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.
The credit-derivatives sample set contains two examples of credit index options, cdx-index-option.xml and itraxx-index-option.xml. In both samples, within the creditDefaultSwap option underlyer, generalTerms/indexReferenceInformation contains uninformative dummy values: the indexNameScheme has value “123” in one sample, “456” in the other. The indexIdScheme has value “CUSIP”, and the indexId contains values “ExampleCUSIP3” and “ExampleCUSIP4” respectively. These offer … Continued
Type ConfirmationStatus contains a choice model of the form: (assertedEvent, proposedMatch*)|allegedEvent, where assertedEvent and allegedEvent are both of type EventsChoice, proposedMatch is of type EventProposedMatch. None of these elements is annotated, and there is no schema annotation to explain the circumstances in which assertedEvent and/or allegedEvent should be used, or the rationale for choosing between … Continued
a)Incorrect versioning of CanonicalUri and CanonicalVersionUri collateral-dispute-resolution-method-code.xml collateral-interest-response-reason-code.xml collateral-margin-call-response-reason-code.xml collateral-response-reason-code.xml collateral-retraction-reason-code.xml collateral-substitution-response-reason-code.xml b) collateral-margin-call-response-reason-code.xml – Whitespaces are not allowed in coding scheme values (found “Valuation Date Mismatch”)
Moving from 4-6-7-rec-1 to 4-7-7-rec-2 the issues were incountered in change management documentation and versioning of schemes inappropriately. Similar issues were previously seen in moving from 4-2 to 4-6 (unreported) – suggesting procedural problems. It is vital that changes between releases are accurately summarised, and versioning correctly applied.