FpML 4.5 Validation Rules - Rules for Equity Derivatives (EQD)

This is the Equity Derivatives part of the validation rule set accompanying the FpML 4.5 Trial Recommendation. The introductory section in the draft contains background information and documentation for this page.

The rules contained on this page contain links to cut down versions of valid and invalid test cases. These test cases have been analysed using Systemwire's xlinkit rule engine to highlight relevant document portions accessed by a rule. The cut down test cases are non-normative and are provided for the purpose of documentation only.

Additionally, an XQuery implementation of the validation rules is also provided. See the Reference Implementations section for details.

Content

Namespace

default element namespace = http://www.fpml.org/2008/FpML-4-5

namespace xs = http://www.w3.org/2001/XMLSchema

Functions

The following shared functions are used in the rules.

Rules

Unique contexts:

eqd-2 (Mandatory)
English Description:
Context: Trade (complex type)
If equityOption/equityExercise/equityAmericanExercise exists, then equityOption/equityExercise/equityAmericanExercise/expirationDate/adjustableDate/unadjustedDate must be after or equal to tradeHeader/tradeDate
Formal Description:
Context: //element(*, Trade) (complex type)
[exists(equityOption/equityExercise/equityAmericanExercise)]
equityOption/equityExercise/equityAmericanExercise/expirationDate/adjustableDate/unadjustedDate ge tradeHeader/tradeDate
Test cases: [Valid] [Invalid]
eqd-2b (Mandatory)
English Description:
Context: Contract (complex type)
If equityOption/equityExercise/equityAmericanExercise exists, then equityOption/equityExercise/equityAmericanExercise/expirationDate/adjustableDate/unadjustedDate must be after or equal to header/contractDate
Formal Description:
Context: Contract (complex type)
[exists(equityOption/equityExercise/equityAmericanExercise)]
equityOption/equityExercise/equityAmericanExercise/expirationDate/adjustableDate/unadjustedDate ge header/contractDate
Test cases: [Valid] [Invalid]
eqd-3 (Mandatory)
English Description:
Context: EquityAmericanExercise (complex type)
If latestExerciseTimeType is equal to "SpecificTime", then latestExerciseTime exists
Formal Description:
Context: EquityAmericanExercise (complex type)
[latestExerciseTimeType eq "SpecificTime"]
exists(latestExerciseTime)
Test cases: [Valid] [Invalid]
eqd-4 (Mandatory)
English Description:
Context: Trade (complex type)
If equityOption/equityExercise/equityBermudaExercise exists, then equityOption/equityExercise/equityBermudaExercise/commencementDate/adjustableDate/unadjustedDate must be after or equal to tradeHeader/tradeDate
Formal Description:
Context: Trade (complex type)
[exists(equityOption/equityExercise/equityBermudaExercise)]
equityOption/equityExercise/equityBermudaExercise/commencementDate/adjustableDate/unadjustedDate ge tradeHeader/tradeDate
Test cases: [Valid] [Invalid]
eqd-4b (Mandatory)
English Description:
Context: Contract (complex type)
If equityOption/equityExercise/equityBermudaExercise exists, then equityOption/equityExercise/equityBermudaExercise/commencementDate/adjustableDate/unadjustedDate must be after or equal to header/contractDate
Formal Description:
Context: Contract (complex type)
[exists(equityOption/equityExercise/equityBermudaExercise)]
equityOption/equityExercise/equityBermudaExercise/commencementDate/adjustableDate/unadjustedDate ge header/contractDate
Test cases: [Valid] [Invalid]
eqd-6 (Mandatory)
English Description:
Context: EquityBermudaExercise (complex type)
If latestExerciseTimeType is equal to "SpecificTime", then latestExerciseTime exists
Formal Description:
Context: EquityBermudaExercise (complex type)
[latestExerciseTimeType eq "SpecificTime"]
exists(latestExerciseTime)
Test cases: [Valid] [Invalid]
eqd-8 (Mandatory)
English Description:
Context: EquityBermudaExercise (complex type)
All dates in bermudaExerciseDates/date must be after commencementDate/adjustableDate/unadjustedDate
Formal Description:
Context: EquityBermudaExercise (complex type)
//bermudaExerciseDates/date gt commencementDate/adjustableDate/unadjustedDate
Test cases: [Valid] [Invalid] [Invalid]
eqd-9 (Mandatory)
English Description:
Context: EquityBermudaExercise (complex type)
All dates in bermudaExerciseDates/date must be before or equal to expirationDate/adjustableDate/unadjustedDate
Formal Description:
Context: EquityBermudaExercise (complex type)
//bermudaExerciseDates/date le expirationDate/adjustableDate/unadjustedDate
