7.0.0-dev.63

FpML Ingest - Volatility Swap Transaction Supplement

Background

Ingest functions for FpML Confirmation to CDM have mapping coverage gaps for some products or test packs compared to the legacy Synonym mapping coverage. For further information, see #4260.

What is being released?

This release maps Volatility Swap Transaction Supplement products, as per #4261.

Updates to MapVolatilityLegToPerformancePayout function to map:

• priceQuantity
• settlementTerms
• observationTerms
• valuationDates
• returnTerms

Review Directions

Changes can be reviewed in PR: #4264