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@regnosys-ops regnosys-ops released this 14 May 09:11
· 555 commits to master since this release
5.11.1
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Product Model - FloatingRateIndexEnum value update

Background

In the previous release 5.11.0 the list of enum values of FloatingRateIndexEnum was updated to match the FpML coding scheme 2.19 where the enum value GBP_SONIA_Refinitiv_Term was removed. However, the removed value is still needed for backwards compatibility and existing dependencies. While an update to the coding scheme import is developed to add but not remove values as they change, the removed value needs to be manually reinstated and the coding scheme reference omitted.

What is being released?

Two changes are made to address this issue:

  • The enum value GBP_SONIA_Refinitiv_Term of the enum FloatingRateIndexEnum is being reinstated.

  • The reference to the FpML coding scheme in FloatingRateIndexEnum is being temporarily omitted. It will be reinstated once changes are implemented to make the coding scheme import as additive-only in the main branch of the CDM.

Review Directions

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

Changes can be reviewed in PR #2922

Infrastructure - RoundToPrecision Function

Background

This release contains a bug fix for RoundToPrecision function, as described in issue #2915.

What is being released?

This release updates the existing function cdm.base.math.RoundToPrecision to round to the correct number of decimal places.

func RoundToPrecision: <"Round a rate 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">

The following examples show the function behaviour:

  • RoundToPrecision(1023.123456789, 5, RoundingDirectionEnum -> NEAREST) = 1023.12346
  • RoundToPrecision(1023.123456789, 5, RoundingDirectionEnum -> UP) = 1023.12346
  • RoundToPrecision(1023.123456789, 5, RoundingDirectionEnum -> DOWN) = 1023.12345
  • RoundToPrecision(1023.123456789, 0, RoundingDirectionEnum -> NEAREST) = 1023
  • RoundToPrecision(1023.1, 7, RoundingDirectionEnum -> NEAREST) = 1023.1000000

Review Directions

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

In GitHub, review Java unit tests cdm.base.math.functions.RoundToPrecisionImplTest and cdm.product.asset.floatingrate.functions.ApplyFloatingRateProcessingTest.

Changes can be reviewed in PR #2916

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