The Business Day Convention uses the term “NONE”. I suggest in the next change when we can make a non-backwards compatible change that it is changed to “ACTUAL”. IMHO The term “ACTUAL” has better support in the industry for date rolling conventions. This also avoids confusion with the other enumeration value of no convention of … Continued
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”) “