5.41.0

Ingest & Product - Add missing enum values to mapping layer

Background

FloatingRateIndexEnum is kept in sync with the ISDA FpML_Coding_Scheme floating-rate-index, and the enum itself updates dynamically.

However, the synonym/ingest mapping layer used to translate FpML values into CDM does not update automatically alongside it.

As a result, valid, currently-available enum values are missing from the mapping.

What is being released?

Review and reconcile the FpML synonym mapping against the full current FloatingRateIndexEnum list.

Missing enum values have been added to the synonym mapping and ingest functions, along with other areas of the model where the enum values are used.

• cdm.mapping.fpml.confirmation.tradestate:synonym: InflationRateIndexEnum and FloatingRateIndexEnum
• cdm.ingest.fpml.confirmation.other:func MapFloatingRateIndexEnum and MapInflationRateIndexEnum
• cdm.product.qualification:func Qualify_Transaction_OIS

Review Directions

Changes can be reviewed in PR: #5267

Product Qualification - Zero Coupon Swaps Qualification Enhancement

Background

The Qualify_Transaction_ZeroCoupon function only recognises zero-coupon transactions when the payment frequency is explicitly represented as 1T (term).

Transactions where the payment frequency equals the full contract duration are not identified as Zero Coupon, although they represent the same economic outcome.

What's been released?

Extended the qualification logic in to Qualify_Transaction_ZeroCoupon recognise alternative representations of zero-coupon transactions by adding a condition where the payment frequency corresponds to the duration between the effective date and the maturity date.

The following new common functions have been introduced to handle frequency-to-day conversions () and dates operations required for the matching logic:

• AddPeriod
• PeriodCalculation

Finally, it has been adjusted the input parameters for the AuxiliarEffectiveDate and AuxiliarTerminationDate to take the EconomicTerms instead of the Trade.