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| Anonymous | Login | Signup for a new account | 2010-09-09 14:09 UTC |
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| ID | Category | Severity | Reproducibility | Date Submitted | Last Update | ||||
| 0000682 | [FpML] Validation Rules | minor | always | 2008-05-02 16:29 | 2010-08-18 12:06 | ||||
| Reporter | matthewdr | View Status | public | ||||||
| Assigned To | apparry | ||||||||
| Priority | normal | Resolution | fixed | ||||||
| Status | closed | Target Version | 4.8 First Working Draft 2010-04-16 (build 1) | Product Version | 4.4 Recommendation 2008-08-20 | ||||
| Summary | 0000682: eqd-17 fix broke the context | ||||||||
| Description |
The context for eqd-17 doesn't take into account optional fields. The rule today is: " Context: EquityOption, EquityDerivativeShortFormBase (complex type) eqd-17 (Mandatory) equityExercise/equityAmericanExercise/equityMultipleExercise/maximumNumberOfOptions * equityExercise/equityAmericanExercise/equityMultipleExercise/integralMultipleExercise >= numberOfOptions. " This is a change. The rule was changed in issue 0000457. This fixed one problem but removed the handling of optional fields from the context. The correct form of the rule in XQuery is: (for $equityOption in (//element(*, EquityOption)|//element(*, EquityDerivativeShortFormBase))[equityExercise/equityAmericanExercise/equityMultipleExercise][numberOfOptions] return <result constraint="eqd-17" valid="{($equityOption/equityExercise/equityAmericanExercise/equityMultipleExercise/maximumNumberOfOptions * $equityOption/equityExercise/equityAmericanExercise/equityMultipleExercise/integralMultipleExercise) le $equityOption/numberOfOptions}"></result>) The solution is to rewrite the rule as: " Context: (EquityOption (complex type), EquityDerivativeShortFormBase (complex type))[equityExercise/equityAmericanExercise/equityMultipleExercise][numberOfOptions] eqd-17 (Mandatory) equityExercise/equityAmericanExercise/equityMultipleExercise/maximumNumberOfOptions * equityExercise/equityAmericanExercise/equityMultipleExercise/integralMultipleExercise >= numberOfOptions. " NB This uses the FpML way to write out contexts which doesn't use XPath. |
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| Tags | No tags attached. | ||||||||
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| Attached Files |
 EqdValRules-NumberOfOptions.doc [^] (48,128 bytes) 2010-03-16 18:38 2010-04-17_clarification_of_rule_eqd_2.doc [^] (72,704 bytes) 2010-04-16 13:48 MultipleExerciseAmountExplanatoryNotes_v1.0.doc [^] (178,688 bytes) 2010-06-25 19:37 |
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Notes |
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(0001404) mgratacos (administrator) 2008-05-09 13:34 |
EQDWG 2008-05-09: agreement to work on a simplification of the rule. AP will work on a proposed solution. |
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(0001444) matthewdr (manager) 2008-05-16 13:21 |
Discussed at the EQDWG. "We have discussed that integralMultipleExercise is not applicable for the last exercise ( automatic or manual ) as per Robert Masri and Piers Evans. Since we cannot capture 'last exercise' as a context, we may have to remove rule eqd-17" The only possibility is to add an explicit field to identify the last exercise. Andrew Parry will consider this. |
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(0001768) matthewdr (manager) 2008-08-20 09:20 |
Has the EQDWG considered this further since May? |
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(0002561) mgratacos (administrator) 2010-03-05 11:48 |
Guards for optional elements were added to the rule description but from the discussion here it seems that the rule is not applicable to the 'last exercise'. A comment has been added to the rule: Issue: The integralMultipleExercise is not applicable for the last exercise ( automatic or manual ). |
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(0002565) iyermakova (administrator) 2010-03-16 18:37 |
Discussed at the VWG on 03-09-2010. The formulation of rule has already been amended as per previous discussion, but the group thinks the rule is incorrect and requires explanation from the Equity Derivatives Working Group. Also other rules that involve the element “numberOfOptions” will need to be looked at - see attached EqdValRules-NumberOfOptions.doc. |
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(0002576) danieldui (manager) 2010-03-29 15:13 |
Discussed at the VWG on 2010-03-23. Daniel sent an email to EQD asking for clarification. We are waiting for their reply. |
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(0002585) iyermakova (administrator) 2010-04-13 15:07 |
Eqd WG will be discussed Business rules ( eqd-17 )at the next meeting on Fri 16 Apr 2010 |
