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FpML Issues Tracker
905: Rule cd-21 needs to be updated: fixed payment recovery factor example breaks this rule
January 20, 2009
closed
Major
Always
Credit Derivatives
Admin
benjlis
Summary
The introduction of the element within in FpML 4.4 has made that all short-form examples with recovery factor don't pass rule cd-21 since the rule says "If the condition ShortForm is true, and if the condition SingleName is true, then the following elements must not exist: cashSettlementTerms, [...]"
cd-21 (Mandatory)
English Description:
Context: CreditDefaultSwap (complex type)
If the condition ShortForm is true, and if the condition SingleName is true, then the following elements must not exist: cashSettlementTerms/settlementCurrency, cashSettlementTerms/valuationDate, cashSettlementTerms/valuationTime, cashSettlementTerms/quotationMethod, cashSettlementTerms/quotationAmount, cashSettlementTerms/minimumQuotationAmount, cashSettlementTerms/dealer, cashSettlementTerms/cashSettlementBusinessDays, cashSettlementTerms/accruedInterest, cashSettlementTerms/valuationMethod, physicalSettlementTerms, feeLeg/periodicPayment/fixedAmountCalculation/calculationAmount, feeLeg/periodicPayment/fixedAmountCalculation/dayCountFraction, protectionTerms/obligations, generalTerms/referenceInformation/allGuarantees, generalTerms/referenceInformation/referencePrice, generalTerms/effectiveDate/dateAdjustments, generalTerms/effectiveDate/dateAdjustmentsReference, generalTerms/scheduledTerminationDate/adjustableDate/dateAdjustments, generalTerms/scheduledTerminationDate/adjustableDate/dateAdjustmentsReference, generalTerms/dateAdjustments.
Notes:
mgratacos
01/20/09 11:06 am
Solution:
cd-21 (Mandatory)
English Description:
Context: CreditDefaultSwap (complex type)
If the condition ShortForm is true, and if the condition SingleName is true, then the following elements must not exist: cashSettlementTerms/settlementCurrency, cashSettlementTerms/valuationDate, cashSettlementTerms/valuationTime, cashSettlementTerms/quotationMethod, cashSettlementTerms/quotationAmount, cashSettlementTerms/minimumQuotationAmount, cashSettlementTerms/dealer, cashSettlementTerms/cashSettlementBusinessDays, cashSettlementTerms/accruedInterest, cashSettlementTerms/valuationMethod, physicalSettlementTerms, feeLeg/periodicPayment/fixedAmountCalculation/calculationAmount, feeLeg/periodicPayment/fixedAmountCalculation/dayCountFraction, protectionTerms/obligations, generalTerms/referenceInformation/allGuarantees, generalTerms/referenceInformation/referencePrice, generalTerms/effectiveDate/dateAdjustments, generalTerms/effectiveDate/dateAdjustmentsReference, generalTerms/scheduledTerminationDate/adjustableDate/dateAdjustments, generalTerms/scheduledTerminationDate/adjustableDate/dateAdjustmentsReference, generalTerms/dateAdjustments.
mgratacos
01/21/09 5:29 pm
Proposed solution has been committed to the repository (trunk, 4.5 branch, and 5.0 branch).