FpML 5.2 Validation Rules - Rules for Equity Derivatives (EQD)
This is the Equity Derivatives part of the validation rule set accompanying the FpML 5.2 Reccomendation #1. The introductory
section in the draft contains background information and documentation for this page.
The rules contained on this page contain links to cut down versions of valid and invalid test cases. These test cases have
been analysed using Systemwire's xlinkit rule engine to highlight relevant document portions accessed by a rule. The cut down
test cases are non-normative and are provided for the purpose of documentation only.
Content
Namespace
default element namespace = http://www.fpml.org/spec/fpml-5-2-6-rec-2
namespace xs = http://www.w3.org/2001/XMLSchema
Functions
The following shared functions are used in the rules.
Rules
Unique contexts:
eqd-2 (Mandatory)
English Description:
Context: Trade (complex type)
If equityOption/equityExercise/equityAmericanExercise exists, then equityOption/equityExercise/equityAmericanExercise/expirationDate/adjustableDate/unadjustedDate must be after or equal to tradeHeader/tradeDate
XPath Description:
Context: //element(*, Trade)
[exists(equityOption/equityExercise/equityAmericanExercise)]
equityOption/equityExercise/equityAmericanExercise/expirationDate/adjustableDate/unadjustedDate ge tradeHeader/tradeDate
eqd-3 (Mandatory)
English Description:
Context: EquityAmericanExercise (complex type)
If latestExerciseTimeType is equal to "SpecificTime", then latestExerciseTime exists
XPath Description:
Context: EquityAmericanExercise
[latestExerciseTimeType eq "SpecificTime"]
exists(latestExerciseTime)
eqd-4 (Mandatory)
English Description:
Context: Trade (complex type)
If equityOption/equityExercise/equityBermudaExercise exists, then equityOption/equityExercise/equityBermudaExercise/commencementDate/adjustableDate/unadjustedDate must be after or equal to tradeHeader/tradeDate
XPath Description:
Context: Trade
[exists(equityOption/equityExercise/equityBermudaExercise)]
equityOption/equityExercise/equityBermudaExercise/commencementDate/adjustableDate/unadjustedDate ge tradeHeader/tradeDate
eqd-6 (Mandatory)
English Description:
Context: EquityBermudaExercise (complex type)
If latestExerciseTimeType is equal to "SpecificTime", then latestExerciseTime exists
XPath Description:
Context: EquityBermudaExercise
[latestExerciseTimeType eq "SpecificTime"]
exists(latestExerciseTime)
eqd-8 (Mandatory)
English Description:
Context: EquityBermudaExercise (complex type)
All dates in bermudaExerciseDates/date must be after commencementDate/adjustableDate/unadjustedDate
XPath Description:
Context: EquityBermudaExercise
every $date in .//bermudaExerciseDates/date satisfies $date gt commencementDate/adjustableDate/unadjustedDate
eqd-9 (Mandatory)
English Description:
Context: EquityBermudaExercise (complex type)
All dates in bermudaExerciseDates/date must be before or equal to expirationDate/adjustableDate/unadjustedDate
XPath Description:
Context: EquityBermudaExercise
every $date in .//bermudaExerciseDates/date satisfies $date le expirationDate/adjustableDate/unadjustedDate
eqd-10 (Mandatory)
English Description:
Context: EquityBermudaExercise (complex type)
The dates in bermudaExerciseDates/date must be unique
XPath Description:
Context: EquityBermudaExercise
count(distinct-values(bermudaExerciseDates/date)) eq count(bermudaExerciseDates/date)
eqd-12 (Mandatory)
English Description:
Context: Trade (complex type)
If equityOption/equityExercise/equityEuropeanExercise exists, then equityOption/equityExercise/equityEuropeanExercise/expirationDate/adjustableDate/unadjustedDate must be after or equal to tradeHeader/tradeDate
XPath Description:
Context: Trade
[exists(equityOption/equityExercise/equityEuropeanExercise)]
equityOption/equityExercise/equityEuropeanExercise/expirationDate/adjustableDate/unadjustedDate ge tradeHeader/tradeDate
eqd-13 (Mandatory)
English Description:
Context: Trade (complex type)
If equityOption/equityPremium/paymentDate/unadjustedDate exists, then equityOption/equityPremium/paymentDate/unadjustedDate must be after or equal to tradeHeader/tradeDate
XPath Description:
Context: Trade
