FpML Issues Tracker
closed
Minor
Always
Validation Rules
Admin
danieldui
Summary
The current fx-12 leaves a large amount to interpretation:
" fx-12 (Mandatory) Context: FxAverageRateOption (complex type) [exists(averageRateObservationSchedule)] The values of observedRates/observationDate should match the calculated schedule dates derived from parameters defined within the averageRateObservationSchedule element and the business day calendar implied by fixingTime/businessCenter. "
The rule must define: "match", "calculated schedule date", the derivation process in "derived", and the calculation in "implied".
At the moment it is more of a comment than a rule.
Notes:
matthewdr
12/09/08 2:37 pm
Agreed to wait for the “financial date arithmetic paper”.
iyermakova
11/11/10 7:41 pm
11-11-2010 FX WG reviewed the issue.
Note:
– As per FX redesigned model, the rule fx-12 looks like this:
Context: FXAsianFeature (complex type)
If observationSchedule exists, then the values of observedRate/date equals the calculated schedule dates derived from parameters defined within the observationSchedule element and the business day calendar implied by fixingTime/businessCenter
– FX WG awaits for Harry McAllister’s proposal to redesign the observed rate model
FX WG will revisit the issue after the redesigned observed rate model is reviewed by the FX WG.
iyermakova
12/15/10 3:27 pm
12-09-2010 FX WG reviewed the issue. The decision was – the issue can be closed.
matthew
12/15/10 3:50 pm
Why was the issue closed without a resolution to the issue?
mgratacos
12/15/10 6:40 pm
Could we add the description on how this issue has been solved?
mgratacos
10/30/19 6:55 am
In FpML 5.11 Trial Recommendation, a link to the Financial Dates Calculation paper has been added within the Definitions section.