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1. E E E 5 8 gg lt IR2 1 1 Semantic Validation 2 1 2 XML based Definition R2 1 3 GUI tools to formulate and update rules IR2 2 Multiple distributed rule sets 5 IR2 3 1 Comparison to external data sources 2 3 2 Check against non FpML languages IR2 3 3 Distributed data sources 2 4 1 Declarative rule language 2 4 2 Domain specific operators 2 4 3 of comprehension IR2 4 4 Rule structuring mechanisms 2 4 5 human machine readable representation IR2 5 1 Classification of FpML product types 2 6 1 compliance R2 7 1 Efficient Execution 4 xlinkit Validation Rule Language This section explains the language of version 5 of xlinkit The purpose of this explanation is to give a definition of the various data files artifacts and languages provided by xlinkit It is not intended as a user manual it does not define how xlinkit works how to use xlinkit how to interpret its output or any kind of best practice For more information on these topics please visit the xlinkit web site at http www xlinkit com The xlinkit framework consists of many different artifacts and languages that combine to provide the unique bene
2. any http Awwew xlinkit com Metadata 5 0 author contains the name of the author of an artifact If there are multiple authors one element should be used for each description can contain a textual description of the resource with which the header has been associated In addition to text the element can contain elements from the XHTML namespace http www w3 org 1999 xhtm1 enabling the production of documentation web pages from xlinkit artifacts using stylesheets see Example 1 2 project can be an arbitrary text string that defines the context of the artifact In the case of consistency rules this string may be used as an identifier in future versions see Section 4 2 2 otherwise it can be used arbitrarily comment is intended as a means to provide additional information beyond the description for example on the status of the artifact The remaining extension point in the schema allows any element from the http www xlinkit com Metadata 5 0 namespace to appear in the header The content of these elements will not be validated and can be chosen arbitrarily Page 10 of 62 Date 25 06 02 though it does have to be well formed XML for example to meet organisation specific documentation requirements See Example 1 3 for an example 4 1 2 1 Examples Example 1 1 shows some metadata used to annotate a consistency rule Example 1 1 Simple Rule Annotation lt consistencyrule 19 1 gt lt head
3. Fee defines additionalPayment and otherPartyPayment Link Generation Consistent on Inconsistent on Rule forall x in additionalPaymentl otherPartyPayment exists y in x paymentDate or exists y in x adjustedPaymentDate Consistency Rule r23 Description 96FpML Fee paymentAmount amount element have non zero value Fee defines additionalPayment and otherPartyPayment Link Generation Consistent on Inconsistent on Rule forall x in additionalPaymentl otherPartyPayment forall y in x paymentAmount amount y text 0 00 Consistency Rule r24 Description In swapStream if calculationPeriodAmount calculation compoundingMethod exists resetDates must exist Link Generation Consistent on Inconsistent on Rule forall x in swapStream exists y in x calculationPeriodAmount calculation compoundingMethod implies exists y in x resetDates Consistency Rule r25 Description In calculationPeriodDates effectiveDate must be before the terminationDate Link Generation Consistent on Inconsistent on Rule forall x in calculationPeriodDates forall y in x terminationDate forall z in x effectiveDate fpml greater_than x terminationDate unadjustedDate text x effectiveDate unadjustedDate text Consistency Rule r26 Description In FpML_Schedule If there are no step elements initialValue must be non zer
4. QN Rule Expressions of this kind are necessary when the element we are trying to find can appear anywhere in the document unless we can explicitly identify the position of the element in the document tree In rule 1 we changed the expression from Page 55 of 62 Date 25 06 02 swapStream to FpML trade product swap swapStream and the execution time reduced by five folds the figure in the graph The only drawback is that long XPath expressions make rules less readable Caching is also important If a rule uses an XPath expression that was evaluated already for another rule it will execute much faster This happens for example in rule 2 which uses an expression that the XPath processor had previously evaluated for rule 1 In general XPath evaluation is the dominant performance factor We expected the rules that use plug in operators for example 8 9 10 and 15 to be slower but their execution time is in line with the other rules We are using Apache s Xalan as an XPath processor Preliminary tests with a beta version of Jaxen indicate that a faster XPath processor can give significant performance improvements Rule optimisation is also something on which we will be focussing 8 Summary and Recommendation In this proposal we have demonstrated how semantic validations can be achieved using xlinkit We have argued why xlinkit is superior to other approaches such as attribute grammars XSLT or OCL We
5. 55 7 3 A eda Sa ede etu ne Ro n e nee dede e 55 8 SUMMARY AND RECOMMENDATIONN 56 91 RULE LANGUAGE SYNTAX XML SCHEMA 2 22 2 22 2 2 200 200 0 00000000000000000000000000000000000000 5 0 entes 56 9 2 DOCUMENT SET DEFINITION SYNTAX XML SCHEMA 58 9 3 RULE SET DEFINITION SYNTAX XML 59 9 4 OPERATOR DEFINITION SYNTAX XML 2 22 002 200000000000000000000000000000000000005 60 9 5 MACRO LANGUAGE SYNTAX XML SCHEMA n nn n n snn 61 Page 4 of 62 Date 25 06 02 1 Introduction Background Annual ISDA Operations Surveys have found that delays and high costs in the processing of complex OTC Derivative trades are to some extent due to the manual nature of trade validation and trade confirmation processing Trade validation ensures that trades that are exchanged between counterparties or between different systems of the same organization meet a number of consistency constraints During trade confirmation details about a trade held by one organization are checked against the details provided by the counterparty The trade matching pro
6. xs attribute name status use optional default off lt xs simpleType gt xs restriction base xs NMTOKEN gt lt xs enumeration value on gt xs enumeration value off xs restriction xs simpleType xs attribute lt xs complexType gt lt xs element gt lt xs choice gt lt xs complexType gt lt xs element gt lt xs element ref forall gt lt xs sequence gt xs attribute name id type xs ID use required gt lt xs complexType gt lt xs element gt lt xs sequence gt lt xs complexType gt lt xs element gt lt xs element name header gt lt xs complexType gt lt xs sequence gt lt xs choice maxOccurs unbounded gt lt xs element name author type xs string gt lt xs element name description gt lt xs complexType mixed true gt lt xs sequence gt xs any namespace http www w3 0rg 1999 xhtml processContents skip minOccurs 0 maxOccurs unbounded xs sequence xs complexType xs element lt xs element name project type xs string gt lt xs element name comment type xs string gt xs any namespace http www xlinkit com Metadata 5 0 processContents skip gt lt xs choice gt lt xs sequence gt lt xs complexType gt lt xs element gt lt xs complexType name quantifierType gt lt xs group ref formulaGroup minOccurs 0 gt xs attribute name var type xs string use required gt xs attribute name
7. neipu eigen DIEN 6 2 6 COMPLIANCE WITH XML STANDARDS XPATH AND XLINK 100400 00000000000000000000000000 7 2 7 EFFICIENT EXECUTION 7 POSSIBLE APPROACHES TO VALIDA TION 7 3 1 XEINKEE eo Pee atre bien Ere eee Un Ete 7 3 2 ATTRIBUTE GRAMMBARBRS tae Sens S 7 3 3 9 er 8 3 4 SPECIFICATION OF VALIDATION RULES WITH 5 ee nsns 8 3 5 50 zo u a tra E eni LM ie DE LIU 8 3 6 SUMMARY ss Es 8 XLINKIT VALIDATION RULE LANGUAGE 9 4 1 COMMON MECHANISMS Ln aguan as cete Ieee dee cose cee ble Sala dete U ud tens 10 4 1 1 Referencing a tees bn eed eA wae a 10 4 1 2 Dat UE EORR 10 4 2 DOCUMENT Eo E
8. Document sets can reference distributed data using URLs Fetchers can be used in order to load documents from sources other than Web servers e g a JDBC Fetcher to load it from a database R2 4 1 Declarative rule language xlinkit uses first order logic rules a declarative rule language As a result the rules are very concise R2 4 2 Domain specific operators Operators can be defined in ECMAscript a standardized version of Javascript or in Java classes These operators can then be invoked in rule files R2 4 3 Ease of comprehension The rules are reasonably simple to understand for anyone who understands first order predicate logic IR2 4 4 Rule structuring mechanisms There are no restrictions on the number of rule files and rule sets IR2 4 5 human machine readable representation rules are defined in XML they can be translated using an XSLT stylesheet into a more readable form R2 5 1 Classification of FpML product types date we have not yet demonstrated how to use xlinkit to achieve classification of FpML product types 2 6 1 W3C compliance xlinkit uses only Schemas XPath and XLink IR2 7 1 Efficient Execution 28 Validation rules were executed on a relatively small PC within less than a second Page 54 of 62 Date 25 06 02 7 2 the Benefits of Formalization The rule descriptions that we obtained from people in Warburg were given in Engl
9. Once a macro file has been included macro invocations may appear as a subformula wherever any other formula may appear Macro invocation is achieved by inserting an element with the name of the macro and a prefix bound to the macro namespaces as subformula For example if we bind macro to http www xlinkit com Macro 5 0 can then include the macro unique using the element macro unique Parameters to macros are treated similarly all parameters become attributes with the same name of the macro invocation element Thus in our example we would have to specify the attributes list and identifier The values of these attributes are then used to replace the parameter references in the macro When the replacement is complete the instantiated macro with the actual attribute values replaces the macro invocation element in the rule file When all macro invocation elements have been replaced with macro instantiation and the macro inclusion element has been removed macro processing is complete and the rule file is loaded as normal 4 7 2 1 Example Example 6 3 shows the rule file Example 6 1 rewritten using the macro definition from Example 6 2 The macro prefix is bound to the correct namespace URL at the root element We then use macro include to include the macro file and replace the uniqueness formula with a macro invocation The name of the macro invocation elements matches the name of the macro in the definition file The parameters 1ist
