FpML 4.4 Validation Rules - Rules for Interest Rate Derivatives (IRD)
This is the Interest Rate 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.
Content
Namespace
default element namespace = http://www.fpml.org/2007/FpML-4-4
Definitions
Term: regular period The regular period of a set of calculation period dates is the period between a start date and an end date. If firstRegularPeriodStartDate exists, then the start date is firstRegularPeriodStartDate, else the start date is effectiveDate/unadjustedDate. If lastRegularPeriodEndDate exists, then the end date is lastRegularPeriodEndDate, else the end date is terminationDate/unadjustedDate.
Term: frequency equivalence A frequency is specified as a tuple of
period, which is an integer, and
periodMultiplier, which is one of
D,
M,
Y,
W or
T, standing for day, month, year, week and term. Between any pair of frequencies, the following is the complete list of equivalences
where the period multipliers differ:
If the period multipliers of a pair of frequencies are equivalent, then they are equal if and only if the
period elements are equal. For the purpose of calculating multiples of periods, the following additional rule holds:
- Any frequency > 0 is a multiple of 1D
- 1T is a positive integer multiple (>= 1) of any frequency
Term: unadjusted calculation period dates This applies in the context of an
InterestRateStream. For the purpose of validation, the unadjusted calculation period dates are determined as follows:
-
cashflows element not present: the unadjusted calculation period dates are calculated by stepping through the regular period at the frequency specified in calculationPeriodDates/calculationPeriodFrequency. The first date is the start date of the regular period and the last date is the end date of the regular period.
-
cashflows element exists and cashflowsMatchParameters is true: the unadjusted calculation period dates are calculated from the regular period as in the previous case.
-
cashflows element exists and cashflowsMatchParameters is false: rules that relate elements to unadjusted calculation period dates do not apply. Instead, the cash flows must be validated internally.
Term: the schedule implied byThe schedule defined by the effective- and termination-Date, together with the "RegularPeriod" dates which may appear optionally
in the presence of stubs, and the calculation period frequency.
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: isParametric
(context: InterestRateStream)
If cashflows does not exist , or cashflows/cashflowsMatchParameters contains true.
Rules
Unique contexts:
Context:
InterestRateStream (complex type)
ird-1 (Mandatory)
resetDates must exist if and only if a floatingRateCalculation or inflationRateCalculation exists in the calculationPeriodAmount/calculation element.
ird-2 (Mandatory)
paymentDates/paymentFrequency must be an integer multiple (could be 1) of
calculationPeriodDates/calculationPeriodFrequency. See also:
frequency equivalence.
ird-5 (Mandatory)
The frequency in
calculationPeriodDates/calculationPeriodFrequency must be an integer multiple of the frequency in
resetDates/resetFrequency. See also:
frequency equivalence
ird-6 (Mandatory)
paymentDates/firstPaymentDate > calculationPeriodDates/effectiveDate/unadjustedDate.
ird-7 (Mandatory)
calculationPeriodAmount/calculation/compoundingMethod exists if and only if the frequencies in
paymentDates/paymentFrequency and
calculationPeriodDates/calculationPeriodFrequency are different. See also:
frequency equivalence.
ird-8 (Mandatory)
payerPartyReference/@href and receiverPartyReference/@href must not be the same.
ird-9 (Mandatory)
calculationPeriodAmount/calculation/compoundingMethod can only exist if a resetDates element exists.
ird-55 (Mandatory)
The paymentDates/calculationPeriodDatesReference/@href attribute must point to the calculationPeriodDates/@id attribute.
ird-56 (Mandatory)
The paymentDates/resetDatesReference/@href attribute must point to the resetDates/@id attribute.
