RE: FpML-VAL More feedback on validation rules

[Matthew D Rawlings <matthew.d.rawlings@xxxxxxxxxxxx>]

Thanks for contributing, it is very useful.

Eqd-23 and eqd-31 are expressed differently, but with the FpML schema appear to amount to the same thing. I'd agree with removing one, but which? I have raised an issue: http://www.fpml.org/issues/view.php?id=918.

Raised an issue for eqd-30 and eqd-32 to track this: http://www.fpml.org/issues/view.php?id=919. 

Yes, definitely a bug in eqd-31 and eqd-32 with the missing effectiveDate: http://www.fpml.org/issues/view.php?id=920 and http://www.fpml.org/issues/view.php?id=921. 

There were many problems with Loans. In the end we agreed to suspend work on Loans Validation until the schema settled. I can see the problem you have identified. When you use the term "freely", I presume you mean that in the mathematical sense of an unbound variable rather than the vernacular sense of willy-nilly? Whether I interpret the rule bound or freely it still makes no business sense to me. Why would all these clauses be combined into ln-21 if we were to interpret them freely? The clauses should be split up to provide the maximally free expression under a single valid context. http://www.fpml.org/issues/view.php?id=922 

cd-37 - yes, you're correct. How would you structure the rule?


Matthew +44 7917 596 827


-----Original Message-----
From: valwg@xxxxxxxx [mailto:valwg@xxxxxxxx] On Behalf Of Christian Nentwich
Sent: 24 March 2009 15:39
To: valwg@xxxxxxxx; Andrew P Parry
Subject: FpML-VAL More feedback on validation rules

All,

I am posting this here again because this group will be much more aware 
of what has previously been flagged as an issue. Either way, I hope you 
find it useful as an additional check-point:

- eqd-23 ("every option has effective date after trade date") seems to 
be made redundant by eqd-31 ("anything deriving from 
EquityDerivativeBase has effective date after start date")
- eqd-30 seems to be made redundant by eqd-32, for the same reason
- The XPath in eqd-31 and eqd-32 is missing equityEffectiveDate after 
$equityDerivativeBase, in the > comparison of the path

**

Rule ln-21 (and potentially others, but only spotted it here): The XPath 
description makes statements like 
"exists(interestAccrualSchedule/interestRatePeriod/interestDayBasis)" 
whereas the English states 
"interestAccrualSchedule/interestRatePeriod/interestDayBasis must 
exist". Interpreting the rule freely, it is likely that the English 
version means "an interestDayBasis must exist in EVERY rate period" - 
but that is not what the XPath expresses.

I expressed the rule as follows in NRL (note the "in each", instead of 
"in at least one") and would appreciate your feedback:

Context: InterestPaymentNotice
Rule "ln-21"
In each interestAccrualSchedule.interestRatePeriod the following are 
present: interestRate, allInRate, indexTenor and in each
interestAccrualSchedule.interestRatePeriod the following are present: 
margin, interestDayBasis
 
**

Rule cd-37: it doesn't make a lot of sense to define quotationAmount and 
minimumQuotationAmount as "conditions" just for one rule. These are just 
simple existence checks, the conditions should probably be removed (or 
you will be swamped, if you adopt this approach across the board).

**

Rule ird-12. A word is missing in the description: "the frequency 
specified in calculationPeriodFrequency must divide the __calculation 
period___ precisely". This rule is insufficiently formalised. It does 
not point to, or define, what the "start date" or "end date" of the 
period is. You could probably do that by pointing to the definitions at 
the top.

Alternatively, it is possible to formalise this rule by breaking into 
four different stub scenarios, for example in NRL (which you can strip 
of syntax and use as English if you wish):

If no firstRegularPeriodStartDate is present and no 
lastRegularPeriodEndDate is present then
the [frequency defined by] the effectiveDate.unadjustedDate and the 
terminationDate.unadjustedDate
[is an integer multiple of] the calculationPeriodFrequency

Similar rules applies for the other stub scenarios, with the respective 
stub dates substituted.

regards,
Christian

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