Test cases: [Valid] [Invalid]
eqd-10 (Mandatory)
English Description:
Context: EquityBermudaExercise (complex type)
The dates in bermudaExerciseDates/date must be unique
Formal Description:
Context: EquityBermudaExercise (complex type)
count(distinct-values(bermudaExerciseDates/date)) eq count(bermudaExerciseDates/date)
Test cases: [Valid] [Invalid]
eqd-12 (Mandatory)
English Description:
Context: Trade (complex type)
equityOption/equityExercise/equityEuropeanExercise/expirationDate/adjustableDate/unadjustedDate must be after or equal to tradeHeader/tradeDate
Formal Description:
Context: Trade (complex type)
[exists(equityOption/equityExercise/equityEuropeanExercise)]
equityOption/equityExercise/equityEuropeanExercise/expirationDate/adjustableDate/unadjustedDate ge tradeHeader/tradeDate
Test cases: [Valid] [Invalid]
eqd-12b (Mandatory)
English Description:
Context: Contract (complex type)
If equityOption/equityExercise/equityEuropeanExercise exists, then equityOption/equityExercise/equityEuropeanExercise/expirationDate/adjustableDate/unadjustedDate must be after or equal to header/contractDate
Formal Description:
Context: Contract (complex type)
[exists(equityOption/equityExercise/equityEuropeanExercise)]
equityOption/equityExercise/equityEuropeanExercise/expirationDate/adjustableDate/unadjustedDate ge header/contractDate
Test cases: [Valid] [Invalid]
eqd-13 (Mandatory)
English Description:
Context: Trade (complex type)
If equityOption/equityPremium/paymentDate/unadjustedDate exists, then equityOption/equityPremium/paymentDate/unadjustedDate must be after or equal to tradeHeader/tradeDate
Formal Description:
Context: Trade (complex type)
[exists(equityOption/equityPremium/paymentDate/unadjustedDate)]
equityOption/equityPremium/paymentDate/unadjustedDate ge tradeHeader/tradeDate
Test cases: [Valid] [Invalid]
eqd-13b (Mandatory)
English Description:
Context: Contract (complex type)
If equityOption/equityPremium/paymentDate/unadjustedDate exists, then equityOption/equityPremium/paymentDate/unadjustedDate must be after or equal to header/contractDate
Formal Description:
Context: Contract (complex type)
[exists(equityOption/equityPremium/paymentDate/unadjustedDate)]
equityOption/equityPremium/paymentDate/unadjustedDate ge header/contractDate
Test cases: [Valid] [Invalid]
eqd-14 (Mandatory)
English Description:
Context: Trade (complex type)
If brokerEquityOption/equityPremium/paymentDate/unadjustedDate exists, then brokerEquityOption/equityPremium/paymentDate/unadjustedDate must be after or equal to tradeHeader/tradeDate
Formal Description:
Context: Trade (complex type)
[exists(brokerEquityOption/equityPremium/paymentDate/unadjustedDate)]
brokerEquityOption/equityPremium/paymentDate/unadjustedDate ge tradeHeader/tradeDate
Test cases: [Valid] [Invalid]
eqd-14b (Mandatory)
English Description:
Context: Contract (complex type)
If brokerEquityOption/equityPremium/paymentDate/unadjustedDate exists, then brokerEquityOption/equityPremium/paymentDate/unadjustedDate must be after or equal to header/contractDate
Formal Description:
Context: Contract (complex type)
[exists(brokerEquityOption/equityPremium/paymentDate/unadjustedDate)]
brokerEquityOption/equityPremium/paymentDate/unadjustedDate ge header/contractDate
Test cases: [Valid] [Invalid]
eqd-15 (Mandatory)
English Description:
Context: EquityExerciseValuationSettlement (complex type)
If equityValuation/valuationDate/adjustableDate exists, and if equityEuropeanExercise exists, then equityValuation/valuationDate/adjustableDate/unadjustedDate must be equal to equityEuropeanExercise/expirationDate/adjustableDate/unadjustedDate
Formal Description:
Context: EquityExerciseValuationSettlement (complex type)
[exists(equityValuation/valuationDate/adjustableDate)] [exists(equityEuropeanExercise)]
equityValuation/valuationDate/adjustableDate/unadjustedDate eq equityEuropeanExercise/expirationDate/adjustableDate/unadjustedDate
Test cases: [Valid] [Invalid]
eqd-17 (Mandatory)
English Description:
Context: EquityOption (complex type)
EquityDerivativeShortFormBase (complex type)
If the numberOfOptions is positive, then equityExercise/equityAmericanExercise/equityMultipleExercise/maximumNumberOfOptions multiplied by equityExercise/equityAmericanExercise/equityMultipleExercise/integralMultipleExercise must be greater than or equal to the numberOfOptions
Formal Description:
Context: EquityOption (complex type)
EquityDerivativeShortFormBase (complex type)
[numberOfOptions gt 0]