10. gt lt exists gt lt not gt lt forall gt lt forall gt lt consistencyrule gt lt consistencyrule id r21 gt lt header gt description In FpML Fee payerPartyReference and receiverPartyReference must not be the same FpML Fee defines additionalPayment and otherPartyPayment description lt header gt lt linkgeneration gt lt eliminatesymmetry status on gt lt linkgeneration gt lt forall var x in additionalPayment otherPartyPayment gt lt forall var y in x payerPartyReference lt not gt exists var z in Sx receiverPartyReference gt equal opl Sy href op2 z href gt lt exists gt lt not gt lt forall gt lt forall gt lt consistencyrule gt Page 45 of 62 Date 25 06 02 lt consistencyrule id r22 gt lt header gt lt description gt In FpML Fee At least one of paymentDate or adjustedPaymentDate must exist FpML Fee defines additionalPayment and otherPartyPayment lt description gt lt header gt lt linkgeneration gt lt eliminatesymmetry status on gt lt linkgeneration gt lt forall var x in additionalPayment otherPartyPayment gt lt or gt lt exists var y in x paymentDate gt exists var y in x adjustedPaymentDate gt lt or gt lt forall gt lt consistencyrule gt lt consistencyrule id r23 gt lt header gt description FpML Fee paymentAmount amount element hav
11. Example 4 7 Operator Invocation consistencyruleset xmlns http www xlinkit com ConsistencyRuleSet 5 0 xmlns xsi http www w3 org 2001 XMLSchema instance xsi schemaLocation http www xlinkit com ConsistencyRuleSet 5 0 consistencyruleset xsd consistencyrule 19 1 gt forall var x in Advert gt lt operator name test isGreater gt lt param name stringA value x name text gt lt param name stringB value x shortname text lt operator gt lt forall gt lt consistencyrule gt lt consistencyruleset gt 4 6 Operators Operators in xlinkit are plug in predicates Just as the standard xlinkit predicates like Equal they take a number of parameters and return a truth value as a result In order to create an operator for use in a formula it has to be defined in an operator set Section 5 1 and implemented in an implementation language Section 5 2 4 6 1 Operator Set The purpose of an operator set is to define an interface to plug in operators that are to be used in formulae It includes metadata operator interface definitions and a reference to where the implementation is stored Operator sets like the other input mechanisms can contain further operator sets permitting the construction and reuse of collections of operators The namespace for rule sets is http www xlinkit com OperatorSet 5 0 Figure 5 1 gives a graphical overview of the schema leaving the metadata header colla
12. come NT THEO a Gk a Sp i g 11 4 2 1 IRA To PE 11 4 2 2 eise eee ADT Ge eve qapa ene RR ARIETE 12 4 3 RULE SETS eU itenim Ue 13 4 3 1 Definition y seeded qe hist ea aa sa As auda 13 4 3 2 Examples aede ate dep qui aie d ME a diete reu DU SV 13 4 4 RUEELBIEES enu Reemi antecessit dme 14 4 4 1 Constraint Language aU perpe auae ere HIE eA eh eats Sees a 14 4 5 Ree ab seca aun RI steer 23 4 5 1 Global Seis cats cue eh oak ie Rh SS ET DLE nas 24 4 5 2 Consisten cy rules iat E gau edm 24 4 5 3 Examples outs EN e ERE Se eva cua cae vk W im uu maaa saq Sa usa ah dat 24 4 6 OPERATORS zieren a a ui acon AQ tes I luec dete 26 4 6 1 Operator Sets eU e 26 4 6 2 Operator Implementation eee eda dq Ue ST AA um qan 27 4 6 3 Example 28 4 7 MACROS Sette tenter ele ph Bat eet e ci etd ama tmu ce al masha uka an M rA ol ci a tds nana ed c 28 4 7 1 Macro Definition s ater RE at mia tas eR ER 29 4 7 2 M
13. connectives can thus contain any other formula in the language The only restriction on an xlinkit formula is that it must start with a 11 as defined in Sub section 4 4 2 4 4 1 1 Forall 2 Forall Variable in XPath Formula Variable This must be a valid XPath variable identifier as defined in the XPath standard In addition if the Fora11 is contained in a parent formula the identifier must not be declared in a quantifier of one of the parent formulae Note the variable identifier does not include the variable reference character thus a is an illegal variable name whereas a is legal XPath This must be a valid XPath expression In addition the execution of the XPath expression must result in a node set Expressions that return different types of results are illegal and will cause a run time error The following XPath expressions are examples of legal expressions for Forall since they select node sets oo bar selects all elements called bar that are contained under elements called lt foo gt in any of the documents of the document set 00 bar selects all attribute nodes called bar that are attached to elements called lt foo gt in any of the documents of the document set And the following examples illegal since they select other types of values 54 is illegal because it selects a number substring foo bar text 5 is illegal because it selects a string Forall s behaviour is de
14. http www xlinkit com Macro 5 0 processContents skip minOccurs 0 gt lt xs element name globalset minOccurs 0 maxOccurs unbounded gt lt xs complexType gt xs attribute name id type xs string use required gt xs attribute name xpath type xs string use required gt lt xs complexType gt lt xs element gt lt xs element name consistencyrule maxOccurs unbounded gt lt xs complexType gt lt xs sequence gt lt xs element ref header minOccurs 0 gt lt xs element name linkgeneration minOccurs 0 gt lt xs complexType gt lt xs choice maxOccurs 3 gt lt xs element name consistent minOccurs 0 gt lt xs complexType gt xs attribute name status use optional default on gt lt xs simpleType gt xs restriction base xs NMTOKEN gt lt xs enumeration value on gt xs enumeration value off xs restriction xs simpleType Page 56 of 62 Date 25 06 02 xs attribute lt xs complexType gt lt xs element gt lt xs element name inconsistent minOccurs 0 gt lt xs complexType gt xs attribute name status use optional default on gt lt xs simpleType gt xs restriction base xs NMTOKEN gt lt xs enumeration value on gt xs enumeration value off xs restriction xs simpleType xs attribute lt xs complexType gt lt xs element gt lt xs element name eliminatesymmetry minOccurs 0 gt lt xs complexType gt
15. 0 meta version meta reviewers meta reviewer Wolfgang Emmerich lt meta reviewer gt meta reviewer Anthony Finkelsteinc meta reviewer meta reviewers lt header gt lt consistencyrule gt 4 2 Document Sets 4 2 1 Definition Document sets are xlinkit s way of structuring document input A document in this case means a collection of structured or semi structured data but does not necessarily imply storage in a traditional document format The purpose of a document set is thus to abstract from underlying data storage formats drawing if necessary on the support of fetcher plugins to translate them into a DOM tree that can be used for checking The namespace for document sets is http www xlinkit com DocumentSet 5 0 Figure 2 1 shows a graphical view of the document set schema leaving the metadata lt header gt collapsed Page 11 of 62 Date 25 06 02 Figure 2 1 Document set schema header A document set can contain the usual metadata as defined in the common mechanisms No additional meanings are defined for the metadata in the context of a document set and it can be used freely Document The Document command imports a document into the document set for checking It requires an attribute href as a reference as defined in common mechanisms to the document The second optional attribute fet cher is a string identifying the Fetcher to be used to retrieve the document By default documents are lo
16. 14 24 1988 ACM Press 11 An Object Oriented Language for Specification of Syntax Directed Tools Proc of the 8th Int Workshop on Software Specification and Design 26 35 1996 IEEE Computer Society Press 12 J B Warmer and A G Kleppe The Object Constraint Language Precise Modeling with UML Addison Wesley 1999 13 J Clark XSL Transformations XSLT Technical Report http www w3 org TR xslt World Wide Web Consortium November 1999 14 W Emmerich and E Ellmer and H Fieglein TIGRA An Architectural Style for Enterprise Application Integration In Proc of the 23rd Int Conf on Software Engineering pages 567 576 IEEE Computer Society Press 2001 15 R Jelliffe The Schematron Assertion Language 1 5 Technical Report GeoTempo Inc October 2000 16 FpML Version 1 0 Recommendation 14 2001 http www fpml org spec 2001 rec fpml 1 0 2001 05 14 17 XML Schema Part 0 Primer W3C Recommendation 2 May 2001 http www w3 org TR xmlschema 0 Page 62 of 62
17. Page 59 of 62 Date 25 06 02 lt xs complexType gt xs attribute name href type xs string use required gt lt xs complexType gt lt xs element gt lt xs choice gt lt xs sequence gt lt xs sequence gt xs attribute name name type xs string use optional lt xs complexType gt lt xs element gt lt xs element name header lt xs complexType gt lt xs sequence gt lt maxOccurs unbounded gt lt xs element name author type xs string gt lt xs element name description gt lt xs complexType mixed true gt xs sequence xs any namespace http www w3 0rg 1999 xhtml processContents skip minOccurs 0 maxOccurs unbounded xs sequence lt xs complexType gt lt xs element gt lt xs element name project type xs string gt lt xs element name comment type xs string gt xs any namespace http www xlinkit com Metadata 5 0 processContents skip xs choice xs sequence lt xs complexType gt lt xs element gt lt xs schema gt 9 4 Operator Definition Syntax XML Schema lt xml version 1 0 encoding UTF 8 gt lt xs schema targetNamespace http www xlinkit com OperatorSet 5 0 xmlns xs http www w3 org 2001 XMLSchema xmlns http www xlinkit com OperatorSet 5 0 elementFormDefault qualified attributeFormDefault unqualified gt lt xs element name OperatorSet lt xs complexType gt xs sequence
18. a trade would require manual intervention R2 2 4 System Specific Rules these would include rules that are to be enforced by particular trading systems in order to be able to process particular trades These classes are not considered to be exhaustive The requirement is for any number of classes to be handled Furthermore we anticipate that the different FpML product working groups will determine a significant number of validation rules a total of 100 300 2 3 Comparison to External Data Sources e g FpML Schemes R2 3 1 The formalism for specifying validation rules shall not just support validation of single FpML trades but also comparisons between trades and other external data sources such as static data market data or FpML Schemes R2 3 2 It can be assumed that either these external data sources are available in an XML markup language or be transformed into an XML language However the formalism shall support external data sources in non FpML languages R2 3 3 Often such market data is provided from outside a particular organization and this has implications on the distributed checks However the notation to express consistency rules should support the specification of consistency rules without assuming any details of where external data sources are located 2 4 Usability The validation rule language shall support the formulation of rules at appropriate levels of abstraction R2 4 2 To facilitate the conciseness of r
