FpML 4.4 Validation Rules - Rules for Equity Derivatives (EQD)
This is the Equity Derivatives part of the validation rule set accompanying the FpML 4.4 Recommendation. The introductory
section in the draft contains background information and documentation for this page.
The rules contained on this page contain links to cut down versions of valid and invalid test cases. These test cases have
been analysed using Systemwire's xlinkit rule engine to highlight relevant document portions accessed by a rule. The cut down
test cases are non-normative and are provided for the purpose of documentation only.
Additionally, an XQuery implementation of the validation rules is also provided. See the Reference Implementations section for details.
Content
Namespace
default element namespace = http://www.fpml.org/2007/FpML-4-4
Preconditions
The Validation Preconditions only apply when specific rules reference them. The following preconditions are always to be executed
relative to the root of the FpML document being validated. The context of the rule is NOT carried through to the precondition.
Precondition: SameCurrency All instances of currency values within the context of this rule must be identical.
Rules
Unique contexts:
Context:
Trade (complex type)
eqd-2 (Mandatory)
//equityExercise/equityAmericanExercise/expirationDate/adjustableDate/unadjustedDate must be greater than or equal to tradeHeader/tradeDate.
eqd-4 (Mandatory)
//equityExercise/equityBermudaExercise/commencementDate/adjustableDate/unadjustedDate must be greater than or equal to tradeHeader/tradeDate.
eqd-12 (Mandatory)
//equityExercise/equityEuropeanExercise/expirationDate/adjustableDate/unadjustedDate must be greater than or equal to tradeHeader/tradeDate.
eqd-13 (Mandatory)
If equityOption/equityPremium/paymentDate/unadjustedDate exists, it must be greater than or equal to tradeHeader/tradeDate.
eqd-14 (Mandatory)
If brokerEquityOption/equityPremium/paymentDate/unadjustedDate exists, it must be greater than or equal to tradeHeader/tradeDate.
Context:
EquityAmericanExercise (complex type)
eqd-3 (Mandatory)
If latestExerciseTimeType is equal to SpecificTime then latestExerciseTime must exist.
Context:
EquityBermudaExercise (complex type)
eqd-6 (Mandatory)
If latestExerciseTimeType is equal to SpecificTime then latestExerciseTime must exist.
eqd-7 (Mandatory)
DEPRECATED:
Context: equityBermudaExercise; Description: The elements in bermudaExerciseDates/date should be in order, earliest date first.
Rationale for deprecation: Enforcing that data should be in specific order is not permitted.
eqd-8 (Mandatory)
All dates in bermudaExerciseDates/date must be greater than commencementDate/adjustableDate/unadjustedDate.
eqd-9 (Mandatory)
All dates in bermudaExerciseDates/date must be less than or equal to expirationDate/adjustableDate/unadjustedDate.
eqd-10 (Mandatory)
The dates in bermudaExerciseDates/date must be unique.
Context:
EquityExerciseValuationSettlement (complex type)
eqd-15 (Mandatory)
If equityValuation/valuationDate/adjustableDate exists, and equityEuropeanExercise exists, then equityValuation/valuationDate/adjustableDate/unadjustedDate must be equal to equityEuropeanExercise/expirationDate/adjustableDate/unadjustedDate.
Context:
EquityOption, EquityDerivativeShortFormBase (complex type)
eqd-17 (Mandatory)
equityExercise/equityAmericanExercise/equityMultipleExercise/maximumNumberOfOptions * equityExercise/equityAmericanExercise/equityMultipleExercise/integralMultipleExercise >= numberOfOptions.
eqd-18 (Mandatory)
If equityExercise/equityBermudaExercise/equityMultipleExercise exists, and numberOfOptions exists then: maximumNumberOfOptions * integralMultipleExercise (in equityExercise/equityBermudaExercise/equityMultipleExercise) is less than or equal to numberOfOptions.
eqd-19 (Mandatory)
If notional, equityPremium/percentageOfNotional and equityPremium/paymentAmount exist, then equityPremium/paymentAmount/amount = notional/amount * equityPremium/percentageOfNotional
eqd-20 (Mandatory)
If numberOfOptions, optionEntitlement, equityPremium/paymentAmount and equityPremium/pricePerOption exist then: equityPremium/pricePerOption/amount * numberOfOptions * optionEntitlement = equityPremium/paymentAmount/amount.
Context:
CalculationAgent (complex type)
eqd-21 (Mandatory)
DEPRECATED:
Context: CalculationAgent; Description: calculationAgentPartyReference must exist.
Rationale for deprecation: EQDWG 2007-11-30; agreed that this rule doesn't make any business sense since the calculation agent
may be specified in the master confirmation or the master agreement.
Context:
EquityDerivativeBase (complex type)
eqd-22 (Mandatory)
buyerPartyReference/@href must not be equal to sellerPartyReference/@href
eqd-23 (Mandatory)
If equityEffectiveDate exists then: equityEffectiveDate >= ../tradeHeader/tradeDate
Context:
AveragingSchedule (complex type)
eqd-24 (Mandatory)
startDate <= endDate
Context:
BrokerEquityOption (complex type)
eqd-25 (Mandatory)
If numberOfOptions, equityPremium/paymentAmount and equityPremium/pricePerOption exist then: equityPremium/pricePerOption/amount * numberOfOptions = equityPremium/paymentAmount/amount.
Context:
EquityMultipleExercise (complex type)
eqd-26 (Mandatory)
maximumNumberOfOptions <= numberOfOptions
eqd-27 (Mandatory)
minimumNumberOfOptions <= maximumNumberOfOptions
eqd-28 (Mandatory)
If integralMultipleExercise exists, (minimumNumberOfOptions / integralMultipleExercise) must be a positive integer.
eqd-29 (Mandatory)
If integralMultipleExercise exists, (maximumNumberOfOptions / integralMultipleExercise ) must be a positive integer.
Deprecated rules
eqd-7 (Mandatory)
DEPRECATED:
Context: equityBermudaExercise; Description: The elements in bermudaExerciseDates/date should be in order, earliest date first.
Rationale for deprecation: Enforcing that data should be in specific order is not permitted.
eqd-21 (Mandatory)
DEPRECATED:
Context: CalculationAgent; Description: calculationAgentPartyReference must exist.
Rationale for deprecation: EQDWG 2007-11-30; agreed that this rule doesn't make any business sense since the calculation agent
may be specified in the master confirmation or the master agreement.
Removed rules
eqd-1 (Mandatory)
REMOVED:
Context: Trade; Description: //equityExercise/equityAmericanExercise/commencementDate/adjustableDate/unadjustedDate must be equal to tradeHeader/tradeDate.
Rationale for removal: incorrect from business perspective.
eqd-5 (Mandatory)
REMOVED:
Context: Trade; Description: //equityExercise/equityBermudaExercise/expirationDate/adjustableDate/unadjustedDate must be greater than or equal to tradeHeader/tradeDate.
Rationale for removal: eqd-5 is redundant. The effect of eqd-5 is available by entailment on eqd-4, eqd-8, eqd-9.
eqd-11 (Mandatory)
REMOVED:
Context: EquityBermudanExercise; Description: latestExerciseTime/hourMinuteTime must be before or equal to equityExpirationTime/hourMinuteTime.
eqd-16 (Mandatory)
REMOVED:
Context: EquityMultipleExercise; Description: minimumNumberOfOptions < maximumNumberOfOptions.
Rationale for removal: inconsistent with rule eqd-27