equityExercise/equityAmericanExercise/equityMultipleExercise/maximumNumberOfOptions * equityExercise/equityAmericanExercise/equityMultipleExercise/integralMultipleExercise ge numberOfOptions
Test cases: [Valid] [Valid] [Invalid] [Invalid]
eqd-18 (Mandatory)
English Description:
Context: EquityOption (complex type)
EquityDerivativeShortFormBase (complex type)
If the numberOfOptions is positive, and if equityExercise/equityBermudaExercise/equityMultipleExercise exists, and if numberOfOptions exists, then maximumNumberOfOptions multiplied by integralMultipleExercise (in equityExercise/equityBermudaExercise/equityMultipleExercise) must be less than or equal to the numberOfOptions
Formal Description:
Context: EquityOption (complex type)
EquityDerivativeShortFormBase (complex type)
[exists(equityExercise/equityBermudaExercise/equityMultipleExercise)] [exists(numberOfOptions)] [numberOfOptions gt 0]
maximumNumberOfOptions * integralMultipleExercise (in equityExercise/equityBermudaExercise/equityMultipleExercise) le numberOfOptions
Test cases: [Valid] [Valid] [Invalid] [Invalid]
eqd-19 (Mandatory)
English Description:
Context: EquityOption (complex type)
EquityDerivativeShortFormBase (complex type)
If notional, equityPremium/percentageOfNotional and equityPremium/paymentAmount exist, and if equityPremium/paymentAmount and notional have the same-currency, then equityPremium/paymentAmount/amount is equal to notional/amount multiplied by equityPremium/percentageOfNotional
Formal Description:
Context: EquityOption (complex type)
EquityDerivativeShortFormBase (complex type)
[exists(notional)] [exists(equityPremium/percentageOfNotional)] [exists(equityPremium/paymentAmount)] [same-currency((equityPremium/paymentAmount,notional))]
equityPremium/paymentAmount/amount eq notional/amount * equityPremium/percentageOfNotional
Test cases: [Valid] [Invalid]
eqd-20 (Mandatory)
English Description:
Context: EquityOption (complex type)
EquityOptionTransactionSupplement (complex type)
If numberOfOptions exists and is positive, and if optionEntitlement exists, and if equityPremium/paymentAmount exists, and if equityPremium/pricePerOption exists, and if equityPremium/paymentAmount and equityPremium/pricePerOption have the same-currency, then equityPremium/pricePerOption/amount multiplied by $equityOption/numberOfOptions multiplied by $equityOption/optionEntitlement is equal to $equityOption/equityPremium/paymentAmount/amount
Formal Description:
Context: EquityOption (complex type)
EquityOptionTransactionSupplement (complex type)
[exists(numberOfOptions)] [numberOfOptions gt 0] [exists(optionEntitlement)] [exists(equityPremium/paymentAmount)] [exists(equityPremium/pricePerOption)] [same-currency((equityPremium/paymentAmount,equityPremium/pricePerOption))]
equityPremium/pricePerOption/amount * $equityOption/numberOfOptions * $equityOption/optionEntitlement eq $equityOption/equityPremium/paymentAmount/amount
Test cases: [Valid] [Valid] [Invalid] [Invalid]
eqd-22 (Mandatory)
English Description:
Context: EquityDerivativeBase (complex type)
buyerPartyReference/@href and sellerPartyReference/@href must be different
Formal Description:
Context: EquityDerivativeBase (complex type)
buyerPartyReference/@href ne sellerPartyReference/@href
Test cases: [Valid] [Invalid]
eqd-23 (Mandatory)
English Description:
Context: Trade (complex type)
If equityOption/equityEffectiveDate exists, then equityOption/equityEffectiveDate must be after or equal to tradeHeader/tradeDate
Formal Description:
Context: Trade (complex type)
[exists(equityOption/equityEffectiveDate)]
equityOption/equityEffectiveDate ge tradeHeader/tradeDate
Comment: The equityEffectiveDate exists only in the case of a forward starting option.
Test cases: [Valid] [Invalid]
eqd-24 (Mandatory)
English Description:
Context: AveragingSchedule (complex type)
startDate must be before or equal to endDate
Formal Description:
Context: AveragingSchedule (complex type)
startDate le endDate
Test cases: [Valid] [Invalid]
eqd-25 (Mandatory)
English Description:
Context: BrokerEquityOption (complex type)
If numberOfOptions exists and is positive, and if equityPremium/paymentAmount exists, and if equityPremium/pricePerOption exists, and if equityPremium/paymentAmount and equityPremium/pricePerOption have the same-currency, then equityPremium/pricePerOption/amount multiplied by numberOfOptions is equal to equityPremium/paymentAmount/amount
Formal Description:
Context: BrokerEquityOption (complex type)
[exists(numberOfOptions)] [numberOfOptions gt 0] [exists(equityPremium/paymentAmount)] [exists(equityPremium/pricePerOption)] [same-currency((equityPremium/paymentAmount,equityPremium/pricePerOption))]
