6.0.0-dev.62

Infrastructure - Remove Unused Folders

What is being released?

This release removes unused projects and folders to avoid the maintenance of legacy code.

The following folders have been removed:

• /rosetta-project - legacy Java PoC project related to translating CDM to FpML
• /rosetta-source/src/main/resources/available-samples - folder contains samples that are duplicates of ingestion samples

Review directions

The changes can be reviewed in PR: #3066

6.0.0-dev.61

Infrastructure - Dependency Update

What is being released?

This release updates the DSL dependency.

Version updates include:

• DSL 9.14.0: Support for accessing meta features after a deep feature call. For further details see DSL release notes: https://github.com/finos/rune-dsl/releases/tag/9.14.0

Review directions

The changes can be reviewed in PR: #3064

6.0.0-dev.60

Product Model - Asset Refactoring: Basket, Index, Observable, Foreign Exchange

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.

This release includes the second tranche of changes (of three planned tranches in CDM 6) to implement the refactored model. It introduces some new data types and makes changes to others; more significant refactoring ofthe Product structure will be introduced in the third release.

What is being released?

The word "update" below is to refer to a change to the modelling between this release and the previous release of Asset Refactoring changes (in CDM 6.0-dev.58).

Updates to AssetBase data type:

• The identifier attribute has been made mandatory.
• The attributes isExchangeListed, exchange and relatedExchange have been moved from InstrumentBase to AssetBase.
• The type of the exchange and relatedExchange attributes has been updated from string to LegalEntity.

Updates to Cash data type:

• New conditions have been added to ensure that taxonomy and exchange are not used for this asset type.

Changes to Commodity data type:

• Now extends from AssetBase not ProductBase.
• Accordingly, productTaxonomy has been replaced by taxonomy and the conditions updated.

Changes to Index and IndexBase data types:

• The attributes exchange and relatedExchange have been removed from IndexBase as they will now be picked up from AssetBase.
• Index has been refactored from a one-of condition to a choice data type.
• The data type FloatingIndex has been renamed FloatingRateIndex.
• The documentation in the model on the index-related data types has been improved.
• The qualification logic has been updated to reflect the new modelling of Index as an underlier on the relevant functions.

Updates to ListedDerivative data type:

• Updates have been made to the attribute names and types introduced in the previous release to improve modelling and composition.
• The condition on VarianceReturnTerms has been updated to reflect the new position of ListedDerivative in the product model.

Changes to Security data type:

• Now extends from InstrumentBase not ProductBase.
• Temporary changes made to add economicTerms and productTaxonomy pending further refactoring in the third phase.

Support for FX Observables:

• The data type ForeignExchangeRate has been created and added as a choice to Index; it also extends IndexBase.
• This new data type contains the same attributes as the existing FXRateObservable which has been deprecated.
• The ForeignExchange data type has been deprecated and the deprecated ExchangeRate and CrossRate datas type have both been deleted.

Refactoring of Observable:

• The following data types have been added to Observable as new attributes: Asset, Basket, Index.
• The following data types have been removed from Observable: Commodity (now available as an Asset); QuotedCurrencyPair (replaced by the the FX observable data type inside Index).
• The unused attribute optionReferenceType and its corresponding enumerator OptionReferenceTypeEnum have been removed from the model.
• Observable now has a one-of condition (and will be updated to choice in the third phase).
• The two attributes pricingTime and pricingTimeType on ObservationTerms have been renamed observationTime and observationTimeType respectively.

Changes to BasketConstituent:

• BasketConstituent now extends from Observable, not Product.
• Moved from the product namespace to the observable namespace.
• The qualification logic has been updated to reflect the new modelling of BasketConstituent as an underlier on the relevant functions.

Updates to TransferableProduct:

• The inheritance on this data type has been updated so that it now extends Asset but the attributes are unchanged.

Updates to Payouts:

• The documentation in the model on the payout-related data types has been improved.
• The SettlementCommitment data type and attribute has been renamed SettlementPayout.

