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@regnosys-ops regnosys-ops released this 29 Oct 13:36
· 657 commits to master since this release
5.18.0
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CDM Model - Equity Product Qualification and Validation

Background

This release contains modifications required to accomodate Equity and Exotic Products under individual Asset Classes

What is being released?

This release creates following modifications:

  • a new qualification function Qualify_Equity_OtherOption to add qualification for Exotic Options
func Qualify_Equity_OtherOption: <"Qualifies a product with properties of an Exotic Option as Equity Option (Other)">
    [qualification Product]
    inputs:
        economicTerms EconomicTerms (1..1)
    output:
        is_product boolean (1..1)
            [synonym ISDA_Taxonomy_v1 value "Qualify_EquityOther"]
            [synonym ISDA_Taxonomy_v2 value "Qualify_EquityOther"]
    set is_product:
        Qualify_AssetClass_Equity(economicTerms) = True
            and economicTerms -> payout -> optionPayout only exists
            and economicTerms -> nonStandardisedTerms = True
  • changes in existing options to avoid duplicate qualification of options
e.g.
func Qualify_EquityOption_PriceReturnBasicPerformance_SingleName
now contains additional clause
and (if economicTerms -> nonStandardisedTerms exists then economicTerms -> nonStandardisedTerms = False else True)
  • modification in FpML conditions FpML_ird_9 and FpML_ird_29
    condition FpML_ird_9: <"FpML validation rule ird-9 - If calculationPeriodAmount/calculation/compoundingMethod exists, then resetDates must exist.">
        if compoundingMethod exists then resetDates exists

    condition FpML_ird_29: <"FpML validation rule ird-29 - If compoundingMethod exists, then fixedRateSchedule must not exist.">
        if compoundingMethod exists
        then rateSpecification -> fixedRate is absent
  • relaxation of cardinality rule for expirationTime
expirationTime BusinessCenterTime (0..1) <"The latest time for exercise on expirationDate.">

condition ExpirationTimeChoice: <"Condition to validate the existence of correlation between expirationTime and expirationTimeType">
    ExpirationTimeType(expirationTime, expirationTimeType)

func ExpirationTimeType: <"Conditional Validation function to check the existence of correlation between expiration Time and expiration Time Type.">
    inputs: 
        expirationTime BusinessCenterTime (0..1)
        expirationTimeType ExpirationTimeTypeEnum (0..1)
    output: 
        success boolean (1..1)
    
    set success:
        (if expirationTime exists and expirationTimeType exists then expirationTimeType = ExpirationTimeTypeEnum -> SpecificTime)
        and 
        (if expirationTimeType exists and expirationTimeType = ExpirationTimeTypeEnum -> SpecificTime then expirationTime exists)
  • modification to Qualify_AssetClass_Commodity
addition of clause:
or (economicTerms -> payout -> forwardPayout, economicTerms -> payout -> commodityPayout) only exists
or economicTerms -> payout -> forwardPayout only exists)

Review Directions

In Rosetta, select the Textual Browser and inspect the changes identified above.

Changes can be reviewed in PR: #3163

CDM Model - RoundToPrecisionRemoveTrailingZeros Function

Background

This release contains a new function for RoundToPrecisionRemoveTrailingZeros function, as described in issue #2915.

What is being released?

This release creates the new function cdm.base.math.RoundToPrecisionRemoveTrailingZeros to not add any trailing 0's in the end if they do not already exist.

ffunc RoundToPrecisionRemoveTrailingZeros: <"Round a number to the supplied precision, using the supplied rounding direction.">
    inputs:
        value number (1..1) <"The original (unrounded) number.">
        precision int (1..1) <"The number of decimal digits of precision.">
        roundingMode RoundingDirectionEnum (1..1) <"The method of rounding (up/down/nearest).">
    output:
        roundedValue number (1..1) <"The value to the desired precision">

    condition NonNegativePrecision: <"The number of decimal digits of precision should be greater than or equal to zero.">
        precision >= 0

The following examples show the function behaviour:

  • RoundToPrecisionRemoveTrailingZeros(1023.123456789, 5, RoundingDirectionEnum -> NEAREST, true) = 1023.12346
  • RoundToPrecisionRemoveTrailingZeros(1023.12000, 5, RoundingDirectionEnum -> NEAREST, true) = 1023.12
  • RoundToPrecisionRemoveTrailingZeros(1023, 5, RoundingDirectionEnum -> NEAREST, true) = 1023
  • RoundToPrecisionRemoveTrailingZeros(999999999, 4, RoundingDirectionEnum -> NEAREST, true) = 999999999

This would is new function, so there are no compatibility issues.

Review Directions

In Rosetta, select the Textual Browser and inspect the changes identified above.

Changes can be reviewed in PR #3181

CDM Model - RoundToSignificantFigures Function

Background

This release contains a new function for RoundToSignificantFigures function, as described in issue #3154.

What is being released?

This release creates the new function cdm.base.math.RoundToSignificantFigures to round to the significant number of decimal places.

func RoundToSignificantFigures: <"Round a number to the supplied significant figures, using the supplied rounding direction.">
    inputs:
        value number (1..1) <"The original (unrounded) number.">
        significantFigures int (1..1) <"The number of significant figures.">
        roundingMode RoundingDirectionEnum (1..1) <"The method of rounding (up/down/nearest).">
    output:
        roundedValue number (1..1) <"The value to the desired number of significant figures.">
        
    condition NonZeroSignificantFigures: <"The number of significant figures should be greater than zero.">
        significantFigures > 0

The following examples show the function behaviour:

  • RoundToSignificantFigures(1023.123456789, 5, RoundingDirectionEnum -> NEAREST) = 1023.1
  • RoundToSignificantFigures(1023.123456789, 5, RoundingDirectionEnum -> UP) = 1023.2
  • RoundToSignificantFigures(1023.123456789, 5, RoundingDirectionEnum -> DOWN) = 1023.1
  • RoundToSignificantFigures(1023.123456789, 1, RoundingDirectionEnum -> NEAREST) = 1000
  • RoundToSignificantFigures(1023.1, 7, RoundingDirectionEnum -> NEAREST) = 1023.1

This is a new function, so there are no compatibility issues.

Review Directions

In Rosetta, select the Textual Browser and inspect the changes identified above.

Changes can be reviewed in PR #3180

Infrastructure - Dependency Update

What is being released?

This release updates the DSL dependency.

Version updates include:

Review directions

The DSL 9.19.0 changes can be reviewed in PR: #3153
The DSL 9.20.0 changes can be reviewed in PR: #3192

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