The following validation rules were removed from Confirmation View and will be added to the Reporting View once the validation rules for Reporting View are created: – ref-14, ref-15, ref-16, ref-17 in reconciliation – ref-18 in mktenv – ref- 19, ref-22, ref-23, ref-24, ref-36 – in valuation and riskdef – ref- 20, ref-21 – in … Continued
The 5-x Confirmation View Validation rules ref-10, ref-30, ref-32 need new invalid test cases: the existing invalid cases have the following issues: – invalid-ref-10-01 (currently used in requestValuationReport message) – invalid-ref-30-01 (currently used in valuationDocument message) – invalid-ref-32-01 (currently used in fx product )
FpML:ElectricityDeliverydelivery has untyped compleyType content: … …. This exists in FpML from at least version 4.6 This needs to be defined in a type, e.g. ElectricityDeliveryDeliveryConditions
5.0 currently don’t have the validation test cases.
See attached Word file containing the description of the issue.
In the complex type ‘FormulaTerm’ the element ‘partialDerivativeReference’ is of type ‘PricingParameterDerivativeReference’ whilst in the type ‘WeightedPartialDerivative’ the same element name has type ‘PricingStructureReference’. Either the type is wrong or the element is misnamed in the second case. Have not checked previous version to see how long this inconsistency has existed.
An additional code value is needed in the settlementRateOptionScheme to support PHP non-deliverable interest rate swap transactions. ISDA published the Asian Currencies Non-Deliverable Swap Transaction Standard Terms Supplement and Fallback Matrix on October 19, 2009. This is available on the ISDA website under ISDA Bookstore > ISDA Interest Rate and Currency Derivative Definitions, Confirmations and … Continued
At FpML 4-5 (and subsequent versions), validation rule ird-7 was “formalised” with a natural language description as follows: English Description: Context: InterestRateStream (complex type) The existence of compoundingMethod is required when the frequencies differ, and prohibited when they are the same The problem is that the description does not state *which* frequencies differ. I propose … Continued
An additional code value is needed to support JPY inflation swaps referencing the Japan CPI. The Japan CPI was rebased in 2006 (see footnote 2 to the Bank of Japan article http://www.boj.or.jp/en/type/release/teiki/tenbo/gor0610.htm – also copied below for convenience) “In August 2006, the CPI was rebased from a 2000 base to a 2005 base, and year-on-year … Continued
‘fpml-credit-event-notification-5-0.xsd’ is limited to the reporting view, is listed as src-include in the Confirmation view of ‘fpml-shared-5-0.xsd’