Review directions

The changes can be reviewed in PR: #3044

Backward-incompatible changes

This release contains changes that are not backward-compatible:

• Changes to the following data types are particularly impactful and have required updates to the mapping synonyms and samples:
  • Commodity
  • Index
  • QuotedCurrencyPair
  • FXRateObservable.

A full description of the backward-incompatible changes, and how persisted objects should be remapped, will be included in the release notes for the last tranche of the asset refactoring.

6.0.0-dev.58

Product Model - Asset Refactoring: Asset, Index, Identifier

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.

This release includes the first tranche of changes to implement the refactored model (the first of three planned tranches in CDM 6). It introduces some new data types and makes minor changes to others without significant impact to the Product structure itself.

What is being released?

New Asset data type:

• Introduce the new data type Asset which is defined as "something that can be owned and transferred in the financial markets". The data type is implemented using the new Rune DSL feature choice that is available in Release 9.10.
• Introduce the additional Asset data sub-type called Instrument, also using choice, defined as "a type of Asset that is issued by one party to one or more others".
• Create the new base class InstrumentBase to model common attributes across all Instrument data types.
• Introduce the new enumerator AssetIdTypeEnum, to define certain identifier sources unique to Assets, as an extension of ProductIdTypeEnum.
• Change the inheritance from ProductBase to InstrumentBase for Loan, ListedDerivative.
• Add a reference on Observable to an Asset using an AssetIdentifier.

Changes to Transfer:

• As Asset is defined as something that can be transferred, the modelling of Transfer has been refactored to act upon Asset rather than Observable with a change to TransferBase.
• This also results in changes to the Qualify_SecurityTransfer function.

Product Model:

• Introduce a new data type on Payout: SettlementCommitment which models the settlement of an Asset for cash.
• Introduce TransferableProduct as a type of Product which can be used in a SettlementCommitment for a basic cash settled trade of either an Asset with or without the addition of specific EconomicTerms.
• Define the new SettlementCommitment data type to model this new kind of Payout.

Review directions

The changes can be reviewed in PR: #3022

Backward-incompatible changes

This release contains changes that are not backward-compatible:

• The change in the inheritance for Loan and ListedDerivative impacts the use of identifiers in these data types.
• The refactoring of Transfer to act upon an Asset rather than Observable impacts the use of the related functions.

Samples and mappings for both have been updated accordingly.

A full description of the backward-incompatible changes, and how persisted objects should be remapped, will be included in the release notes for the last tranche of the asset refactoring.

6.0.0-dev.57

CDM Model - Modification to product condition

What is being released?

Modified condition for FpML_cd_30

• Addition of clause to allow adjustedDate check

Modified condition for Floating Rate Option.

• Addition of clause to allow posting of supplementary attribute IndexReferenceInformation

Review directions

The changes can be reviewed in PR: #3035

5.14.1

CDM Model - Modification to product condition

What is being released?

Modified condition for FpML_cd_30

• Addition of clause to allow adjustedDate check

Review directions

The changes can be reviewed in PR: #3032

CDM Model - Modification to product condition

What is being released?

Modified condition for Floating Rate Option.

• Addition of clause to allow posting of supplementary attribute IndexReferenceInformation

Review directions

The changes can be reviewed in PR: #3031

6.0.0-dev.56

Infrastructure - Dependency Update

What is being released?

This release updates the following dependencies.

Version updates include:

• DSL 9.12.0: this release fixes an issue where the only exists operator behaved unexpectedly when subtyping was involved. For further details see DSL release notes: https://github.com/finos/rune-dsl/releases/tag/9.12.0.
• DSL 9.12.1: this patch fixes null pointers in the Java runtime of the only exists operator. For further details see DSL release notes: https://github.com/finos/rune-dsl/releases/tag/9.12.1.
• DSL 9.12.2: this patch fixes a code generation bug in the Java generator. For further details see DSL release notes: https://github.com/finos/rune-dsl/releases/tag/9.12.2.
• DSL 9.12.3: this patch fixes an issue where the code generator could freeze Rosetta. For further details see DSL release notes: https://github.com/finos/rune-dsl/releases/tag/9.12.3.
• DSL 9.12.4: this patch fixed an issue with only exists on multi-cardinality inputs. For further details see DSL release notes: https://github.com/finos/rune-dsl/releases/tag/9.12.4.
• Jackson 2.17.1: this release updates the library used to serialise/deserialise JSON.

