Forward and Option Commodity Delivery

Forward and Option Commodity Delivery

rosetta-source/src/main/rosetta/mapping-fpml-confirmation-tradestate-synonym.rosetta

@@ -2361,6 +2361,8 @@ synonym source FpML_5_Confirmation_To_TradeState extends FpML
 			[value "equityValuation" path "equityExercise"]
 		+ schedule
 			[value "schedule"]
+        + delivery
+            [value "ignore"]
 
     ForwardPayout:
         [meta "id"]
@@ -2370,6 +2372,8 @@ synonym source FpML_5_Confirmation_To_TradeState extends FpML
         - priceQuantity
         + priceQuantity
             [value "ignore"]
+        + delivery
+            [value "ignore"]
 
 	SecurityLeg:
 		[meta "id"]
@@ -2398,6 +2402,8 @@ synonym source FpML_5_Confirmation_To_TradeState extends FpML
         + calculationPeriodDates
             [hint "calculationPeriodsSchedule"]
             [hint "calculationPeriods"]
+        + delivery
+            [value "ignore"]
 
 	CommodityPriceReturnTerms:
 		+ spread

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

@@ -25,12 +25,12 @@ type CommodityPayout extends PayoutBase: <"Payout based on the averaged price of
     averagingFeature AveragingCalculation (0..1) <"Indicates if the averaging calculation, when applicable, is weighted or unweighted.">
     commodityPriceReturnTerms CommodityPriceReturnTerms (0..1) <"Defines parameters in which the commodity price is assessed.">
     pricingDates PricingDates (1..1) <"Specifies specific dates or parametric rules for the dates on which the price will be determined.">
-    schedule CommoditySchedule (0..1) <"Allows the full representation of a commodity 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.">
+    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.">
     calculationPeriodDates CalculationPeriodDates (0..1) <"Defines the calculation period dates schedule.">
     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 (1..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.">
     fxFeature FxFeature (0..1) <"Defines quanto or composite FX features that are included in the swap leg.">
-    delivery CommodityDeliveryInformation (0..1) <"Contains the information relative to the delivery of the commodity.">
+    delivery AssetDeliveryInformation (0..1) <"Contains the information relative to the delivery of the asset.">
 
     condition Quantity: <"When there is an OptionPayout the quantity can be expressed as part of the payoutQuantity, or as part of the underlier in the case of a Swaption.  For all other payouts that extend PayoutBase the payoutQuantity is a mandatory attribute.">
         priceQuantity exists
@@ -66,26 +66,26 @@ type CommodityPayout extends PayoutBase: <"Payout based on the averaged price of
         then schedule -> schedulePeriod -> deliveryPeriod -> priceTimeIntervalQuantity is absent
                 and delivery -> periods -> profile -> block -> priceTimeIntervalQuantity is absent
 
-type CommodityDeliveryInformation: <"Contains the information relative to the delivery of the commodity.">
-    periods CommodityDeliveryPeriods (0..1) <"Defines the periods of delivery, including the delivery profile.">
+type AssetDeliveryInformation: <"Contains the information relative to the delivery of the asset.">
+    periods AssetDeliveryPeriods (0..1) <"Defines the periods of delivery, including the delivery profile.">
     location LocationIdentifier (0..*) <"Defines the location of the delivery of the commodity.">
     deliveryCapacity Quantity (0..1) <"The number of units included in the transaction for each delivery interval">
 
-type CommodityDeliveryPeriods: <"Defines the periods of delivery, including the delivery profile.">
-    profile CommodityDeliveryProfile (0..*) <"Defines the delivery profile of the commodity, including the load type and the delivery intervals.">
+type AssetDeliveryPeriods: <"Defines the periods of delivery, including the delivery profile.">
+    profile AssetDeliveryProfile (0..*) <"Defines the delivery profile of the asset, including the load type and the delivery intervals.">
     startDate date (0..1) <"Delivery start date">
     endDate date (0..1) <"Delivery end date">
 
-type CommodityScheduleDeliveryPeriods extends CommodityDeliveryPeriods:
+type CalculationScheduleDeliveryPeriods extends AssetDeliveryPeriods: <"Period and time profile over which the delivery takes place.">
     deliveryCapacity Quantity (0..1) <"The number of units included in the transaction for each delivery interval">
     priceTimeIntervalQuantity Price (0..1) <"Price per quantity per delivery time interval.">
 
-type CommodityDeliveryProfile: <"Defines the delivery profile of the commodity, including the load type and the delivery intervals.">
+type AssetDeliveryProfile: <"Defines the delivery profile of the asset, including the load type and the delivery intervals.">
     loadType LoadTypeEnum (0..1) <"Identification of the delivery profile.">
-    block CommodityDeliveryProfileBlock (0..*) <"Defines a delivery profile block, including start and end time, days of the week, duration, delivery capacity and price time interval quantity.">
+    block AssetDeliveryProfileBlock (0..*) <"Defines a delivery profile block, including start and end time, days of the week, duration, delivery capacity and price time interval quantity.">
     bankHolidaysTreatment BankHolidayTreatmentEnum (0..1) <"Specifies whether the dates defined include holidays or not.">
 
