Marc Gratacos Updated Qualifying functions for Known Amount ZC #2560

regnosys-prod-user · 2023-11-30T14:49:50Z

No description provided.

Release CDM version 6.0.0-dev.x

Updated the qualifying functions and synonym mappings for Known Amount ZC Swaps.

netlify · 2023-11-30T14:49:55Z

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mgratacos · 2023-11-30T14:52:00Z

This PR replaces Eric's PR 2540 #2540

mgratacos · 2023-11-30T14:53:23Z

Please add the following labels to this PR:
Category: Modelling
Complexity: Minor Change
Criticality: High
Target: Production

mgratacos · 2023-11-30T15:06:48Z

Background

The qualification function for a zero-coupon swap is too restrictive in CDM, since it requires that all the payout legs should feature one unique payment at Term. Normally a zero coupon only points out that at least one leg has a unique payment made at term.

This release fixes this, along with some inaccurate provisions of qualifying functions regarding zero-coupon swaps. In addition, a new Qualify_Transaction_ZeroCoupon_KnownAmount function was added to facilitate the classification of Zero Coupon swaps with a Known Amount.

This release also removes the use of conditional synonym mappings from FpML to CDM of the PrincipalPayments element for Zero-Coupon Swaps with Known Amount cases. The Qualify_SubProduct_FixedFloat qualification function has also been updated to not require the use of this PrincipalPayments element.

What is being released?

Minor changes to existing Zero-Coupon Swap qualification functions
Addition of a new Zero-Coupon Swap Known Amount qualification function
Removed the conditional synonym mappings from FpML to CDM for the PrincipalPayments element in scenarios with Zero-Coupon Swaps with Known Amount.

Qualification

Updated Qualify_Transaction_ZeroCoupon function to accurately qualify Zero-Coupon swaps.
Updated Qualify_SubProduct_FixedFloat function to include Zero-Coupon swaps with Known Amount.
Updated Qualify_InterestRate_IRSwap_FixedFloat_ZeroCoupon function to include Zero-Coupon swaps with Known Amount.
Updated Qualify_InterestRate_InflationSwap_FixedFloat_ZeroCoupon function to include Zero-Coupon swaps with Known Amount.
Created new Qualify_Transaction_ZeroCoupon_KnownAmount function.
Updated the annotations of Qualify_InterestRate_IRSwap_FixedFloat_ZeroCoupon, Qualify_InterestRate_InflationSwap_FixedFloat_ZeroCoupon and Qualify_InterestRate_InflationSwap_Basis_ZeroCoupon functions to accurately describe the qualified products.

Translate

Deprecated use of synonym mapping from FpML to CDM for the PrincipalPayments element for Zero-Coupon Swaps with Known Amount cases.

Review directions

In the CDM Portal, select the Textual Browser and inspect each of the changes identified above.

Inspect Pull Request: #2560

* Fixed CVE scan * Added JAVA_HOME env * Fixed versioning * Fixed versioning * Fixed versioning

* Corrected action workflows * Test * Test * Fixed * Cleaned

rvincentISDA · 2023-12-01T13:11:38Z

rosetta-source/src/main/rosetta/product-qualification-func.rosetta

@@ -1084,7 +1095,7 @@ func Qualify_InterestRate_IRSwap_Basis: <"Qualifies a product as a Basis (Float-
            and Qualify_SubProduct_Basis(economicTerms) = True
            and Qualify_Transaction_OIS(economicTerms) = False

-func Qualify_InterestRate_IRSwap_FixedFloat_ZeroCoupon: <"Qualifies a product as a Fixed-Float Zero Coupon Interest Rate Swap based on the economic terms and the following criteria: 1) An interest rate product with one fixed and one floating leg and more than one payment, 2) without inflation features or cross-currency features, and 3) where the floating leg is not based on an OIS index.">
+func Qualify_InterestRate_IRSwap_FixedFloat_ZeroCoupon: <"Qualifies a product as a Fixed-Float Zero Coupon Interest Rate Swap based on the economic terms and the following criteria: 1) An interest rate product with one fixed and one floating leg, 2) where the fixed leg represents one singular payment agreed upon execution and to be made at maturity, 3) where the floating leg is not based on an OIS index and 4) without any inflation features or cross-currency features.">


This function should call Qualify_Transaction_ZeroCoupon_KnownAmount

rvincentISDA · 2023-12-01T13:12:04Z

rosetta-source/src/main/rosetta/product-qualification-func.rosetta

@@ -1191,7 +1202,7 @@ func Qualify_InterestRate_InflationSwap_FixedFloat_YearOn_Year: <"Qualifies a pr
 *         and Qualify_InterestRate_InflationSwap_Basis_ZeroCoupon (economicTerms) = False
 *         and Qualify_InterestRate_InflationSwap_Basis_YearOn_Year (economicTerms) = False
 */
-func Qualify_InterestRate_InflationSwap_FixedFloat_ZeroCoupon: <"Qualifies a product as a Fixed-Float Inflation Swap with a single accrual period based on the economic terms and the following criteria: 1) An interest rate product with one fixed and one inflation rate leg and more than one payment, and 2) without cross-currency features.">
+func Qualify_InterestRate_InflationSwap_FixedFloat_ZeroCoupon: <"Qualifies a product as a Fixed-Float Inflation Swap based on the economic terms and the following criteria: 1) An interest rate product with one fixed and one inflation rate leg, 2) where the fixed leg represents one singular payment agreed upon execution and to be made at maturity, 3) where the inflation leg features an inflation floating rate and 4) without cross-currency features.">


