FpML 4.5 Validation Rules - Rules for Interest Rate Derivatives (IRD)
This is the Interest Rate Derivatives part of the validation rule set accompanying the FpML 4.5 Working Draft. The introductory
section in the draft contains background information and documentation for this page.
The rules contained on this page contain links to cut down versions of valid and invalid test cases. These test cases have
been analysed using Systemwire's xlinkit rule engine to highlight relevant document portions accessed by a rule. The cut down
test cases are non-normative and are provided for the purpose of documentation only.
Content
Namespace
default element namespace = http://www.fpml.org/2008/FpML-4-5
namespace xs = http://www.w3.org/2001/XMLSchema
Definitions
Term: frequency equivalence A frequency is specified as a tuple of
period, which is an integer, and
periodMultiplier, which is one of "
D", "
M", "
Y", "
W" or "
T", standing for day, month, year, week and term. Between any pair of frequencies, the following is the complete list of equivalences
where the period multipliers differ:
iff(
period elements are equal, If the period multipliers of a pair of frequencies are equivalent then they are equal). For the purpose
of calculating multiples of periods, the following additional rule holds:
- Any frequency > 0 is a multiple of 1D
- 1T is a positive integer multiple (>= 1) of any frequency
Term: unadjusted calculation period dates This applies in the context of an
InterestRateStream. For the purpose of validation, the unadjusted calculation period dates are determined as follows:
-
cashflows element not present: the unadjusted calculation period dates are calculated by stepping through the regular-period() at the frequency specified in calculationPeriodDates/calculationPeriodFrequency. The first date is the start date of the regular-period() and the last date is the end date of the regular-period().
-
cashflows element exists and cashflowsMatchParameters is true: the unadjusted calculation period dates are calculated from the regular-period() as in the previous case.
-
cashflows element exists and cashflowsMatchParameters is false: rules that relate elements to unadjusted calculation period dates do not apply. Instead, the cash flows must be validated internally.
Term: the schedule implied byThe schedule defined by the effective- and termination-Date, together with the "RegularPeriod" dates which may appear optionally
in the presence of stubs, and the calculation period frequency.
Conditions
The Validation Conditions only apply when specific rules reference them. The following conditions 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 condition.
Condition: isFloating
(context: InterestRateStream)
resetDates exists.
Condition: hasInitialStub
(context: InterestRateStream)
paymentDates/firstPaymentDate exists.
Functions
The following shared functions are used in the rules.
Rules
Unique contexts:
ird-1 (Mandatory)
Context:
InterestRateStream (complex type)
iff(exists(
resetDates), exists(
calculationPeriodAmount/calculation/floatingRateCalculation) or exists(
calculationPeriodAmount/calculation/inflationRateCalculation)).
ird-2 (Mandatory)
Context:
InterestRateStream (complex type)
[
is-parametric(
cashflows)]
paymentDates/paymentFrequency = an integer multiple (could be 1) of
calculationPeriodDates/calculationPeriodFrequency. See also:
frequency equivalence.
ird-3 (Mandatory)
Context:
InterestRateStream (complex type)
[
is-parametric(
cashflows)]
ird-4 (Mandatory)
Context:
InterestRateStream (complex type)
[
is-parametric(
cashflows)]
ird-5 (Mandatory)
Context:
InterestRateStream (complex type)
[(cashflows/cashflowsMatchParameters = true) or (not(exists(cashflows)))] [exists(resetDates)]
The frequency in
calculationPeriodDates/calculationPeriodFrequency must be an integer multiple of the frequency in
resetDates/resetFrequency. See also:
frequency equivalence
ird-6 (Mandatory)
Context:
InterestRateStream (complex type)
[
is-parametric(
cashflows)] [exists(
paymentDates/firstPaymentDate)] [exists(
calculationPeriodDates/effectiveDate)]
paymentDates/firstPaymentDate > calculationPeriodDates/effectiveDate/unadjustedDate.
ird-7 (Mandatory)
Context:
InterestRateStream (complex type)
[
is-parametric(
cashflows)]
ird-8 (Mandatory)
Context:
InterestRateStream
payerPartyReference/@href != receiverPartyReference/@href.
ird-9 (Mandatory)
Context:
InterestRateStream (complex type)
[exists(calculationPeriodAmount/calculation/compoundingMethod)]
exists(resetDates).
ird-10 (Mandatory)
Context:
CalculationPeriodDates (complex type)
[
is-parametric(
cashflows)] [
calculationPeriodFrequency/rollConvention is a number]
If firstRegularPeriodStartDate exists, then the start date is firstRegularPeriodStartDate, else the start date is effectiveDate/unadjustedDate. If calculationPeriodFrequency/rollConvention is less than or equal to the last day of the month in the start date, then the day of the start date must match it, else
the day of the start date must be the last day of the month of that date.