-type CommodityDeliveryProfileBlock:
+type AssetDeliveryProfileBlock: <"Defines a delivery profile block, including start and end time, days of the week, duration, delivery capacity and price time interval quantity.">
     startTime time (0..1) <"The start time of the delivery interval for each block or shape.">
     endTime time (0..1) <"The end time of the delivery interval for each block or shape.">
     dayOfWeek DayOfWeekEnum (0..7) <"The days of the week of the delivery.">

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

@@ -111,14 +111,42 @@ type OptionPayout extends PayoutBase: <" The option payout specification terms.
     exerciseTerms OptionExercise (1..1) <"The terms for exercising the option, which include the option style (e.g. American style option), the exercise procedure (e.g. manual exercise) and the settlement terms (e.g. physical vs. cash).">
     underlier Product (1..1) <"The product underlying the option, which can be of any type including ContractualProduct or Security.">
     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 CommoditySchedule (0..1) <"Allows the full representation of a commodity 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.">
+    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.">
 
     condition ClearedPhysicalSettlementExists:
         if settlementTerms -> physicalSettlementTerms exists
                 and underlier -> contractualProduct -> economicTerms -> payout -> interestRatePayout only exists
                 and underlier -> contractualProduct -> economicTerms -> payout -> interestRatePayout count = 2
         then settlementTerms -> physicalSettlementTerms -> clearedPhysicalSettlement exists
 
+    condition DeliveryCapacity: <"Checks that only one of the representations of delivery capacity is present simultaneously.">
+        if delivery -> deliveryCapacity exists
+        then schedule -> schedulePeriod -> deliveryPeriod -> deliveryCapacity is absent
+                and delivery -> periods -> profile -> block -> deliveryCapacity is absent
+                and schedule -> schedulePeriod -> deliveryPeriod -> profile -> block -> deliveryCapacity is absent
+        else if schedule -> schedulePeriod -> deliveryPeriod -> deliveryCapacity exists
+        then delivery -> deliveryCapacity is absent
+                and delivery -> periods -> profile -> block -> deliveryCapacity is absent
+                and schedule -> schedulePeriod -> deliveryPeriod -> profile -> block -> deliveryCapacity is absent
+        else if delivery -> periods -> profile -> block -> deliveryCapacity exists
+        then schedule -> schedulePeriod -> deliveryPeriod -> deliveryCapacity is absent
+                and schedule -> schedulePeriod -> deliveryPeriod -> profile -> block -> deliveryCapacity is absent
+        else if schedule -> schedulePeriod -> deliveryPeriod -> profile -> block -> deliveryCapacity exists
+        then delivery -> deliveryCapacity is absent
+                and schedule -> schedulePeriod -> deliveryPeriod -> deliveryCapacity is absent
+                and delivery -> periods -> profile -> block -> deliveryCapacity is absent
+
+    condition PriceTimeIntervalQuantity: <"Checks that only one of the representations of price time interval quantity is present simultaneously.">
+        if schedule -> schedulePeriod -> deliveryPeriod -> priceTimeIntervalQuantity exists
+        then delivery -> periods -> profile -> block -> priceTimeIntervalQuantity is absent
+                and schedule -> schedulePeriod -> deliveryPeriod -> profile -> block -> priceTimeIntervalQuantity is absent
+        else if delivery -> periods -> profile -> block -> priceTimeIntervalQuantity exists
+        then schedule -> schedulePeriod -> deliveryPeriod -> priceTimeIntervalQuantity is absent
+                and schedule -> schedulePeriod -> deliveryPeriod -> profile -> block -> priceTimeIntervalQuantity is absent
+        else if schedule -> schedulePeriod -> deliveryPeriod -> profile -> block -> priceTimeIntervalQuantity exists
+        then schedule -> schedulePeriod -> deliveryPeriod -> priceTimeIntervalQuantity is absent
+                and delivery -> periods -> profile -> block -> priceTimeIntervalQuantity is absent
 type SecurityLeg: <" Terms defining a security leg in a securities financing transaction, which can either be the near leg or the far leg and is closely modelled onto the nearLeg and farLeg types in FpML">
     [metadata key]
 
@@ -411,6 +439,8 @@ type ForwardPayout extends PayoutBase: <"Represents a forward settling payout. T
 
     underlier Product (1..1) <"Underlying product that the forward is written on, which can be of any type: FX, a contractual product, a security, etc.">
     deliveryTerm string (0..1) <"Also called contract month or delivery month. However, it's not always a month. It is usually expressed using a code, e.g. Z23 would be the Dec 2023 contract, (Z = December). For crude oil, the corresponding contract might be called CLZ23.">
+    delivery AssetDeliveryInformation (0..1) <"Contains the information relative to the delivery of the asset.">
+    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.">
 
     condition SettlementTerms: <"For foreign exchange contracts, the settlement terms must exist.">
         if underlier -> foreignExchange exists
@@ -430,21 +460,49 @@ type ForwardPayout extends PayoutBase: <"Represents a forward settling payout. T
         if underlier -> foreignExchange exists
         then settlementTerms -> physicalSettlementTerms is absent
 
