Author: Admin

The validation rule 37 for credit derivatives is unclear. The two fields below can only be evaluated when they have identical currencies, or the FX rate is known. /FpML/trade/creditDefaultSwap/cashSettlementTerms/quotationAmount/amount /FpML/trade/creditDefaultSwap/cashSettlementTerms/minimumQuotationAmount/amount Either a rule should be added that they have the same currencies and that otherwise the results are not evaluatable. 3 JPY 40000000 JPY 50000000 … Continued

The evaluation of dates in the validation rules is unclear. For example rules cd-1 (Mandatory): tradeHeader/tradeDate must be before creditDefaultSwap/generalTerms/effectiveDate/unadjustedDate. How is this evaluated when timezones are included or excluded? The answer is normally indeterminate as any ISO8601 date is +/- 18 hours of timezone, and +/- 24 hours of day.

Please can we have a downloadable Zip of the validation rules. This is very useful when working disconnected from the FpML website.

I noticed that in going from FpML 2.0 Recommendation to the FpML 3.0 Trial Recommendation one of the day count fraction enumeration values changed, namely the code in FpML 2.0 ACT/365.ISDA became ACT/ACT.ISDA. The change then appears to have been propagated through to FpML 4.0, 4.1, 4.2 etc. Can anybody recall whether the code was … Continued

http://www.fpml.org/spec/2004/FpML-4-1/validation/2004-07-19/rules-english-shared.html All other pages have the same problem, but I have only reported one link. The URL links for test cases under each business rule, ( i.e. the links called [valid] [invalid] [invalid] etc ) are broken

It seems that the FpML 4.2 variance swap examples (in the eqvs directory) have a version attribute of 4-1, not 4-2.

We don’t need to duplicate the text “masterConfirmation” in the child elements of the “masterConfirmation” element. The parent element already names the context. I’d expect to see: masterConfirmation/type masterConfirmation/date masterConfirmation/annexDate This issue applies not only to masterConfirmation but other existing types in FpML 4.2, in which children elements are prefixed with the name of the … Continued

When FpML 1.0 was defined for interest rate swaps we defined the rule that firstPaymentDate “must only be included if there is an initial stub”. This definition remains in the FpML 4.1 standard today for interest rate components. The rationale was that for vanilla swaps (without stubs) we wanted to make the FpML representation as … Continued

parValue xsd:decimal, should be Money In general we have a mix of representing money amount currency IS-A Currency value IS-A xsd:decimal and amount IS-A Money

Candidates to be made abstract: Event Product These are both base types which should be abstract