Christian
-
I
am using
the NRL rules as a leg-up on rewriting the FpML validation rules in OCL.
For
the NRL CD rules I can see
cd-1, cd-1b, cd-1c,
and cd-1d. Yet in FpML all I can see is cd-1 and cd-1b. Presumably you
added
these to cover Contracts as well as trades? Are you planning on
contributing
these back?
The
FpML
definition of cd-1b refers to $CreditIndex,
an FpML ‘Condition’:
“
cd-1b
(Mandatory)
Context:
Trade (complex type)
[CreditIndex]
[creditDefaultSwap/generalTerms/effectiveDate
exists]
tradeHeader/tradeDate
>=
creditDefaultSwap/generalTerms/effectiveDate/unadjustedDate.
“
In
the NRL
rules the reference to $CreditIndex is missing. Why is it missing?
We
had
almost finished converting the FpML ‘Conditions’ to parameterless
functions,
with a precise definition. This one has not been converted yet.
The
best way
I can see to represent CreditIndex in OCL is as a Derived Property –
because it
is so widely used. As it is parameterless a Query seemed un-necessary.
FpML
English
Condition:
CreditIndex
(context:
CreditDefaultSwap)
generalTerms/indexReferenceInformation exists and
generalTerms/indexReferenceInformation/tranche does not exist.
OCL
context
CreditDefaultSwap::usesCreditIndex
derive:
generalTerms.indexReferenceInformation->size() > 0
and generalTerms.indexReferenceInformation/tranche->size() = 0
Is
there a
way to do something similar to a derived property in NRL? How would you
factor
out something like $CreditIndex?
Regards
–
Matthew
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