MUREX. In addition you shall not directly or indirectly use or divulge, or allow to be used or divulged
such information to or by any third party. You shall immediately notify MUREX of anything which may adversely affect such
information or MUREXs rights thereunder. Copyright Murex
</flatObject>
.1.1.6<modifiedMembers>
<modifiedMembers> has the same formal structure as <businessObject> :
<modifiedMembers>
<memberValuePairs>
<memberValuePair>
<memberValuePair>
</memberValuePairs>
Dec-05
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all that is necessary to protect these rights, including but not limited to, taking all measures necessary to keep confidential the
information notified by MUREX. In addition you shall not directly or indirectly use or divulge, or allow to be used or divulged
such information to or by any third party. You shall immediately notify MUREX of anything which may adversely affect such
information or MUREXs rights thereunder. Copyright Murex
</modifiedMembers>
It is used to describe the attributes of the financial product that were modified in the last
pricing iteration. Practically, this is the place where the main attributes of the financial
product are described. Each attribute is specified by its <path> in <memberId> and its
<memberData> and <memberType> in <memberValue>. This information is available in the
e-Tradepad by the mean of the leg: Xml Document action.
For example, here is how the currency pair and the nominal are set for a simple FX Vanilla
options:
<modifiedMembers>
<memberValuePairs>
<memberValuePair>
<memberId>
<path>NP_INSTR</path>
</memberId>
<memberValue>
<memberData>EUR/USD</memberData>
Dec-05
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all that is necessary to protect these rights, including but not limited to, taking all measures necessary to keep confidential the
information notified by MUREX. In addition you shall not directly or indirectly use or divulge, or allow to be used or divulged
such information to or by any third party. You shall immediately notify MUREX of anything which may adversely affect such
information or MUREXs rights thereunder. Copyright Murex
<memberType>string</memberType>
</memberValue>
</memberValuePair>
<memberValuePair>
<memberId>
<path>NP_CAPIT</path>
</memberId>
<memberValue>
<memberData>10000000.</memberData>
<memberType>numeric</memberType>
</memberValue>
</memberValuePair>
Dec-05
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all that is necessary to protect these rights, including but not limited to, taking all measures necessary to keep confidential the
information notified by MUREX. In addition you shall not directly or indirectly use or divulge, or allow to be used or divulged
such information to or by any third party. You shall immediately notify MUREX of anything which may adversely affect such
information or MUREXs rights thereunder. Copyright Murex
</memberValuePairs>
</modifiedMembers>
.1.1.7<modifiedMembersHistory>
<modifiedMembersHistory> is similar to <modifiedMembers> and includes the attributes that
were modified in the previous communication iterations. This is used for interactive pricing.
.1.1.8<solvingConstraints>
This is used to define the target elements as well as the implied parameters.
<solvingConstraints> has two sons:
.1.1.8.1<impliedMembers>
<impliedMembers> contains the attribute(s) that should be implied by the system. It includes
a <memberIds> structure This structure is as follow :
<impliedMembers>
<memberIds>
<memberId>
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all that is necessary to protect these rights, including but not limited to, taking all measures necessary to keep confidential the
information notified by MUREX. In addition you shall not directly or indirectly use or divulge, or allow to be used or divulged
such information to or by any third party. You shall immediately notify MUREX of anything which may adversely affect such
information or MUREXs rights thereunder. Copyright Murex
<path>NP_VOL</path>
</memberId>
</memberIds>
</impliedMembers>
Here again the actual <path> can be obtained from the e-Tradepad
.1.1.8.2<constrainedMembers>
<constrainedMembers> contains the constraints for the system. It includes a
<memberValuePairs> object similar to the one already detailed above.
In the following example, there is a constraint on the exchange delta :
<constrainedMembers>
<memberValuePairs>
<memberValuePair>
<memberId>
<path>EXC_DELTA</path>
</memberId>
<memberValue>
<memberData>51.30/51.47</memberData>
<memberType>bidask</memberType>
</memberValue>
</memberValuePair>
</memberValuePairs>
</constrainedMembers>
Dec-05
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all that is necessary to protect these rights, including but not limited to, taking all measures necessary to keep confidential the
information notified by MUREX. In addition you shall not directly or indirectly use or divulge, or allow to be used or divulged
such information to or by any third party. You shall immediately notify MUREX of anything which may adversely affect such
information or MUREXs rights thereunder. Copyright Murex
.1.1.9<requiredObjects>
<requiredObjects> is made of a <memberIds> structure formally similar to the one found in
<impliedMembers>. Functionally, this defines the attributes required by the user.
In the following example, the client application requires the gamma and vega.
<requiredObjects>
<memberIds>
<memberId>
<path>NP_GAMMA</path>
</memberId>
<memberId>
<path>NP_VEGA</path>
</memberId>
<memberId>
</memberIds>
</requiredObjects>
.1.1.10<returnedObjects>
Dec-05
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all that is necessary to protect these rights, including but not limited to, taking all measures necessary to keep confidential the
information notified by MUREX. In addition you shall not directly or indirectly use or divulge, or allow to be used or divulged
such information to or by any third party. You shall immediately notify MUREX of anything which may adversely affect such
information or MUREXs rights thereunder. Copyright Murex
.1.2.1Generating an MxML
An action button is available in the e-Tradepad : leg : XML document. This button can be
added to any notepad or strategy folder (see the standard e-Tradepad documentation).