This function should call Qualify_Transaction_ZeroCoupon_KnownAmount

rvincentISDA · 2023-12-01T13:14:12Z

rosetta-source/src/main/rosetta/product-qualification-func.rosetta

+        Qualify_SubProduct_FixedFloat(economicTerms) = True and
+        Qualify_Transaction_ZeroCoupon(economicTerms) = True and
+        (economicTerms -> payout -> interestRatePayout
+            filter item -> priceQuantity exists and rateSpecification is absent and paymentDates -> paymentFrequency -> periodMultiplier = 1 and paymentDates -> paymentFrequency -> period = PeriodExtendedEnum -> T then exists)


the logic should rather check that if rateSpecification is present it is a fixed rate. The peer review group indicated that a Zerocoupon_knownamount can also feature accruals but they have to be deterministic i.e. fixed rate.

No, it doesn't include the fixed rate. That's the whole point about ZC with a Known Amount. There is no fixed rate in the fixed leg. The Known Amount is the result of the accrued fixed rate calculations so the fixed rate is not included as part of the product representation, only the resulting calculated amount.

…CKnownAmount

Updated the Qualifying functions for Known Amount Zero Coupon Swaps.

This reverts commit b297b46.

This reverts commit 42aedde.

rvincentISDA · 2023-12-01T17:32:17Z

I just saw that there is a problem potentially. I don't think the following is correct for Qualify_InterestRate_IRSwap_FixedFloat_ZeroCoupon and for Qualify_InterestRate_InflationSwap_FixedFloat_ZeroCoupon
"and (Qualify_Transaction_ZeroCoupon(economicTerms) = True or qualify_Transaction_ZeroCoupon_KnownAmount(economicTerms) = True)"

hugohills-regnosys · 2023-12-01T17:51:16Z

Replaced by #2571

JayasriR and others added 7 commits November 28, 2023 14:34

Update RELEASE.md

087f513

Update RELEASE.md

1775846

Update RELEASE.md

ebdf45c

Update RELEASE.md

cbb048e

Add PR link

8e9c837

Merge pull request finos#2549 from rosetta-models/task-6602-6-dev

78cd9c2

Release CDM version 6.0.0-dev.x

Updated Qualifying functions for Known Amount ZC

84f14f0

Updated the qualifying functions and synonym mappings for Known Amount ZC Swaps.

regnosys-prod-user requested a review from a team as a code owner November 30, 2023 14:49

regnosys-prod-user added the Rosetta label Nov 30, 2023

lolabeis mentioned this pull request Nov 30, 2023

Bataller García Eric Zero-Coupon Swaps qualification fix #2540

Closed

lolabeis added Complexity: Minor Change Requires two TA approval Criticality: High Target: Production Category: Modelling labels Nov 30, 2023

SimonCockx added 2 commits December 1, 2023 12:14

Fix CVE scanning (finos#2561)

42aedde

* Fixed CVE scan * Added JAVA_HOME env * Fixed versioning * Fixed versioning * Fixed versioning

Prevent GitHub Actions from being triggered twice (finos#2559)

b297b46

* Corrected action workflows * Test * Test * Fixed * Cleaned

rvincentISDA reviewed Dec 1, 2023

View reviewed changes

Merge branch 'master' into mgratacos_auth0_5bbb11b408c77d25edcf5ac2-Z…

7182a16

…CKnownAmount

hugohills-regnosys changed the base branch from master to 5.x.x December 1, 2023 13:17

Updated Qualifying functions for Known Amount ZC 2

ec7144c

Updated the Qualifying functions for Known Amount Zero Coupon Swaps.

regnosys-prod-user added Rosetta and removed Rosetta labels Dec 1, 2023

rvincentISDA approved these changes Dec 1, 2023

View reviewed changes

Revert "Prevent GitHub Actions from being triggered twice (finos#2559)"

f1c31cb

This reverts commit b297b46.

hugohills-regnosys added 3 commits December 1, 2023 16:13

Revert "Fix CVE scanning (finos#2561)"

f520060

This reverts commit 42aedde.

Fix release notes

8357921

Add release note

506f6ac

hugohills-regnosys force-pushed the mgratacos_auth0_5bbb11b408c77d25edcf5ac2-ZCKnownAmount branch from 7cb1008 to 506f6ac Compare December 1, 2023 16:39

rvincentISDA self-requested a review December 1, 2023 17:32

Fix syntax validation error and update docs code snippet

d1de3fb

hugohills-regnosys closed this Dec 1, 2023

hugohills-regnosys deleted the mgratacos_auth0_5bbb11b408c77d25edcf5ac2-ZCKnownAmount branch December 1, 2023 17:51

lolabeis mentioned this pull request Dec 1, 2023

Marc Gratacos Updated Qualifying functions for Known Amount ZC #2571

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Marc Gratacos Updated Qualifying functions for Known Amount ZC #2560

Marc Gratacos Updated Qualifying functions for Known Amount ZC #2560

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Marc Gratacos Updated Qualifying functions for Known Amount ZC #2560

Marc Gratacos Updated Qualifying functions for Known Amount ZC #2560

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