19. and identifier are passed as attributes to the macro Example 6 3 Macro Invocation consistencyruleset xmlns http www xlinkit com ConsistencyRuleSet 5 0 xmlns xsi http www w3 org 2001 XMLSchema instance xsi schemaLocation http www xlinkit com ConsistencyRuleSet 5 0 consistencyruleset xsd xmlns macro http www xlinkit com Macro 5 0 gt macro include href macrodef xml gt lt consistencyrule 19 1 gt lt forall var c in Catalogue gt macro unique list c Product identifier name text gt forall gt lt consistencyrule gt lt consistencyruleset gt For completeness Example 6 4 shows the consistency rule file after macro processing the macro inclusion has been removed and the macro formula has been inserted with the actual values replacing the formal parameters The file is now ready to be loaded and processed by xlinkit as any other rule file Page 30 of 62 Date 25 06 02 Example 6 4 Processed Rule File consistencyruleset xmlns http www xlinkit com ConsistencyRuleSet 5 0 xmlns xsi http www w3 org 2001 XMLSchema instance xsi schemaLocation http www xlinkit com ConsistencyRuleSet 5 0 consistencyruleset xsd xmlns macro http www xlinkit com Macro 5 0 consistencyrule 19 1 gt lt forall var c in Catalogue gt lt forall var macrox in Sc Product gt lt forall var macroy in c Product lt implies gt equal opl Smacrox name text op2 Sma
20. concerns of constraint specification document and rule location and provision of diagnostic feedback which would be intertwined in XSLT 3 5 Schematron Rick Jeliffe s Schematron 15 also uses XSLT to translate documents into reports about their consistency However Schematron manages to conceal the use of XSLT and provides a higher level of abstraction for the definition Although Schematron works quite well for validating single documents it would not allow us to express constraints across different documents e g to check trades against reference data or workflow representations or to compare two trades in different representations 3 6 Summary The following table summarizes the different approaches we investigated It assesses how well each of the approaches supports the requirements identified in Section 2 The elements of the table identify the extent to which the requirements are addressed A denotes that the approach fully satisfies the requirement denotes that the approach meets the requirement to some extent and a denotes that the requirement is not addressed at all Page 8 of 62 Date 25 06 02 As be seen from the table the xlinkit approach is the most promising approach and therefore we have selected it for a more detailed assessment We therefore present xlinkit rules in more detail in Section 4 before we show how it was used to specify validation rules for FpML 1 0
21. expression we impose that the substring starting on the second character of the href string must be equal to the entire id string Another by product of the formalization process was that the detailed analysis of all the constraints has led us to identify gaps that demanded new constraints that were not evident from the beginning or to condense several constraints into one Therefore the whole exercise has led to a more complete and precise formulation of the validation constraints 7 3 Performance After having formalized the initial set of 35 constraints a total of 28 constraints remained because some were subsumed and others were proven to be obsolete We then checked a 17KByte FpML 1 0 trade document that did not have any constraint violations using the xlinkit rule engine The rule engine executed on a dual processor Pentium III with a clock speed of 1 7 GHz and 1GByte of RAM The rule angine runs as a single task so it does not use the second processor The figure below shows the performance measurements that we The total for checking all 28 rules is just under 990msec We also note that at some rules require a significantly longer time than others to evaluate This happens when the evaluation of an XPath expression requires the traversal of the entire DOM tree For example expression businessCentersReference appears in rule 27 200 150 100 Time msec 50 10 Ob O O WO
22. gt param name datea value x terminationDate unadjustedDate text param name dateb value x effectiveDate unadjustedDate text gt lt operator gt lt forall gt lt forall gt lt forall gt lt consistencyrule gt lt consistencyrule id r26 gt lt header gt lt description gt In FpML Schedule If there are no step elements initialValue must be non zero FpML Schedule defines capRateSchedule fixedRateSchedule floorRateSchedule and spreadSchedule lt description gt lt header gt lt linkgeneration gt lt eliminatesymmetry status on gt lt linkgeneration gt lt forall var x in capRateSchedule fixedRateSchedule floorRateSchedule spreadSchedule gt lt implies gt lt not gt exists var y in x step gt lt not gt lt forall var y in x initialValue notequal opl Sy text 2 0 00 lt forall gt lt implies gt lt forall gt lt consistencyrule gt lt consistencyrule id r27 gt lt header gt lt description gt In businessCentersReference value of attribute href must be equal to the value attribute id of at least one businessCenters lt description gt lt header gt lt linkgeneration gt lt eliminatesymmetry status on gt lt linkgeneration gt lt forall var x in businessCentersReference gt exists var y in businessCenters gt equal opl substring x href 2 op2 Sy id gt lt exist
23. implementation file otherwise the operator set is invalid The optional description element is defined in exactly the same way as the description element in the metadata It can contain a mixture of text and XHTML elements provided the elements are in the XHTML namespace See Section 1 2 for details on how to use this element param An operator definition can take zero or more parameters Each param element has two required attributes name and type The name of the parameter can be chosen freely and does not have to match the name of the parameter in the implementation file however when the operator is referred to in a rule the name of the parameter in the rule does have to match that in the operator set The type attribute has to be one of the following int string nodeList or node The type of the parameter affects how any values passed in the operator invocation are treated and passed on to the operator implementation See Section 5 2 for details 4 6 2 Operator Implementation An operator implementation file contains the actual implementation of operators referenced in the operator set The contents of the file are specific to which programming language is being used In the current version of xlinkit the only supported language is ECMAScript Regardless of which language is used the implementation file must provide one function for each operator referenced in the operator set The function will take several parameters that depend on
24. is not on supporting the editing of trade representations but to support the batch validation that occurs when trades are exchanged between organisations or different departments within an organisation Provision of support for incremental checks is therefore not necessary and instead we favour the flexibility that comes with interpretation of constraints in the xlinkit rule engine 3 3 OCL We have also compared xlinkit rules with OMG s Object Constraint Language OCL 12 OCL was defined to declare constraints in UML diagrams or MOF meta models OCL was not defined with an aim to be executable In particular it allows for infinite sets e g integer which prevents it from being executed efficiently The focus of xlinkit however was to be as expressive as possible while still being executable in polynomial time 3 4 Specification of Validation Rules with XSLT The weakness of expressing constraints in the DTD and XML Schema languages has been recognized for some time now Various approaches have been reported that use XSLT 13 for validation In 14 we report about the TIGRA enterprise application integration architecture that uses XML as transport representation for financial trades In that architecture we have used XSLT stylesheets to express constraints The expressive power of XSLT stylesheets is considerably lower than that of xlinkit in that xlinkit supports the full power of first order logic Moreover xlinkit carefully separates the
25. linked and inconsistent controls if elements that violate a constraint should be linked Both elements are optional and the default is that consistent is off and inconsistent is on Both elements have a status attribute that can take the values on or of f eliminatesymmetry can be used to instruct xlinkit to remove any pairs links whose locators point to the same elements but are permutations of one another For example if a pair of links points to A B and another to B A the second link will be removed This functionality is useful in some situations where pairs of elements are compared for equality and inconsistencies cause the elements to be linked twice because A is inconsistent with B but B is also inconsistent with A This behaviour is rare but does occur with some uniqueness checks The element takes a status attribute whose values can be on or of the default is of f Turning this function on when it is not necessary will not cause a difference in the result but will introduce a runtime overhead of n n where n is the number of links in a linkbase 4 5 3 Examples Example 4 3 shows a very simple constraint that specifies that for every element A there must be an attribute att This rule can now be included in a rule set and checked against a document set that includes any number of files some of which may have root elements called A The rule does not define any metadata or link generation commands Consistent cases where the att
