The rules concerning equity option multiple exercise need to be updated according to the content of the document that the EQD WG has produced. TODO: – Identify rules – Propose updated version – Review internally and with EQD WG
FpML FX WG is looking for Valid WG advice on how to restrict the values of a new pointsMultiplier element of type ‘PositiveDecimal’ to 10^x (1, 0.1, 0.01, 0.001, 0.0001, etc)
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