Once this button is added to a strategy or a notepad folder, executing the action makes the
system generate the MxML description for the current structure. The MxML document is
generated in a distinct window.
Note that this is interactive : it is possible to edit the actual MxML document in the dedicated
window and start an e-Tradepad pricing screen that represents this specific MxML by
clicking on Display pricing
Whenever its is required to work on a client-specific structure, it is critical to use the public
version for this structure. The standard e-Tradepad documentation contains details about
public, inherited and private structures. It is always possible to access the public version of a
structure by using the File/Reload from public function.
Dec-05
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all that is necessary to protect these rights, including but not limited to, taking all measures necessary to keep confidential the
information notified by MUREX. In addition you shall not directly or indirectly use or divulge, or allow to be used or divulged
such information to or by any third party. You shall immediately notify MUREX of anything which may adversely affect such
information or MUREXs rights thereunder. Copyright Murex
The Murex <path> is used to specify an attributes for a financial product. It is possible to
display the Murex <path> for any field of any simple product or structure in the e-Tradepad
by using the contextual Right Click/Cell/Plain Name :
Dec-05
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all that is necessary to protect these rights, including but not limited to, taking all measures necessary to keep confidential the
information notified by MUREX. In addition you shall not directly or indirectly use or divulge, or allow to be used or divulged
such information to or by any third party. You shall immediately notify MUREX of anything which may adversely affect such
information or MUREXs rights thereunder. Copyright Murex
Dec-05
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All proprietary rights in and associated with the information notified by MUREX shall at all times rest with MUREX. You shall do
all that is necessary to protect these rights, including but not limited to, taking all measures necessary to keep confidential the
information notified by MUREX. In addition you shall not directly or indirectly use or divulge, or allow to be used or divulged
such information to or by any third party. You shall immediately notify MUREX of anything which may adversely affect such
information or MUREXs rights thereunder. Copyright Murex
.2.1Parameters
A FX Vanilla option can be described with a limited set of parameters. Typically : the
currency pair (instrument), Buy/Sell indicator, payout (Call/Put), nominal, maturity date,
delivery date, premium quotation mode.
Note that this is not an exhaustive representation. Any other parameter available in the eTradepad data-dictionary can be used (see 1.2)
Currency pair
path : NP_INSTR
memberType : string
memberData : The instrument label, as defined in the Murex application
Example :
<memberValuePair>
<memberId>
<path>NP_INSTR</path>
</memberId>
Dec-05
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all that is necessary to protect these rights, including but not limited to, taking all measures necessary to keep confidential the
information notified by MUREX. In addition you shall not directly or indirectly use or divulge, or allow to be used or divulged
such information to or by any third party. You shall immediately notify MUREX of anything which may adversely affect such
information or MUREXs rights thereunder. Copyright Murex
<memberValue>
<memberData>EUR/USD</memberData>
<memberType>string</memberType>
</memberValue>
</memberValuePair>
Buy/Sell indicator
path : NP_BS
memberType : string
memberData : The Buy or Sell string
Example :
<memberValuePair>
<memberId>
<path>NP_BS</path>
</memberId>
<memberValue>
<memberData>Sell</memberData>
<memberType>string</memberType>
</memberValue>
</memberValuePair>
Dec-05
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all that is necessary to protect these rights, including but not limited to, taking all measures necessary to keep confidential the
information notified by MUREX. In addition you shall not directly or indirectly use or divulge, or allow to be used or divulged
such information to or by any third party. You shall immediately notify MUREX of anything which may adversely affect such
information or MUREXs rights thereunder. Copyright Murex
Payout
path : NP_CALLPUT
memberType : string
memberData : The Call X / Put Y string where X and Y are the
two contract currencies.
