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Validation Rules
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danieldui
Summary
ird-14 handles effectiveDate but not relativeEffectiveDate
The rule today is: " Context: CalculationPeriodDates (complex type) terminationDate/unadjustedDate gt effectiveDate/unadjustedDate "
We can either put a guard on the context to limit the rule to effectiveDate, or we can also evaluate the relativeEffectiveDates
With a guard: " Context: CalculationPeriodDates (complex type)[exists(effectiveDate)] terminationDate/unadjustedDate gt effectiveDate/unadjustedDate "
Handling just the relativeEffectiveDate would be: " Context: CalculationPeriodDates (complex type)[exists(relativeEffectiveDate)][not(exists(relativeEffectiveDate/dayType))] terminationDate/unadjustedDate gt (id(relativeEffectiveDate/dateRelativeTo/@href) + interivalDuration(relativeEffectiveDate/periodMultiplier, relativeEffectiveDate/period)) " The guard [not(exists(relativeEffectiveDate/dayType))] is necessary because we cannot do dayType calculations. We should check with Harry the rule applies before dayType calculations, not afterwards as I am unsure of this.
The two cases (relativeEffectiveDate and effectiveDate), could be combined into one rule.
-----Original Message----- From: valwg@fpml.org [mailto:valwg@fpml.org] On Behalf Of Christian Nentwich Sent: 21 April 2009 10:06 To: valwg@fpml.org Subject: Re: FpML-VAL cd-26 unhandled case
Matthew,
if the rules need to be complete with respect to optionality, you'll find quite a few others where this is not the case - because they were not originally written with that in mind.
For example ird-14:
terminationDate/unadjustedDate gt effectiveDate/unadjustedDate
A swap might have a relativeEffectiveDate instead of effectiveDate... Anybody got a fine tooth comb handy?
Christian
Notes:
matthewdr
06/09/09 1:56 pm
Discussed at the VWG. Agreed to implement. Irina volunteered to take this change.
iyermakova
06/09/09 6:18 pm
Corrected rule ird-14 – added guards:
”
Context: CalculationPeriodDates (complex type)
[exists(effectiveDate)]
[exists(terminationDate)]
terminationDate/unadjustedDate gt effectiveDate/unadjustedDate
”
Additional rules to cover relativeEffectiveDate and relativeTerminationDate need to be reviewed with Harry McAllister.
Related rules: ird-6, 10, 11, 15, 16, 17, 20, 21
matthewdr
07/28/09 1:15 pm
Discussed at the VWG today. Irina stated she followed up with Harry and there are “more complicated” implications. Irina will update the issue with the details.
iyermakova
11/16/09 9:34 pm
danieldui
09/20/11 2:01 pm
Discussed on 20 Sep.
We need test cases for 10 year American and Bermuda swaptions. We’re not likely to get an answer from the IRD group because it’s not active.
ACTIONS:
DD: Contact Harry – Check again that we need external input.
DD: If yes, prepare summary and Tony C/AJ if someone at UBS with IRD knowledge can give us an input.
andrew
06/25/13 2:50 pm
Discussed this issue again with Harry and concluded that there is no need to check anything other than the effective and termination dates.
The relative effective and termination dates are not used in traded swaps or swaptions.
I recollect these elements being added to allow for relative instruments in curve definitions for reportings. They are not present in FpML prior to 4.2.
With the view generation mechanism they could be masked from the confirmation view and allowed only in reporting.
I suggest this issue is closed.
danieldui
06/25/13 3:46 pm
VWG members think that this rule is not needed in practice. Relative effective date is not used in swaps and only in some cases for swaptions.
So far no-one has been able to present a test case when this occurs.
ACTION: AJ will attempt to ask Harry McAllister once more.
We’ll close the issue unless Harry can provide a concrete test case and a reason to change the rule.
danieldui
07/30/13 2:15 pm
The VWG decided to close the issue as the rule is not needed.
danieldui
07/30/13 2:15 pm
The VWG decided to close the issue as the rule is not needed.