Latest release - 2.78.0

Model Optimisation: Extract Party References from Product

What is being released

This change is part of the ongoing model refactoring to externalise the definition of the parties involved in a transaction from the definition of the transacted product.

  • New enum RelatedPartyEnum specifies all the possible parties roles (other than counterparty) which are defined within the product.​
  • The RelatedPartyEnum can be resolved to an actual party by looking up the enum value in type RelatedPartyReference to find the corresponding party reference.
  • New type CounterpartyOrRelatedParty is used when the party can be either one of the counterparties or a related party.​
  • RelatedPartyEnum is constrained within each usage in the model using conditions.

This release covers the party references in AdditionalDisruptionEvents.determiningParty, DividendReturnTerms.extraordinaryDividendsParty, OptionPhysicalSettlement.predeterminedClearingOrganizationParty and ExerciseNotice.exerciseNoticeReceiver. Future releases will cover the remaining party references defined within the product.

Review Directions

In the CDM Portal, use the Textual Browser to review the enum and types mentioned above.

In the CDM Portal, use the Ingestion page to review the following samples:

AdditionalDisruptionEvents.determiningParty:

  • equity > eqs-ex01-single-underlyer-execution-long-form.xml
  • equity > eqs-ex01-single-underlyer-execution-long-form-related-party.xml
  • equity > eqs-ex06-single-index-long-form.xml

DividendReturnTerms.extraordinaryDividendsParty:

  • equity > eqs-ex01-single-underlyer-execution-long-form.xml
  • equity > eqs-ex01-single-underlyer-execution-long-form-related-party.xml

OptionPhysicalSettlement.predeterminedClearingOrganizationParty:

  • events > exercise-swaption-physical-related-party.xml

ExerciseNotice.exerciseNoticeReceiver:

  • rates > ird-ex12-euro-swaption-straddle-cash-related-party.xml