FpML-VAL RE: EQD Validation rule for numberOfValuationDates.

Adding the rule is a good thing. I commend it.

Each “if” must have an “else” otherwise there is an unhandled situation. In this case I believe each of these “if” is more likely a “when”. i.e they should be a precondition, rather than part of the rule.

Alternatively, and even simple, to me these look like one rule.

Please could you also provide the XPath definition of the rules. The precise version makes it easier to verify.

Matthew +44 7917 596 827

From: valwg@xxxxxxxx [mailto:valwg@xxxxxxxx] On Behalf Of Irina Yermakova
Sent: 07 April 2009 13:50
To: valwg@xxxxxxxx
Cc: Andrew P Parry; Sreedhar Segu
Subject: FpML-VAL EQD Validation rule for numberOfValuationDates.

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).

</dateAdjustments>

</adjustableDate>

</calculationStartDate>

</dateAdjustments>

</adjustableDate>

</calculationEndDate>

</calculationPeriodFrequency>

<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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