Example :
<memberValuePair>
<memberId>
<path>NP_CALLPUT</path>
</memberId>
<memberValue>
<memberData>Put EUR / Call
USD</memberData>
<memberType>string</memberType>
</memberValue>
</memberValuePair>
Nominal
path : NP_CAPIT
memberType : numeric
memberData : A double that represents the nominal in currency X
Example :
Dec-05
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all that is necessary to protect these rights, including but not limited to, taking all measures necessary to keep confidential the
information notified by MUREX. In addition you shall not directly or indirectly use or divulge, or allow to be used or divulged
such information to or by any third party. You shall immediately notify MUREX of anything which may adversely affect such
information or MUREXs rights thereunder. Copyright Murex
<memberValuePair>
<memberId>
<path>NP_CAPIT</path>
</memberId>
<memberValue>
<memberData>10000000.</memberData>
<memberType>numeric</memberType>
</memberValue>
</memberValuePair>
Maturity
path : NP_STARTD
memberType : date
memberData : The maturity date : YYYYMMDD
Example :
<memberValuePair>
<memberId>
<path>NP_STARTD</path>
</memberId>
<memberValue>
Dec-05
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all that is necessary to protect these rights, including but not limited to, taking all measures necessary to keep confidential the
information notified by MUREX. In addition you shall not directly or indirectly use or divulge, or allow to be used or divulged
such information to or by any third party. You shall immediately notify MUREX of anything which may adversely affect such
information or MUREXs rights thereunder. Copyright Murex
<memberData>20050728</memberData>
<memberType>date</memberType>
</memberValue>
</memberValuePair>
Delivery Date
path : NP_DELD
memberType : date
memberData : The delivery date : YYYYMMDD
Example :
<memberValuePair>
<memberId>
<path>NP_DELD</path>
</memberId>
<memberValue>
<memberData>20050801</memberData>
<memberType>date</memberType>
</memberValue>
</memberValuePair>
Dec-05
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all that is necessary to protect these rights, including but not limited to, taking all measures necessary to keep confidential the
information notified by MUREX. In addition you shall not directly or indirectly use or divulge, or allow to be used or divulged
such information to or by any third party. You shall immediately notify MUREX of anything which may adversely affect such
information or MUREXs rights thereunder. Copyright Murex
<memberValuePair>
<memberId>
<path> NP_PREMIUM_Q </path>
</memberId>
<memberValue>
<memberData>%EUR </memberData>
<memberType>string</memberType>
</memberValue>
</memberValuePair>
There are four possible premium quotation modes for a simple FX vanilla option. For an EUR/USD
option . %EUR, %USD, EUR pips, USD pips. If one want to get numbers for all 4 premium quotation
modes, it is required to send 4 distinct <dealing> object.
Note that there are dependencies between the premium quotation mode and the delta for example (the
delta being a typical <PicingConstraint>) : For a Call EUR/Put USD option, the delta will be greater
than 0 if the premium is quoted in %EUR or USD pips and smaller than 0 is the premium is quoted in
%USD or EUR pips.
Dec-05
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all that is necessary to protect these rights, including but not limited to, taking all measures necessary to keep confidential the
information notified by MUREX. In addition you shall not directly or indirectly use or divulge, or allow to be used or divulged
such information to or by any third party. You shall immediately notify MUREX of anything which may adversely affect such
information or MUREXs rights thereunder. Copyright Murex
Cutt Off
path : NP_CUTOFF
memberType : string
memberData : The cut-off as configured in the Murex system
Example :
<memberValuePair>
<memberId>
<path> NP_CUTOFF </path>
</memberId>
<memberValue>
<memberData>NY </memberData>
<memberType>string</memberType>
</memberValue>
</memberValuePair>
Dec-05
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all that is necessary to protect these rights, including but not limited to, taking all measures necessary to keep confidential the
information notified by MUREX. In addition you shall not directly or indirectly use or divulge, or allow to be used or divulged
such information to or by any third party. You shall immediately notify MUREX of anything which may adversely affect such
information or MUREXs rights thereunder. Copyright Murex
.2.2Constraints
A classic solving constraint for a FX vanilla option is the Bid/Ask Delta. Another one is the
premium.
Bid/Ask Delta
<constrainedMembers>
<memberValuePairs>
<memberValuePair>
<memberId>
<path>EXC_DELTA</path>
</memberId>
<memberValue>
Dec-05
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all that is necessary to protect these rights, including but not limited to, taking all measures necessary to keep confidential the
information notified by MUREX. In addition you shall not directly or indirectly use or divulge, or allow to be used or divulged
such information to or by any third party. You shall immediately notify MUREX of anything which may adversely affect such
information or MUREXs rights thereunder. Copyright Murex
<memberData>51.30/51.42</memberData>
<memberType>bidask</memberType>
</memberValue>
</memberValuePair>
</memberValuePairs>
</constrainedMembers>
</solvingConstraints>
.2.3Implied Element
Classic implied elements for a FX Vanilla option are the Bid/Ask volatility and the Bid/Ask
strike
Bid/Ask volatility :
path : NP_VOL
Example :
<solvingConstraints>
<impliedMembers>
<memberIds>
<memberId>
<path>NP_VOL</path>
Dec-05
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all that is necessary to protect these rights, including but not limited to, taking all measures necessary to keep confidential the
information notified by MUREX. In addition you shall not directly or indirectly use or divulge, or allow to be used or divulged
such information to or by any third party. You shall immediately notify MUREX of anything which may adversely affect such
information or MUREXs rights thereunder. Copyright Murex
</memberId>
</memberIds>
</impliedMembers>
</solvingConstraints>
Bid/Ask strike :
path : BA_STK
Example :
<solvingConstraints>
<impliedMembers>
<memberIds>
<memberId>
<path> BA_STK</path>
</memberId>
</memberIds>
</impliedMembers>
</solvingConstraints>
Dec-05
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all that is necessary to protect these rights, including but not limited to, taking all measures necessary to keep confidential the
information notified by MUREX. In addition you shall not directly or indirectly use or divulge, or allow to be used or divulged
such information to or by any third party. You shall immediately notify MUREX of anything which may adversely affect such
information or MUREXs rights thereunder. Copyright Murex
3Multi-legged structures
All client-specific multi-legged structures can be described using this MxML formalism. Since
such structures are client specific, this section will focus on generic recommendations and
methods. A standard FX straddle will be used as an example when relevant.
