FpML Issues Tracker

808: pr-ex06-option-sens-on-scenario-request

September 8, 2008

closed

Minor

Always

Examples/Test Cases

Admin

mgratacos

Summary

The data content of this file fails validation rule ref-1 (an AssetReference's @href must refer to an Asset's @id).

Within the block there is an href to a defintion but YieldCurve type is not derived from Asset so this is an invalid target for the link.

USD Swaption Vol Matrix USD 3M-LIBOR USD

The example needs to be revised.

Notes:

  • mgratacos

    10/27/09 3:28 pm

    I think this is a problem of the model. The asset element is of type AnyAssetReference, which doesn’t point specifically to the Asset complex type but it’s an undefined reference. I think that it can point to Asset but also to other structures such as the curves.



    A representation of volatilities of an asset. This is a generic structure whose values can be supplied in a specific volatility matrix.






    A reference to the asset whose volatility is modeled.







    A reference to an asset, e.g. a portfolio, trade, or reference instrument..






  • mgratacos

    01/24/20 6:46 am

    AWG 2020-01-23
    One possibility would be to use Key and Key refs. We would need to explore this.
    Double check with Brian whether the example is well constructed.
  • mgratacos

    10/14/20 1:12 pm

    AWG 2020-10-01

    The group agreed to look for introducing a more generic complexType instead of “AnyAssetReference” from which Asset and the Volatility would extend from. Current “AnyAssetReference” allows the @href structure which can be used to reference assets, but also for referencing volatilities. Another possibility would be to remove the type and simply use an xsd:IDREF type in order to avoid any validation rules triggering.

  • mgratacos

    11/04/20 10:39 am

    AWG 2020-10-29

    • We agreed to implement the proposal to solve the issue.
    • To solve the unspecified AnyAssetReference, the group agreed to add a choice between assetReference and yieldCurveReference. So, the model will allow the reference to an asset or yield curve definition.
    • The proposal includes the change on the schema and the additional validation rule for checking the Yield Curve Reference (new rule ref-40).
    • The schema change is backward compatible.
  • mgratacos

    11/09/20 11:59 am

    Added new business rule ref-40.

    Added new invalid test case for rule ref-40.

    Updated pr-ex06-option-sens-on-scenario-request.xml example using the yieldCurveReference instead of the asset reference.

    All these changes have been committed to SVN and they will be published in the next minor release of FpML (5.12).

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