FpML Issues Tracker
closed
Minor
Always
Interest Rate Derivatives
Admin
h_mcallister
Summary
Section 4.6.1 states: "The context of the rule must be defined such that incorporates everything referred to in a rule. The rule must not use the ancestor or parent axis, or use them in cojunction with any other axis. For example "../../tradeHeader" is precluded."
This contradicts:
Context: fixedRateSchedule ird-51 (Mandatory) Preconditions: isParametric The dates in step/stepDate must be unadjusted calculation period dates in ../../../calculationPeriodDates.
Notes:
mgratacos
03/06/08 10:53 am
Context: InterestRateStream
ird-51 (Mandatory)
Preconditions: isParametric
The dates in calculationPeriodAmount/calculation/notionalSchedule/fixedRateSchedule/step/stepDate must be unadjusted calculation period dates in calculationPeriodDates
This has been committed to the trunk. Pending to committ to 5.0 branch.
mgratacos
03/18/08 6:29 pm
Context: InterestRateStream
ird-51 (Mandatory)
Preconditions: isParametric
The dates in calculationPeriodAmount/calculation/notionalSchedule/fixedRateSchedule/step/stepDate must be unadjusted calculation period dates in the schedule implied by calculationPeriodDates.
Comment: The rule states that stepDates must be unadjusted period dates in calculationPeriodDates – but the only explicit dates in calculationPeriodDates are the effective- and termination-Date, together with the “RegularPeriod” dates which may appear optionally in the presence of stubs. These dates, in conjunction with the calculation period frequency, imply a schedule of unadjusted period dates; it is this implied schedule which the values of fixedRateSchedule//stepDate must match.
This has been committed to the trunk and 5.0 branch.