Dec-05
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all that is necessary to protect these rights, including but not limited to, taking all measures necessary to keep confidential the
information notified by MUREX. In addition you shall not directly or indirectly use or divulge, or allow to be used or divulged
such information to or by any third party. You shall immediately notify MUREX of anything which may adversely affect such
information or MUREXs rights thereunder. Copyright Murex
.3.1.2Specifications
The second critical step is to specify the parameters that should be used for the
structures.
Based on the financial business requirements, it is critical to specify which parameters
should be used to represent the structure through the EAWE/ARAA. This analysis should
result in a design document
For example, lets consider the classic FX straddle. There are two basic modes : the strike
mode and the delta mode. The specifications below are purely examples, different specific
parameters would probably be required.
.3.1.2.1Strike mode
.3.1.2.1.1 Input parameters
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all that is necessary to protect these rights, including but not limited to, taking all measures necessary to keep confidential the
information notified by MUREX. In addition you shall not directly or indirectly use or divulge, or allow to be used or divulged
such information to or by any third party. You shall immediately notify MUREX of anything which may adversely affect such
information or MUREXs rights thereunder. Copyright Murex
Currency Pair
Buy/Sell
Expiry date
Delivery date
Notional 1 or Notional 2
Option cut
Price quotation
Bid/Ask Strike
.3.1.2.1.2Implied elements
This is specified under <impliedMembers>
Volatility
.3.1.2.1.3Required outputs
Those are specified under <requiredObjects>
Market Spot
Market Forward
Dec-05
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all that is necessary to protect these rights, including but not limited to, taking all measures necessary to keep confidential the
information notified by MUREX. In addition you shall not directly or indirectly use or divulge, or allow to be used or divulged
such information to or by any third party. You shall immediately notify MUREX of anything which may adversely affect such
information or MUREXs rights thereunder. Copyright Murex
Total premium
.3.1.2.2Delta Mode
.3.1.2.2.1Input parameters
Those are typically specify under <modifiedMembers>
Currency Pair
Buy/Sell
Expiry date
Delivery date
Notional 1 or Notional 2
Option cut
Client hedging
Price quotation
.3.1.2.2.2Constraints
This is specified under <constrainedMembers>
Bid/Ask Delta
Dec-05
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information notified by MUREX. In addition you shall not directly or indirectly use or divulge, or allow to be used or divulged
such information to or by any third party. You shall immediately notify MUREX of anything which may adversely affect such
information or MUREXs rights thereunder. Copyright Murex
.3.1.2.2.3Implied elements
This is specified under <impliedMembers>
Bid/Ask Volatility
.3.1.2.2.4Required outputs
Those are specified under <requiredObjects>
Market Spot
Market Forward
Total premium
page 31
All proprietary rights in and associated with the information notified by MUREX shall at all times rest with MUREX. You shall do
all that is necessary to protect these rights, including but not limited to, taking all measures necessary to keep confidential the
information notified by MUREX. In addition you shall not directly or indirectly use or divulge, or allow to be used or divulged
such information to or by any third party. You shall immediately notify MUREX of anything which may adversely affect such
information or MUREXs rights thereunder. Copyright Murex
.3.2.2.1<businessObject> attributes
As described in 1.1.5.1, it is necessary to determine the mefClass and the
mefClassInstanceType attributes. For multi-legged strategies, mefClass ="1.526" and
mefClassInstanceType if the unique id attached to the public structure. This is available in
the MxML template generated from the official public strategy.
Example for the sample FX straddle :
<businessObject mefClass="1.526" mefClassInstanceType="111348">
.3.3.1Strike mode
.3.3.1.1Field used
111349NP_INSTR
Straddle leg 1
Currency pair
Dec-05
page 32
All proprietary rights in and associated with the information notified by MUREX shall at all times rest with MUREX. You shall do
all that is necessary to protect these rights, including but not limited to, taking all measures necessary to keep confidential the
information notified by MUREX. In addition you shall not directly or indirectly use or divulge, or allow to be used or divulged
such information to or by any third party. You shall immediately notify MUREX of anything which may adversely affect such
information or MUREXs rights thereunder. Copyright Murex
111349NP_BS
Straddle leg 1
Buy/Sell
111349NP_STARTD
Straddle leg 1
Maturity date
111349NP_DELD
Straddle leg 1
Delivery date
111349BA_STKQ
Straddle leg 1
111349BA_STK
Straddle leg 1
B/A Strike
111349NP_CAPIT
Straddle leg 1
Nominal
111349NP_CUTOFF
Straddle leg 1
Cut Off
111348NP#Uexchange
111349NP_PREMIUM_Q
Straddle leg 1
111349NP_VOL
Straddle leg 1
Volatility
111350NP_VOL
Straddle leg 2
Volatility
111349LMD_SPOT_REF
Straddle leg 1
111349LMD_FWD
Straddle leg 1
111349LMD_SWAP
Straddle leg 1
111349LMD_RATE
Straddle leg 1
111349LMD_RATEF
Straddle leg 1
111348NP#U_TPRM
Straddle leg 1
Total premium
.3.3.1.2Request document
<?xml version="1.0"?>
<!DOCTYPE MxML>
<MxML version="1-1">
<dealings>
Dec-05
page 33
All proprietary rights in and associated with the information notified by MUREX shall at all times rest with MUREX. You shall do
all that is necessary to protect these rights, including but not limited to, taking all measures necessary to keep confidential the
