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Marc Gratacos Updated Qualifying functions for Known Amount ZC #2560

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Marc Gratacos Updated Qualifying functions for Known Amount ZC #2560

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087f513
Update RELEASE.md
JayasriR Nov 28, 2023
1775846
Update RELEASE.md
hugohills-regnosys Nov 28, 2023
ebdf45c
Update RELEASE.md
hugohills-regnosys Nov 28, 2023
cbb048e
Update RELEASE.md
eacunaISDA Nov 28, 2023
8e9c837
Add PR link
lolabeis Nov 29, 2023
78cd9c2
Merge pull request #2549 from rosetta-models/task-6602-6-dev
lolabeis Nov 29, 2023
84f14f0
Updated Qualifying functions for Known Amount ZC
mgratacos Nov 30, 2023
42aedde
Fix CVE scanning (#2561)
SimonCockx Dec 1, 2023
b297b46
Prevent GitHub Actions from being triggered twice (#2559)
SimonCockx Dec 1, 2023
7182a16
Merge branch 'master' into mgratacos_auth0_5bbb11b408c77d25edcf5ac2-Z…
hugohills-regnosys Dec 1, 2023
ec7144c
Updated Qualifying functions for Known Amount ZC 2
mgratacos Dec 1, 2023
f1c31cb
Revert "Prevent GitHub Actions from being triggered twice (#2559)"
hugohills-regnosys Dec 1, 2023
f520060
Revert "Fix CVE scanning (#2561)"
hugohills-regnosys Dec 1, 2023
8357921
Fix release notes
hugohills-regnosys Dec 1, 2023
506f6ac
Add release note
hugohills-regnosys Dec 1, 2023
d1de3fb
Fix syntax validation error and update docs code snippet
hugohills-regnosys Dec 1, 2023
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6 changes: 2 additions & 4 deletions rosetta-source/src/main/rosetta/mapping-fpml-confirmation-tradestate-synonym.rosetta
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Original file line number Diff line number Diff line change
Expand Up @@ -637,6 +637,7 @@ synonym source FpML_5_Confirmation_To_TradeState extends FpML
[value "calculation" path "calculationPeriodAmount" mapper "FloatingRateCalculation"]
[value "fixedRateSchedule" path "calculationPeriodAmount->calculation"]
[value "spreadSchedule" path "calculationPeriodAmount->calculation->floatingRateCalculation"]
[value "knownAmountSchedule" path "calculationPeriodAmount"]
// For FRAs:
[hint "fixedRate"]
// For Credit:
Expand Down Expand Up @@ -665,7 +666,6 @@ synonym source FpML_5_Confirmation_To_TradeState extends FpML
[value "notionalStepSchedule" path "calculationPeriodAmount->calculation->notionalSchedule"]
[value "fxLinkedNotionalSchedule" path "calculationPeriodAmount->calculation"]
[value "futureValueNotional" path "calculationPeriodAmount->calculation"]
[value "knownAmountSchedule" path "calculationPeriodAmount"]
[value "notionalAmount"]
// For FRAs:
[value "notional"]
Expand Down Expand Up @@ -825,13 +825,10 @@ synonym source FpML_5_Confirmation_To_TradeState extends FpML
[value "PrincipalExchanges" meta "id"]
+ initialPayment
[value "initialExchange"]
[set to False when "knownAmountSchedule" exists]
+ finalPayment
[value "finalExchange"]
[set to True when "knownAmountSchedule" exists]
+ intermediatePayment
[value "intermediateExchange"]
[set to False when "knownAmountSchedule" exists]
+ principalPaymentSchedule
[value "cashflows" mapper "PrincipalPaymentSchedule"]

Expand Down Expand Up @@ -2311,6 +2308,7 @@ synonym source FpML_5_Confirmation_To_TradeState extends FpML
// For Swap Stream:
[value "calculation" path "calculationPeriodAmount"]
[value "fxLinkedNotionalSchedule" path "calculationPeriodAmount->calculation"]
[value "knownAmountSchedule" path "calculationPeriodAmount"]
// For FRAs:
[hint "notional"]
// For the interest leg of Equity Swap:
Expand Down
37 changes: 24 additions & 13 deletions rosetta-source/src/main/rosetta/product-qualification-func.rosetta
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Expand Up @@ -910,15 +910,15 @@ func Qualify_SubProduct_FixedFloat: <"Qualifies a product as having the Sub Prod

