FpML Issues Tracker

905: Rule cd-21 needs to be updated: fixed payment recovery factor example breaks this rule

January 20, 2009

closed

Major

Always

Credit Derivatives

Admin

benjlis

Summary

The introduction of the element within 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, [...]"

Attachments

  • cd-ex16-short-us-corp-fixreg-recovery-factor.xml

    • Notes:

  • mgratacos

    01/20/09 11:06 am

    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.

  • mgratacos

    01/21/09 5:29 pm

    Proposed solution has been committed to the repository (trunk, 4.5 branch, and 5.0 branch).

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