The ird-58 is illegal XPath. Today the rule is: ” rollConvention eq (“NONE”, “SFE”, “MON”, “TUE”, “WED”, “THU”, “FRI”, “SAT”,”SUN”) ” The correct rule is: ” rollConvention = (“NONE”, “SFE”, “MON”, “TUE”, “WED”, “THU”, “FRI”, “SAT”,”SUN”) ”
ISMA (International Securities Market Association) became ICMA (International Capital Market Association) couple of years ago. We have two day count fractions: ACT/ACT.ISMA and ACT/ACT.ICMA . When should one or the other be used? Should ACT/ACT.ISMA be considered deprecated? Should ACT/ACT.ISMA be used for trades with trade date prior to the name change to ICMA? Where … Continued
Some examples use “ACT/ACT” daycount fraction. This value is not present in the scheme. It should probably be one of ACT/ACT.ICMA, ACT/ACT.ISDA, etc.
fx-11 in precise form is: Currently: ” The value of each observedRates/observationDate shall be unique ” Solution: ” count(distinct-values(observedRates/observationDate)) eq count(observedRates/observationDate) ”
In rule fx-23 “neq” should be “ne”. The rule today: ” putCurrencyAmount/currency neq callCurrencyAmount/currency ” The solution: ” putCurrencyAmount/currency ne callCurrencyAmount/currency “
fx-26 needs a valid XPath precise description. The current precise description is invalid. Currently: ” The fxSingleLegvalueDate for each one of the legs must be different ” Solution: ” fxSingleLeg[1]/valueDate ne fxSingleLeg[2]/valueDate “
The precise description for fx40b should be: ” for all $vd in fxSwap/fxSingleLeg/(valueDate|valueDate1|valueDate2) satisfies $vd gt header/contractDate ” The rule today is: ” The value of all fxSwap/fxSingleLeg/valueDate, fxswap/fxSingleLeg/valueDate1 and fxSwap/fxSingleLeg/valueDate2 instances gt header/contractDate ” The change shoulld also apply to fx-40.
fx-46 is invalid XPath in the precise description. The rule today is: ” currency1SideRate/sideRateBasis eq (“BaseCurrencyPerCurrency1” | “Currency1PerBaseCurrency”) ” The correct rule is: ” currency1SideRate/sideRateBasis = (fpml:SideRateBasisEnum(“BaseCurrencyPerCurrency1”),fpml:SideRateBasisEnum(“Currency1PerBaseCurrency”)) “
The rule fx-47 is invalid XPath. The rule today is: ” currency2SideRate/sideRateBasis eq (“BaseCurrencyPerCurrency2” | “Currency2PerBaseCurrency”) ” The correct rule is: ” currency2SideRate/sideRateBasis = (fpml:SideRateBasisEnum(“BaseCurrencyPerCurrency2”), fpml:SideRateBasisEnum(“Currency2PerBaseCurrency”)) “
The ref-7 precise description should be: id(@href) instance of element(*, InterestLegCalculationPeriodDates)