Manuel Carrera CDM Standard Schedule functions contribution back

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[manucarreramoreno]

Initial Margin Model - Functional externalization

Background

Following the latest contribution of the Standardized Schedule Method for calculating Initial Margin (IM) within the Common Domain Model (CDM), decision has been made to partially externalize its functionality (i.e. contributing back to Core CDM some of the functions due to its broader utility).

What is being released

Namespace changes

The following functions have been moved from the namespace cdm.margin.schedule:func to new namespaces:

• UnderlierForProduct has been moved to cdm.product.template:func.
• AdjustableOrAdjustedOrRelativeDateResolution, AdjustableDateResolution and AdjustableDatesResolution have been moved to cdm.base.datetime:func.
• FXFarLeg has been moved to cdm.product.template:func.
• DateDifferenceYears has been moved to cdm.base.datetime:func.
• IsFXNonDeliverableOption has been renamed Qualify_ForeignExchange_NDO and has been moved to cdm.product.qualification:func.
• Create_ExposureFromTrades has been moved to cdm.event.common:func.

Renamings

The following functions have been renamed, even though they remain in the original workspace cdm.margin.schedule:func:

• IsIRSwapWithCallableBermudanRightToEnterExitSwaps has been renamed to Qualify_InterestRate_SwapWithCallableBermudanRightToEnterExitSwaps.
• IsIRSwaptionStraddle has been renamed to Qualify_InterestRate_Swaption_Straddle.
• IsCreditNthToDefault has been renamed to Qualify_Credit_NthToDefault.

Function modifications

Also, the function Qualify_ForeignExchange_VanillaOption has been slightly modified in order to admit only physically delivered options (as the function for NDO has been created).

Backward Incompatible

The following changes are backward incompatible:

• All the function renamings specified in the Renamings section and the modification specified in the Function modifications section.