Review Directions

The changes can be reviewed in PR: #3005

5.14.0

Reference Data - Update ISOCurrencyCodeEnum

What is being released?

Updated ISOCurrencyCodeEnum based on updated scheme ISO Standard 4217.

Version updates include:

• added value: ZWG

Review directions

The changes can be reviewed in PR: #3018

Infrastructure - Dependency Update

What is being released?

This release updates the following dependencies.

Version updates include:

• DSL 9.12.0: this release fixes an issue where the only exists operator behaved unexpectedly when subtyping was involved. For further details see DSL release notes: https://github.com/finos/rune-dsl/releases/tag/9.12.0.
• DSL 9.12.1: this patch fixes null pointers in the Java runtime of the only exists operator. For further details see DSL release notes: https://github.com/finos/rune-dsl/releases/tag/9.12.1.
• DSL 9.12.2: this patch fixes a code generation bug in the Java generator. For further details see DSL release notes: https://github.com/finos/rune-dsl/releases/tag/9.12.2.
• DSL 9.12.3: this patch fixes an issue where the code generator could freeze Rosetta. For further details see DSL release notes: https://github.com/finos/rune-dsl/releases/tag/9.12.3.
• DSL 9.12.4: this patch fixed an issue with only exists on multi-cardinality inputs. For further details see DSL release notes: https://github.com/finos/rune-dsl/releases/tag/9.12.4.
• Jackson 2.17.1: this release updates the library used to serialise/deserialise JSON.

Review Directions

The changes can be reviewed in PR: #3006

6.0.0-dev.55

Product Model - Portfolio Return Terms

Background

Purpose is to release a Dev version for Portfolio Return Terms, in which the components with [deprecated] annotation in current Prod version have been removed.
As an indication, this release also contains a renaming of existing attributes in ValuationDates.

What is being released?

• removed [deprecated] attributes below from type PriceReturnTerms :
  • valuationPriceInitial
  • and valuationPriceFinal
  • and finalValuationPrice
• added attributes below to type PerformancePayout : that is core release to Dev of the same components previously released in Prod today :
  • creation of new type PorfolioReturnTerms which extends ReturnTerms
    • with existing types PayerReceiver
    • also with existing type PriceSchedule to PerformancePayout used under three attribute names, and NonNegativeQuantitySchedule used for one, respectively : initialValuationPrice, interimValuationPrice, finalValuationPrice and quantity
  • added the above new type to PerformancePayout
  • added existing type PriceSchedule to PerformancePayout used under three attribute names : initialValuationPrice, interimValuationPrice and finalValuationPrice (that is to replace [deprecated] ones removed from ReturnTerms)
  • updated type Basket with below changes :
    • removed temporary PorfolioBasketConsituent of type BasketConstituent
    • removed as well [deprecated] basketConstituent of type Product
    • added instead new attribute basketConstituent of type BasketConstituent
  • renamed attributes below in ValuationDates :
    • initialValuationDate (instead of valuationDatesInitial)
    • interimValuationDate (instead of valuationDatesInterim)
    • finalValuationDate (instead of valuationDatesFinal)

Review directions

In the Rosetta platform, select the Textual Browser and inspect the change identified above.

Backward compatibility

As an information, this release contains two sets of changes with no backward compabiltity :

• removing [deprecated] components above mentioned
• renaming of attribtues in ValuationDates above mentioned

The changes can be reviewed in PR: #2974

6.0.0-dev.54

Reference Data - Update ISOCurrencyCodeEnum

What is being released?

Updated ISOCurrencyCodeEnum based on updated scheme ISO Standard 4217.

Version updates include:

• added removed values: MWK, PEN, RON, SZL, TRY

Review directions

The changes can be reviewed in PR: #3017