As agreed yesterday in the validation working group, we propose
the creation of a new rule. This is a clone of ird-55 but applied to the resetDates
context.
New rule:
Context: resetDates
ird-59 (Mandatory)
If calculationPeriodDatesReference exists
it shall match with calculationPeriodDates in the nearest containing element of
type InterestRateStream
Rationale:
IRD-55:
calculationPeriodDatesReference
Email from Brian Lynn:
This
rule says, in effect, that if there’s a calculationPeriodDatesReference
in a paymentDates structure, it must point to the same stream. I think
this is fine. However, I think the same rule should apply for a
calculationPeriodDatesReference in a resetDates structure.
This is based on feedback from a client
trying to implement an FpML-based feed, wondering whether the reference could
be cross-stream.
- Brian
Kind Regards,
-Marc
+13472846531
**************************************************************************************************************************
The information contained in either this email and, if applicable, the attachment, are confidential and are intended only for the recipient. The contents of either the email or the attachment may not be disclosed or used by anyone other than the addressee. If you are not the intended recipient(s), any use, disclosure, copying, or distribution is prohibited and may be unlawful. If you have received this communication in error, please notify us by e-mail at isda@xxxxxxxx then delete the e-mail and all attachments and any copies thereof. This communication is part of an ISDA process and is not intended for unauthorized use or distribution.
**************************************************************************************************************************