Author: Admin

The rule indicates that it has three examples but they are missing from the ZIP and the links from the rule documentation are broken.

The current context is FxAverageRateObservation which is structure containing a single observation date. The correct context is FxAsianFeature and the rule should be: Each rateObservation/date must be unique count (distinct-values (rateObservation/date)) eq count (rateObservation))

Rule ird-51 is currently: Context: InterestRateStream (complex type) The dates in calculationPeriodAmount/calculation/notionalSchedule/fixedRateSchedule/step/stepDate must be unadjusted calculation period dates in the schedule implied by calculationPeriodDates. The fixedRateSchedule is a sibling of the notionalSchedule rather than a child. The XPath should be: calculationPeriodAmount/calculation/fixedRateSchedule/step/stepDate

The rule ird-57 says: Context: CalculationPeriodFrequency (complex type) When the period is “M” or “Y,” the rollConvention cannot be a week day, “NONE” or “SFE” In the test case file the calculationPeriodFrequency is defined as: 1 T NONE As the period is neither ‘M’ or ‘Y’ the rule is not triggered.

The rule ird-25 says: Context: Schedule (complex type) If step does not exist, then initialValue must not be equal to 0 In the test case the fixedRateSchedule is defined as: 0.06 But to trigger the rule it must be changed to: 0.00 If have checked back to FpML 4.2 and it has never been correct.

Rule ird-12 states: ird-12 (Mandatory) English Description: Context: CalculationPeriodDates (complex type) The frequency specified in calculationPeriodFrequency must divide the 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. What does happen with stubs? Shouldn’t the rule include the … Continued

Documentation of element relevantUnderlyingDate, child of [American|Bermuda|European]Exercise, reads: “The daye on the underlying set by the exercise of an option …” This should be amended to: “The date on the underlying ….”

The comment on the CDS generalTerms/scheduledTerminationDate element says “May be specified as an adjusting or non-adjusting date or alternatively as a period offset from the effective date.” but the relative date offset component was removed from the ScheduledTerminationDate type. The annotation needs to be updated accordingly.

Around the end of October 2010, the FX WG discussed a proposal to harmonise the naming of the instances of FxCashSettlement, found in the FxSingleLeg and FxOption types (see: http://www.fpml.org/_wgmail/_fxwgmail/msg00127.html). In FpML 4-x, these were named “nonDeliverableForward” and “cashSettlementTerms” in the forward and option models respectively. The group agreed to call both instances “nonDeliverableSettlement” in … Continued

The ScheduledTerminationDate type is an orphan and should be removed in the 4.x and 5.x series. The presence in the schema confuses users.