Section 4.8 of the manual limits us to trades: “Applications that receive FpML for processing may want to check the validation rules to ensure that the data they are receiving represent a valid FpML trade.” These days FpML does a lot more than send trades around. I propose this is changed to: “Applications that receive … Continued
//contractualTermsSupplement has changed in structure. The shortForm precondition needs to change in structure to keep up with changes in the things it references. NB There are problems with the ambiguity of the shortForm ‘precondition’ that also need resolving. See issue #620. Today’s text: ” Precondition: ShortForm (context: Trade) (context: Contract) documentation/masterConfirmation exists or documentation/contractualMatrix exists … Continued
The CD ‘Pre-Condition’ in the Validation Rules is ambiguous. Today’s text: ” Precondition: ShortForm (context: Trade) (context: Contract) documentation/masterConfirmation exists or documentation/contractualMatrix exists or documentation/contractualTermsSupplement exists and begins with substring iTraxx or CDX. ” The two most sensible interpretations of this are: Interepretation 1: exists(matches(//documentation/(masterConfirmation|contractualMatrix|contractualTermsSupplement), “^(iTraxx|CDX)”)) Interepretation 2: exists(//documentation[masterConfirmation|contractualMatrix|contractualTermsSupplement[matches (., “^(iTraxx|CDX)”)]]) I believe the intended … Continued
Problem 1: Validation rule cd-5 does not cater for the scenario where either or both of //element(*, GeneralTerms)/(effectiveDate|scheduledTerminationDate) do not exist. Problem 2: The existence of //element(*, GeneralTerms)/scheduledTerminationDate is sufficient for the existence of //element(*, GeneralTerms)/scheduledTerminationDate/adjustableDate. Or informally: if you have a scheduledTermination then you always have a adjustableDate because it makes adjustableDate’s existence mandatory. … Continued
Rule cd-4 use the term “substring” incorrectly: cd-3 (Mandatory) Preconditions: ISDA1999 documentation/contractualSupplement must not begin with the substring ISDA2003Credit. “ISDA2003Credit” is a type of String. It is not a type of Substring. In popular usage by IT people Substring is a function or comparator. In plain English a substring is something that isn’t quite a … Continued
cd-3 refers to the element //element(*, Trade)/documentation/contractualSupplement which is DEPRECATED. ” cd-3 (Mandatory) Preconditions: ISDA1999 documentation/contractualSupplement must not begin with the substring ISDA2003Credit. ” Two fixes are required: 1. cd-3 should itself be marked as deprecated. 2. cd-3b should be created for the rule on the new element. cd-3 should now refer to cd-3b.
cd-1 today is: ” Context: Trade (complex type) cd-1 (Mandatory) Preconditions: SingleName tradeHeader/tradeDate must be before creditDefaultSwap/generalTerms/effectiveDate/unadjustedDate. ” The context changed to header to come into line with the Architecture. This is good. However the new Context isn’t corrtect. The context should be (in XPath): ” Context: //element(*, Trade)[creditDefaultSwap] cd-1 (Mandatory) Preconditions: SingleName tradeHeader/tradeDate must … Continued
” (Mandatory) Preconditions: isParametric paymentDates/firstPaymentDate > calculationPeriodDates/effectiveDate/unadjustedDate. ” The problem is that some swapStreams had calculationPeriodDates/relativeEffectiveDate. How do I interpret this rule under that scenarios? Should the rule be refined to cope with relativeEffectiveDate, or is this an additional precondition and a new rule?
” (Mandatory) Preconditions: isParametric paymentDates/firstPaymentDate > calculationPeriodDates/effectiveDate/unadjustedDate. ” The problem is that firstPaymentDate is an optional element. The firstPaymentDates only apply for legs with an initial stub. I suggest either we add a ‘precondition’ for ird-6 that the swapStream “hasInitialStub”.
Rule ird-5 when applied to valid-ird-05-01.xml makes no sense for the second swapStream (“Barclays pays the 6% fixed rate every year on a 30E/360 basis”). ” ird-5 (Mandatory) Preconditions: isParametric The frequency in calculationPeriodDates/calculationPeriodFrequencymust be an integer multiple of the frequency in resetDates/resetFrequency. See also: frequency equivalence ” The problem is that resetDates is an … Continued