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Attached is a proposal to bring the FpML FRA model into line with the ISDA 2006 Definitions.

The invalid validation examples invalid-ird-32-00.xml is schema invalid. The validation examples should be schema invalid. The example invalid-ird-32-00.xml should be fixed. The offending piece of XML is: Standard ACT/360 It is missing an element.

The validation rule ird-35 doesn’t take into account schema optionality. The correct behaviour is for the validation rule to take into account the schema. The rule today is: ” Context: PaymentDates (complex type) ird-35 (Mandatory) firstPaymentDate < lastRegularPaymentDate. " The problem is that both firstPaymentDate and lastRegularPaymentDate are not required elements. A good example of … Continued

The validation invalid example invalid-ird-38-00.xml is schema invalid. The validation rule examples should all be schema valid. The problem is that the //fpml:initialStub and //fpml:finalStub are missing. Below is the offending snippet of XML.

The validation rule ird-46 doesn’t take account of the optionality of elements. The current rule is: ” Context: OptionalEarlyTermination (complex type) ird-46 (Mandatory) In cashSettlement/cashSettlementValuationDate/dateRelativeTo, the @href attribute must point to the @id attribute of cashSettlement/cashSettlementPaymentDate. ” A good example is valid-ird-46-01.xml. In this example, supposedly valid for this rule, the path //element(*, OptionalEarlyTermination)/cashSettlement/cashSettlementPaymentDate/relativeDate/dateRelativeTo/@href does … Continued

ird-47 doesn’t use XPath for axis. The Validation Architecture requires paths to be given using XPath for axis in the body of the rules. The rule should be changed to use XPath for axis. The rule today: ” ird-47 (Mandatory) In cashSettlement/cashSettlementPaymentDate/relativeDate/dateRelativeTo, the @href attribute must point to the @id attribute of americanExercise, bermudaExercise or … Continued

The invalid example invalid-cd-38-01.xml is valid. The example should be invalid for rule cd-38. The /FpML/trade/creditDefaultSwap/generalTerms/basketReferenceInformation/referencePool/referencePoolItem/constituentWeight/basketPercentage sum to 1. 0.60 Agrium Inc. 008HA7 008916AB4 0.077 2017-02-01 NorthAmericanInvestmentGrade 0.40 Tenet Healthcare Corporation 8G836J 88033GAT7 0.06 2011-12-01 NorthAmericanInvestmentGrade

The example valid XML document valid-cd-38-02.xml is not valid against the rule. Rule cd-38 states today: ” Context: ReferencePool (complex type) cd-38 (Mandatory) The sum of referencePoolItem/constituentWeight/basketPercentage is equal to 1 or no referencePoolItem/constituentWeight exists. ” If any of the //constituentWeight is described using //constituentWeight/openUnit or //constituentWeight/basketAmount then it will not equal the value “1” … Continued

The current schema permits but does not require the use of negative durations. The current architecture does not permit the use of negative payments/cashflows, but instead requires them to be directed. I propose the same principle be extended to durations. As an example look at the shared type Interval.

This is a proposal to express Interval more clearly and succinctly. # Current structure Today the Complex Type Interval is expressed as a sequence of periodMultiplier and period. This requires two rules: Rule 1: If the periodMultiplier is zero, then the period must have the value “D”. Rule 2: If the period has the value … Continued