ART Phase 3 - release #3070

hugohills-regnosys · 2024-07-29T16:44:48Z

Release PR for #3055

Initial commit (includes P2 changes)

and bring forward P2 changes

FloatingRateOption collapsed into new Index structure

FX updates for P3

PriceQuantity refactoring

…elease

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…elease

lolabeis

Just an initial review - not completed yet.

lolabeis · 2024-07-30T13:53:09Z

rosetta-source/src/main/rosetta/base-staticdata-asset-common-type.rosetta

@@ -19,7 +18,7 @@ type AssetBase: <"The base data type to specify common attributes for all Assets
    taxonomy Taxonomy (0..*) <"Defines the taxonomy of an object by combining a taxonomy source (i.e. the rules to classify the object) and a value (i.e. the output of those rules on the object.">
    isExchangeListed boolean (0..1)  <"Defines whether the Asset is listed on a public exchange.">
    exchange LegalEntity (0..1)  <"If the Asset is listed, defines the public exchange of the listing.">
-        //[metadata scheme]
+        [metadata scheme]


This annotation was just commented out in P2 - Remove altogether. The string attributes in LegalEntity have a scheme

lolabeis · 2024-07-30T13:54:30Z

rosetta-source/src/main/rosetta/event-common-func.rosetta

+    alias nonTransferableProduct:
+        if underlier -> NonTransferableProduct exists    
+        then underlier -> NonTransferableProduct
+        else Create_NonTransferableProduct(underlier -> TransferableProduct, optionPayout -> payerReceiver)


What about the other cases of productUnderlier?

lolabeis · 2024-07-30T13:56:33Z

rosetta-source/src/main/rosetta/event-common-func.rosetta

@@ -528,6 +536,16 @@ func Create_Exercise: <"Defines the process of putting into effect the rights sp
    add exercise: <"Adds the replacement trade">
        execution

+func Create_NonTransferableProduct:  <"Creates a NonTransferableProduct (ie EconomicTerms) from an underlier.">
+    inputs:
+        underlier TransferableProduct (1..1)


This input should be an AssetUnderlier (so that it can be an asset, with or without economic terms). This matches the type of the underlier attribute in SettlementPayout.

lolabeis · 2024-07-30T14:09:27Z

rosetta-source/src/main/rosetta/event-common-type.rosetta

@@ -165,11 +139,11 @@ type IndexTransitionInstruction: <"Defines the information needed to create a In

    condition PriceQuantity:
        priceQuantity -> price -> priceType contains PriceTypeEnum -> InterestRate
-            and priceQuantity -> observable -> rateOption exists
+            and priceQuantity -> observable -> index exists


This needs to test for the existence of FloatingRateIndex or InflationIndex to be equivalent to current condition.

To consider:

Rename FloatingRateIndex as InterestRateIndex

Build FloatingRateIndex as a choice between (new) InterestRateIndex and InflationIndex (common attribute accessible via deep path: indexTenor - see related comment)

Remove InflationIndex from Index, use FloatingRateIndex only

FloatigRateIndex becomes equivalent to the FloatingRateOption type being deprecated. Condition should be restated as:

priceQuantity -> observable -> index -> FloatingRateIndex exists

lolabeis · 2024-07-30T14:11:11Z

rosetta-source/src/main/rosetta/event-common-func.rosetta

-        then instruction -> observable -> rateOption
-        else priceQuantity -> observable -> rateOption
+        then instruction -> observable -> index
+        else priceQuantity -> observable -> index


Consider instead:

observable -> index -> FloatingRateIndex

See comment suggesting changing FloatingRateIndex itself to be a choice

lolabeis · 2024-07-31T17:09:35Z

rosetta-source/src/main/rosetta/product-template-type.rosetta

    Asset  <"Identifies a transferable asset.">
    TransferableProduct  <"Defines the transferable asset with an identifier and economic terms.">

-type Product: <"Defines the product that is the subject of a tradable product definition, an underlying product definition, a physical exercise, a position, or other purposes.">
-    [metadata key]
+choice Underlier:  <"The underlier of a payout which can be either an Asset or a Transferable Product, which is an Asset with Economic Terms.">


See comment above re Position - this Underlier type may not be needed.

lolabeis · 2024-07-31T17:21:29Z

rosetta-source/src/main/rosetta/event-common-func.rosetta

@@ -623,11 +641,11 @@ func Create_AssetTransfer: <"Defines how Transfer that represents an exchange of
        transfer Transfer (1..1)

    alias assetPayout:
-        instruction -> tradeState -> trade -> tradableProduct -> product -> contractualProduct -> economicTerms -> collateral -> collateralPortfolio -> collateralPosition -> product -> contractualProduct -> economicTerms -> payout -> assetPayout only-element
+        instruction -> tradeState -> trade -> product -> economicTerms -> collateral -> collateralPortfolio -> collateralPosition -> product -> AssetUnderlier -> TransferableProduct -> economicTerms -> payout -> assetPayout only-element


Based on Position using NonTransferableProduct (see related comment), this will need to be adjusted. But it eventually uses EconomicTerms, so no problem.

