payment structures lack [payer|receiver]PartyReferences (interestPayment, feePayment) – so it is questionable whether the model meets the FpML principle of party neutrality. Harry McAllister (BNPParibas)
Currently the [fixingDates] under the interest leg is of type [AdjustableDatesOrRelativeDateOffset], which has a choice element with [adjustableDates] and [relativeDate]. The latter should be [relativeDates] of type [RelativeDates] rather than [relativeDate] of type [RelativeDateOffset], as they are expected to result in multiple dates. (Note that this change will not be backward-compatible.)
Rule shared-4 is today: ” Context: RelativeDateOffset (complex type) shared-4 (Mandatory) If the dayType is Business then the businessDayConvention should be NONE. ” The rule needs two changes. 1. NONE is a string. 2. “is” should be “=” 3. dayType=string Business is a condition ” shared-4 (Mandatory) Context: RelativeDateOffset (complex type)[dayType= string Business] Rule: businessDayConvention … Continued
shared-6 is currently:< " shared-6 (Mandatory) Context: AmericanExercise (complex type) earliestExerciseTime/hourMinuteTime < latestExerciseTime/hourMinuteTime, if latestExerciseTime exists. " The existence of latestExercisTime is a condition to firing the rule. Solution: " shared-6 (Mandatory) Context: AmericanExercise (complex type)[exists(latestExerciseTime)] earliestExerciseTime/hourMinuteTime < latestExerciseTime/hourMinuteTime "
shared-7 is currently: ” shared-7 (Mandatory) Context: BermudaExercise (complex type) earliestExerciseTime/hourMinuteTime < latestExerciseTime/hourMinuteTime, if latestExerciseTime exists. " The existence of latestExercise should be a condition on firing the rule. Solution: " Context: BermudaExercise (complex type)[exists(latestExerciseTime)] shared-7 (Mandatory) earliestExerciseTime/hourMinuteTime < latestExerciseTime/hourMinuteTime "
The rule shared-9 is today: ” shared-9 (Mandatory) Context: BusinessDateRange (complex type) businessDayConvention is NONE or NotApplicable if and only if neither businessCentersReference nor businessCenters exists. ” This needs a condition and a more simple expression. ” shared-9 (Mandatory) Context: BusinessDateRange (complex type)[iff(exists(businessCentersReference), exists(businessCenters))] Rule: businessDayConvention = (string “NONE”, string “NotApplicable”) “
Rule shared-11 should use XPath for axis as per the specification for writing rules. Also the rule should have an additional condition. The rule today: ” Context: Trade (complex type) shared-11 (Mandatory) If businessDateRange exists within any descendant element of the trade, then businessCentersReference/@href, if present in any descendant element of the trade, must match … Continued
Rules shared-13 and shared-14 having the following issues related to compliance with the specification on writing rules: 1. They use the phrase “anywhere in the document”. The term “document” needs defining as to whether it is an element, document-node, etc.. Also all of these definitions are outside the current context. The term “anywhere” should be … Continued
shared-15 today is: ” shared-15 (Mandatory) Context: Offset (complex type) dayType must only exist if and only if period is D and periodMultiplier is non-zero. ” To comply with the specification on writing rules this should be changed to: ” shared-15 (Mandatory) Context: Offset (complex type)[exists(dayType)] Rule: iff((period = string ‘D’), (offset/periodMultiplier != 0)) ” … Continued
ln-16 and ln-17 refer to “tradeSide element” which is undefined. The rules today: ” Context: TradeSide (complex type) shared-16 (Mandatory) For party/@href anywhere within the tradeSide element, href shall match the @id attribute of an /FpML/party element. Context: TradeSide (complex type) shared-17 (Mandatory) For account/@href anywhere within the tradeSide element, href shall match the @id … Continued