FpML Issues Tracker

808: pr-ex06-option-sens-on-scenario-request

September 8, 2008





Examples/Test Cases




The data content of this file fails validation rule ref-1 (an AssetReference's @href must refer to an Asset's @id).

Within the block there is an href to a defintion but YieldCurve type is not derived from Asset so this is an invalid target for the link.

USD Swaption Vol Matrix USD 3M-LIBOR USD

The example needs to be revised.


  • mgratacos

    10/27/09 3:28 pm

    I think this is a problem of the model. The asset element is of type AnyAssetReference, which doesn’t point specifically to the Asset complex type but it’s an undefined reference. I think that it can point to Asset but also to other structures such as the curves.

    A representation of volatilities of an asset. This is a generic structure whose values can be supplied in a specific volatility matrix.

    A reference to the asset whose volatility is modeled.

    A reference to an asset, e.g. a portfolio, trade, or reference instrument..

  • mgratacos

    01/24/20 6:46 am

    AWG 2020-01-23
    One possibility would be to use Key and Key refs. We would need to explore this.
    Double check with Brian whether the example is well constructed.
  • mgratacos

    10/14/20 1:12 pm

    AWG 2020-10-01

    The group agreed to look for introducing a more generic complexType instead of “AnyAssetReference” from which Asset and the Volatility would extend from. Current “AnyAssetReference” allows the @href structure which can be used to reference assets, but also for referencing volatilities. Another possibility would be to remove the type and simply use an xsd:IDREF type in order to avoid any validation rules triggering.

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