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@regnosys-ops regnosys-ops released this 17 Nov 11:34
7.0.0-dev.55
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Product - Modifying and adding qualification functions

Background

Qualification functions are used extensively in CDM and Digital Regulatory Reporting to determine the type of product.

Several functions were added and modified in CDM 5 without the changes being applied to CDM 6 & 7. This update adds qualification functions to CDM 6 & 7

What is being released?

Added qualification functions

  • Qualify_TotalReturnSwap_Index - This function qualifies a product as a Total Return Swap (Index) where the base product qualifies as Credit Swap and the index underlier for performance leg qualifies as Credit.
  • Qualify_Equity_OtherForward - This function qualifies a product as a Equity Forward (Other) where the base product qualifies as Equity Forward with non-standard terms.

Modified qualification functions

  • Qualify_AssetClass_Credit - Updated to check for credit underlier of the performance payout.
  • Qualify_BaseProduct_EquityForward - Updated to check that nonStandardisedTerms on the settlement payout are either absent or False

Review Directions

Changes can be reviewed in PR: #4176

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