FpML Issues Tracker
closed
Minor
Always
Validation Rules
Admin
iyermakova
Summary
The IRD rules state as a precondition:
"Preconditions
The following preconditions are always to be executed relative to the root of the FpML document being validated. The context of the rule is NOT carried through to the precondition. Precondition: isParametric The ancestor element of type InterestRateStream contains no cashflows element, or cashflows/cashflowsMatchParameters contains true."
http://www.fpml.org/spec/2007/wd-fpml-4-3-2007-07-30/html/validation-rules/rules-english-ird.html
I suspect this is an error. I expect this should say: "The parent element of type InterestRateStream contains no cashflows element, or cashflows/cashflowsMatchParameters contains true."
Parent means the immediate ancestor, whereas ancestor includes parents of parents, etc.
This matters significantly for strategies in FpML because the precondition would mistakenly apply to all trades in the strategy. The same problem occurs where it would apply to the entirety of a valuation, and has unusual results in some extensions.
Notes:
mgratacos
10/23/07 1:28 pm
VWG: Agreed that it should be parent, not ancestor. Context needs to be added in all preconditions.
iyermakova
11/19/07 7:03 pm
“InterestRateStream” context has been added in IRD’s “isParametric” precondition. The precondition has been rewritten as follows:
InterestRateStream cashflows is not present , or cashflows/cashflowsMatchParameters contains true.
If
iyermakova
11/19/07 7:03 pm
This has been committed to the trunk (4.4) and 4.3 branch