RE: FpML-VAL More feedback on validation rules

[Irina Yermakova <IYermakova@xxxxxxxx>]

The rules eqd-31 and eqd-32 are to cover the Strategy, as well as, plain Equity Option/Forward products in Trade and Contract.
Below is the fix for rules 31 and 32 (added missing equityEffectiveDate).

---------------
eqd-31 (Mandatory)
English Description:
Context: Trade (complex type)
The starting date of an equity option must be after the trade date
XPath Description:
Context: Trade (complex type)

[//element(*, EquityDerivativeBase)/equityEffectiveDate]
Every $equityDerivativeBase in //element(*, EquityDerivativeBase)[exists(equityEffectiveDate)] $equityDerivativeBase/equityEffectiveDate ge tradeHeader/tradeDate
---------------
eqd-32 (Mandatory)
English Description:
Context: Contract (complex type)
The starting date of an equity option must be after the contract date
XPath Description:
Context: Contract (complex type)

[//element(*, EquityDerivativeBase)/equityEffectiveDate]
Every $equityDerivativeBase in //element(*, EquityDerivativeBase)[exists(equityEffectiveDate)] $equityDerivativeBase/equityEffectiveDate ge header/contractDate
-----------------

Regards,
Irina

-----Original Message-----
From: valwg@xxxxxxxx [mailto:valwg@xxxxxxxx] On Behalf Of Christian Nentwich
Sent: Tuesday, March 24, 2009 12:57 PM
To: valwg@xxxxxxxx
Cc: Andrew P Parry
Subject: Re: FpML-VAL More feedback on validation rules

Matthew,

eqd-31 and eqd-32 are the more generic ones, so I had assumed these
would be the ones to keep. Either that, or 23 and 30 need to be more
generic. Andrew also indicated that the rule should apply to all products.


As for cd-37, I suggest rephrasing from:

If condition quotationAmount is true, and if condition
minimumQuotationAmount is true, and if both amounts have the
same-currency, then quotationAmount/amount must be greater or equal to
minimumQuotationAmount/amount

to:

If quotationAmount exists and minimumQuotationAmount exists and if both
amounts have the same-currency, then quotationAmount/amount must be
greater or equal to minimumQuotationAmount/amount

In addition, the quotationAmount and minimumQuotationAmount "conditions"
should be removed from the rule file.


For ln-21, I cannot quite follow - I thought the rule was restricting
the entries in the interest accrual schedule, to force certain elements
to be mandatory in all steps, *if* such a schedule is used inside
InterestPaymentNotice (the rule context). That would make sense to me.
To say "at least one (random) step has a rate defined", as the XPath
would imply, made rather less sense. Caveat emptor: I have never used
the syndicated loan definitions, so I am speculating.

Christian


Matthew D Rawlings wrote:
> 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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