FpML Issues Tracker

Summary

A rule is needed to prevent circular references in relative notionals.

An example failure scenario of a notional reference being circular is a notional referring to itself.

In general a new rule is needed. The rule would prohibit circular references within notionals. This is expressed with a function because this is the simplest way to express the recursion through notionals.

" eqd-xx (Mandatory) Context: ReturnSwapNotional (complex type) Rule: circularNotionalReference(.) Comment: Notional references must not be circular. "

" Function Name = circularNotionalReference Description = This function tests if a //element(*, ReturnSwapNotional)/amountRelativeTo/href points back to itself in a circular reference. A circular reference is schema legal but not FpML legal. The parameter is a set of Return Swap Notionals. IIf the Notional is a leaf the result is false, otherwise the reference is descended recursively.

Parameter 1 = $notionals as element(*, ReturnSwapNotional) (min=1, max=unbounded) Result = xs:boolean (min=1, max=1) Test = If exists($notionals[last()]/(determinationMethod|notionalAmount)) return xs:boolean("false"), else if $notionals[last()]/id(amountRelativeTo/@href) = $notionals return true, else return $notionals | $notionals[last()]/id(amountRelativeTo/@href) "

A far simpler, and preferred alternative would be to have the href reference determinationMethod or notionalAmount, rather than their parent. This would use schema structure to preclude any circularity.

A different type of reference should be used so each reference is to one type and we have typed references.

That would change the schema to:

Specifies the notional of return type swap. When used in the equity leg, the definition will typically combine the actual amount (using the notional component defined by the FpML industry group) and the determination method. When used in the interest leg, the definition will typically point to the definition of the equity leg. Reference to an amount defined elsewhere in this document. Specifies the method according to which an amount or a date is determined. The notional amount.