Background

Following the second contribution, further work has been conducted to externalize several functions defined in the Standardized Schedule model.

Proposal

Contribute to the core CDM the following functions:

Qualifying Functions

The following qualifying functions (accounted in the ISDA taxonomy) are not defined in the qualification base. ISDA taxonomy contemplates for FX Vanilla Option and FX NDO, while currently CDM has only a function for Vanilla Option that qualifies both product types.

This functions require a transformation to follow the qualification structure, but they have to be included in the model.

Proposed namespace: cdm.product.qualification:func

Date Difference Years

The following function can be transformed to make use of the already existing DateDifference and LeapYearDateDifference in order to calculate the amount of years that are between two dates.

Proposed namespace: cdm.base.datetime:func

FX Far Leg

This function extracts the far leg of an FX swap.

Proposed namespace: cdm.product.template:func

Underlier for Product

This is a widely used DRR function. With an enhanced description, it could be very useful in CDM as well (as it is being used in the Standardized Schedule model already).

Proposed namespace: cdm.product.template:func

Create Exposure from Trades

This is a very useful function to create a portfolio from a list of trades. Could be used in the testing of the events of a portfolio lifecycle.

Proposed namespace: cdm.event.common:func or cdm.event.position:func

Date Resolutions

This group of function is used as a prioritization method for when adjustable dates are given.

Proposed namespace: cdm.base.datetime:func

Compatibility

If known, please describe any compatibility issues that this change may have
with existing versions. Please review the list of backwardly incompatible
changes and in the design principles for assistance.