ird-11 (Mandatory)
Context:
CalculationPeriodDates (complex type)
[
is-parametric(
cashflows)] [
calculationPeriodFrequency/rollConvention is a number]
If lastRegularPeriodEndDate exists, then the end date is lastRegularPeriodEndDate, else the end date is terminationDate/unadjustedDate. If calculationPeriodFrequency/rollConvention is less than or equal to the last day of the month in the end date, then the day of the end date must match it, else the
day of the end date must be the last day of the month of that date.
ird-12 (Mandatory)
Context:
CalculationPeriodDates (complex type)
[
is-parametric(
cashflows)]
The frequency specified in
calculationPeriodFrequency must divide the
precisely. This means that by stepping through the period from the start date at the specified frequency, it must be possible
to reach the end date.
ird-14 (Mandatory)
Context:
CalculationPeriodDates (complex type)
[
is-parametric(
cashflows)]
terminationDate/unadjustedDate > effectiveDate/unadjustedDate.
ird-15 (Mandatory)
Context:
CalculationPeriodDates (complex type)
[
is-parametric(
cashflows)]
terminationDate/unadjustedDate > firstPeriodStartDate/unadjustedDate.
ird-16 (Mandatory)
Context:
CalculationPeriodDates (complex type)
[
is-parametric(
cashflows)]
terminationDate/unadjustedDate > firstRegularPeriodStartDate.
ird-17 (Mandatory)
Context:
CalculationPeriodDates (complex type)
[
is-parametric(
cashflows)]
terminationDate/unadjustedDate > lastRegularPeriodEndDate.
ird-18 (Mandatory)
Context:
CalculationPeriodDates (complex type)
[
is-parametric(
cashflows)]
lastRegularPeriodEndDate > firstRegularPeriodStartDate.
ird-19 (Mandatory)
Context:
CalculationPeriodDates (complex type)
[
is-parametric(
cashflows)]
lastRegularPeriodEndDate > firstPeriodStartDate/unadjustedDate.
ird-20 (Mandatory)
Context:
CalculationPeriodDates (complex type)
[
is-parametric(
cashflows)]
lastRegularPeriodEndDate > effectiveDate/unadjustedDate.
ird-21 (Mandatory)
Context:
CalculationPeriodDates (complex type)
[
is-parametric(
cashflows)]
firstPeriodStartDate/unadjustedDate < effectiveDate/unadjustedDate.
ird-22 (Mandatory)
Context:
CalculationPeriodDates (complex type)
[
is-parametric(
cashflows)]
firstPeriodStartDate/unadjustedDate < firstRegularPeriodStartDate.
ird-23 (Mandatory)
Context:
StubCalculationPeriodAmount (complex type)
iff(exists(
initialStub), exists(id(
calculationPeriodDates/@href)/(
firstPeriodStartDate |
firstRegularPeriodStartDate)).
ird-24 (Mandatory)
Context:
StubCalculationPeriodAmount (complex type)
iff(exists(
finalStub), exists(id(
calculationPeriodDates/@href)/
lastRegularPeriodEndDate).
ird-25 (Mandatory)
Context:
Schedule (complex type)
[not(exists(step))]
initialValue!=0.
ird-27 (Mandatory)
Context:
MandatoryEarlyTermination (complex type)
not(exists(cashSettlement/cashSettlementPaymentDate)).
ird-29 (Mandatory)
Context:
Calculation (complex type)
[exists(compoundingMethod)]
not(exists(fixedRateSchedule)).
ird-30 (Mandatory)
Context:
CalculationPeriod (complex type)
exists(unadjustedStartDate) or exists(adjustedStartDate).
ird-31 (Mandatory)
Context:
CalculationPeriod (complex type)
exists(unadjustedEndDate) or exists(adjustedEndDate).
ird-33 (Mandatory)
Context:
Fra (complex type)
adjustedTerminationDate> adjustedEffectiveDate.
ird-34 (Mandatory)
Context:
PaymentCalculationPeriod (complex type)
exists(unadjustedPaymentDate) or exists(adjustedPaymentDate).
ird-35 (Mandatory)
Context:
PaymentDates (complex type)
[exists(firstPaymentDate)] [exists(lastRegularPaymentDate)]
firstPaymentDate < lastRegularPaymentDate.
ird-36 (Mandatory)
Context:
PaymentDates (complex type)
[exists(firstPaymentDate)] [exists(lastRegularPaymentDate)]
The period defined by the dates firstPaymentDate and lastRegularPaymentDate must be an integer multiple of paymentFrequency.
ird-39 (Mandatory)
Context:
EarlyTerminationEvent (complex type)
adjustedExerciseDate <= adjustedEarlyTerminationDate.