information notified by MUREX. In addition you shall not directly or indirectly use or divulge, or allow to be used or divulged
such information to or by any third party. You shall immediately notify MUREX of anything which may adversely affect such
information or MUREXs rights thereunder. Copyright Murex
<dealing>
<remoteEdition>
<businessObject mefClass="1.526" mefClassInstanceType="111348">
<flatObject>
<memberValuePairs>
<memberValuePair>
<memberId>
<path>NP#VBIDASK</path>
<memberType>string</memberType>
</memberId>
<memberValue>
<memberData>Bid/Ask</memberData>
</memberValue>
</memberValuePair>
</memberValuePairs>
</flatObject>
</businessObject>
<modifiedMembers>
<memberValuePairs>
<memberValuePair>
<memberId>
<path>111349NP_INSTR</path>
</memberId>
<memberValue>
<memberData>EUR/USD</memberData>
<memberType>string</memberType>
</memberValue>
</memberValuePair>
<memberValuePair>
<memberId>
<path>111349NP_BS</path>
</memberId>
<memberValue>
<memberData>Buy</memberData>
<memberType>string</memberType>
</memberValue>
</memberValuePair>
<memberValuePair>
<memberId>
<path>111349NP_STARTD</path>
</memberId>
<memberValue>
<memberData>20050427</memberData>
Dec-05
page 34
All proprietary rights in and associated with the information notified by MUREX shall at all times rest with MUREX. You shall do
all that is necessary to protect these rights, including but not limited to, taking all measures necessary to keep confidential the
information notified by MUREX. In addition you shall not directly or indirectly use or divulge, or allow to be used or divulged
such information to or by any third party. You shall immediately notify MUREX of anything which may adversely affect such
information or MUREXs rights thereunder. Copyright Murex
<memberType>date</memberType>
</memberValue>
</memberValuePair>
<memberValuePair>
<memberId>
<path>111349NP_DELD</path>
</memberId>
<memberValue>
<memberData>20050429</memberData>
<memberType>date</memberType>
</memberValue>
</memberValuePair>
<memberValuePair>
<memberId>
<path>111349BA_STKQ</path>
</memberId>
<memberValue>
<memberData>EUR-USD</memberData>
<memberType>string</memberType>
</memberValue>
</memberValuePair>
<memberValuePair>
<memberId>
<path>111349BA_STK</path>
</memberId>
<memberValue>
<memberData>1.23/1.23</memberData>
<memberType>bidask</memberType>
</memberValue>
</memberValuePair>
<memberValuePair>
<memberId>
<path>111349NP_CAPIT</path>
</memberId>
<memberValue>
<memberData>10000000.</memberData>
<memberType>numeric</memberType>
</memberValue>
</memberValuePair>
<memberValuePair>
<memberId>
<path>111349NP_CUTOFF</path>
</memberId>
<memberValue>
Dec-05
page 35
All proprietary rights in and associated with the information notified by MUREX shall at all times rest with MUREX. You shall do
all that is necessary to protect these rights, including but not limited to, taking all measures necessary to keep confidential the
information notified by MUREX. In addition you shall not directly or indirectly use or divulge, or allow to be used or divulged
such information to or by any third party. You shall immediately notify MUREX of anything which may adversely affect such
information or MUREXs rights thereunder. Copyright Murex
<memberData>NY</memberData>
<memberType>string</memberType>
</memberValue>
</memberValuePair>
<memberValuePair>
<memberId>
<path>111348NP#UExchange</path>
</memberId>
<memberValue>
<memberData>Spot</memberData>
<memberType>string</memberType>
</memberValue>
</memberValuePair>
<memberValuePair>
<memberId>
<path>111349NP_PREMIUM_Q</path>
</memberId>
<memberValue>
<memberData>% EUR</memberData>
<memberType>string</memberType>
</memberValue>
</memberValuePair>
</memberValuePairs>
</modifiedMembers>
<solvingConstraints>
<impliedMembers>
<memberIds>
<memberId>
<path>111349NP_VOL</path>
</memberId>
<memberId>
<path>111350NP_VOL</path>
</memberId>
</memberIds>
</impliedMembers>
</solvingConstraints>
<requiredObjects>
<memberIds>
<memberId>
<path>111349LMD_SPOT_REF</path>
</memberId>
<memberId>
<path>111349LMD_FWD</path>
</memberId>
Dec-05
page 36
All proprietary rights in and associated with the information notified by MUREX shall at all times rest with MUREX. You shall do
all that is necessary to protect these rights, including but not limited to, taking all measures necessary to keep confidential the
information notified by MUREX. In addition you shall not directly or indirectly use or divulge, or allow to be used or divulged
such information to or by any third party. You shall immediately notify MUREX of anything which may adversely affect such
information or MUREXs rights thereunder. Copyright Murex
<memberId>
<path>111349LMD_SWAP</path>
</memberId>
<memberId>
<path>111349LMD_RATE</path>
</memberId>
<memberId>
<path>111349LMD_RATEF</path>
</memberId>
<memberId>
<path>111348NP#U_TPRM</path>
</memberId>
</memberIds>
</requiredObjects>
</remoteEdition>
<dealingCode/>
<dealingId/>
</dealing>
</dealings>
</MxML>
.3.3.1.3Answer document
<?xml version="1.0"?>
<!DOCTYPE MxML>
<MxML version="1-1">
<dealings>
<dealing>
<remoteEdition>
<businessObject mefClass="1.526" mefClassInstanceType="111348">
<flatObject>
<memberValuePairs>
<memberValuePair>
<memberId>
<path>NP#VBIDASK</path>
</memberId>
<memberValue>
<memberData>Bid/Ask</memberData>
<memberType>string</memberType>
</memberValue>
</memberValuePair>
</memberValuePairs>
</flatObject>
Dec-05
page 37
All proprietary rights in and associated with the information notified by MUREX shall at all times rest with MUREX. You shall do
all that is necessary to protect these rights, including but not limited to, taking all measures necessary to keep confidential the
information notified by MUREX. In addition you shall not directly or indirectly use or divulge, or allow to be used or divulged
such information to or by any third party. You shall immediately notify MUREX of anything which may adversely affect such
information or MUREXs rights thereunder. Copyright Murex
</businessObject>
<modifiedMembersHistory>
<!