[exists(equityOption/equityPremium/paymentDate/unadjustedDate)]
equityOption/equityPremium/paymentDate/unadjustedDate ge tradeHeader/tradeDate
eqd-14 (Mandatory)
English Description:
Context: Trade (complex type)
If brokerEquityOption/equityPremium/paymentDate/unadjustedDate exists, then brokerEquityOption/equityPremium/paymentDate/unadjustedDate must be after or equal to tradeHeader/tradeDate
XPath Description:
Context: Trade
[exists(brokerEquityOption/equityPremium/paymentDate/unadjustedDate)]
brokerEquityOption/equityPremium/paymentDate/unadjustedDate ge tradeHeader/tradeDate
eqd-15 (Mandatory)
English Description:
Context: EquityExerciseValuationSettlement (complex type)
If equityValuation/valuationDate/adjustableDate exists, and if equityEuropeanExercise exists, then equityValuation/valuationDate/adjustableDate/unadjustedDate must be equal to equityEuropeanExercise/expirationDate/adjustableDate/unadjustedDate
XPath Description:
Context: EquityExerciseValuationSettlement
[exists(equityValuation/valuationDate/adjustableDate)] [exists(equityEuropeanExercise)]
equityValuation/valuationDate/adjustableDate/unadjustedDate eq equityEuropeanExercise/expirationDate/adjustableDate/unadjustedDate
eqd-19 (Mandatory)
English Description:
Context: EquityOption (complex type)
EquityDerivativeShortFormBase (complex type)
If
notional,
equityPremium/percentageOfNotional and
equityPremium/paymentAmount exist, and if
equityPremium/paymentAmount and
notional have the
same-currency, then
equityPremium/paymentAmount/amount is equal to
notional/amount multiplied by
equityPremium/percentageOfNotional
XPath Description:
Context: EquityOption
EquityDerivativeShortFormBase
[exists(
notional)] [exists(
equityPremium/percentageOfNotional)] [exists(
equityPremium/paymentAmount)] [
same-currency((
equityPremium/paymentAmount,
notional))]
equityPremium/paymentAmount/amount eq notional/amount * equityPremium/percentageOfNotional
eqd-20 (Mandatory)
English Description:
Context: EquityOption (complex type)
EquityOptionTransactionSupplement (complex type)
If
numberOfOptions exists, and if
optionEntitlement exists, and if
equityPremium/paymentAmount exists, and if
equityPremium/pricePerOption exists, and if
equityPremium/paymentAmount and
equityPremium/pricePerOption have the
same-currency, then
equityPremium/pricePerOption/amount multiplied by
numberOfOptions multiplied by
optionEntitlement is equal to
equityPremium/paymentAmount/amount
XPath Description:
Context: EquityOption
EquityOptionTransactionSupplement
[exists(
numberOfOptions)] [exists(
optionEntitlement)] [exists(
equityPremium/paymentAmount)] [exists(
equityPremium/pricePerOption)] [
same-currency((
equityPremium/paymentAmount,
equityPremium/pricePerOption))]
equityPremium/pricePerOption/amount * numberOfOptions * optionEntitlement eq equityPremium/paymentAmount/amount
eqd-22 (Mandatory)
English Description:
Context: EquityDerivativeBase (complex type)
buyerPartyReference/@href and sellerPartyReference/@href must be different
XPath Description:
Context: EquityDerivativeBase
buyerPartyReference/@href ne sellerPartyReference/@href
eqd-24 (Mandatory)
English Description:
Context: AveragingSchedule (complex type)
startDate must be before or equal to endDate
XPath Description:
Context: AveragingSchedule
startDate le endDate
eqd-25 (Mandatory)
English Description:
Context: BrokerEquityOption (complex type)
If
numberOfOptions exists, and if
equityPremium/paymentAmount exists, and if
equityPremium/pricePerOption exists, and if
equityPremium/paymentAmount and
equityPremium/pricePerOption have the
same-currency, then
equityPremium/pricePerOption/amount multiplied by
numberOfOptions is equal to
equityPremium/paymentAmount/amount
XPath Description:
Context: BrokerEquityOption
[exists(
numberOfOptions)] [exists(
equityPremium/paymentAmount)] [exists(
equityPremium/pricePerOption)] [
same-currency((
equityPremium/paymentAmount,
equityPremium/pricePerOption))]
equityPremium/pricePerOption/amount * numberOfOptions eq equityPremium/paymentAmount/amount
eqd-26 (Mandatory)
English Description:
Context: EquityOption (complex type)
EquityDerivativeShortFormBase (complex type)
You cannot exercise more than the number of options you have.
