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| ID | Category | Severity | Reproducibility | Date Submitted | Last Update | ||||
| 0000907 | [FpML] Credit Derivatives | major | always | 2009-01-20 09:57 | 2009-01-22 08:01 | ||||
| Reporter | mgratacos | View Status | public | ||||||
| Assigned To | benjlis | ||||||||
| Priority | normal | Resolution | fixed | ||||||
| Status | closed | Target Version | 4.5 Recommendation 2009-02-25 (build 6) | Product Version | 4.4 Recommendation 2008-08-20 | ||||
| Summary | 0000907: Rule cd-21 needs to be updated: fixed payment recovery factor example breaks this rule | ||||||||
| Description | The introduction of the <recoveryFactor> element within <cashSettlementTerms> in FpML 4.4 has made that all short-form examples with recovery factor don't pass rule cd-21 since the rule says "If the condition ShortForm is true, and if the condition SingleName is true, then the following elements must not exist: cashSettlementTerms, [...]" | ||||||||
| Additional Information |
cd-21 (Mandatory) English Description: Context: CreditDefaultSwap (complex type) If the condition ShortForm is true, and if the condition SingleName is true, then the following elements must not exist: cashSettlementTerms, physicalSettlementTerms, feeLeg/periodicPayment/fixedAmountCalculation/calculationAmount, feeLeg/periodicPayment/fixedAmountCalculation/dayCountFraction, protectionTerms/obligations, generalTerms/referenceInformation/allGuarantees, generalTerms/referenceInformation/referencePrice, generalTerms/effectiveDate/dateAdjustments, generalTerms/effectiveDate/dateAdjustmentsReference, generalTerms/scheduledTerminationDate/adjustableDate/dateAdjustments, generalTerms/scheduledTerminationDate/adjustableDate/dateAdjustmentsReference, generalTerms/dateAdjustments. |
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| Tags | No tags attached. | ||||||||
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| Attached Files |
 cd-ex16-short-us-corp-fixreg-recovery-factor.xml [^] (3,870 bytes) 2009-01-20 15:53 |
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(0002279) mgratacos (administrator) 2009-01-20 11:06 edited on: 2009-01-20 12:04 |
Solution: cd-21 (Mandatory) English Description: Context: CreditDefaultSwap (complex type) If the condition ShortForm is true, and if the condition SingleName is true, then the following elements must not exist: cashSettlementTerms/settlementCurrency, cashSettlementTerms/valuationDate, cashSettlementTerms/valuationTime, cashSettlementTerms/quotationMethod, cashSettlementTerms/quotationAmount, cashSettlementTerms/minimumQuotationAmount, cashSettlementTerms/dealer, cashSettlementTerms/cashSettlementBusinessDays, cashSettlementTerms/accruedInterest, cashSettlementTerms/valuationMethod, physicalSettlementTerms, feeLeg/periodicPayment/fixedAmountCalculation/calculationAmount, feeLeg/periodicPayment/fixedAmountCalculation/dayCountFraction, protectionTerms/obligations, generalTerms/referenceInformation/allGuarantees, generalTerms/referenceInformation/referencePrice, generalTerms/effectiveDate/dateAdjustments, generalTerms/effectiveDate/dateAdjustmentsReference, generalTerms/scheduledTerminationDate/adjustableDate/dateAdjustments, generalTerms/scheduledTerminationDate/adjustableDate/dateAdjustmentsReference, generalTerms/dateAdjustments. |
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(0002280) mgratacos (administrator) 2009-01-21 17:29 edited on: 2009-01-21 17:31 |
Proposed solution has been committed to the repository (trunk, 4.5 branch, and 5.0 branch). |
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Issue History |
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| Date Modified | Username | Field | Change |
| 2009-01-20 09:57 | mgratacos | New Issue | |
| 2009-01-20 09:57 | mgratacos | Status | new => assigned |
| 2009-01-20 09:57 | mgratacos | Assigned To | => benjlis |
| 2009-01-20 11:06 | mgratacos | Note Added: 0002279 | |
| 2009-01-20 11:39 | mgratacos | Target Version | => 4.5 Recommendation (Publication Date TBA) |
| 2009-01-20 12:04 | mgratacos | Note Edited: 0002279 | |
| 2009-01-20 15:53 | mgratacos | File Added: cd-ex16-short-us-corp-fixreg-recovery-factor.xml | |
| 2009-01-20 16:03 | mgratacos | Description Updated | |
| 2009-01-21 17:29 | mgratacos | Note Added: 0002280 | |
| 2009-01-21 17:29 | mgratacos | Status | assigned => resolved |
| 2009-01-21 17:29 | mgratacos | Resolution | open => fixed |
| 2009-01-21 17:31 | mgratacos | Note Edited: 0002280 | |
| 2009-01-22 08:01 | mgratacos | Status | resolved => closed |