FpML Issues Tracker
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Interest Rate Derivatives
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h_mcallister
Summary
Section 4.6.1 states: "The context of the rule must be defined such that incorporates everything referred to in a rule. The rule must not use the ancestor or parent axis, or use them in cojunction with any other axis. For example "../../tradeHeader" is precluded."
This contradicts:
Context: capRateSchedule ird-52 (Mandatory) Preconditions: isParametric The dates in step/stepDate must be unadjusted calculation period dates in ../../../../calculationPeriodDates.
Notes:
mgratacos
03/06/08 12:15 pm
Context: InterestRateStream
ird-52 (Mandatory)
Preconditions: isParametric
The dates in calculationPeriodAmount/calculation/floatingRateCalculation/capRateSchedule/step/stepDate must be unadjusted calculation period dates in calculationPeriodDates.
This has been committed to the trunk. Pending to committ it to 5.0 branch.
h_mcallister
03/06/08 12:48 pm
No argument with this issue, in terms of the context of the rule.
However the expression of the rule might be improved upon: the rule states that stepDates must be unadjusted period dates in calculationPeriodDates – but the only explicit dates in calculationPeriodDates are the effective- and termination-Date, together with the “RegularPeriod” dates which may appear optionally in the presence of stubs. These dates, in conjunction with the calculation period frequency, imply a schedule of unadjusted period dates; it is this implied schedule which the values of [cap|floor]RateSchedule//stepDate must match.
mgratacos
03/06/08 4:25 pm
Harry,
How do you suggest we improve the rule?
Should we add a set of to the rule adding your rationale?:
“The rule states that stepDates must be unadjusted period dates in calculationPeriodDates – but the only explicit dates in calculationPeriodDates are the effective- and termination-Date, together with the “RegularPeriod” dates which may appear optionally in the presence of stubs. These dates, in conjunction with the calculation period frequency, imply a schedule of unadjusted period dates; it is this implied schedule which the values of [cap|floor]RateSchedule//stepDate must match.”
Thanks very much,
Marc
h_mcallister
03/07/08 1:12 pm
No objection to adding comments for clarity.
Propose that the expression of the rule itself should change to something like:
“The dates in calculationPeriodAmount/calculation/floatingRateCalculation/ capRateSchedule/step/stepDate must be unadjusted calculation period dates in *the schedule implied by* calculationPeriodDates.
mgratacos
03/07/08 3:53 pm
Thanks, Harry. I have committed your suggested change *the schedule implied by* from ird-50 to ird-54 (both inclusive) since all of them follow the same structure.
matthew
03/07/08 6:28 pm
The explanation is a very welcome addition to the Constraint. Having both an explanation and the precise and complete form helps. However you will need to state precisely and completely how to imply “*the schedule implied by*”, for the sake of completeness for non-expert users.
h_mcallister
03/07/08 7:38 pm
I’m not sure if the specification of a particular validation rule is the place to introduce a discussion of how to expand an interest rate stream schedule from its parametric definition. Arguably, this is domain knowledge which informs the FpML Specification, but is not part of it.
Perhaps we could document the rules for schedule expansion as part of the background material, and reference this from the explanation?
matthew
03/07/08 8:16 pm
“Perhaps we could document the rules for schedule expansion as part of the background material, and reference this from the explanation?” – I agree to that. If could go at the top of the IRD rules HTML page that would be great. It could be referenced elsewhere in the document.
mgratacos
03/18/08 5:33 pm
A new term has been defined at the top of the ird rules:
Term: the schedule implied by
The schedule defined by the effective- and termination-Date, together with the “RegularPeriod” dates which may appear optionally in the presence of stubs, and the calculation period frequency.
Rule ird-52 has been updated:
ird-52 (Mandatory)
Preconditions: isParametric
The dates in calculationPeriodAmount/calculation/floatingRateCalculation/capRateSchedule/step/stepDate must be unadjusted calculation period dates in the schedule implied by calculationPeriodDates.
Comment: The rule states that stepDates must be unadjusted period dates in calculationPeriodDates – but the only explicit dates in calculationPeriodDates are the effective- and termination-Date, together with the “RegularPeriod” dates which may appear optionally in the presence of stubs. These dates, in conjunction with the calculation period frequency, imply a schedule of unadjusted period dates; it is this implied schedule which the values of capRateSchedule//stepDate must match.
mgratacos
03/18/08 5:48 pm
This has been committed to the trunk and 5.0 branch.