FpML Issues Tracker
closed
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Validation Rules
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Summary
Rule ird-57 as currently expressed is missing an else clause on its "if". This leads to a situation where there is no result for the rule.
The rule today is: " Context: CalculationPeriodDates (complex type) ird-57 (Mandatory) Preconditions: isParametric If rollConvention is neither NONE nor SFE, nor a day of the week ( MON, TUE, WED, THU, FRI, SAT or SUN) then the period must be M or Y. "
This should probably be expressed with a condition on the context for the rollConvention. The corrected rule is given below, in the same style as the other FpML rules:
" Context: CalculationPeriodDates (complex type) [not (rollConvention = ("NONE", "SFE", "MON", "TUE", "WED", "THU", "FRI", "SAT", SUN"))] ird-57 (Mandatory) Preconditions: isParametric period must be M or Y. "
Notes:
matthewdr
06/03/08 1:57 pm
Agreed at VWG. ISDA to implement in the correct form.
lyteck
07/07/08 3:51 pm
fixed as proposed (using new specs format)
h_mcallister
07/07/08 5:06 pm
(1) The context for this rule should be CalculationPeriod*Frequency*, not CalculationPeriod*Dates*
(2) What is the status of the ‘TBILL’ roll convention with respect to this rule? The documentation for the ‘TBILL’ value of the enum reads:
“13-week and 26-week U.S. Treasury Bill Auction Dates. Each Monday except for U.S. (New York) holidays when it will occur on a Tuesday.”
lyteck
07/09/08 8:00 pm
– changed context from CalculationPeriodDates to CalculationPeriodFrequency (1)
– expressed condition in English rather than full Xpath
mgratacos
07/09/08 10:20 pm
If the rollConvention is TBILL, is the period supposed to be ‘W’?
lyteck
12/10/08 7:47 pm
ird-57 resolved with issue 838.
last question (re: TBILL) should be addressed in new issue, if needed.