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RE: FpML-VAL clarification on FX rules' "same-currency"

To: "valwg@xxxxxxxx" <valwg@xxxxxxxx>
Subject: RE: FpML-VAL clarification on FX rules' "same-currency"
From: Lyteck Lynhiavu <LLynhiavu@xxxxxxxx>
Date: Tue, 24 Mar 2009 10:39:54 -0400
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Cc: Andrew Parry <andrew.p.parry@xxxxxxxxxxxx>
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Thread-topic: FpML-VAL clarification on FX rules' "same-currency"
Please see Andrew Parry's note below (it wasn't delivered to the group as he is not on the valwg mailing list)


-----Original Message-----
Subject: BOUNCE valwg@xxxxxxxx: Non-member submission from [Andrew P Parry <andrew.p.parry@xxxxxxxxxxxx>]

From: Andrew P Parry <andrew.p.parry@xxxxxxxxxxxx>
To: Matthew D Rawlings <matthew.d.rawlings@xxxxxxxxxxxx>,"valwg@xxxxxxxx"
Date: Tue, 24 Mar 2009 12:58:21 +0000
Subject: RE: FpML-VAL clarification on FX rules' "same-currency"

Thank you both for your work on executable business rules

>From the EQD Minutes 20090213

"Regarding issue #912, EQD usage of Duration is "life of the product" vs. Term "quarterly payments within life of product". Everywhere we use term it is defined explicitly, for example by associated dates. VWG wish to split Frequency and Duration"

and from the action section of these minutes

"IY add response to issue #912 in the online issue system http://www.fpml.org/issues";

-----Original Message-----
From: Matthew D Rawlings
Sent: 24 March 2009 12:52
To: valwg@xxxxxxxx
Cc: Andrew P Parry
Subject: RE: FpML-VAL clarification on FX rules' "same-currency"

Thanks. We independently match - my list was the same as yours, which is reassuring: http://www.fpml.org/issues/view.php?id=917

If you wrote out all the rules how did you deal with where the PeriodEnum value is "T" but there is no definition of what "T" is? This is my biggest obstacle to completing the rules: http://www.fpml.org/issues/view.php?id=910


Matthew +44 7917 596 827

-----Original Message-----
From: valwg@xxxxxxxx [mailto:valwg@xxxxxxxx] On Behalf Of Christian Nentwich
Sent: 24 March 2009 12:31
To: valwg@xxxxxxxx
Cc: Andrew P Parry
Subject: Re: FpML-VAL clarification on FX rules' "same-currency"

Matthew,

fx-19, fx-23, fx-43. If you are raising the issue, please include those.

I wrote all the FX rules in NRL yesterday, so spotted it by chance.

regards,
Christian


Matthew D Rawlings wrote:
> Hi Christian -
>
> Yes, it's a bug.
>
> The function is supposed to be same-currency-scheme(). The mistake was replacing same-currency-scheme same-currency.
>
> It was first spotted before during a VWG review in August 2008. We had agreed to define our terms clearly and were restating the terms as function with a proper context. The term SameCurrencyScheme was replaced with the function same-currency(). We wanted the clear definition, but also the right function. The VWG agreed to fix the problem, and in revision 4629
> It went back to the SameCurrencyScheme term for most cases, but not all, and not the function same-currency-scheme().
>
> I shall raise an issue with a solution to get it fixed.
>
> Did you find it by chance, or did you reason over the rules? Do you know the list of all rules that need fixing.
>
>
> Introduced 4629
>
> It should be:
>
> fx-19 (Mandatory)
> English Description:
> Context: FxLeg (complex type)
> If exchangedCurrency1/paymentAmount and exchangedCurrency2/paymentAmount have the same currency scheme, then exchangedCurrency1/paymentAmount/currency must not be equal to exchangedCurrency2/paymentAmount/currency
> XPath Description:
> Context: FxLeg (complex type)
> [same-currency-scheme((exchangedCurrency1/paymentAmount,exchangedCurrency2/paymentAmount))]
> exchangedCurrency1/paymentAmount/currency ne exchangedCurrency2/paymentAmount/currency
>
>
> Matthew +44 7917 596 827
>
> -----Original Message-----
> From: valwg@xxxxxxxx [mailto:valwg@xxxxxxxx] On Behalf Of Christian Nentwich
> Sent: 24 March 2009 11:48
> To: valwg@xxxxxxxx
> Subject: FpML-VAL clarification on FX rules' "same-currency"
>
> All,
>
> I might be overlooking something here, but there are three or four FX
> rules that don't make a lot of sense to me. For example, fx-19:
>
> If exchangedCurrency1/paymentAmount and exchangedCurrency2/paymentAmount have
> the same-currency <rules-functions.html#same-currency>,
> then exchangedCurrency1/paymentAmount/currency must not be equal
> toexchangedCurrency2/paymentAmount/currency
>
> This seems to be saying that if the two currencies are the same, then
> they are not the same?
>
> Should these rules be stating "same-currency-scheme", rather than
> "same-currency"? Or did I miss something?
>
> regards,
> Christian
>
>
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