TH_Valuation_Instruction

Native representation and qualification of an update of the valuation.

rosetta-source/src/main/rosetta/event-common-func.rosetta

@@ -1102,6 +1102,24 @@ func Create_Observation: <"Function specification to create an observation that
     set after: before
     add after -> observationHistory: instruction -> observationEvent
 
+func Create_Valuation: <"Function specification to incorporate a new assessment of the valuation in the valuation history of a given trade state.">
+    inputs:
+        instruction ValuationInstruction (1..1)
+        before TradeState (1..1) <"Specifies the trade to be updated.">
+        replace boolean (1..1) <"Specifies whether the previous valuation tracks in the valuation history are removed (True) or kept (False).">
+    output:
+        after TradeState (1..1) <"Specifies the resulting trade state incorporating the valuation update in the valuation history.">
+
+    alias beforeValuationHistory:
+        if replace = True then []
+        else before -> valuationHistory
+
+    set after: before
+
+    set after -> valuationHistory: beforeValuationHistory
+
+    add after -> valuationHistory: instruction -> valuationEvent
+
 func UpdateSpreadAdjustmentAndRateOptions: <"For each of the trade state's price quantity, find a matching price quantity instruction, and call the update function.">
     inputs:
         tradeState TradeState (1..1) <"Specifies the trade to be updated.">
@@ -2514,10 +2532,15 @@ func Create_TradeState: <"Creates a single trade state by applying primitive ins
         then indexTransition
         else Create_Observation(primitiveInstruction -> observation, indexTransition)
 
+    alias valuation:
+        if primitiveInstruction -> valuation is absent
+        then observation
+        else Create_Valuation(primitiveInstruction -> valuation, observation, False)
+
     alias stockSplit:
         if primitiveInstruction -> stockSplit is absent
-        then observation
-        else Create_StockSplit(primitiveInstruction -> stockSplit, observation)
+        then valuation
+        else Create_StockSplit(primitiveInstruction -> stockSplit, valuation)
 
     condition NoSplit: <"The primitive instruction cannot contain a split, as this function is designed to return a single trade state.">
         primitiveInstruction -> split is absent

rosetta-source/src/main/rosetta/event-common-type.rosetta

@@ -83,6 +83,7 @@ type PrimitiveInstruction: <"A Primitive Instruction describes the inputs requir
     indexTransition IndexTransitionInstruction (0..1) <"Specifies inputs needed to process a Index Transition business event.">
     stockSplit StockSplitInstruction (0..1) <"Specifies inputs needed to process a Stock Split business event.">
 	observation ObservationInstruction (0..1) <"Specifies inputs needed to process an observation.">
+    valuation ValuationInstruction (0..1) <"Specifies inputs needed to process an update of a valuation.">
 
 type BusinessEvent extends EventInstruction: <"A business event represents a life cycle event of a trade. The combination of the state changes results in a qualifiable life cycle event. An example of a Business Event is a PartialTermination which is a defined by a quantity change primitive event.">
 	[metadata key]
@@ -105,6 +106,9 @@ type CounterpartyPositionBusinessEvent: <"A business event represents a life cyc
 type ObservationInstruction: <"Specifies inputs needed to process an observation.">
 	observationEvent ObservationEvent (1..1) <"Contains all information related to an observation.">
 
+type ValuationInstruction: <"Specifies inputs needed to process a valuation.">
+    valuationEvent Valuation (1..1) <"Contains all information related to a valuation.">
+
 type ExecutionInstruction: <"Specifies instructions for execution of a transaction, consisting of a product, price, quantity, parties, trade identifier, execution details, and settlement terms.">
 	product Product (1..1) <"Defines the financial product to be executed and contract formed.">
 	priceQuantity PriceQuantity (1..*) <"Defines the prices (e.g. spread, equity price, FX rate), quantities (e.g. currency amount, no. shares) and settlement terms (e.g. initial fee, broker fee, up-front cds payment or option premium settlement) associated with the constituents of the transacted product.">

rosetta-source/src/main/rosetta/event-qualification-func.rosetta

@@ -508,3 +508,13 @@ func Qualify_CorporateActionDetermined: <"The qualification of the ocurrence of
         businessEvent -> instruction -> primitiveInstruction -> observation -> observationEvent -> corporateAction exists
             or businessEvent -> instruction -> before -> observationHistory -> corporateAction exists
             or businessEvent -> after -> observationHistory -> corporateAction exists
+
+func Qualify_ValuationUpdate: <"The qualification of a valuation update from the fact that the only component is a valuation."> 
+    [qualification BusinessEvent]
+    inputs:
+        businessEvent BusinessEvent (1..1)
+    output:
+        is_event boolean (1..1)
+
+    set is_event:
+        businessEvent -> instruction -> primitiveInstruction -> valuation only exists