FpML Issues Tracker
closed
Minor
Always
Equity Derivatives
Admin
apparry
Summary
eqd-6 is missing an else clause. The problem is that this causes eqd-6 to sometimes fail to produce a result.
The rule today is: " Context: equityBermudaExercise (complex type) eqd-6 (Mandatory) If latestExerciseTimeType is equal to SpecificTime then latestExerciseTime must be present. "
The proposed solution is to add the condition to the context: " Context: equityBermudaExercise (complex type) [latestExerciseTimeType="SpecificTime"] eqd-6 (Mandatory) latestExerciseTime exists. "
NB This also fixes the use of the term "present"
Notes:
andrew
05/14/08 8:52 pm
Why not simply update the current text so ‘be present’ is replaced with ‘exist’?
If latestExerciseTimeType is equal to ‘SpecificTime’ then latestExerciseTime must exist.
I don’t see that there is any need to add predicates to the context expressions. We don’t have them for any other rules.
matthewdr
05/15/08 11:36 am
Changing “be present” to “exist” is a red herring. It does nothing to resolve the issue of the missing “else” clause. The issue raised to the WG to consider is that the “else” clause is missing.
The reasoning that in the past FpML has not had conditions on contexts is an appeal to tradition – that it is right because it is old or because thats is the way it has always been. Instead the issue and proposal should be considered by the WG on its merits. The old way of doing things cannot produce the correct answer. What we require is the validation rule to produce the correct answer.
The business question being asked of the WG is when the rule applies. Which of these three is the correct condition for when to fire the rule:
1. For all EquityBermudaExercise
2. For all EquityBermundaExercise that have a latestExerciseTimeType element.
3. For all EquityBermundaExercise that have a latestExerciseTimeType element with a value of “SpecificTime”.
My proposal is that for business reasons the rule on Specific Time should only be ‘fired’ in the 3rd case.
mgratacos
05/16/08 1:37 pm
EQDWG 2008-05-16: suggested approach by Matthew matches business logic.
h_mcallister
05/16/08 3:36 pm
Doesn’t this issue need to go to the Validation Working group?
matthewdr
05/16/08 5:32 pm
The general case of how to represent the rule has already been referred to the VWG. A decision is awaited.
On this specific rule the EQD consensus at the meeting was to finalize what the EQDWG consensus was and then accept any subsequent VWG comments if the VWG wish to comment.
matthewdr
06/06/08 1:47 pm
Discussed at EQDWG. VWG decisions has happened and this is waiting for implementation from ISDA.
mgratacos
06/06/08 1:47 pm
EQDWG: waiting for implementation.
lyteck
07/10/08 7:09 pm
implemented as proposed using new local condition construct.
matthewdr
08/12/08 5:27 pm
Accpeting resolution after review.