If numberOfOptions exists, and if equityExercise/equityAmericanExercise/equityMultipleExercise/maximumNumberOfOptions exists, then equityExercise/equityAmericanExercise/equityMultipleExercise/maximumNumberOfOptions must be less than or equal to numberOfOptions
XPath Description:
Context: element(*, EquityOption)
element(*, EquityDerivativeShortFormBase)
[exists(numberOfOptions)] [exists(equityExercise/equityAmericanExercise/equityMultipleExercise/maximumNumberOfOptions)]
equityExercise/equityAmericanExercise/equityMultipleExercise/maximumNumberOfOptions le numberOfOptions
eqd-26b (Mandatory)
English Description:
Context: EquityOption (complex type)
EquityDerivativeShortFormBase (complex type)
You cannot exercise more than the number of options you have.
If numberOfOptions exists, and if equityExercise/equityBermudaExercise/equityMultipleExercise/maximumNumberOfOptions exists, then equityExercise/equityBermudaExercise/equityMultipleExercise/maximumNumberOfOptions must be less than or equal to numberOfOptions
XPath Description:
Context: EquityOption
EquityDerivativeShortFormBase
[exists(numberOfOptions)] [exists(equityExercise/equityBermudaExercise/equityMultipleExercise/maximumNumberOfOptions)]
equityExercise/equityBermudaExercise/equityMultipleExercise/maximumNumberOfOptions le numberOfOptions
eqd-27 (Mandatory)
English Description:
Context: EquityMultipleExercise (complex type)
Maximum number of options to exercise must be greater than or equal to minimum number of options to exercise
XPath Description:
Context: EquityMultipleExercise
minimumNumberOfOptions le maximumNumberOfOptions
eqd-28 (Mandatory)
English Description:
Context: EquityMultipleExercise (complex type)
When integral multiple exercise exists, the minimum number of options (minimumNumberOfOptions) exercised must be a positive integer multiple of integral multiple exercise (integralMultipleExercise)
XPath Description:
Context: EquityMultipleExercise
[exists(integralMultipleExercise)]
minimumNumberOfOptions mod integralMultipleExercise eq 0
eqd-29 (Mandatory)
English Description:
Context: EquityMultipleExercise (complex type)
When integral multiple exercise exists, the maximum number of options (maximumNumberOfOptions) exercised must be a positive integer multiple of integral multiple exercise (integralMultipleExercise).
XPath Description:
Context: EquityMultipleExercise
[exists(integralMultipleExercise)]
maximumNumberOfOptions mod integralMultipleExercise eq 0
eqd-31 (Mandatory)
English Description:
Context: Trade (complex type)
If equityEffectiveDate exists, then the equityEffectiveDate of an equity option must be strictly after the tradeDate.
XPath Description:
Context: Trade
[//element(*, EquityDerivativeBase)/equityEffectiveDate)]
every $equityDerivativeBase in //element(*, EquityDerivativeBase)[exists(equityEffectiveDate)] satisfies $equityDerivativeBase/equityEffectiveDate gt tradeHeader/tradeDate
Deprecated rules
Removed rules
eqd-1 (Mandatory)
REMOVED:
Context: Trade, Contract; Description: //americanExercise/commencementDate/adjustableDate/unadjustedDate must be equal to tradeHeader/tradeDate.
Rationale for removal: incorrect from business perspective.
eqd-2b (Mandatory)
REMOVED:
Context: Contract; Description: If equityOption/equityExercise/equityAmericanExercise exists, then equityOption/equityExercise/equityAmericanExercise/expirationDate/adjustableDate/unadjustedDate must be after or equal to header/contractDate.
Rationale for removal: Use rule eqd-2.
eqd-4b (Mandatory)
REMOVED:
Context: Contract; Description: If equityOption/bermudaExercise exists, then equityOption/bermudaExercise/commencementDate/adjustableDate/unadjustedDate must be after or equal to header/contractDate.
Rationale for removal: Use rule eqd-4.
eqd-5 (Mandatory)
REMOVED:
Context: Trade, Contract; Description: //equityExercise/equityBermudaExercise/expirationDate/adjustableDate/unadjustedDate must be greater than or equal to tradeHeader/tradeDate.