equityPremium/pricePerOption/amount * numberOfOptions eq equityPremium/paymentAmount/amount
Comment: This is equivalent to eqd-20, but for brokerEquityOption, where there is no optionEntitlement.
Test cases: [Valid] [Invalid]
eqd-26 (Mandatory)
English Description:
Context: EquityOption (complex type)
EquityDerivativeShortFormBase (complex type)
You cannot exercise more than the number of options you have. If numberOfOptions exists and is positive, and if equityExercise/equityAmericanExercise/equityMultipleExercise/maximumNumberOfOptions exists, then equityExercise/equityAmericanExercise/equityMultipleExercise/maximumNumberOfOptions must be less than or equal to numberOfOptions
Formal Description:
Context: element(*, EquityOption) (complex type)
element(*, EquityDerivativeShortFormBase) (complex type)
[exists(numberOfOptions)] [numberOfOptions gt 0] [exists(equityExercise/equityAmericanExercise/equityMultipleExercise/maximumNumberOfOptions)]
equityExercise/equityAmericanExercise/equityMultipleExercise/maximumNumberOfOptions le numberOfOptions
Test cases: [Valid] [Invalid]
eqd-26b (Mandatory)
English Description:
Context: EquityOption (complex type)
EquityDerivativeShortFormBase (complex type)
You cannot exercise more than the number of options you have. If numberOfOptions exists and is positive, and if equityExercise/equityBermudaExercise/equityMultipleExercise/maximumNumberOfOptions exists, then equityExercise/equityBermudaExercise/equityMultipleExercise/maximumNumberOfOptions must be less than or equal to numberOfOptions
Formal Description:
Context: EquityOption (complex type)
EquityDerivativeShortFormBase (complex type)
[exists(numberOfOptions)] [numberOfOptions gt 0] [exists(equityExercise/equityBermudaExercise/equityMultipleExercise/maximumNumberOfOptions)]
equityExercise/equityBermudaExercise/equityMultipleExercise/maximumNumberOfOptions le numberOfOptions
Test cases: [Invalid]
eqd-27 (Mandatory)
English Description:
Context: EquityMultipleExercise (complex type)
Maximum number of options to exercise must be greater than or equal to minimum number of options to exercise
Formal Description:
Context: EquityMultipleExercise (complex type)
minimumNumberOfOptions le maximumNumberOfOptions
Test cases: [Valid] [Invalid]
eqd-28 (Mandatory)
English Description:
Context: EquityMultipleExercise (complex type)
When integral multiple exercise is present, the minimum number of options (minimumNumberOfOptions) exercised must be a positive integer multiple of integral multiple exercise (integralMultipleExercise)
Formal Description:
Context: EquityMultipleExercise (complex type)
[exists(integralMultipleExercise)]
minimumNumberOfOptions mod integralMultipleExercise eq 0
Test cases: [Valid] [Invalid]
eqd-29 (Mandatory)
English Description:
Context: EquityMultipleExercise (complex type)
When integral multiple exercise exists, the maximum number of options (maximumNumberOfOptions) exercised must be a positive integer multiple of integral multiple exercise (integralMultipleExercise).
Formal Description:
Context: EquityMultipleExercise (complex type)
[exists(integralMultipleExercise)]
maximumNumberOfOptions mod integralMultipleExercise eq 0
Test cases: [Valid] [Invalid]
eqd-30 (Mandatory)
English Description:
Context: Contract (complex type)
If equityOption/equityEffectiveDate exists, then equityOption/equityEffectiveDate must be after or equal to header/contractDate
Formal Description:
Context: Contract (complex type)
[exists(equityOption/equityEffectiveDate)]
equityOption/equityEffectiveDate ge header/contractDate
Comment: The equityEffectiveDate exists only in the case of a forward starting option.
Test cases: [Valid] [Invalid]
eqd-31 (Mandatory)
English Description:
Context: Trade (complex type)
The starting date of an equity option must be after the trade date
Formal Description:
Context: Trade (complex type)
[//element(*, EquityDerivativeBase)/equityEffectiveDate]
Every $equityDerivativeBase in //element(*, EquityDerivativeBase)[exists(equityEffectiveDate)] $equityDerivativeBase ge tradeHeader/tradeDate
Test cases: [Valid] [Invalid]
eqd-32 (Mandatory)
English Description:
Context: Contract (complex type)
The starting date of an equity option must be after the contract date
Formal Description:
Context: Contract (complex type)
[//element(*, EquityDerivativeBase)/equityEffectiveDate]
Every $equityDerivativeBase in //element(*, EquityDerivativeBase)[exists(equityEffectiveDate)] $equityDerivativeBase ge header/contractDate
Test cases: [Valid] [Invalid]

