FpML Issues Tracker

815: fx-12 needs defining completely

September 12, 2008

closed

Minor

Always

Validation Rules

Admin

danieldui

Summary

The current fx-12 leaves a large amount to interpretation:

" fx-12 (Mandatory) Context: FxAverageRateOption (complex type) [exists(averageRateObservationSchedule)] The values of observedRates/observationDate should match the calculated schedule dates derived from parameters defined within the averageRateObservationSchedule element and the business day calendar implied by fixingTime/businessCenter. "

The rule must define: "match", "calculated schedule date", the derivation process in "derived", and the calculation in "implied".

At the moment it is more of a comment than a rule.

Notes:

  • matthewdr

    12/09/08 2:37 pm

    Agreed to wait for the “financial date arithmetic paper”.

  • iyermakova

    11/11/10 7:41 pm

    11-11-2010 FX WG reviewed the issue.

    Note:
    – As per FX redesigned model, the rule fx-12 looks like this:
    Context: FXAsianFeature (complex type)
    If observationSchedule exists, then the values of observedRate/date equals the calculated schedule dates derived from parameters defined within the observationSchedule element and the business day calendar implied by fixingTime/businessCenter
    – FX WG awaits for Harry McAllister’s proposal to redesign the observed rate model

    FX WG will revisit the issue after the redesigned observed rate model is reviewed by the FX WG.

  • iyermakova

    12/15/10 3:27 pm

    12-09-2010 FX WG reviewed the issue. The decision was – the issue can be closed.

  • matthew

    12/15/10 3:50 pm

    Why was the issue closed without a resolution to the issue?

  • mgratacos

    12/15/10 6:40 pm

    Could we add the description on how this issue has been solved?

  • mgratacos

    10/30/19 6:55 am

    In FpML 5.11 Trial Recommendation, a link to the Financial Dates Calculation paper has been added within the Definitions section.

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