-type CommoditySchedule: <"A class that allows the full representation of a commodity 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.">
-    schedulePeriod SchedulePeriod (1..*) <"Defines a period of a commodity schedule structure.">
-
-type SchedulePeriod: <"A class that defines the commodity period of a schedule. The period contains a set of start and end dates, quantities, fixing, and pricing data.">
+    condition DeliveryCapacity: <"Checks that only one of the representations of delivery capacity is present simultaneously.">
+        if delivery -> deliveryCapacity exists
+        then schedule -> schedulePeriod -> deliveryPeriod -> deliveryCapacity is absent
+                and delivery -> periods -> profile -> block -> deliveryCapacity is absent
+                and schedule -> schedulePeriod -> deliveryPeriod -> profile -> block -> deliveryCapacity is absent
+        else if schedule -> schedulePeriod -> deliveryPeriod -> deliveryCapacity exists
+        then delivery -> deliveryCapacity is absent
+                and delivery -> periods -> profile -> block -> deliveryCapacity is absent
+                and schedule -> schedulePeriod -> deliveryPeriod -> profile -> block -> deliveryCapacity is absent
+        else if delivery -> periods -> profile -> block -> deliveryCapacity exists
+        then schedule -> schedulePeriod -> deliveryPeriod -> deliveryCapacity is absent
+                and schedule -> schedulePeriod -> deliveryPeriod -> profile -> block -> deliveryCapacity is absent
+        else if schedule -> schedulePeriod -> deliveryPeriod -> profile -> block -> deliveryCapacity exists
+        then delivery -> deliveryCapacity is absent
+                and schedule -> schedulePeriod -> deliveryPeriod -> deliveryCapacity is absent
+                and delivery -> periods -> profile -> block -> deliveryCapacity is absent
+
+    condition PriceTimeIntervalQuantity: <"Checks that only one of the representations of price time interval quantity is present simultaneously.">
+        if schedule -> schedulePeriod -> deliveryPeriod -> priceTimeIntervalQuantity exists
+        then delivery -> periods -> profile -> block -> priceTimeIntervalQuantity is absent
+                and schedule -> schedulePeriod -> deliveryPeriod -> profile -> block -> priceTimeIntervalQuantity is absent
+        else if delivery -> periods -> profile -> block -> priceTimeIntervalQuantity exists
+        then schedule -> schedulePeriod -> deliveryPeriod -> priceTimeIntervalQuantity is absent
+                and schedule -> schedulePeriod -> deliveryPeriod -> profile -> block -> priceTimeIntervalQuantity is absent
+        else if schedule -> schedulePeriod -> deliveryPeriod -> profile -> block -> priceTimeIntervalQuantity exists
+        then schedule -> schedulePeriod -> deliveryPeriod -> priceTimeIntervalQuantity is absent
+                and delivery -> periods -> profile -> block -> priceTimeIntervalQuantity is absent
+
+type CalculationSchedule: <"A class that 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.">
+    schedulePeriod SchedulePeriod (1..*) <"Defines a period of a calculation schedule structure.">
+
+type SchedulePeriod: <"A class that defines the period of a schedule. The period contains a set of start and end dates, quantities, fixing, and pricing data.">
     calculationPeriod DateRange (1..1) <"Period for which the payment is generated.">
     paymentDate date (1..1) <"Adjusted payment date.">
     fixingPeriod DateRange (1..1) <"Period over which the underlying price is observed.">
-    deliveryPeriod CommodityScheduleDeliveryPeriods (0..1) <"Period and time profile over which the delivery takes place.">
+    deliveryPeriod CalculationScheduleDeliveryPeriods (0..1) <"Period and time profile over which the delivery takes place.">
 
 type FixedPricePayout extends PayoutBase: <"Represents a fixed price payout. There is no underlier associated with this payout type and is based on fixed pricing per a given unit (e.g. in commodities price per barrel)">
     [metadata key]
 
     paymentDates PaymentDates (1..1) <"Specifies the parameters to generate the payment date schedule, either through a parametric representation or by reference to specified dates.">
     fixedPrice FixedPrice (1..1) <"Specifies the fixed price on which fixed forward payments are based.">
-    schedule CommoditySchedule (0..1) <"Allows the full representation of a commodity 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.">
+    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.">
 
     condition Quantity: <"When there is an OptionPayout the quantity can be expressed as part of the payoutQuantity, or as part of the underlier in the case of a Swaption.  For all other payouts that extend PayoutBase the payoutQuantity is a mandatory attribute.">
         priceQuantity exists