Deprecated rules

eqd-7 (Mandatory)
DEPRECATED: Context: equityBermudaExercise; Description: The elements in bermudaExerciseDates/date should be in order, earliest date first. Rationale for deprecation: Enforcing that data should be in specific order is not permitted.
Test cases: [Valid] [Invalid]
eqd-21 (Mandatory)
DEPRECATED: Context: CalculationAgent; Description: calculationAgentPartyReference must exist. Rationale for deprecation: EQDWG 2007-11-30; agreed that this rule doesn't make any business sense since the calculation agent may be specified in the master confirmation or the master agreement.
Test cases: [Valid] [Invalid]

Removed rules

eqd-1 (Mandatory)
REMOVED: Context: Trade, Contract; Description: //equityExercise/equityAmericanExercise/commencementDate/adjustableDate/unadjustedDate must be equal to tradeHeader/tradeDate. Rationale for removal: incorrect from business perspective.
eqd-5 (Mandatory)
REMOVED: Context: Trade, Contract; Description: //equityExercise/equityBermudaExercise/expirationDate/adjustableDate/unadjustedDate must be greater than or equal to tradeHeader/tradeDate. Rationale for removal: eqd-5 is redundant. The effect of eqd-5 is available by entailment on eqd-4, eqd-8, eqd-9.
eqd-11 (Mandatory)
REMOVED: Context: EquityBermudanExercise; Description: latestExerciseTime/hourMinuteTime must be before or equal to equityExpirationTime/hourMinuteTime.
eqd-16 (Mandatory)
REMOVED: Context: EquityMultipleExercise; Description: minimumNumberOfOptions lt maximumNumberOfOptions. Rationale for removal: inconsistent with rule eqd-27