cd-15 today has: ” cashSettlementTerms/valuationMethod eq (“Market”, “Highest”) ” This is illegal in XPath 2. It breaks section 2.5.4 on Sequence Type Matching. The correct solution is: ” cashSettlementTerms/valuationMethod = (“Market”, “Highest”) ” In all these cases the correct XPath solution can be found in the XQuery reference implementation of the validation rules.
cd-6 today: ” cd-6 (Mandatory) Context: GeneralTerms Formal Description: buyerPartyReference/@href neq sellerPartyReference/@href ” corrected: ” cd-6 (Mandatory) Context: GeneralTerms Formal Description: buyerPartyReference/@href ne sellerPartyReference/@href “
cd-14 today is: ” The @href attribute of protectionTerms/creditEvents/creditEventNotice/notifyingParty/sellerPartyReference eq the @href attribute of generalTerms/sellerPartyReference ” the correct precise description is: ” protectionTerms/creditEvents/creditEventNotice/notifyingParty/sellerPartyReference/@href eq generalTerms/sellerPartyReference/@href “
The guard on cd-15 needs to change in the precise description: currently: ” [count(generalTerms/referenceInformation/referenceObligation)=1] [exists(cashSettlementTerms/valuationDate/singleValuationDate)] ” fixed: ” [count(generalTerms/referenceInformation/referenceObligation) eq 1] [exists(cashSettlementTerms/valuationDate/singleValuationDate)] “
The guard on cd-17 in the precise description is: ” [count(generalTerms/referenceInformation/referenceObligation)=1] [exists(cashSettlementTerms/valuationDate/multipleValuationDates)] ” It should be: ” [count(generalTerms/referenceInformation/referenceObligation) eq 1] [exists(cashSettlementTerms/valuationDate/multipleValuationDates)] “
The functx namespace needs declaring in the Validation Rules. functx is the namespace for a standard function library in XPath. The functx namespace is used in some IRD rules. The namespace should be defined just like the other namespaces. Add this to the namespace declaration in the rules: ” namespace functx = http://www.functx.com “
The new HTML layout is largely fine, but has some problems where it doesn’t match the spirit or letter of what was agreed. Problem #1 The first problem is the guard on the context is given in the body of the rule and not the context. This disassociated the guard from the context and also … Continued
Per the EMTA/ISDA Market Practice statement Recommended EMTA-ISDA Market Practice for BRL CDI Non-Deliverable Interest Rate Swap Transactions published at http://www.isda.org/publications/pdf/SwapsCDsMP1.pdf the definition of a Brazil Business Day is very specific and defined as follows: Brazil Business Day means a business day in any of Sao Paulo, Rio de Janeiro or Brasilia not otherwise declared … Continued
The 2008 ISDA Inflation Derivatives Definitions were published Oct 14 2008 See http://www.isda.org/cgi-bin/_isdadocsdownload/download.asp?DownloadID=360 We need a corresponding value added to the contractualDefinitions coding scheme. Code: ISDA2008Inflation Source: FpML Description: ISDA 2008 Inflation Derivatives Definitions
The precondition ‘isParametric’ is attached to the majority of the IRD rules. The precondition is satisfied (true) where InterestRateStream/cashflows is absent (“does not exist”), or cashflows/cashflowsMatchParameters is true; in other words (informally) in all cases where not(cashflowsMatchParameters is false). The purpose of cashflowsMatchParameters is to declare whether (or not) the content of cashflows (multiple paymentCalculationPeriods, … Continued