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(0002623) iyermakova (administrator) 2010-06-25 19:40 |
Find attached MultipleExerciseAmountExplanatoryNotes_v1.0.doc created by Takeo Asakura (MarkitServ) and agreed by the FpML EQD Working Group on 2010-06-18 meeting. This document provides both business logic and pseudo code to help the FpML Val Working Group in correcting the existing FpML business validation rules for equity multiple exercise (e.g. eqd-17). |
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(0002624) h_mcallister (developer) 2010-07-02 18:23 edited on: 2010-07-02 18:25 |
In the "Explanatory Notes" doc, Section 4.1, to make the intended meaning of the pseudo-code explicit the 'int' function should be replaced with 'floor', thus: if (mod(Proposed Amount, Integral Multiple)==0) { Exercise Amount = Proposed Amount ; } else { Exercise Amount = floor(Proposed Amount / Integral Multiple)* Integral Multiple; } |
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(0002646) danieldui (manager) 2010-08-03 17:37 |
The group is OK with the content of the document. We think there should be an introduction/disclaimer to clarify that: - The document is non-normative - Its purpose is to explain how the FpML working groups’ understand how equity option multiple exercises are processed. The FpML schemas are designed on the basis of this understanding. - We think that FpML users would benefit from this background information to use and understand better the FpML schemas. The VWG will propose an updated version of the rules invloved. |
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(0002647) danieldui (manager) 2010-08-03 17:37 |
The group is OK with the content of the document. We think there should be an introduction/disclaimer to clarify that: - The document is non-normative - Its purpose is to explain how the FpML working groups’ understand how equity option multiple exercises are processed. The FpML schemas are designed on the basis of this understanding. - We think that FpML users would benefit from this background information to use and understand better the FpML schemas. The VWG will propose an updated version of the rules involved. |
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(0002659) danieldui (manager) 2010-08-18 12:01 edited on: 2010-08-18 12:04 |
Discussed on Aug 3 meeting. TODO: Need to update the rules affected. ISDA/Irina now own this task. When rules are updated and we're happy with rules and document, we can release both. See child issue |
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(0002660) danieldui (manager) 2010-08-18 12:06 |
See child issue for follow up actions. |
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Issue History |
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| Date Modified | Username | Field | Change |
| 2008-05-02 16:29 | matthewdr | New Issue | |
| 2008-05-09 13:34 | mgratacos | Note Added: 0001404 | |
| 2008-05-16 13:21 | matthewdr | Note Added: 0001444 | |
| 2008-08-20 09:20 | matthewdr | Note Added: 0001768 | |
| 2009-06-09 14:02 | matthewdr | Category | Equity Derivatives => Validation Rules |
| 2010-01-21 17:44 | lyteck | Target Version | => 4.8 First Working Draft (Publication Date TBA) |
| 2010-03-05 11:48 | mgratacos | Note Added: 0002561 | |
| 2010-03-05 11:58 | mgratacos | Note Added: 0002562 | |
| 2010-03-09 14:30 | mgratacos | Note Deleted: 0002562 | |
| 2010-03-16 18:37 | iyermakova | Note Added: 0002565 | |
| 2010-03-16 18:38 | iyermakova | File Added: EqdValRules-NumberOfOptions.doc | |
| 2010-03-29 15:13 | danieldui | Note Added: 0002576 | |
| 2010-04-13 15:07 | iyermakova | Note Added: 0002585 | |
| 2010-04-16 02:21 | danieldui | File Added: 2010-04-17_clarification_of_rule_eqd.doc | |
| 2010-04-16 03:41 | danieldui | File Deleted: 2010-04-17_clarification_of_rule_eqd.doc | |
| 2010-04-16 03:48 | danieldui | File Added: 2010-04-17_clarification_of_rule_eqd.doc | |
| 2010-04-16 13:48 | danieldui | File Deleted: 2010-04-17_clarification_of_rule_eqd.doc | |
| 2010-04-16 13:48 | danieldui | File Added: 2010-04-17_clarification_of_rule_eqd_2.doc | |
| 2010-06-25 19:37 | iyermakova | File Added: MultipleExerciseAmountExplanatoryNotes_v1.0.doc | |
| 2010-06-25 19:40 | iyermakova | Note Added: 0002623 | |
| 2010-07-02 18:23 | h_mcallister | Note Added: 0002624 | |
| 2010-07-02 18:25 | h_mcallister | Note Edited: 0002624 | |
| 2010-08-03 17:37 | danieldui | Note Added: 0002646 | |
| 2010-08-03 17:37 | danieldui | Note Added: 0002647 | |
| 2010-08-03 17:45 | danieldui | Relationship added | parent of 0001015 |
| 2010-08-18 12:01 | danieldui | Note Added: 0002659 | |
| 2010-08-18 12:04 | danieldui | Note Edited: 0002659 | |
| 2010-08-18 12:06 | danieldui | Note Added: 0002660 | |
| 2010-08-18 12:06 | danieldui | Status | assigned => closed |
| 2010-08-18 12:06 | danieldui | Resolution | open => fixed |