26. more readable first order language which we give in Section 5 3 in order to show how rules could be included in FpML standard documentation In Section 5 4 we provide a reference to the FpML rule implementation that is available on the web for evaluation 6 1 Operators As described above xlinkit supports the definition of plugin operators The rules shown in Section 5 1 use this concept to define operators that are not easily expressed in first order logic In this section we show an example of how these operators are defined in a way that xlinkit rules can invoke them and also how they can be implemented in JavaScript 6 1 1 Operator Interfaces lt xml version 1 0 standalone no gt OperatorSet name fpml impl operators fpmlOperators es xmlns http www xlinkit com OperatorSet 5 0 xmlns xsi http www w3 0rg 2001 XMLSchema instance xsi schemaLocation http www xlinkit com OperatorSet 5 0 OperatorSet xsd lt OperatorDefinition name in unadjusted period gt description xmlns x http www w3 0rg 1999 xhtml Check if lt x b gt checkdate lt x b gt is on a periodic interval between lt x b gt startdate lt x b gt and lt x b gt enddate lt x b gt lt x b gt period lt x b gt is added to the start date repeatedly taking into account the unit which must be D W M Y One of those dates must be the check dat lt description gt lt param name startdate type node lt param name enddate
27. result will be false Behaviour The behaviour of Equal is quite straightforward it checks whether two value sets contain exactly the same values Because it is dealing with sets however the order in which the values appear is irrelevant The pseudocode assuming the value sets have been constructed and downcast beforehand is given below Page 20 of 62 Date 25 06 02 equal setl set2 begin if setl size set2 size return false for all entries in setl if set2 contains e return false set2 set2 e done return true end Given this behaviour the sets foo and foo are equal the sets foo bar and foo are not equal foo bar and are equal and 5 and true are equal XML Representation Figure 4 10 shows the XML representation for Equal The two XPath expressions must be passed as attributes op1 and op2 Figure 4 10 Equal XML Representation equal opl xpath op2 xpath gt 4 4 1 9 Notequal 10 Notequal XPath XPath Notequal is really a convenience mechanism since it can be equivalently represented using the existing Not and Equal constructs For details on the restrictions on the XPath expressions their evaluation and downcasting rules please refer to the description of Equal in Sub section 4 4 1 8 Behaviour For completeness the behaviour of Notequal is given below in pseudocode It makes the same comparison as Equal c
28. the language but must return the languages native boolean type 4 6 2 1 Parameter types Section 5 1 sets out the possible types for operator parameters int string nodeList or node These types define how parameter values are treated before being passed to the operator invocation int The parameter is treated as an integer and converted to the implementation specific integer type If this conversion is impossible a run time error occurs string The parameter is converted to the implementation specific string type and passed on to the implementation as it is nodeList The parameter is interpreted as an XPath expression The expression is evaluated and must result in a node set This node set is then passed on to the implementation node The parameter is interpreted as an XPath expression The expression is evaluated and must result in a node set with exactly one node in it This node is then passed on to the implementation NOTE If any XPath expressions are to be evaluated in an argument and passed to the operator they must be passed as a nodeList or node not as string For example passing the expression foo text as a string will result in the operator being passed the literal string foo text If itis passed as a node the operator will be passed the DOM text node contained in oo and can use the getNodeValue method defined by the DOM to get its string value Page 27 of 62 Date 25 06 02 4 6 2 2 ECMAScrip
29. to the result set Thus an expressions like x name will be equivalent to x name text This is equivalent to the behaviour of XSLT CAUTION While this behaviour is guaranteed by the xlinkit checker we discourage the use of this shorthand and recommend the use of the full text Page 19 of 62 Date 25 06 02 syntax omission of the explicit text syntax may prevent tools that statically analyse formulae for example optimisers or repair action generators from working properly If n is any other type of node for example a document node a runtime error will occur We will now go through some examples of the value sets that would be generated from typical XPath expressions Example 4 1 gives the sample data we will use for the expressions We will further assume that the variable x has been bound to the lt catalogue gt root element Example 4 1 Sample document lt catalogue gt lt product gt lt name gt Evaluat ion lt name gt lt product gt lt product gt lt name gt FpML Validator lt name gt lt product gt lt product gt lt name gt UML Validator lt name gt lt product gt lt number gt 4 lt number gt lt catalogue gt Evaluating count x product will result in the set of integers 3 x product name text will result in the set of strings Evaluation FpML Validator UML Validator x product 2 name text will result in FpML Validator and count x product gt 5 will result
30. x dayType text op2 Business gt notequal opl 2 x periodMultiplier text 2 0 gt lt implies gt lt forall gt lt consistencyrule gt consistencyrule id r13 gt lt header gt lt description gt In FpML_RelativeDateOffset If the dayType is Business then the businessDayConvention should be NONE FpML RelativeDateOffset defines fixingDateOffset and fixingDates lt description gt lt header gt lt linkgeneration gt lt eliminatesymmetry status on gt lt linkgeneration gt lt forall var x in fixingDateOffset fixingDates gt lt implies gt lt equal opl x dayType text op2 Business gt equal opl x businessDayConvention text 2 gt lt implies gt lt forall gt lt consistencyrule gt lt consistencyrule 19 14 gt lt header gt lt description gt In resetFrequency weeklyRollConvention must exist if and only if the period is W lt description gt lt header gt lt linkgeneration gt lt eliminatesymmetry status on gt lt linkgeneration gt lt forall var x in resetFrequency gt lt iff gt lt exists var y in x weeklyRollConvention gt equal opl x period text op2 w gt lt iff gt lt forall gt lt consistencyrule gt lt consistencyrule id r15 gt lt header gt lt author gt Daniel lt author gt lt description gt In swapStream calculationPeriodFrequency in calc
31. 4 1 Constraint Language The xlinkit constraint language is a fairly simple language that is based on first order predicate logic it allows the use of boolean connectives such as and and or quantifiers such as orall and exists for iteration and predicates such as equal for comparison The purpose of this section is firstly to define the abstract syntax and XML encoding of the language and secondly to specify the behaviour of each construct in the language The section does not discuss the xlinkit link generation semantics i e how to create hyperlinks as a result of the evaluation of formulae in the language instead we refer you to http www xlinkit com for more information This section also does not define any bracketing for formulae leaving the precedence relationship between logical connectives ambiguous The reason for this is that bracketing belongs in the concrete syntax for example the XML syntax is already disambiguated because it is a prefix notation and does not require any bracketing Should new concrete syntaxes be defined they have to introduce bracketing on a case by case basis Formula 1 Formula Forall Exists Quantifiers And Or Implies Iff Not Logical connectives Equal Notequal Same True Operator Predicates Page 14 of 62 Date 25 06 02 Everything in the xlinkit language is a Formula constructs that can contain subformulae for example the logical
32. B java lang Integer parseInt periodB getNodeValue unitB new java lang String unitB getNodeValue if unitA equals Y unitA equals M if unitB equals M unitB equals Y return false if unitA equals Y periodA periodA 12 if unitB equals Y periodB periodB 12 return periodA periodB 0 Page 36 of 62 Date 25 06 02 else if unitA equals W unitA equals D if unitB equals D unitB equals W return false if unitA equals W periodA periodA 7 if unitB equals W periodB periodB 7 return periodA periodB 0 return false 6 2 Rules defined in XML lt xml version 1 0 encoding utf 8 gt lt consistencyruleset xmlns http www xlinkit com ConsistencyRuleSet 5 0 xmlns macro http www xlinkit com Macro 5 0 xmlns xsi http www w3 org 2001 XMLSchema instance xsi schemaLocation http www xlinkit com ConsistencyRuleSet 5 0 consistencyrule xsd consistencyrule 19 1 gt header description ResetDates must be present in a swapStream if and only if a floatingRateCalculation element is present in the calculation element lt description gt header linkgeneration eliminatesymmetry status on lt linkgeneration gt in swapStream lt forall var x lt iff gt exists var y in x resetDates gt exists 2 in x calculationPeriodAmount calculation floatin
33. FpML Validation Joint proposal from UBS Warburg University College London and Systemwire Version 1 0 Editor Bryan Thal UBS Warburg Participants Wolfgang Emmerich UCL Steven Lord UBS Warburg Daniel Dui UCL Christian Nentwich Systemwire Date 25 06 02 Change History Date 10 05 02 30 05 02 10 06 02 19 06 02 25 06 02 Version 0 1 0 95 0 97 0 99 1 0 Author B Thal W Emmerich D Dui B Thal D Dui Change description First draft release distributed for comments and feedback Final review Final changes Page 2 of 62 Date 25 06 02 Table of Contents 1 2 3 4 7 INTRODUCTION AND BACKGROUNLD 5 VALIDATION REQUIREMEBNIDS ash sa sudescsevusestuetesssevesessesvesessasvccssssvecsesss 5 2 1 FPML TOOLS WORKSHOP CONCLUSIONS ON VALIDATION REQUIREMENTS 5 2 2 ABILITY TO EXPRESS AND HANDLE DIFFERENT CLASSES OF VALIDATION 6 2 3 COMPARISON TO EXTERNAL DATA SOURCES E G FPML SCHEMES 6 2 4 USABILITY 6 2 5 CEASSIFICATIONOEPRODUCT TYPES 2 25
34. Path Formula Page 15 of 62 Date 25 06 02 Variable This must be a valid XPath variable identifier as defined the XPath standard In addition the same restrictions as for Forall apply XPath This must be a valid XPath expression The execution of the XPath expression must result in a node set Expressions that return different types of results are illegal and will cause a run time error Please refer to Forall for examples of legal and illegal XPath expressions Exists behaviour is defined as follows it executes the expression contained in XPath on all documents of the document set The working set of the quantifier is then defined to be the union of all nodes returned from all documents in the document set The quantifier binds each node to the variable in turn calling the subformula to evaluate itself given the new variable binding It returns t rue if the subformula evaluation returns t rue for any assignment of the variable If it is false for all assignments it returns false Figure 4 3 specifies the behaviour in pseudocode Similarly to Forall the abstract syntax of Exists permits the omission of a subformula If the subformula is omitted xlinkit assumes it to be True This is frequently very useful in practice since it allows a test for the existence of an element without applying any predicates i e we can say element A exists Because the subformula is True the only way existential quantifier with no
