The definition of NEAREST in FpML is: “The non-business date will be adjusted to the nearest day that is a business day – i.e. if the non-business day falls on any day other than a Sunday or a Monday, it will be the first preceding day that is a business day, and will be the … Continued
Attached is a proposal for changes to support digital Caps and Floors. Included in the zip file are : – Proposal Document – Amended schema (fpml-ird-4-5.xsd). – Example instance document.
Attached is a proposal for changes to support digital Caps and Floors. Included in the zip file are : – Proposal Document – Amended schema (fpml-ird-4-5.xsd). – Example instance document.
We have an unprecedented scenario in the marketplace with US Treasury rates dropping into negative territory. I request verification whether or not firms will have an issue. Cashflows reverse in reality but not necessarily in IBML/FpML encoding nor in application code. Cashflow direction is primarily modeled as a unidirectional flow based upon the designation of … Continued
Given the current market conditions, we expect to hit zero or negative interest rate situations. Just wanted to give a heads up to make sure that we look for places where this could cause an issue – so far I have only seen ird-25 rule, which currently applies to fixedRateSchedule ( when there are no … Continued
The precise description of shared-9 should be: ” iff(not exists(businessCentersReference|businessCenters), businessDayConvention = (“NONE”, “NotApplicable”)) “
shared-1 rule is: ” iff(exist businessCentersReference or businessCenters, businessDayConvention ne “NONE” or “NotApplicable”) ” This is illegal XPath. The rule should be: ” iff(exists(businessCentersReference|businessCenters), not(businessDayConvention = (“NONE”, “NotApplicable”))) “
Many of the Validation Examples are schema invalid. It looks like a problem with masterAgreementVersion under masterAgreement. This is in the validation-rules branch. The warnings I get from XML Spy are: File C:workingganny-wsvalidation-rulessrcvalidationexamplesvalid-testcasesvalid-cd-1-01.xml is not valid. Element is not allowed under element . Reason: The following elements are expected at this location (see below) Annotations … Continued
Please add the following for the ISDA1999Creditr precise description of the PreCondition: ” some $document in (//element(*, Trade)|//element(*, Contract))/documentation/(contractualDefinitions|masterConfirmation/masterConfirmationType) satisfies contains($document, “ISDA1999Credit”) “
The rule today: ” iff(exist weeklyRollConvention, period = “W”) ” The correct rule: ” iff(exist weeklyRollConvention, period eq “W”) “