Context:
CalculationPeriodDates (complex type)
ird-10 (Mandatory)
This rule applies when calculationPeriodFrequency/rollConvention is a number. If firstRegularPeriodStartDate exists, then the start date is firstRegularPeriodStartDate, else the start date is effectiveDate/unadjustedDate. If calculationPeriodFrequency/rollConvention is less than or equal to the last day of the month in the start date, then the day of the start date must match it, else
the day of the start date must be the last day of the month of that date.
ird-11 (Mandatory)
This rule applies when calculationPeriodFrequency/rollConvention is a number. If lastRegularPeriodEndDate exists, then the end date is lastRegularPeriodEndDate, else the end date is terminationDate/unadjustedDate. If calculationPeriodFrequency/rollConvention is less than or equal to the last day of the month in the end date, then the day of the end date must match it, else the
day of the end date must be the last day of the month of that date.
ird-12 (Mandatory)
The frequency specified in
calculationPeriodFrequency must divide the
regular period precisely. This means that by stepping through the period from the start date at the specified frequency, it must be possible
to reach the end date.
ird-14 (Mandatory)
terminationDate/unadjustedDate > effectiveDate/unadjustedDate.
ird-15 (Mandatory)
terminationDate/unadjustedDate > firstPeriodStartDate/unadjustedDate.
ird-16 (Mandatory)
terminationDate/unadjustedDate > firstRegularPeriodStartDate.
ird-17 (Mandatory)
terminationDate/unadjustedDate > lastRegularPeriodEndDate.
ird-18 (Mandatory)
lastRegularPeriodEndDate > firstRegularPeriodStartDate.
ird-19 (Mandatory)
lastRegularPeriodEndDate > firstPeriodStartDate/unadjustedDate.
ird-20 (Mandatory)
lastRegularPeriodEndDate > effectiveDate/unadjustedDate
ird-21 (Mandatory)
firstPeriodStartDate/unadjustedDate < effectiveDate/unadjustedDate
ird-22 (Mandatory)
firstPeriodStartDate/unadjustedDate < firstRegularPeriodStartDate
ird-57 (Mandatory)
If rollConvention is neither NONE nor SFE, nor a day of the week ( MON, TUE, WED, THU, FRI, SAT or SUN) then the period must be M or Y.
ird-58 (Mandatory)
If rollConvention is a day of the week ( MON, TUE, WED, THU, FRI, SAT or SUN) then the period must be W.
Context:
StubCalculationPeriodAmount (complex type)
ird-23 (Mandatory)
initialStub should only exist if the
calculationPeriodDates element referenced by
calculationPeriodDates/@href contains at least one of:
-
firstPeriodStartDate
-
firstRegularPeriodStartDate
ird-24 (Mandatory)
finalStub should only exist if the calculationPeriodDates element referenced by calculationPeriodDates/@href contains a lastRegularPeriodEndDate element.
ird-38 (Mandatory)
DEPRECATED:
Context: StubCalculationPeriodAmount; Description: Either initialStub or finalStub must exist.
Rationale for deprecation: the rule has been replaced by a schema constraint.
Context:
Schedule (complex type)
ird-25 (Mandatory)
If there are no step elements then initialValue must be non-zero.
Context:
BusinessCentersReference (complex type)
ird-26 (Mandatory)
DEPRECATED:
Context: BusinessCentersReference; Description: The @href attribute must match the @id attribute of a businessCenters element somewhere within the document.
Rationale for deprecation: the rule has been replaced by the reference rule number 39 (ref-39)
Context:
MandatoryEarlyTermination (complex type)
ird-27 (Mandatory)
cashSettlement/cashSettlementPaymentDate must not exist.
ird-28 (Mandatory)
DEPRECATED:
Context: MandatoryEarlyTermination; Description: If cashSettlement/cashSettlementValuationDate exists, the cashSettlement/cashSettlementValuationDate/dateRelativeTo/@href attribute must point to the mandatoryEarlyTerminationDate/@id attribute.
Rationale for deprecation: the rule has been replaced by the reference rule number 38 (ref-38)
Context:
Calculation (complex type)
ird-29 (Mandatory)
If compoundingMethod exists then fixedRateSchedule must not exist.
Context:
CalculationPeriod (complex type)
ird-30 (Mandatory)
Must contain unadjustedStartDate and/or adjustedStartDate.
ird-31 (Mandatory)
Must contain unadjustedEndDate and/or adjustedEndDate.