35. acro Inclusion nd Processing ei eerte t tr be ee SER ee EP t He Er ERE Srt 30 FPML 1 0 VALIDATION RULLS 2 i eere eerta ora rose roa ra alot Po roS RENS Po 31 5 1 S aaa an 31 3 2 R LE DEVELOPMENT PROGESS a a a etse deese u ae lagu 31 5 3 SAMPLE RULE SBT eee LS cete ete ceste re et cte bl t Pee gh emu us 31 RULE IMPLEMENTATION IN XLINKITD 33 6 1 OPERATORS C teria te 33 6 1 1 Operator Interfaces doceo e ro t e o OR E ERREUR EU E HERE Ie Ye PUE EU e ere HERR sa 33 6 1 2 Operator Definition diee Ter ee Ee dee e deter e Bed ee Gee ertet 34 6 2 RULES DEBINED IN XML ectetuer eee han 37 6 3 RULES RENDERED IN 1ST ORDER 48 6 4 REFERENCE IMPLEMENTATION ceto et vea io dete melee e dece r e dede eee 53 EVALUATIQN S ever shoe ee oo eos ba ae ed roue e Pu aee NER e eee o uk wS i Q EE YES e 54 Page 3 of 62 Date 25 06 02 7 1 COVERAGE OF 5 2 2 2 4 24404 0000000000000000000000000000000000000 0 assesses eese te anas SSES 54 7 2 ON THE BENEFITS OF FORMALIZATION sss
36. actually providing language constructs It might be necessary for purposes of processing and standardizing FpML contracts to classify them into different trades R2 5 1 The validation language should support such classification Page 6 of 62 Date 25 06 02 2 6 Compliance with XML Standards XPath and XLink FpML demands for all its standards compliance with W3C standards R2 6 1 The validation approach adopted for FpML should therefore be compliant with current W3C standards 2 7 Efficient Execution It would be desirable if the language chosen for the validation rules could also directly be used to control the execution of validations In particular we would like to avoid the need to manually translate the rules into an execution and instead desire that this step be performed by an interpreter or compiler This motivates the following requirement R2 7 1 The validation rule language should be efficiently executable 3 Possible Approaches to Validation We have evaluated a number of possible approaches for specifying and executing validation rules In this section we will briefly present an overview of those approaches This will then result in the selection of xlinkit as the most promising approach 3 1 xlinkit xlinkit is a framework for expressing and checking the consistency of distributed heterogeneous documents It comprises a language based on a restricted form of first order logic for expressing constraints betwee
37. aded using the FileFetcher which is essentially an XML parser If XML documents are to be loaded therefore no fetcher parameter has to be specified If alternative fetcher parameters are passed for example JDBCFet cher for loading a database table two conditions must be met a fetcher class matching this string has to be registered with xlinkit and the format of the Re erence has to be valid for this fetcher e g the JDBCFetcher expects an SQL query rather than a file name Set This can be used to import further document sets into the set The only attribute is href which must point to a valid xlinkit document set Using this mechanism it is possible to build up hierarchies of document sets that will be flattened and loaded during a check 4 2 2 Examples Example 2 1 shows a simple document set that includes XML files from two different URLS for a check Example 2 1 Simple document set DocumentSet xmlns http www xlinkit com DocumentSet 5 0 xmlns xsi http www w3 org 2001 XMLSchema instance xsi schemaLocation http www xlinkit com DocumentSet 5 0 DocumentSet xsd gt Document href http www xlinkit com Example documentA xml gt Document href http www systemwire com Example documentB xml gt DocumentSet Example 2 2 gives a slightly more complex example that specifies some metadata includes an XML document imports another document set and uses a proprietary plugin called JavaFetcher to load a Java sou
38. ample 3 3 Operator and rule set inclusion lt RuleSet xmlns http www xlinkit com RuleSet 5 0 xmlns rule http www xlinkit com ConsistencyRuleSet 5 0 xmlns xsi http www w3 org 2001 XMLSchema instance xsi schemaLocation http www xlinkit com RuleSet 5 0 RuleSet xsd gt lt header gt lt description gt A rule set with operator inclusion lt description gt lt author gt Christian Nentwich lt author gt lt comment gt Tested and working lt comment gt lt header gt Operators href http www xlinkit com Foo operators Operators xml RuleFile href rule xml Set href http www xlinkit com Foo additional rules xml RuleSet 4 4 Rule Files Rule files contain the constraints that the xlinkit checker applies to documents This chapter therefore defines not only the layout of the files but the grammar of the xlinkit constraint language itself The constraint language can be displayed in many different formats in addition to its standard XML encoding As a consequence we define the language using an abstract syntax and provide the XML encoding of each construct after the behaviour definition From here on the section is split into three parts Sub section 4 4 1 defines the xlinkit constraint language Sub section 4 4 2 defines the format of the rule files including the elements that supplement the constraints and Sub section 4 4 3 gives several illustrating examples of complete consistency rule files 4
39. an thus be a set of strings a set of booleans a set of numbers double In order to construct the set of values the two XPath expressions are evaluated and their results converted Expressions that result in strings directly are converted into a set of size 1 containing the string For example the expression oo becomes the set 00 the expression substring x name text 2 may become ristian The XPath 1 0 specification gives further details on which functions return strings Expressions that result in numbers directly are converted into a set of nubmers of size 1 containing the number For example 20 becomes the set 20 and count x b may become 2 Similarly expressions that result in booleans directly are converted into a set of booleans of size 1 containing only the boolean value For example true becomes true and x value gt 5 may become false What remains are expressions that produce node sets i e expressions like x name text which produces a list of text nodes x name which produces a list of attribute nodes and x name which produces a list of element nodes Any expression that produces a node set will be converted to a set of strings using the following conversion rules for every node n in the set If n is a text node attribute node comment node or CDATA node the value of the node is added to the result set If n is an element node all text node children of n are added
40. ar x in calculationPeriodFrequency gt lt implies gt lt or gt notequal opl x rollConvention text op2 NONE gt notequal opl x rollConvention text op2 SFE gt lt or gt lt or gt equal opl x period text 2 equal opl 2 x period text op2 2 Y or lt implies gt lt forall gt lt consistencyrule gt lt consistencyrule id r8 lt header gt lt author gt Daniel lt author gt lt description gt In swapStream paymentFrequency in paymentDates must be an integer multiple of calculationPeriodFrequency in calculationPeriodFrequency lt description gt lt header gt lt forall var x in swapStream gt forall var y in x paymentDates paymentFrequency forall var z in x calculationPeriodDates calculationPeriodFrequency gt Page 39 of 62 Date 25 06 02 lt operator name fpml is_period_multiple gt lt param name periodA value y periodMultiplier text gt lt param name unitA value Sy period text lt param name periodB value z periodMultiplier text gt lt param name unitB value z period text lt operator gt lt forall gt lt forall gt lt forall gt lt consistencyrule gt lt consistencyrule id r9 lt header gt lt author gt Christian lt author gt lt description gt lt description gt lt header gt lt forall var x in swapStream gt lt forall var y i
41. ate exists in paymentDates it must match one of the unadjusted calculation period dates Link Generation Consistent on Inconsistent on Page 49 of 62 Date 25 06 02 Rule forall x in swapStream forall y in x paymentDates exists 1 in y lastRegularPaymentDate implies x calculationPeriodDates firstPeriodStartDate unadjustedDate text 2Sy lastRegularPaymentDate text or forall s in x calculationPeriodDates effectiveDate count firstRegularPeriodStartDate 0 and count firstPeriodStartDate 0 x calculationPeriodDates firstPeriodStartDate count firstRegularPeriodStartDate 0 x calculationPeriodDates firstRegularPeriodStartDate forall in x calculationPeriodDates terminationDate count lastRegularPeriodEndDate 0 x calculationPeriodDates lastRegularPeriodEndDate fpml in_unadjusted_period_dates s unadjustedDate text s count unadjustedDate 0 text e unadjustedDate text e count unadjustedDate 0 text y lastRegularPaymentDate text x calculationPeriodDates calculationPeriodF requency periodMultiplier text x calculationPeriodDates calculationPeriodFrequency period text Consistency Rule r11 Description In Offset If the dayType element exists the period must be Offset defines paymentDaysOffset and rateCutOffDaysOffset Link Generation Consistent on Inconsistent on Rule forall x in paymentDaysOffset
42. cess is required to identify inconsistencies between them With the trend towards XML based information representation in finance and the resultant need for systematic ways of identifying and reconciling inconsistencies between XML documents UBS Warburg is sponsoring a PhD studentship at University College London The aim of the studentship which started in September 2001 is to investigate the management of inconsistency in processing XML based financial trading data for OTC derivative trades The associated business goal is to support more effective straight through processing of financial trading data The aim of this proposal is to put forward a validation rule language for FpML which can be used to unambiguously describe the rules and also to execute them It looks at the requirements for validation drawing on work carried out by the PhD student and the FpML Tools workshop in August 2001 It then puts forward the grammar syntax and operation of the validation rule language based on Xpath before setting out a sample ruleset for FpML 1 0 The Software Systems Engineering Group at University College London has a long standing interest in all aspects of inconsistency management The group has developed algorithms and technologies that support consistency checks across distributed data represented in XML The IPR of these algorithms and technologies have been transferred to Systemwire a UCL spin off company Systemwire markets a product family called
