FpML Issues Tracker
closed
Minor
Have not tried
Validation Rules
danieldui
mkoli
Summary
There is an inconsistent representation of rule cd-1b in FpML Version 4.9 REC.
The English description saying "must be after" I would have thought should be ' gt ' in the XPath rather than ' ge ' as below.
Reported via email by Ivan Djurkin.
Notes:
danieldui
06/12/12 10:19 am
We had some email conversation about this:
Summary: The rule is formulated wrongly and should be updated, but the group is not sure if it should read : “on or after” or “after”. We are waiting for an answer from Ben Lis (Credit Deriv. WG)
Tony Coates: I can’t think of a reason why the trade date would have to be strictly after the effective date. I would have expected the English description to say ‘on or after’ rather than ‘after’.
Andrew Jacobs: As I understand it credit defaut swaps indexes operate like a bit like securities. For example a new series of Markit iTrax indexes are periodically created with a specific set of underlying single names and a specific maturity (e.g. 3, 5, 10, … years). CDS index trades also have standardised (aligned) calculation periods so that settlements will always fall on the same days to allow easy netting.
So you cant trade a credit index before its issued and you can only trade on or between the start date for each calculation period which means effective date <= trade date. The wording is not correct. It should be 'on or after' Marc Gratacos: I think 'on' is never used for market practice reasons but we should check with the Credit Derivatives Working Group. I am copying Ben Lis, chair of the Credit Derivatives WG.
danieldui
06/12/12 2:01 pm
Mentioned on June 12 meeting: Still pending. Waiting for answer.
danieldui
07/31/12 1:45 pm
Update: emailed Ben Lis on July-31
danieldui
08/06/12 2:44 pm
danieldui
08/07/12 1:51 pm
ACTION: ISDA (Maithili) – Remove the rule from the specs.
mkoli
08/07/12 3:10 pm
updated the rules-english-cd.xml and removed rule cd-1b
mkoli
08/07/12 3:11 pm
updated and checked in SVN