Verify dynamic instruments at construction

[markus-da]

Currently, the contingent claims tree for dynamic instruments is only created on-the-fly, when needed. This is generally a desired property, but it has the disadvantage that some problems (e.g. related to the schedule) are not noticed until the instrument is lifecycled.

In order to solve that, we could additionally create the contingent claims tree when the instrument is created.

• Implement for callable bond Validate schedule on bond creation #912
• Add the negative test to ensure it is covered by CI Add negative test for callable bond validation #920
• Implement for all other dynamic instruments Validate remaining dynamic instruments #926

[markus-da]

Possibly, this can be done by calling GetClaims in the factory?

That would then require some additional inputs to the Create function (like the time event).

Alternatively, maybe there is a better way, to somehow directly invoke creation of initial tree (which shouldn’t require any additional inputs)

[lJoublanc]

Could you give a bit more detail on this? The CC algebra is (was) should not admit invalid trees; these should fail to compile altogether. Can you give an example as to how this happens? Was this to do with the calendar miscalculation (where you had negative -1 days?)

[matteolimberto-da]

Could you give a bit more detail on this? The CC algebra is (was) should not admit invalid trees; these should fail to compile altogether. Can you give an example as to how this happens? Was this to do with the calendar miscalculation (where you had negative -1 days?)

The schedule roll-out which is done before creating the tree admits invalid inputs.