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@regnosys-ops regnosys-ops released this 06 Jun 08:36
· 148 commits to master since this release
6.0.0-dev.47
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Product Model - Remove AssetPool and deprecated data types

Background

The Asset Refactoring initiative (see #2805) is seeking to improve the Product Model to address some long-standing issues and to ensure the continued extensibility to additional financial products and markets. A proposal is being developed - through a cross-industry Task Force - to implement this remodelling in the CDM. Prior to that, this preparatory PR proposes to remove the AssetPool data type, which has been found to be both unused and incorrect, and to remove some additional data types in the Product Model which were previously deprecated. This approach should provide a cleaner implementation path for the remodelling which will be put forward in a subsequent PR.

What is being released?

  • Remove the AssetPool data type which was previously introduced from FpML but has been found to be incorrect and unusable.

  • Remove the following deprecated data types used in the Product Model:

    • Bond
    • ConvertibleBond
    • Equity
    • IdentifiedProduct
    • ObservationSource
    • SecurityPayout.

  • Remove the following deprecated data types that are related to the deprecated SecurityPayout:

    • SecurityLeg
    • InitialMargin
    • InitialMarginCalculation
    • SecurityValuation
    • SecurityValuationModel
    • BondValudationModel
    • BondPriceAndYieldModel
    • CleanOrDirtyPrice
    • CleanPrice
    • RelativePrice
    • BondEquityModel
    • BondChoiceModel
    • UnitContractValuationModel.

  • Remove the reference to SecurityPayout from Payout.

  • Remove the reference to AssetPool from Product.

  • Remove functions which act upon SecurityPayout.

  • Remove mapping synonyms from FpML for AssetPool and SecurityPayout.

  • Update the CDM documentation to ensure it remains aligned with the implementation. This includes some changes to the hierarchy of the documentation to improve readability when displayed using Docusaurus.

Further details on the rationale for the change and the impact on the model can be found in Issue #2966.

Backward Incompatible Changes

As this release removes multiple attributes and product types, it will not be backwards compatible.

Sample Impact

The existing Fixed Rate Repo sample was using the SecurityPayout construct. It is believed that this was based on some mapping of FpML files which did not represent
real business cases. Futhermore, according to ICMA, FpML is not widely used for repo transactions. Therefore this erroneous sample has been removed from the
FINOS CDM distribution.

There is no impact to samples from removing AssetPool or any of the other changes listed above.

Review Directions

In Rosetta, select the contribution and validate the above changes.

Changes can be reviewed in PR #2964.

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