Allow notional exchange flags to be set independently of FX Reset. #1542
Conversation
This file contains bidirectional Unicode text that may be interpreted or compiled differently than what appears below. To review, open the file in an editor that reveals hidden Unicode characters.
Learn more about bidirectional Unicode characters
FpML supports independent setting of all three flags: http://www.fpml.org/spec/fpml-5-7-5-rec-1/html/recordkeeping/schemaDocumentation/schemas/fpml-shared-5-7_xsd/complexTypes/PrincipalExchanges.html Specifically, XCCY swaps with no initial exchange are commonly traded and could not be constructed in Strata.
jodastephen
approved these changes
Aug 3, 2017
| * then the notional exchange flags will be set to true. | ||
| * then at least one of the notional exchange flags should be set to true. | ||
| * <p> | ||
| * If all notional exchange flags are false then setting the fx reset definition has no impact. |
There was a problem hiding this comment.
How about throwing an exception if all are false?
# Conflicts: # irs/src/main/java/com/opengamma/margining/jscc/irs/trade/MultiCcyFormatTradeRowParser.java # irs/src/main/java/com/opengamma/margining/jscc/irs/trade/ProductType.java # irs/src/main/java/com/opengamma/margining/jscc/irs/trade/TradeParser.java # irs/src/main/java/com/opengamma/margining/jscc/irs/trade/TradeParserUtils.java # irs/src/test/java/com/opengamma/margining/jscc/irs/trade/CcsFormatTradeParserTest.java
# Conflicts: # irs/src/main/java/com/opengamma/margining/jscc/irs/trade/MultiCcyFormatTradeRowParser.java # irs/src/main/java/com/opengamma/margining/jscc/irs/trade/ProductType.java # irs/src/main/java/com/opengamma/margining/jscc/irs/trade/TradeParser.java # irs/src/main/java/com/opengamma/margining/jscc/irs/trade/TradeParserUtils.java # irs/src/test/java/com/opengamma/margining/jscc/irs/trade/CcsFormatTradeParserTest.java
Sign up for free
to join this conversation on GitHub.
Already have an account?
Sign in to comment
Add this suggestion to a batch that can be applied as a single commit.
This suggestion is invalid because no changes were made to the code.
Suggestions cannot be applied while the pull request is closed.
Suggestions cannot be applied while viewing a subset of changes.
Only one suggestion per line can be applied in a batch.
Add this suggestion to a batch that can be applied as a single commit.
Applying suggestions on deleted lines is not supported.
You must change the existing code in this line in order to create a valid suggestion.
Outdated suggestions cannot be applied.
This suggestion has been applied or marked resolved.
Suggestions cannot be applied from pending reviews.
Suggestions cannot be applied on multi-line comments.
Suggestions cannot be applied while the pull request is queued to merge.
Suggestion cannot be applied right now. Please check back later.
The initial, intermediate and final notional exchanges are no longer automatically set to true when an FX reset is present. Clients must now explicitly specify if the exchanges should be present.
FpML supports independent setting of all three flags.
Specifically, XCCY swaps with no initial exchange are a traded instrument and could not be constructed in Strata previously.