ird-40 (Mandatory)
Context:
EarlyTerminationEvent (complex type)
adjustedExerciseDate <= adjustedCashSettlementValuationDate.
ird-41 (Mandatory)
Context:
EarlyTerminationEvent (complex type)
adjustedCashSettlementValuationDate <= adjustedCashSettlementPaymentDate.
ird-42 (Mandatory)
Context:
ExtensionEvent (complex type)
adjustedExerciseDate < adjustedExtendedTerminationDate.
ird-43 (Mandatory)
Context:
FxLinkedNotionalAmount (complex type)
count(//*) >= 1.
ird-44 (Mandatory)
Context:
MandatoryEarlyTerminationAdjustedDates (complex type)
adjustedEarlyTerminationDate <= adjustedCashSettlementValuationDate <= adjustedCashSettlementPaymentDate.
ird-46 (Mandatory)
Context:
OptionalEarlyTermination (complex type)
[exists(cashSettlement/cashSettlementValuationDate)]
The cashSettlement/cashSettlementValuationDate/dateRelativeTo/@href attribute = the cashSettlement/cashSettlementPaymentDate/@id attribute.
ird-47 (Mandatory)
Context:
OptionalEarlyTermination (complex type)
[exists(cashSettlement/cashSettlementPaymentDate)]
The cashSettlement/cashSettlementPaymentDate/relativeDate/dateRelativeTo/@href attribute = the americanExercise/@id, bermudaExercise/@id or europeanExercise/@id, whichever one exists.
ird-48 (Mandatory)
Context:
Swaption (complex type)
[exists(cashSettlement/cashSettlementPaymentDate)]
The cashSettlement/cashSettlementPaymentDate/relativeDate/dateRelativeTo/@href attribute = the @id attribute of americanExercise, bermudaExercise or europeanExercise, whichever one exists.
ird-49 (Mandatory)
Context:
ResetFrequency (complex type)
iff(exist
weeklyRollConvention, period = "
W").
ird-50 (Mandatory)
Context:
InterestRateStream (complex type)
[
is-parametric(
cashflows)]
ird-51 (Mandatory)
Context:
InterestRateStream (complex type)
[
is-parametric(
cashflows)]
ird-52 (Mandatory)
Context:
InterestRateStream (complex type)
[
is-parametric(
cashflows)]
ird-53 (Mandatory)
Context:
InterestRateStream (complex type)
[
is-parametric(
cashflows)]
ird-54 (Mandatory)
Context:
InterestRateStream (complex type)
[
is-parametric(
cashflows)]
ird-55 (Mandatory)
Context:
InterestRateStream (complex type)
The paymentDates/calculationPeriodDatesReference/@href attribute = the calculationPeriodDates/@id attribute.
ird-56 (Mandatory)
Context:
InterestRateStream (complex type)
The paymentDates/resetDatesReference/@href attribute = the resetDates/@id attribute.
ird-57 (Mandatory)
Context:
CalculationPeriodFrequency (complex type)
[
is-parametric(
cashflows)] [
rollConvention !=
("NONE", "SFE", "MON", "TUE", "WED", "THU", "FRI", "SAT","SUN")]
period = ("M", "Y").
ird-58 (Mandatory)
Context:
CalculationPeriodFrequency (complex type)
[
is-parametric(
cashflows)] [
rollConvention =
("NONE", "SFE", "MON", "TUE", "WED", "THU", "FRI", "SAT","SUN")]
period ="W".
ird-59 (Mandatory)
Context:
ResetDates (complex type)
In calculationPeriodDatesReference, the @href attribute = the @id attribute of calculationPeriodDates in the same swapStream.
Deprecated rules
ird-26 (Mandatory)
DEPRECATED:
Context: BusinessCentersReference; Description: The @href attribute must match the @id attribute of a businessCenters element somewhere within the document.
Rationale for deprecation: the rule has been replaced by the reference rule number 39 (ref-39)
ird-28 (Mandatory)
DEPRECATED:
Context: MandatoryEarlyTermination; Description: If cashSettlement/cashSettlementValuationDate exists, the cashSettlement/cashSettlementValuationDate/dateRelativeTo/@href attribute = the mandatoryEarlyTerminationDate/@id attribute.
Rationale for deprecation: the rule has been replaced by the reference rule number 38 (ref-38)
ird-32 (Mandatory)
DEPRECATED:
Context: Discounting; Description: If discountRate is absent then discountRateDayCountFraction must also be absent.
Rationale for deprecation: the rule has been replaced by a schema constraint.
ird-38 (Mandatory)
DEPRECATED:
Context: StubCalculationPeriodAmount; Description: Either initialStub or finalStub must exist.
Rationale for deprecation: the rule has been replaced by a schema constraint.
Removed rules