43. croy name text gt lt same opl Smacrox op2 Smacroy gt lt implies gt lt forall gt lt forall gt lt forall gt lt consistencyrule gt lt consistencyruleset gt 5 FpML 1 0 Validation Rules 5 1 History In Q1 2002 Steven Lord defined a number of FpML 1 0 Validation rules and circulated them within FpML These authors than formalized these rules using the xlinkit rule language And during the process of formalization a number of ambiguities were identified and resolved Furthermore it was found that several rules could be subsumed into single rules thus allowing for a more concise definition Also during the process we found rules that were missing The set of rules given in 4 3 does not yet include these missing rules as it was considered more important to give a realistic example for how validation rules could be specified rather than attempt to be complete 5 2 Rule development process In order to formalize these rules we defined them in first order logic and defined them in the XML encoding of xlinkit s rule language We then tested each of these rules using the example trade given in the FpML 1 0 standard The example was modified to force deliberate violations that were then to be identified by the xlinkit rule engine Steven Lord and Daniel Dui also evaluated the rules in a number of workshops and now agree that these are meaningful and important rules for FpML 5 3 Sample Rule Set ID Description 1 InswapStr
44. ctory as the rule set Example 3 1 Simple rule set RuleSet xmlns http www xlinkit com RuleSet 5 0 xmlns xsi http www w3 org 2001 XMLSchema instance xsi schemaLocation http www xlinkit com RuleSet 5 0 RuleSet xsd gt RuleFile href rule xml gt lt RuleSet gt Example 3 2 shows how to refine rule selection in a rule set using XPath expressions to pick out a subset of the rules from a rule file The expression rule consistencyrule id r3 matches the consistency rule whose id attribute is equal to r3 anywhere in the rule file Note how the XPath expression makes use of the rule namespace prefix that has Page 13 of 62 Date 25 06 02 previously been bound to the rule file namespace This is very important if the namespace prefix is not properly bound or left out altogether no rules will be matched and xlinkit will return an error Example 3 2 Rule selection lt RuleSet xmlns http www xlinkit com RuleSet 5 0 xmlns rule http www xlinkit com ConsistencyRuleSet 5 0 xmlns xsi http www w3 org 2001 XMLSchema instance xsi schemaLocation http www xlinkit com RuleSet 5 0 RuleSet xsd gt lt RuleFile href rule xml xpath rule consistencyrule id r3 gt lt RuleSet gt Finally Example 3 3 shows a fully flegded rule set with metadata and operator set inclusion It retrieves the operator set from a remote server as well as including another additional rule set from a remote server Ex
45. cy periodMultiplier text x calculationPeriodDates calculationPeriodFrequency period text Consistency Rule r17 Description swapstream calculationPeriodAmount calculation compoundingMethod must exist if and only if paymentDates paymentFrequency and calculationPeriodDates calculationPeriodFrequency are different Link Generation Consistent on Inconsistent on Rule forall x in swapStream exists y in x calculationPeriodAmount calculation compoundingMethod lt gt not x paymentDates paymentFrequency periodMultiplier text x calculationPeriodDates calculationPeriodFrequency periodMult iplier text and x paymentDates paymentFrequency period text x calculationPeriodDates calculationPeriodFrequency period text Consistency Rule r18 Description swapStream if initialStub exists in stubCalculationPeriodAmount at least one of either firstPeriodStartDate or firstRegularPeriodStartDate must exist in the calculationPeriodDates referenced by stubCalculationPeriodAmount Link Generation Consistent on Inconsistent on Rule forall x in swapStream exists y in x stubCalculationPeriodA mount initialStub implies exists z in x calculationPeriodDates firstPeriodStartDate or exists z in x calculationPeriodDates firstRegularPeriodStartDate and x calculationPeriodDates id substring x stubCalculationPeriodAmount calculationPeriodDatesReference href 2 Consis
46. d in two different files that have been included in the same rule set the xpath attribute of the declaration must also match otherwise the rule set is invalid See Example 4 6 for an example of how to use a global set 4 5 2 Consistency rules As the schema in Figure 4 14 shows a consistency rule consists of three parts a header that defines the metadata a linkgeneration element that controls the way xlinkit produces hyperlinks and the formula itself which must start with a Forall Every consistency rule must provide an id attribute for unique identification in the rule According to the XML specification this identifier has to be unique inside the rule file We recommend that identifiers are made unique within a larger context for example a set of rule files for a specific markup language The header contents can be used freely to associate any metadata with the rule The project element however is reserved to take up a special role in future versions of xlinkit It will be used together with the id attribute to uniquely identify rules and make it possible to identify rules that have been spread over several files using a project id pair The element may become mandatory in future versions of xlinkit 4 5 2 1 Link Generation The optional 1linkgeneration element may contain a number of directives that control the diagnostic output produced by xlinkit consistent controls whether elements that are obey a constraint should be explicitly
47. djustedDate 0 text lt param name checkdate value y lastRegularPaymentDate text lt param name period value x calculationPeriodDates calculationPeriodFrequency periodMultiplier text lt param name periodunit value x calculationPeriodDates calculationPeriodFrequency period text gt lt operator gt lt forall gt lt forall gt lt or gt lt implies gt lt forall gt lt forall gt lt consistencyrule gt lt consistencyrule 19 11 gt lt header gt lt description gt In FpML Offset If the dayType element exists the period must be D FpML Offset defines paymentDaysOffset and rateCutOffDaysOffset description lt header gt lt linkgeneration gt lt eliminatesymmetry status on gt lt linkgeneration gt lt forall var x in paymentDaysOffset rateCutOffDaysOffset gt lt implies gt exists var y in x dayType gt equal opl 2 x period text op2 D gt lt implies gt lt forall gt lt consistencyrule gt Page 41 of 62 Date 25 06 02 lt consistencyrule 19 12 gt lt header gt lt description gt In FpML_Offset If the dayType is Business the periodMultiplier must be non zero lt description gt lt header gt lt linkgeneration gt lt eliminatesymmetry status on gt lt linkgeneration gt lt forall var x in paymentDaysOffset rateCutOffDaysOffset gt lt implies gt equal opl
48. e gt xs attribute name size type xs int use optional default 0 gt xs extension xs complexContent lt xs complexType gt lt xs element gt lt xs element name intersect gt lt xs complexType gt lt xs complexContent gt lt xs extension base binPredicateType gt xs attribute name size type xs int use optional default 0 gt xs extension xs complexContent lt xs complexType gt lt xs element gt lt xs element name operator lt xs complexType gt lt xs sequence gt lt xs element name param minOccurs 0 maxOccurs unbounded gt lt xs complexType gt xs attribute name name type xs string use required gt xs attribute name value type xs string use required gt xs complexType xs element xs sequence xs attribute name name type xs string use required lt xs complexType gt lt xs element gt lt xs group name formulaGroup gt lt xs choice gt lt xs element ref forall gt lt xs element ref exists gt lt xs element ref equal gt lt xs element ref notequal gt lt xs element ref same gt lt xs element ref intersect gt lt xs element ref subset gt lt xs element ref and gt lt xs element ref or gt lt xs element ref implies gt lt xs element ref iff gt lt xs element ref not gt lt xs element ref operator gt xs any namespace http www xlinkit com Macro 5 0 processContents s
49. e default name space to the rule namespace at the output element so that we can use the formula elements without further prefixes We reference 1ist parameter using list in forall expression When the macro is invoked this parameter reference will be replaced with the actual expression To avoid any name clashes that might arise when inserting the macro into a parent formula we use macrox and macroy as our internal variable names but any variable name is allowed Page 29 of 62 Date 25 06 02 Example 6 2 Macro Definition lt macro definitions xmlns macro http www xlinkit com Macro 5 0 xmlns xsi http www w3 org 2001 XMLSchema instance xsi schemaLocation http www xlinkit com Macro 5 0 Macro xsd gt lt macro macro name unique gt lt macro param name list gt lt macro param name identifier gt macro output xmlns http www xlinkit com ConsistencyRuleSet 5 0 forall var macrox in list gt forall var macroy in Slist gt lt implies gt equal opl S macrox Sidentifier op2 Smacroy Sidentifier gt same opl Smacrox op2 Smacroy gt lt implies gt lt forall gt lt forall gt lt macro output gt lt macro macro gt lt macro definitions gt 4 7 2 Macro Inclusion and Processing Macros may be included in a rule file using the include element which is also contained in the macro namespace Section 4 2 specifies where the element may appear in a rule file
50. e managed out of bound as collections of links termed linkbases These features allow us to capture complex relationships between a multitude of elements that are involved in an inconsistency without altering any of the inconsistent documents The linkbases generated by xlinkit form an ideal intermediate representation from which different forms of higher level diagnoses can be derived Firstly xlinkit has a report generator that takes report templates and uses the linkbase to obtain details of the elements involved in an inconsistency to provide a report similar to an error report that a compiler generates Secondly xlinkit has a servlet that can read a linkbase and allows users to select a link and it will then open the documents referenced in the link navigate to elements identified in the link and in that way assist users to understand the links Xlinkit also has a linkbase processor that folds links back into the documents so that both consistent and inconsistent data can be captured as hyperlinks It depends on the application domain which of these higher level diagnoses mechanisms is most appropriate For the domain discussed in this paper we found the report generation to have generated most interest among our partners in various investment banks 3 2 Attribute Grammars There is a large body of work on validation of constraints of context free languages in Compiler construction The constraints that are considered are typically static semant
