FpML Issues Tracker

1169: Update IRD rules involving payer/receiverPartyReference structure

April 9, 2013

closed

Minor

Have not tried

Validation Rules

danieldui

danieldui

Summary

This is related to issues 1059, 1081, 1082. These issues are closed closed, but AJ found a problem when implementing some rules.

I (Daniel) looked into this and I think that we neglected to update a few rules. I.e., we updated the *PartyReference rules in shared and FX. But we must have missed IRD. Possibly because we were looking only for rules that mention buyer/seller and not also for rules that mention payer/receiver.

Also check that if rules other than IRD are affected.

Notes:

  • danieldui

    04/09/13 2:02 pm

    ACTION: ISDA: Update IRD rules and check examples that use payer/receiver structure. Update the rules in the same way as the rules that use the buyer/seller structure have been updated.

  • lyteck

    06/04/13 10:26 am

    Email from Andrew Jacobs:

    ird-8 is currently stated as:

    ird-8 (Mandatory)
    English Description:
    Context: InterestRateStream
    The @href attribute of payerPartyReference must not be equal to the @href attribute of receiverPartyReference
    XPath Description:
    Context: InterestRateStream
    payerPartyReference/@href ne receiverPartyReference/@href

    If I had an inter-book swap then the payerPartyReference and receiverPartyReference elements would refer to the same party (in FpMl 5.x) so the rule would fail. In FpML 4.x the account was inside party so the rule would have been correct.

    I have updated the rule in the toolkit to reflect the new FpML party/account model but the documentation is still wrong. The rule needs to compare account references if the party reference are the same.

    (payerPartyReference/@href != receiverPartyRefernce/@href) or
    (exists payerAccountReference and exists receiverAccountReference and payerAccountReference/@href != receiverAccountReference/@href)

    Regards,

    Andrew Jacobs
    FpML Lead Architect | Finance Technology | HSBC Bank Plc

  • lyteck

    06/10/13 8:17 pm

    fixed ird-8 as per Andrew Jacobs guidance (with slightly modified statement)

    English Description:
    Context: InterestRateStream
    The @href attribute of payerPartyReference must not be equal to the @href attribute of receiverPartyReference. If they are equal, and if payerAccountReference and receiverAccountReference both exist, the @href attribute of payerAccountReference must not be equal to the @href attribute of receiverAccountReference

    XPath Description:
    (payerPartyReference/@href ne receiverPartyRefernce/@href) or (if ((payerPartyReference/@href eq receiverPartyRefernce/@href) and exists(payerAccountReference) and exists(receiverAccountReference)) then (payerAccountReference/@href ne receiverAccountReference/@href))

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