FpML-VAL EQD Validation rule for numberOfValuationDates.

[Irina Yermakova <IYermakova@xxxxxxxx>]

DTCC’s proposal that was accepted by Eqd WG adds an optional element “numberOfValuationDates” to “EquityValuation” structure. This element explicitly tells, for example, you have “12” valuation dates instead of looking into “EquityValuation” and calculating it. (see eqd-ex23-equityOptionTransactionSupplement-index-option-cliquet.xml).

               

<valuationDates>

            <periodicDates>

                        <calculationStartDate>

                                    <adjustableDate>

                                                <unadjustedDate>2001-11-11</unadjustedDate>

                                                <dateAdjustments>

                                                            <businessDayConvention>NONE</businessDayConvention>

                                                </dateAdjustments>

                                    </adjustableDate>

                        </calculationStartDate>

                        <calculationEndDate>

                                    <adjustableDate>

                                                <unadjustedDate>2002-11-11</unadjustedDate>

                                                <dateAdjustments>

                                                            <businessDayConvention>NONE</businessDayConvention>

                                                </dateAdjustments>

                                    </adjustableDate>

                        </calculationEndDate>

                        <calculationPeriodFrequency>

                                    <periodMultiplier>1</periodMultiplier>

                                    <period>M</period>

                                    <rollConvention>EOM</rollConvention>

                        </calculationPeriodFrequency>

                        <calculationPeriodDatesAdjustments>

                                    <businessDayConvention>FOLLOWING</businessDayConvention>

                        </calculationPeriodDatesAdjustments>

            </periodicDates>

</valuationDates>

<numberOfValuationDates>12</numberOfValuationDates>

 

 

Since this “numberOfValuationDates” value is in addition to calculating it from “valuationDates” (“periodicDates” or “adjustableDates”), DTCC is proposing new business rules to make sure the values are match? 

Could you please review the proposed business rules below.

 

 

“

Here is the English form of validation rule for numberOfValuationDates.

numberOfValuationDates must be equal to the difference between calculationStartDate and calculationEndDate.

1) numberOfValuationDates=if calculationPeriodFrequency.period is "Y" equal to the difference between calculationStartDate and calculationEndDate in number of years.

2) numberOfValuationDates=if calculationPeriodFrequency.period is "M" equal to the difference between calculationStartDate and calculationEndDate in number of months.

3) numberOfValuationDates=if calculationPeriodFrequency.period is "W" equal to the difference between calculationStartDate and calculationEndDate in number of weeks.

4) numberOfValuationDates=if calculationPeriodFrequency.period is "D" equal to the difference between calculationStartDate and calculationEndDate in number of days.

5) numberOfValuationDates=if calculationPeriodFrequency.period is "H" equal to the difference between calculationStartDate and calculationEndDate in number of hours.

 

Thanks,

Sreedhar.

“

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Attachment: eqd-ex23-equityOptionTransactionSupplement-index-option-cliquet.xml
Description: eqd-ex23-equityOptionTransactionSupplement-index-option-cliquet.xml