51. e non zero value FpML Fee defines additionalPayment and otherPartyPayment description lt header gt lt linkgeneration gt lt eliminatesymmetry status on gt lt linkgeneration gt lt forall var x in additionalPayment otherPartyPayment gt lt forall var y in Sx paymentAmount amount gt notequal opl y text 2 0 00 forall lt forall gt lt consistencyrule gt lt consistencyrule id r24 gt lt header gt lt description gt In swapStream if calculationPeriodAmount calculation compoundingMethod exists resetDates must exist lt description gt lt header gt lt linkgeneration gt lt eliminatesymmetry status on gt lt linkgeneration gt lt forall var x in swapStream gt lt implies gt lt exists var y in S x calculationPeriodAmount calculation compoundingMethod gt exists var y in x resetDates gt lt implies gt lt forall gt lt consistencyrule gt lt consistencyrule id r25 gt lt header gt lt description gt In calculationPeriodDates effectiveDate must be before the terminationDate lt description gt lt header gt lt linkgeneration gt lt eliminatesymmetry status on gt lt linkgeneration gt Page 46 of 62 Date 25 06 02 lt forall var x in calculationPeriodDates gt forall var y in x terminationDate forall var z in x effectiveDate operator name fpml greater_than
52. eam resetDates must exist if and only if a floatingRateCalculation exists in calculation 2 InswapStream resetDates must not exist if and only if fixedRateSchedule exists in calculation 3 In FpML_BusinessDayAdjustments neither businessCentersReference nor businessCenters must exist if and only if the value of businessDayConvention is NONE FpML_BusinessDayAdjustments defines calculationPeriodDatesAdjustments date Adjustments paymentDatesAdjustments and resetDatesAdjustments 4 IncalculationPeriodDates firstPeriodStartDate and should not equal effectiveDate 5 IncalculationPeriodDates terminationDate and lastRegularPeriodEndDate must not be the same Page 31 of 62 Date 25 06 02 6 10 11 12 13 14 15 16 17 18 19 20 21 CalculationPeriodFrequency must divide the regular period precisely This is the period between the following pairs of dates depending on which are present in the document effectiveDate and terminationDate if neither firstPeriodStartDate nor firstRegularPeriodStartDate nor lastRegularPeriodEndDate exist firstPeriodStartDate and terminationDate if firstPeriodStartDate exists and neither firstRegularPeriodStartDate nor lastRegularPeriodEndDate exist firstRegularPeriodStartDate and terminationDate if firstPeriodStartDate does not exist firstRegularPeriodStartDate exists and lastRegularPeriodEndDate does not exist effectiveDate and lastRegularPer
53. ence gt lt xs complexType gt lt xs element gt lt xs element name macro gt lt xs complexType gt lt xs sequence gt lt xs element ref header minOccurs 0 gt lt xs element ref param minOccurs 0 maxOccurs unbounded gt lt xs element ref output gt lt xs sequence gt xs attribute name name type xs string use required gt lt xs complexType gt lt xs element gt lt xs element name output gt lt xs complexType gt xs sequence xs any namespace http www xlinkit com ConsistencyRuleSet 5 0 processContents skip xs sequence xs complexType xs element xs element name param xs complexType xs attribute name name type xs string use required lt xs complexType gt lt xs element gt lt xs element name header gt Page 61 of 62 Date 25 06 02 lt xs complexType gt lt xs sequence gt lt xs choice maxOccurs unbounded gt lt xs element name author type xs string gt lt xs element name description gt lt xs complexType mixed true gt lt xs sequence gt xs any namespace http www w3 0rg 1999 xhtml processContents skip minOccurs 0 maxOccurs unbounded xs sequence xs complexType xs element lt xs element name project type xs string gt lt xs element name comment type xs string gt xs any namespace http www xlinkit com Metadata 5 0 processContents skip xs choice xs seq
54. er gt lt author gt Christian Nentwich lt author gt lt description gt An invalid rule the forall is empty lt description gt lt project gt xlinkit Language Reference lt project gt lt comment gt This is broken Fix it lt comment gt lt header gt lt forall gt lt consistencyrule gt Example 1 2 demonstrates the use of additional XHTML elements in a document set description Notice how the XHTML namespace is bound to the prefix x and the prefix is used on the XHTML elements Failure to use the prefix would cause a validation error Example 1 2 Using XHTML in Descriptions lt DocumentSet gt lt header gt description xmlns x http www w3 org 1999 xhtml There is a problem with this lt x tt gt DocumentSet lt x tt gt The namespace declaration is lt x b gt missing lt x b gt description lt header gt lt DocumentSet gt Finally Example 1 3 demonstrates how to create customised metadata elements In the example we create our own version element and a reviewers element that lists the developers who have reviewed a particular consistency rule All the elements are in the metadata namespace which is bound to the prefix meta at the header element In files where many extended headers are used the prefix could be bound at the root element to avoid having to rebind it Example 1 3 Customised Metadata lt consistencyrule gt header xmlns meta http www xlinkit com Metadata 5 0 meta version 1
55. esentation Figure 4 8 shows the XML representation for No attributes or elements beyond those already specified in the abstract syntax are required The same comments as for the And XML encoding apply Figure 4 8 Iff XML Representation lt iff gt Formula Formula lt iff gt 4 4 1 7 8 Not not Formula Not computes the logical negation of its subformula Table 4 5 gives the truth table Page 18 of 62 Date 25 06 02 Table 4 5 Not truth table Formula not Formula true False false True XML Representation Figure 4 9 shows the XML representation for Not No attributes or elements beyond those already specified in the abstract syntax are required Figure 4 9 Not XML Representation not Formula not 4 4 1 8 Equal 9 Equal XPath XPath Equal compares two sets of values for equality The two sets are constructed by evaluating the two parameter XPath expressions The two XPath expressions must either return primitive values like strings or numbers or they must be relative to a variable Thus the following expressions are legal oo 5 x name text while the following is illegal name text absolute expression Value sets Before defining the behaviour of Equal we will define how it evaluates its XPath expressions to produce value sets entries a value set must be of the same type determining the type of the set A value set c
56. esentation for Operator The parameters are passed as subelements Figure 4 13 Operator XML Representation operator name prefix name gt lt param name paraml value val gt lt param name param2 value val gt lt operator gt Page 22 of 62 Date 25 06 02 4 4 1 13 Complete Grammar xlinkit Constraint Language 4 5 Rule file A rule file called a consistency rule set for historical reasons but not to be confused with a rule set consists of namespace declarations global set declarations macro inclusion commands and consistency rules expressed in the xlinkit constraint language The consistency rules themselves provide additional mechanisms on top of the constraint language such as metadata The namespace for rule sets is http www xlinkit com ConsistencyRuleSet 5 0 Figure 4 14 gives a graphical overview of the schema leaving the metadata header collapsed Figure 4 14 Rule file schema The root element of a rule is consistencyruleset It does not contain any attributes but may contain namespace definitions Any prefix that is bound to a URI at the consistencyruleset element can be used inside XPath expressions in constraints You can find an illustration of this in Example 4 5 macro include the rule file may contain macro inclusion elements The schema allows any element from http www xlinkit com Macro 5 0 namespace which has been bound to the prefix
57. f calendarEqual current checkcal return true current add unitfield period if checkcal equals endcal return true return false Page 35 of 62 Date 25 06 02 function unadjusted period dates divides startdate enddate period periodunit Create java util Calendar objects for each date startcal createCalendar startdate getNodeValue ndcal createCalendar enddate getNodeValue If dates cannot be created bail out if startcal null endcal null return false period java lang Integer parseInt period getNodeValue unitstring new java lang String periodunit getNodeValue unitfield java util Calendar DAY OF YEAR if unitstring equals W period period 7 else if unitstring equals M unitfield java util Calendar MONTH else if unitstring equals Y unitfield java util Calendar YEAR else if unitstring equals D return false current startcal whil current before endcal printcal current printcal endcal java lang System out println if calendarEqual current endcal return true current add unitfield period if calendarEqual current endcal return true else return false function is period multiple periodA unitA periodB unitB periodA java lang Integer parseInt periodA getNodeValue unitA new java lang String unitA getNodeValue period
58. fined as follows it executes the expression contained in XPath on all documents of the document set The working set of the quantifier is then defined to be the union of all nodes returned from all documents in the document set The quantifier binds each node to the variable in turn calling the subformula to evaluate itself given the new variable binding It returns t rue if the subformula evaluation returns t rue for all assignments of the variable else it returns false Figure 4 1 specifies the behaviour in pseudocode The abstract syntax permits the omission of a subformula for the forall operator If no subformula is present the subformula will be set to True and the quantifier will return t rue regardless of where the XPath expression is pointing Figure 4 1 Forall evaluation pseudo code forall binding begin workingset 0 for all doc in DocumentSet do workingset workingset evaluate XPath done result true for all node in workingset do binding binding Variable node result result Formula evaluate binding binding binding Variable node done return result end XML Representation Figure 4 2 shows the XML representation for 11 No attributes or elements beyond those already specified in the abstract syntax are required Figure 4 2 Forall XML Representation lt 11 var variable in xpath gt Formula lt forall gt 4 4 1 2 Exists 3 Exists exists Variable in X