To discuss: shouldn't CollateralPosition use TransferableProduct instead (it's a "settled" position)? --> beyond the scope of ARTF.

lolabeis · 2024-07-31T17:31:16Z

rosetta-source/src/main/rosetta/product-template-type.rosetta

@@ -23,22 +23,13 @@ import cdm.product.collateral.*

 import cdm.mapping.config.*

-type ProductBase: <"Serves as an abstract class to specify a product using a productIdentifier.">
-    productTaxonomy ProductTaxonomy (0..*) <"Specifies the product taxonomy, which is composed of a taxonomy value and a taxonomy source.">
+type ProductBase: <"Serves as an abstract class to specify common attributes for all products.">


Consider: Remove ProductBase and position attributes directly in NonTransferableProduct (it's the only type that uses ProductBase).

lolabeis · 2024-07-31T18:01:37Z

rosetta-source/src/main/rosetta/product-template-type.rosetta

@@ -163,27 +161,30 @@ type PerformancePayout extends PayoutBase: <"Contains the necessary specificatio
    observationTerms ObservationTerms (0..1) <"Defines how and when a performance type option or performance type swap is to be observed.">
    valuationDates ValuationDates (1..1) <"Defines how and when a performance type option or performance type swap is to be valued, including both interim and final valuation.">
    paymentDates PaymentDates (1..1) <"Defines the payment date schedule, as defined by the parameters that are needed to specify it, either in a parametric way or by reference to another schedule of dates (e.g. the valuation dates).">
-    underlier Product (0..1) <"Identifies the underlying product that is referenced for pricing of the applicable leg in a swap.  Referenced in the '2018 ISDA CDM Equity Confirmation for Security Equity Swap' as Security.">
+    underlier Observable (0..1) <"Identifies the underlying product that is referenced for pricing of the applicable leg in a swap.  Referenced in the '2018 ISDA CDM Equity Confirmation for Security Equity Swap' as Security.">


Remove Observable from ObservationTerms, otherwise it would allow 2 different paths to define Observable. Same comment applies to OptionPayout.

lolabeis · 2024-07-31T18:04:00Z

rosetta-source/src/main/rosetta/product-template-type.rosetta

@@ -96,15 +94,15 @@ type OptionPayout extends PayoutBase: <" The option payout specification terms.
    observationTerms ObservationTerms (0..1) <"Class containing terms that are associated with observing a price/benchmark/index across either single or multple observations. To be used for option contracts that reference a benchmark price.">
    schedule CalculationSchedule (0..1) <"Allows the full representation of a payout by defining a set of schedule periods. It supports standard schedule customization by expressing all the dates, quantities, and pricing data in a non-parametric way.">
    delivery AssetDeliveryInformation (0..1) <"Contains the information relative to the delivery of the asset.">
-    underlier Product (1..1) <"The product underlying the option, which can be of any type including ContractualProduct or Security.">
+    productUnderlier ProductUnderlier (1..1) <"The financial product underlying the option, which can be of any type including an Asset, Basket, Index or a NonTransferableProduct.">


Remove Observable from ObservationTerms, otherwise it would allow 2 different paths to define Observable. Same comment applies to PerformancePayout.

lolabeis · 2024-08-01T13:45:44Z

rosetta-source/src/main/rosetta/product-template-type.rosetta

@@ -88,6 +79,13 @@ type EconomicTerms: <" This class represents the full set of price-forming featu
        if payout -> assetPayout -> dividendTerms exists
        then terminationDate exists

+choice ProductUnderlier:  <"The product underlying a feature, which can be of any type including an Asset, Basket, Index or a NonTransferableProduct.">


Could this be implemented as a nested choice instead?

Observable

Product

You would need to re-introduce Product, as a choice between TransferableProduct and NonTransferableProduct.

LionelSG-REGnosys and others added 12 commits July 19, 2024 16:45

3 - ART Phase 3

348f430

Initial commit (includes P2 changes)

Correction to Asset Payout

ebce2b5

and bring forward P2 changes

Refactoring of Index and FRO

f8f52bf

FloatingRateOption collapsed into new Index structure

FX updates for P3

885dc2f

FX updates for P3

PriceQuantity refactoring

d859677

PriceQuantity refactoring

Merge master (no fixes yet)

a61a458

Rosetta syntax fixes

c69e3b1

Merge remote-tracking branch 'origin/master' into lionel-art-phase3-r…

5e8991c

…elease

Fix compilation issues

e3a3aa5

Make ingestion run

88a6ff2

Update FpML 5.13 rates mappings

9bc099f

Inflation swaps and ancillaryParty fix

1e16acb

hugohills-regnosys requested a review from a team as a code owner July 29, 2024 16:44

hugohills-regnosys added 4 commits July 29, 2024 17:51

Merge remote-tracking branch 'origin/master' into lionel-art-phase3-r…

c6207e1

…elease

Map bond options

0ff36c2

Update mappings

0eea372

Update mappings for equity swaps

9fe0c3c

lolabeis linked an issue Jul 31, 2024 that may be closed by this pull request

Proposed refactoring of Asset, Product and Observable in the CDM to address model limitations #2805

Closed

lolabeis reviewed Jul 31, 2024

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lolabeis reviewed Aug 1, 2024

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LionelSG-REGnosys closed this Aug 5, 2024

lolabeis mentioned this pull request Sep 11, 2024

Lionel Smith-Gordon 3-ARTRelease #3073

Closed

lolabeis removed a link to an issue Sep 11, 2024

Proposed refactoring of Asset, Product and Observable in the CDM to address model limitations #2805

Closed

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ART Phase 3 - release #3070

ART Phase 3 - release #3070

hugohills-regnosys commented Jul 29, 2024 •

edited by lolabeis

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ART Phase 3 - release #3070

ART Phase 3 - release #3070

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hugohills-regnosys commented Jul 29, 2024 •

edited by lolabeis

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