The actual <modifiedMembersHistory> section was removed
-->
</modifiedMembersHistory>
<solvingConstraints>
<impliedMembers>
<memberIds>
<memberId>
<path>111349NP_VOL</path>
</memberId>
<memberId>
<path>111350NP_VOL</path>
</memberId>
</memberIds>
</impliedMembers>
</solvingConstraints>
<returnedObjects>
<memberValuePairs>
<memberValuePair>
<memberId>
<path>111348NP#U_TPRM</path>
</memberId>
<memberValue>
<memberData>197951.812282473227</memberData>
<memberType>numeric</memberType>
</memberValue>
</memberValuePair>
<memberValuePair>
<memberId>
<path>111349LMD_SPOT_REF</path>
</memberId>
<memberValue>
<memberData>1.228000000000/1.229000000000</memberData>
<memberType>bidask</memberType>
</memberValue>
</memberValuePair>
<memberValuePair>
<memberId>
<path>111349LMD_FWD</path>
</memberId>
Dec-05
page 38
All proprietary rights in and associated with the information notified by MUREX shall at all times rest with MUREX. You shall do
all that is necessary to protect these rights, including but not limited to, taking all measures necessary to keep confidential the
information notified by MUREX. In addition you shall not directly or indirectly use or divulge, or allow to be used or divulged
such information to or by any third party. You shall immediately notify MUREX of anything which may adversely affect such
information or MUREXs rights thereunder. Copyright Murex
<memberValue>
<memberData>1.227091429046/1.228554314096</memberData>
<memberType>bidask</memberType>
</memberValue>
</memberValuePair>
<memberValuePair>
<memberId>
<path>111349LMD_SWAP</path>
</memberId>
<memberValue>
<memberData>-9.085709535290/-
4.456859041431</memberData>
<memberType>bidask</memberType>
</memberValue>
</memberValuePair>
<memberValuePair>
<memberId>
<path>111349LMD_RATE</path>
</memberId>
<memberValue>
<memberData>2.010000000000/2.222200000000</memberData>
<memberType>bidask</memberType>
</memberValue>
</memberValuePair>
<memberValuePair>
<memberId>
<path>111349LMD_RATEF</path>
</memberId>
<memberValue>
<memberData>2.658333333333/2.900000000000</memberData>
<memberType>bidask</memberType>
</memberValue>
</memberValuePair>
</memberValuePairs>
</returnedObjects>
</remoteEdition>
<dealingCode/>
<dealingId/>
</dealing>
</dealings>
</MxML>
Dec-05
page 39
All proprietary rights in and associated with the information notified by MUREX shall at all times rest with MUREX. You shall do
all that is necessary to protect these rights, including but not limited to, taking all measures necessary to keep confidential the
information notified by MUREX. In addition you shall not directly or indirectly use or divulge, or allow to be used or divulged
such information to or by any third party. You shall immediately notify MUREX of anything which may adversely affect such
information or MUREXs rights thereunder. Copyright Murex
.3.3.2Delta mode
.3.3.2.1Field used
111349NP_INSTR
Straddle leg 1
Currency pair
111349NP_BS
Straddle leg 1
Buy/Sell
111349NP_STARTD
Straddle leg 1
Maturity date
111349NP_DELD
Straddle leg 1
Delivery date
111349EXC_DELTA
Straddle leg 1
111349NP_CAPIT
Straddle leg 1
Nominal
111349NP_CUTOFF
Straddle leg 1
Cut Off
111348NP#Uexchange
111349NP_PREMIUM_Q
Straddle leg 1
111349NP_VOL
Straddle leg 1
Volatility
111350NP_VOL
Straddle leg 2
Volatility
111349LMD_SPOT_REF
Straddle leg 1
111349LMD_FWD
Straddle leg 1
111349LMD_SWAP
Straddle leg 1
111349LMD_RATE
Straddle leg 1
111349LMD_RATEF
Straddle leg 1
111348NP#U_TPRM
Straddle leg 1
Total premium
Dec-05
page 40
All proprietary rights in and associated with the information notified by MUREX shall at all times rest with MUREX. You shall do
all that is necessary to protect these rights, including but not limited to, taking all measures necessary to keep confidential the
information notified by MUREX. In addition you shall not directly or indirectly use or divulge, or allow to be used or divulged
such information to or by any third party. You shall immediately notify MUREX of anything which may adversely affect such
information or MUREXs rights thereunder. Copyright Murex
.3.3.2.2Requested document
<?xml version="1.0"?>
<!DOCTYPE MxML>
<MxML version="1-1">
<dealings>
<dealing>
<remoteEdition>
<businessObject mefClass="1.526" mefClassInstanceType="111348">
<flatObject>
<memberValuePairs>
<memberValuePair>
<memberId>
<path>NP#VBIDASK</path>
<memberType>string</memberType>
</memberId>
<memberValue>
<memberData>Bid/Ask</memberData>
</memberValue>
</memberValuePair>
</memberValuePairs>
</flatObject>
</businessObject>
<modifiedMembers>
<memberValuePairs>
<memberValuePair>
<memberId>
<path>111349NP_INSTR</path>
</memberId>
<memberValue>
<memberData>EUR/USD</memberData>
<memberType>string</memberType>
</memberValue>
</memberValuePair>
<memberValuePair>
<memberId>
<path>111349NP_BS</path>
</memberId>
<memberValue>
<memberData>Buy</memberData>
<memberType>string</memberType>
</memberValue>
