FpML Issues Tracker

838: invalid-ird-57-01.xml is also invalid against invalid-ird-58

September 17, 2008

closed

Minor

Always

Validation Rules

Admin

None

Summary

The sample file invalid-ird-57-01.xml is also invalid against the rule invalid-ird-58.

Please ensure invalid-ird-57-01.xml is valid against all rules except ird-57.

Notes:

  • matthewdr

    10/21/08 1:59 pm

    Agreed at the VWG to fix the test case. Andrew Jacobs will need to check this to satisfy himself first that this is avoidable.

  • andrew

    11/06/08 11:17 am

    Rules ird-57 and ird-58 are incorrectly defined which is leading to this problem.

    Currently:

    ird-57 (Mandatory)
    Context: CalculationPeriodFrequency (complex type)
    [is-parametric(cashflows)] [rollConvention != (“NONE”, “SFE”, “MON”, “TUE”, “WED”, “THU”, “FRI”, “SAT”,”SUN”)]
    period = (“M”, “Y”).
    Comment: period must be “M” or “Y”.

    ird-58 (Mandatory)
    Context: CalculationPeriodFrequency (complex type)
    [is-parametric(cashflows)] [rollConvention = (“NONE”, “SFE”, “MON”, “TUE”, “WED”, “THU”, “FRI”, “SAT”,”SUN”)]
    period =”W”.

    These definitions do not take account for periods of ‘1T’. I suggest they be redefined as:

    ird-57 (Mandatory)
    Context: CalculationPeriodFrequency (complex type)
    [period = (“M”, “Y”)]
    rollConvention != “NONE”, “SFE”, “MON”, “TUE”, “WED”, “THU”, “FRI”, “SAT”,”SUN”)

    Comment: When the period is “M” or “Y” the rollConvention cannot be a week day, “NONE” or “SFE”.

    ird-58 (Mandatory)
    Context: CalculationPeriodFrequency (complex type)
    [period =”W”]
    rollConvention = (“NONE”, “SFE”, “MON”, “TUE”, “WED”, “THU”, “FRI”, “SAT”,”SUN”)

    Comment: When the period is “W” the rollConvention must be a week day, “SFE” or “NONE”.

    In addition we need a new rule:

    ird-60
    Context: CalculationPeriodFrequency (complex type)
    [period =”T”]
    rollConvention = “NONE”

    Comment: When the period is “T” the rollConvention must be “NONE”.

    Note the bogus isParametric condition has also been removed from the new defintions.

    The test case files will need to be updated to match the new rule definitions.

  • mgratacos

    11/18/08 3:00 pm

    Harry to check whether ‘NotApplicable’ is used in IR Swaps.
    Agreement to implement these changes and new proposed rule.

  • lyteck

    11/24/08 9:47 pm

    ird-57, ird-58: updated as agreed
    ird-60: added as agreed

  • matthewdr

    12/09/08 3:40 pm

    Closed after testing.

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