Rationale for removal: eqd-5 is redundant. The effect of eqd-5 is available by entailment on eqd-4, eqd-8, eqd-9.
eqd-7 (Mandatory)
REMOVED:
Context: equityBermudaExercise; Description: The elements in bermudaExerciseDates/date should be in order, earliest date first.
Rationale for removal: Enforcing that data should be in specific order is not permitted.
eqd-11 (Mandatory)
REMOVED:
Context: EquityBermudanExercise; Description: latestExerciseTime/hourMinuteTime must be before or equal to equityExpirationTime/hourMinuteTime.
eqd-12b (Mandatory)
REMOVED:
Context: Contract; Description: If equityOption/europeanExercise exists, then equityOption/europeanExercise/expirationDate/adjustableDate/unadjustedDate must be after or equal to header/contractDate.
Rationale for removal: Use rule eqd-12.
eqd-13b (Mandatory)
REMOVED:
Context: Contract; Description: If equityOption/premium/paymentDate/adjustableDate/unadjustedDate exists, then equityOption/premium/paymentDate/adjustableDate/unadjustedDate must be after or equal to header/contractDate.
Rationale for removal: Use rule eqd-12.
eqd-14b (Mandatory)
REMOVED:
Context: Contract; Description: If brokerEquityOption/equityPremium/paymentDate/unadjustedDate exists, then brokerEquityOption/equityPremium/paymentDate/unadjustedDate must be after or equal to header/contractDate.
Rationale for removal: Use rule eqd-14.
eqd-16 (Mandatory)
REMOVED:
Context: EquityMultipleExercise; Description: minimumNumberOfOptions lt maximumNumberOfOptions.
Rationale for removal: inconsistent with rule eqd-27
eqd-17 (Mandatory)
REMOVED:
Context: EquityOption, EquityDerivativeShortFormBase; Description: If numberOfOptions exists, and if equityExercise/equityAmericanExercise/equityMultipleExercise/maximumNumberOfOptions exists, and if equityExercise/equityAmericanExercise/equityMultipleExercise/integralMultipleExerciseexists, then equityExercise/equityAmericanExercise/equityMultipleExercise/maximumNumberOfOptions multiplied by equityExercise/equityAmericanExercise/equityMultipleExercise/integralMultipleExercise must be less than or equal to the numberOfOptions.
Rationale for removal: rule eqd-17 is incorrect. The usage of the integralMultipleExercise is covered under the rule eqd-28.
(Reference:http://www.fpml.org/documents/groupdocs/MultipleExerciseAmountExplanatoryNotes_v1.0.doc)
eqd-18 (Mandatory)
REMOVED:
Context: EquityOption, EquityDerivativeShortFormBase; Description: If numberOfOptions exists, and if equityExercise/equityBermudaExercise/equityMultipleExercise/maximumNumberOfOptions exists, and if equityExercise/equityBermudaExercise/equityMultipleExercise/integralMultipleExercise exists, then equityExercise/equityBermudaExercise/equityMultipleExercise/maximumNumberOfOptions multiplied by equityExercise/equityBermudaExercise/equityMultipleExercise/integralMultipleExercise must be less than or equal to the numberOfOptions.
Rationale for removal: rule eqd-18 is incorrect. The usage of the integralMultipleExercise is covered under the rule eqd-28.
(Reference:http://www.fpml.org/documents/groupdocs/MultipleExerciseAmountExplanatoryNotes_v1.0.doc)
eqd-21 (Mandatory)
REMOVED:
Context: CalculationAgent; Description: calculationAgentPartyReference must exist.
Rationale for removal: EQDWG 2007-11-30; agreed that this rule doesn't make any business sense since the calculation agent
may be specified in the master confirmation or the master agreement.
eqd-23 (Mandatory)
REMOVED:
Context: Trade; Description: If equityOption/equityEffectiveDate exists, then equityOption/equityEffectiveDate must be after or equal to tradeHeader/tradeDate.
Rationale for removal: eqd-23 is redundant. The effect of eqd-23 is available by entailment of a more generic rule eqd-31.
eqd-30 (Mandatory)
REMOVED:
Context: Contract; Description: If equityOption/equityEffectiveDate exists, then equityOption/equityEffectiveDate must be after or equal to header/contractDate.
Rationale for removal: eqd-30 is redundant. The effect of eqd-30 is available by entailment of a more generic rule eqd-32.
eqd-32 (Mandatory)
REMOVED:
Context: Contract; Description: The starting date of an equity option must be after the contract date.
Rationale for removal: Use rule eqd-31.