</memberValuePair>
<memberValuePair>
Dec-05
page 41
All proprietary rights in and associated with the information notified by MUREX shall at all times rest with MUREX. You shall do
all that is necessary to protect these rights, including but not limited to, taking all measures necessary to keep confidential the
information notified by MUREX. In addition you shall not directly or indirectly use or divulge, or allow to be used or divulged
such information to or by any third party. You shall immediately notify MUREX of anything which may adversely affect such
information or MUREXs rights thereunder. Copyright Murex
<memberId>
<path>111349NP_STARTD</path>
</memberId>
<memberValue>
<memberData>20050427</memberData>
<memberType>date</memberType>
</memberValue>
</memberValuePair>
<memberValuePair>
<memberId>
<path>111349NP_DELD</path>
</memberId>
<memberValue>
<memberData>20050429</memberData>
<memberType>date</memberType>
</memberValue>
</memberValuePair>
<memberValuePair>
<memberId>
<path>111349NP_CAPIT</path>
</memberId>
<memberValue>
<memberData>10000000.</memberData>
<memberType>numeric</memberType>
</memberValue>
</memberValuePair>
<memberValuePair>
<memberId>
<path>111349NP_CUTOFF</path>
</memberId>
<memberValue>
<memberData>NY</memberData>
<memberType>string</memberType>
</memberValue>
</memberValuePair>
<memberValuePair>
<memberId>
<path>111348NP#UExchange</path>
</memberId>
<memberValue>
<memberData>Spot</memberData>
<memberType>string</memberType>
</memberValue>
</memberValuePair>
Dec-05
page 42
All proprietary rights in and associated with the information notified by MUREX shall at all times rest with MUREX. You shall do
all that is necessary to protect these rights, including but not limited to, taking all measures necessary to keep confidential the
information notified by MUREX. In addition you shall not directly or indirectly use or divulge, or allow to be used or divulged
such information to or by any third party. You shall immediately notify MUREX of anything which may adversely affect such
information or MUREXs rights thereunder. Copyright Murex
<memberValuePair>
<memberId>
<path>111349NP_PREMIUM_Q</path>
</memberId>
<memberValue>
<memberData>% EUR</memberData>
<memberType>string</memberType>
</memberValue>
</memberValuePair>
</memberValuePairs>
</modifiedMembers>
<solvingConstraints>
<impliedMembers>
<memberIds>
<memberId>
<path>111349NP_VOL</path>
</memberId>
<memberId>
<path>111350NP_VOL</path>
</memberId>
</memberIds>
</impliedMembers>
<constrainedMembers>
<memberValuePairs>
<memberValuePair>
<memberId>
<path>111349EXC_DELTA</path>
</memberId>
<memberValue>
<memberData>-25/-
25</memberData>
<memberType>bidask</memberType>
</memberValue>
</memberValuePair>
</memberValuePairs>
</constrainedMembers>
</solvingConstraints>
<requiredObjects>
<memberIds>
<memberId>
<path>111349LMD_SPOT_REF</path>
</memberId>
<memberId>
<path>111349LMD_FWD</path>
Dec-05
page 43
All proprietary rights in and associated with the information notified by MUREX shall at all times rest with MUREX. You shall do
all that is necessary to protect these rights, including but not limited to, taking all measures necessary to keep confidential the
information notified by MUREX. In addition you shall not directly or indirectly use or divulge, or allow to be used or divulged
such information to or by any third party. You shall immediately notify MUREX of anything which may adversely affect such
information or MUREXs rights thereunder. Copyright Murex
</memberId>
<memberId>
<path>111349LMD_SWAP</path>
</memberId>
<memberId>
<path>111349LMD_RATE</path>
</memberId>
<memberId>
<path>111349LMD_RATEF</path>
</memberId>
<memberId>
<path>111348NP#U_TPRM</path>
</memberId>
</memberIds>
</requiredObjects>
</remoteEdition>
<dealingCode/>
<dealingId/>
</dealing>
</dealings>
</MxML>
Dec-05
page 44
All proprietary rights in and associated with the information notified by MUREX shall at all times rest with MUREX. You shall do
all that is necessary to protect these rights, including but not limited to, taking all measures necessary to keep confidential the
information notified by MUREX. In addition you shall not directly or indirectly use or divulge, or allow to be used or divulged
such information to or by any third party. You shall immediately notify MUREX of anything which may adversely affect such
information or MUREXs rights thereunder. Copyright Murex
.3.3.2.3Answer document
<?xml version="1.0"?>
<!DOCTYPE MxML>
<MxML version="1-1">
<dealings>
<dealing>
<remoteEdition>
<businessObject mefClass="1.526" mefClassInstanceType="111348">
<flatObject>
<memberValuePairs>
<memberValuePair>
<memberId>
<path>NP#VBIDASK</path>
</memberId>
<memberValue>
<memberData>Bid/Ask</memberData>
<memberType>string</memberType>
</memberValue>
</memberValuePair>
</memberValuePairs>
</flatObject>
</businessObject>
<modifiedMembersHistory>
<!
