FpML Issues Tracker

1118: cd-21 first invalid input

April 30, 2012

closed

Minor

Have not tried

Credit Derivatives

kkonst

mgratacos

Summary

It is unclear why the first invalid input, invalid-cd-21-01.xml, of rule cd-21 at http://www.fpml.org/spec/fpml-5-3-4-lcwd-1/html/confirmation/index.html is invalid.

There is a comment in file invalid-cd-21-01.xml

Based on this comment it seems that the cashSettlementTerms element should not exist at all in the invalid input. However, the rule states that the following elements must not exist (and not the whole cashSettlementTerms term):

cashSettlementTerms/settlementCurrency cashSettlementTerms/valuationDate cashSettlementTerms/valuationTime cashSettlementTerms/quotationMethod cashSettlementTerms/quotationAmount cashSettlementTerms/minimumQuotationAmount cashSettlementTerms/dealer cashSettlementTerms/cashSettlementBusinessDays cashSettlementTerms/accruedInterest cashSettlementTerms/valuationMethod

The cashSettlementTerms in file invalid-cd-21-01.xml is empty and therefore does not contain the afore-mentioned elements. So, the file should be valid according to rule cd-21.

You can also find file invalid-cd-21-01.xml attached to the current issue I am posting.

Notes:

  • andrew

    11/02/12 10:54 am

    The rules was changed in FpML 5.0 and now references specific elements rather than the cashSettlementTerms structure as a whole. A new set of test cases are needed for FpML 5.*

    The attached file contains new test cases created for release 1.7 of the HandCoded toolkit which correctly detects the errors.

  • andrew

    11/02/12 10:56 am

    Add provided test cases to FpML repository then test and close the issue.

  • mgratacos

    04/30/19 11:14 am

    Assigned to me.

  • rabad

    05/03/19 10:04 am

    Solved issue for invalid-cd-21-01.

    Changes:

    added /dataDocument/trade[1]/creditDefaultSwap[1]/feeLeg[1]/periodicPayment[1]/fixedAmountCalculation[1]/dayCountFraction[1] = ‘ACT/360’
    changed /dataDocument/trade[1]/creditDefaultSwap[1]/generalTerms[1]/buyerPartyReference[1]/@href from “party2” to “party1”

    First addition to have an invalid field to trigger rule cd-21.

    Second change to not trigger rules which indicates that buyer and seller must point out to different parties.

  • mgratacos

    05/15/19 5:19 am

    This will be available in the next release of 5.11.

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