Context:
Discounting (complex type)
ird-32 (Mandatory)
DEPRECATED:
Context: Discounting; Description: If discountRate is absent then discountRateDayCountFraction must also be absent.
Rationale for deprecation: the rule has been replaced by a schema constraint.
Context:
Fra (complex type)
ird-33 (Mandatory)
adjustedTerminationDate> adjustedEffectiveDate.
Context:
PaymentCalculationPeriod (complex type)
ird-34 (Mandatory)
Either unadjustedPaymentDate or adjustedPaymentDate must exist.
Context:
PaymentDates (complex type)
ird-35 (Mandatory)
If firstPaymentDate exists and lastRegularPaymentDate exists, then firstPaymentDate < lastRegularPaymentDate.
ird-36 (Mandatory)
If both firstPaymentDate and lastRegularPaymentDate exist then the period defined by these dates must be an integer multiple of paymentFrequency.
Context:
EarlyTerminationEvent (complex type)
ird-39 (Mandatory)
adjustedExerciseDate <= adjustedEarlyTerminationDate
ird-40 (Mandatory)
adjustedExerciseDate <= adjustedCashSettlementValuationDate
ird-41 (Mandatory)
adjustedCashSettlementValuationDate <= adjustedCashSettlementPaymentDate
Context:
ExtensionEvent (complex type)
ird-42 (Mandatory)
adjustedExerciseDate < adjustedExtendedTerminationDate
Context:
FxLinkedNotionalAmount (complex type)
ird-43 (Mandatory)
At least one element must exist
Context:
MandatoryEarlyTerminationAdjustedDates (complex type)
ird-44 (Mandatory)
adjustedEarlyTerminationDate <= adjustedCashSettlementValuationDate <= adjustedCashSettlementPaymentDate
Context:
OptionalEarlyTermination (complex type)
ird-46 (Mandatory)
If cashSettlement/cashSettlementValuationDate exists, the cashSettlement/cashSettlementValuationDate/dateRelativeTo/@href attribute must point to the cashSettlement/cashSettlementPaymentDate/@id attribute.
ird-47 (Mandatory)
If cashSettlement/cashSettlementPaymentDate exists, the cashSettlement/cashSettlementPaymentDate/relativeDate/dateRelativeTo/@href attribute must point to the americanExercise/@id, bermudaExercise/@id or europeanExercise/@id, whichever one exists.
Context:
Swaption (complex type)
ird-48 (Mandatory)
In cashSettlement/cashSettlementPaymentDate/relativeDate/dateRelativeTo, the @href attribute must point to the @id attribute of americanExercise, bermudaExercise or europeanExercise, whichever one exists.
Context:
ResetFrequency (complex type)
ird-49 (Mandatory)
weeklyRollConventionshould exist if and only if the period is W
Context:
ResetDates (complex type)
ird-59 (Mandatory)
In calculationPeriodDatesReference, the @href attribute must point to the @id attribute of calculationPeriodDates in the same swapStream.
Deprecated rules
ird-26 (Mandatory)
DEPRECATED:
Context: BusinessCentersReference; Description: The @href attribute must match the @id attribute of a businessCenters element somewhere within the document.
Rationale for deprecation: the rule has been replaced by the reference rule number 39 (ref-39)
ird-28 (Mandatory)
DEPRECATED:
Context: MandatoryEarlyTermination; Description: If cashSettlement/cashSettlementValuationDate exists, the cashSettlement/cashSettlementValuationDate/dateRelativeTo/@href attribute must point to the mandatoryEarlyTerminationDate/@id attribute.
Rationale for deprecation: the rule has been replaced by the reference rule number 38 (ref-38)
ird-32 (Mandatory)
DEPRECATED:
Context: Discounting; Description: If discountRate is absent then discountRateDayCountFraction must also be absent.
Rationale for deprecation: the rule has been replaced by a schema constraint.
ird-38 (Mandatory)
DEPRECATED:
Context: StubCalculationPeriodAmount; Description: Either initialStub or finalStub must exist.
Rationale for deprecation: the rule has been replaced by a schema constraint.
Removed rules