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Product Model - Asset Refactoring: Payout as a Choice

Background

The Asset Refactoring initiative (see #2805) is seeking to improve the Product Model to address some long-standing issues and to ensure the continued extensibility to additional financial products and markets. A proposal has been agreed - through a cross-industry Task Force - to implement this remodelling in the CDM.

This release includes some additional functionality (following three planned major tranches of work in CDM 6 to implement the refactored model).

What is being released?

Payout:

  • The Payout data type has been refactored as a Choice. Choice data types work slightly different from the regular one-of condition because they force each of the members of the choice to have a single cardinality. Therefore, the use of Payout, for example on EconomicTerms and ResetInstruction, now have multiple cardinality.

Product Qualification:

  • Some minor changes have been made to the product qualification functions to ensure that the functionality and logic is unaffected by this change.

Documentation updates:

  • The CDM documentation on the FINOS website has been updated.

Review directions

The changes can be reviewed in PR: #3178

Backward-incompatible changes

This release contains changes that are not backward-compatible:

  • All references to a payout need to be updated as references to a payout are now treated as capitalised Data Types rather than lower case Attributes. For example, a previous reference might have read: payout -> interestRatePayout -> floatingAmount must now be written as: payout -> InterestRatePayout -> floatingAmount.
  • Logic or mapping that expects certain cardinality may need to be reviewed; see the explanation above.

CDM Product Model - Refactor ETD Product Qualification

Background

In an earlier Asset Refactoring release, the modelling of Exchange Traded Derivatives was enhanced by introducing a new item ListedDerivative as an option of one of the values in the Asset choice data type. However, the product qualification functions were still expecting these products to be modelled using the Security choice within Asset. This has been corrected. The enumerator type SecurityTypeEnum has been renamed to InstrumentTypeEnum and the value of ListedDerivative has been removed from the list. This broadens the potential use of this enumeration for additional assets.

The attribute instrumentType, using the InstrumentTypeEnum data type, has been added to InstrumentBase so that this basic type determination is on all types of instrument. The corresponding attribute, securityType has been removed from Security to avoid duplication.

The attribute securityType on the data type AssetType has been changed to use the renamed data type, ie InstrumentTypeEnum.

Occurrences of logic to test the type of a security or instrument have also been updated to use this new name InstrumentTypeEnum, including a number of references to this enumerator in the product qualification logic. Where product qualification was only looking for the type of a security, it has also been broadened to instrument.

Changes can be reviewed in PR #3200