The actual <modifiedMembersHistory> section was removed
-->
</modifiedMembersHistory>
<solvingConstraints>
<impliedMembers>
<memberIds>
<memberId>
<path>111349BA_STK</path>
</memberId>
<memberId>
<path>111349NP_VOL</path>
</memberId>
<memberId>
Dec-05
page 45
All proprietary rights in and associated with the information notified by MUREX shall at all times rest with MUREX. You shall do
all that is necessary to protect these rights, including but not limited to, taking all measures necessary to keep confidential the
information notified by MUREX. In addition you shall not directly or indirectly use or divulge, or allow to be used or divulged
such information to or by any third party. You shall immediately notify MUREX of anything which may adversely affect such
information or MUREXs rights thereunder. Copyright Murex
<path>111350NP_VOL</path>
</memberId>
</memberIds>
</impliedMembers>
<constrainedMembers>
<memberValuePairs>
<memberValuePair>
<memberId>
<path>111349EXC_DELTA</path>
</memberId>
<memberValue>
<memberData>-25.000000000023/-
25.000000000050</memberData>
<memberType>bidask</memberType>
</memberValue>
</memberValuePair>
</memberValuePairs>
</constrainedMembers>
</solvingConstraints>
<returnedObjects>
<memberValuePairs>
<memberValuePair>
<memberId>
<path>111348NP#U_TPRM</path>
</memberId>
<memberValue>
<memberData>240402.610683216219</memberData>
<memberType>numeric</memberType>
</memberValue>
</memberValuePair>
<memberValuePair>
<memberId>
<path>111349LMD_SPOT_REF</path>
</memberId>
<memberValue>
<memberData>1.228000000000/1.229000000000</memberData>
<memberType>bidask</memberType>
</memberValue>
</memberValuePair>
<memberValuePair>
<memberId>
<path>111349LMD_FWD</path>
</memberId>
Dec-05
page 46
All proprietary rights in and associated with the information notified by MUREX shall at all times rest with MUREX. You shall do
all that is necessary to protect these rights, including but not limited to, taking all measures necessary to keep confidential the
information notified by MUREX. In addition you shall not directly or indirectly use or divulge, or allow to be used or divulged
such information to or by any third party. You shall immediately notify MUREX of anything which may adversely affect such
information or MUREXs rights thereunder. Copyright Murex
<memberValue>
<memberData>1.227091429046/1.228554314096</memberData>
<memberType>bidask</memberType>
</memberValue>
</memberValuePair>
<memberValuePair>
<memberId>
<path>111349LMD_SWAP</path>
</memberId>
<memberValue>
<memberData>-9.085709535290/-
4.456859041431</memberData>
<memberType>bidask</memberType>
</memberValue>
</memberValuePair>
<memberValuePair>
<memberId>
<path>111349LMD_RATE</path>
</memberId>
<memberValue>
<memberData>2.010000000000/2.222200000000</memberData>
<memberType>bidask</memberType>
</memberValue>
</memberValuePair>
<memberValuePair>
<memberId>
<path>111349LMD_RATEF</path>
</memberId>
<memberValue>
<memberData>2.658333333333/2.900000000000</memberData>
<memberType>bidask</memberType>
</memberValue>
</memberValuePair>
</memberValuePairs>
</returnedObjects>
</remoteEdition>
<dealingCode/>
<dealingId/>
</dealing>
</dealings>
</MxML>
Dec-05
page 47
All proprietary rights in and associated with the information notified by MUREX shall at all times rest with MUREX. You shall do
all that is necessary to protect these rights, including but not limited to, taking all measures necessary to keep confidential the
information notified by MUREX. In addition you shall not directly or indirectly use or divulge, or allow to be used or divulged
such information to or by any third party. You shall immediately notify MUREX of anything which may adversely affect such
information or MUREXs rights thereunder. Copyright Murex