set is_product:
(economicTerms -> payout -> interestRatePayout -> rateSpecification -> fixedRate count = 1
and economicTerms -> payout -> interestRatePayout -> rateSpecification -> floatingRate count = 1)
or (economicTerms -> payout -> interestRatePayout -> rateSpecification -> fixedRate count = 1
and economicTerms -> payout -> interestRatePayout -> rateSpecification -> inflationRate count = 1)
or ((economicTerms -> payout -> interestRatePayout -> rateSpecification -> fixedRate is absent
and economicTerms -> payout -> interestRatePayout -> principalPayment -> finalPayment only-element = True)
and (economicTerms -> payout -> interestRatePayout -> rateSpecification -> floatingRate count = 1
or economicTerms -> payout -> interestRatePayout -> rateSpecification -> inflationRate count = 1))
and economicTerms -> payout -> interestRatePayout -> rateSpecification -> floatingRate count = 1)
or (economicTerms -> payout -> interestRatePayout -> rateSpecification -> fixedRate count = 1
and economicTerms -> payout -> interestRatePayout -> rateSpecification -> inflationRate count = 1)
or ((economicTerms -> payout -> interestRatePayout -> rateSpecification -> floatingRate count = 1
or economicTerms -> payout -> interestRatePayout -> rateSpecification -> inflationRate count = 1)
and (economicTerms -> payout -> interestRatePayout
filter rateSpecification is absent and priceQuantity exists then count = 1))

func Qualify_SubProduct_FixedFixed: <"Qualifies a product as having the Sub Product classification Fixed Float">
func Qualify_SubProduct_FixedFixed: <"Qualifies a product as having the Sub Product classification Fixed Fixed">
inputs:
economicTerms EconomicTerms (1..1)
output:
Expand All @@ -943,8 +943,19 @@ func Qualify_Transaction_ZeroCoupon: <"Qualifies a product as having the Transac
output:
is_product boolean (1..1)
set is_product:
economicTerms -> payout -> interestRatePayout -> paymentDates -> paymentFrequency -> periodMultiplier all = 1
and economicTerms -> payout -> interestRatePayout -> paymentDates -> paymentFrequency -> period all = PeriodExtendedEnum -> T
economicTerms -> payout -> interestRatePayout -> paymentDates -> paymentFrequency
filter item -> periodMultiplier = 1 and item -> period = PeriodExtendedEnum -> T then exists

func Qualify_Transaction_ZeroCoupon_KnownAmount: <"Qualifies a product as having the Transaction classification Zero Coupon with a Known Amount. This category applies to a Zero Coupon Swap in which the fixed leg pays a known amount at maturity.">
inputs:
economicTerms EconomicTerms (1..1)
output:
is_product boolean (1..1)
set is_product:
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)
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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.

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@mgratacos mgratacos Dec 1, 2023 •
edited
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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.


func Qualify_Transaction_YoY: <"Qualifies a product as having the Transaction classification Year on Year">
inputs:
Expand Down Expand Up @@ -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.">
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This function should call Qualify_Transaction_ZeroCoupon_KnownAmount

[qualification Product]
inputs:
economicTerms EconomicTerms (1..1)
Expand Down Expand Up @@ -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.">
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This function should call Qualify_Transaction_ZeroCoupon_KnownAmount

[qualification Product]
inputs:
economicTerms EconomicTerms (1..1)
Expand Down Expand Up @@ -1219,7 +1230,7 @@ func Qualify_InterestRate_InflationSwap_Basis_YearOn_Year: <"Qualifies a product
and Qualify_SubProduct_Basis(economicTerms) = True
and Qualify_Transaction_YoY(economicTerms) = True

func Qualify_InterestRate_InflationSwap_Basis_ZeroCoupon: <"Qualifies a product as a Basis (Float-Float) Inflation Swap with a single accrual period based on the economic terms and the following criteria: 1) An interest rate product with one floating interest rate leg and one inflation rate leg and more than one payment, and 2) without cross-currency features or 'zero coupon' features.">
func Qualify_InterestRate_InflationSwap_Basis_ZeroCoupon: <"Qualifies a product as a Basis (Float-Float) Inflation Swap based on the economic terms and the following criteria: 1) An interest rate product with one floating interest rate leg and one inflation interest rate leg, 2) where the floating leg is not based on an OIS index, 3) where the inflation leg features an inflation floating rate, 4) where an interest rate payout is made at maturity into a singular payment and 5) without cross-currency features.">
[qualification Product]
inputs:
economicTerms EconomicTerms (1..1)
Expand Down