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FX variance and volatility - qualification
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hugohills-regnosys committed Sep 9, 2024
1 parent 7a0722f commit b2fea17
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Showing 4 changed files with 9 additions and 3 deletions.
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Expand Up @@ -14,5 +14,5 @@
{"fileName":"cdm-sample-files/fpml-5-13/products/fx-derivatives/fx-ex26-fxswap-multiple-USIs.xml","excludedPaths":-1,"externalPaths":64,"outstandingMappings":19,"validationFailures":3,"qualificationExpectation":{"success":true,"qualifyResults":[{"qualifiedName":"ForeignExchange_Swap","qualifiedObjectClass":"cdm.product.template.EconomicTerms"}],"qualifiableObjectCount":1}},
{"fileName":"cdm-sample-files/fpml-5-13/products/fx-derivatives/fx-ex28-non-deliverable-w-disruption.xml","excludedPaths":-1,"externalPaths":53,"outstandingMappings":23,"validationFailures":3,"qualificationExpectation":{"success":true,"qualifyResults":[{"qualifiedName":"ForeignExchange_NDF","qualifiedObjectClass":"cdm.product.template.EconomicTerms"}],"qualifiableObjectCount":1}},
{"fileName":"cdm-sample-files/fpml-5-13/products/fx-derivatives/fx-ex29-fx-swap-with-multiple-identifiers.xml","excludedPaths":-1,"externalPaths":78,"outstandingMappings":25,"validationFailures":3,"qualificationExpectation":{"success":true,"qualifyResults":[{"qualifiedName":"ForeignExchange_Swap","qualifiedObjectClass":"cdm.product.template.EconomicTerms"}],"qualifiableObjectCount":1}},
{"fileName":"cdm-sample-files/fpml-5-13/products/fx-derivatives/fx-ex30-variance-swap.xml","excludedPaths":-1,"externalPaths":57,"outstandingMappings":11,"validationFailures":14,"qualificationExpectation":{"success":false,"qualifyResults":[],"qualifiableObjectCount":1}},
{"fileName":"cdm-sample-files/fpml-5-13/products/fx-derivatives/fx-ex31-volatility-swap.xml","excludedPaths":-1,"externalPaths":55,"outstandingMappings":12,"validationFailures":15,"qualificationExpectation":{"success":false,"qualifyResults":[],"qualifiableObjectCount":1}}]
{"fileName":"cdm-sample-files/fpml-5-13/products/fx-derivatives/fx-ex30-variance-swap.xml","excludedPaths":-1,"externalPaths":57,"outstandingMappings":11,"validationFailures":14,"qualificationExpectation":{"success":true,"qualifyResults":[{"qualifiedName":"ForeignExchange_ParameterReturnVariance","qualifiedObjectClass":"cdm.product.template.EconomicTerms"}],"qualifiableObjectCount":1}},
{"fileName":"cdm-sample-files/fpml-5-13/products/fx-derivatives/fx-ex31-volatility-swap.xml","excludedPaths":-1,"externalPaths":55,"outstandingMappings":12,"validationFailures":15,"qualificationExpectation":{"success":true,"qualifyResults":[{"qualifiedName":"ForeignExchange_ParameterReturnVolatility","qualifiedObjectClass":"cdm.product.template.EconomicTerms"}],"qualifiableObjectCount":1}}]
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Expand Up @@ -11,6 +11,9 @@
}
}
}
}, {
"source" : "ISDA",
"productQualifier" : "ForeignExchange_ParameterReturnVariance"
} ],
"economicTerms" : {
"payout" : {
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Expand Up @@ -11,6 +11,9 @@
}
}
}
}, {
"source" : "ISDA",
"productQualifier" : "ForeignExchange_ParameterReturnVolatility"
} ],
"economicTerms" : {
"payout" : {
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Expand Up @@ -123,7 +123,7 @@ func Qualify_AssetClass_ForeignExchange: <"Qualifies a product as having the Ass
set is_product:
(economicTerms -> payout -> settlementPayout only exists
and economicTerms -> payout -> settlementPayout -> underlier -> Observable -> Asset -> Cash only exists)
//or economicTerms -> payout -> optionPayout -> optionUnderlier -> Observable -> Index -> ForeignExchangeRateIndex exists
or economicTerms -> payout -> performancePayout -> underlier -> Observable -> Index -> ForeignExchangeRateIndex exists
or (economicTerms -> payout -> optionPayout only exists
and (optionUnderlier -> Observable -> Asset -> Cash only exists
or if optionUnderlier -> Product exists
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