59. fits of xlinkit arbitrary distribution of content abstraction from underlying data formats specification of complex constraints integration of heterogeneous data and a flexible approach to consistency management Figure 1 shows how the various artifacts provided by xlinkit are interrelated Figure 1 Language family overview Reference EN Proprietary Macro Operator Reference Definition File Implementation Rule file Database Proprietary Rule Set Document Set Page 9 of 62 Date 25 06 02 This document will discuss the artifacts shown in the Figure Section defines common mechanisms that appear in all artifacts the referencing mechanism used in the Figure and xlinkit s metadata system Section 2 defines document sets and Section 3 rule sets Section 4 defines rule files and the xlinkit constraint language Section 5 specifies xlinkit s operator plugin mechanisms operator sets and operator implementations and Section 6 defines macro files 4 1 Common Mechanisms This section summarises the mechanisms that are common to all xlinkit input files the referencing mechanism for loading data files and the metadata for describing the input files 4 1 1 Referencing Many files in the xlinkit family contain references rule sets reference rule files and further rule sets operator sets reference operator implementations and so on xlinkit therefore defines what such a reference should look like In general refe
60. fix i e the connective frames its subformulae whereas the abstract syntax is infix i e the connective is located between its parameters In the XML syntax note that still exactly two subformulae must be present Figure 4 5 And XML Representation lt and gt Formula Formula lt and gt 4 4 1 4 5 Formula Formula The behaviour of Or also matches its definition in classical logic it returns true if either subformula evaluates to true otherwise it returns false Table 4 2 specifies the behaviour exhaustively In the table Formu1aa refers to the first subformula and FormulaB to the second Table 4 2 Or truth table FormulaA FormulaB FormulaA FormulaB true True true true False true false True true false False false XML Representation Figure 4 6 shows the XML representation for Or No attributes or elements beyond those already specified in the abstract syntax are required The same comments as for the And XML encoding apply Figure 4 6 Or XML Representation lt or gt Formula Formula lt or gt 4 4 1 5 Implies 6 Implies Formula implies Formula We use the classical definition of Implies which is summarised in Table 4 3 In table Formulaa refers to the first subformula and Formulas to the second The only way an implication can be false if the first subformula is t rue and the second one is alse for example I am strong implies I can
61. function namespace prefixes bound at this element be used in XPath queries to pick out particular rules For more information see the definition of RuleFile below and Example 3 2 header A rule set can contain the usual metadata as defined in the common mechanisms No additional meanings are defined for the metadata in the context of a rule set and it can be used freely RuleFile In the current version of the language consistency rules must be stored in the xlinkit XML format for consistency rules The required attribute hre fis therefore a reference that denote a URL or filename The optional xpath attribute can be used to fine tune which rules are included from a rule file that contains multiple rules By default that is in the absence of the parameter all rules are included A parameter such as rule consistencyruleset rule consistencyrule 1 where rule has been bound to the rule file namespace at the root element can be used to pick out the first rule of the file Operators includes an operator set into this rule set If any of the rules in the rule set make use of operators they have to be included here The required href attribute must identify a valid operator set file 4 3 2 Examples Example 3 1 shows a typical rule set that includes a single rule file picking all rules from the file for checking and no metadata It references the file using its filename rule xm1 so file has to be present in the same dire
62. g xlinkit to express the validation rules for FpML 1 0 We will first review the expressiveness of the xlinkit rules and then report the performance measurements 7 1 Coverage of Requirements The table below shows the extent to which we have demonstrated in this proposal how well xlinkit addresses the requirements defined in Section 2 R2 1 1 Semantic Validation Xlinkit expresses static semantic validation rules that are beyond the syntactic rules that can be expressed in DTD or XML Schema R2 1 2 XML based Definition The various xlinkit languages have a concrete syntax defined in XML Schea and shown in Appendix 9 2 1 3 GUI tools to formulate and update rules Systemwire has alpha release GUI tools for editing xlinkit rules but these have not been discussed in this report IR2 2 Multiple distributed rule sets Rules are grouped into rule files and rule files are aggregated in rule sets URLs are used to reference rules on remote web servers R2 3 1 Comparison to external data sources When expressing rules xlinkit does not assume any location information Multiple documents can be checked by including them into a document set This feature is not yet used in the FpML 1 0 validation rules 2 3 2 Check against non FpML languages xlinkit assumes that each document references its schema definition There is no restriction on the number of different schema used IR2 3 3 Distributed data sources
63. gRateCalculation lt iff gt lt forall gt lt consistencyrule gt lt consistencyrule id r2 gt lt header gt lt description gt In swapStream element ResetDates must not exist if and only if element fixedRateSchedule exists in the calculation element lt description gt lt header gt lt linkgeneration gt lt eliminatesymmetry status on lt linkgeneration gt lt forall var x lt iff gt lt not gt exists var y in x resetDates gt lt not gt exists var z iff lt forall gt lt consistencyrule gt in swapStream gt in x calculationPeriodAmount calculation fixedRateSchedule gt lt consistencyrule id r3 gt lt header gt lt description gt In FpML_BusinessDayAdjustments neither businessCentersReference nor businessCenters must exist if and only if the value of businessDayConvention is NONE FpML BusinessDayAdjustments defines calculationPeriodDatesAdjustments dateAdjustments Page 37 of 62 Date 25 06 02 paymentDatesAdjustments resetDatesAdjustments lt description gt lt header gt lt linkgeneration gt lt eliminatesymmetry status on gt lt linkgeneration gt lt forall var x in calculationPeriodDatesAdjustments dateAdjustments paymentDatesAdjustments resetDatesAdjustments gt lt iff gt equal opl 2 x businessDayConvention text op2 NONE gt lt and gt lt not gt lt exists var y lt not g
64. h must be Y M W D For example 6 years is an integer multiple of 3 months lt x b gt Note lt x b gt This operator can only compare pairs of months and years and weeks and days respectively Comparing months to weeks or days etc is illegal lt description gt lt param name periodA type node gt lt param name unitA type node gt lt param name periodB type node gt lt param name unitB type node gt lt OperatorDefinition gt lt OperatorSet gt 6 1 2 Operator Definition function greater_than date_a date_b if one does not exist return false if date_a getLength 1 date_b getLength 1 return false Date format is YYYY MM DD S new java lang String date a item 0 getNodeValue t new java lang String date b item 0 getNodeValue return s compareTo t gt 0 function createCalendar date var digits new Array 0 1 2 3 5 6 8 9 for 1 0 1 lt 8 1 if java lang Character isDigit date charAt digits i return null year java lang Integer parseInt date substring 0 4 month java lang Integer parseInt date substring 5 7 1 day java lang Integer parseInt date substring 8 10 cal java util Calendar getInstance cal set year month day 0 0 0 Page 34 of 62 Date 25 06 02 return cal function calendarEqual calA calB return calA get java util Calendar YEAR calB get java util Calenda
65. have provided evidence that xlinkit is expressive enough to concisely formalize all constraints for FpML 1 0 that we defined We have customized the xlinkit rule engine to directly check one FpML trade document and have made that FpML validator available as a reference implementation on the systemwire web site We have done some extensive performance analysis and shown that the 28 FpML 1 0 validation rules can be executed in less than a second We have also shown that there is considerable benefit in formalizing the static semantics of FpML trades These observations lead us to conclude that xlinkit should be adopted as the standard FpML validation language and for FpML Product Working groups to use xlinkit to precisely define the constraints they wish to impose on rules We would expect that such adoption of xlinkit would have a very positive effect on the efficiency with which financial trade ocuments can be handled both across FpML organizations but also within different departments of the same organization 9 APPENDIX 9 1 Rule language syntax XML Schema lt xml version 1 0 encoding UTF 8 gt lt xs schema targetNamespace http www xlinkit com ConsistencyRuleSet 5 0 xmlns http www xlinkit com ConsistencyRuleSet 5 0 xmlns xs http www w3 0rg 2001 XMLSchema elementFormDefault qualified attributeFormDefault unqualified gt lt xs element name consistencyruleset lt xs complexType gt lt xs sequence gt xs any namespace
66. he form The validator will then execute the 28 rules identified in the previous section that check the validity of dates proper referencing between business centers and more These hyperlinks will connect elements in the FpML document that are in violation of a constraint for example two business center elements These hyperlinks are not intended for human consumption but as an intermediate representation based on which higher level diagnostic tools can be built very easily Because it is based on XLink xlinkit s hyperlinks can have more than two endpoints Since there is no browser that can currently display such links we render the links into HTML and show where each endpoint or locator is pointing Each locator will point into the file and use XPath to highlight which element it is pointing to f Bookmarks Location rt conv Iova Fd E Googe 2 j ZEPhones i IEL ACMDL Location gt xlinkit main page gt xlinkit FpML Validator You can use this form to validate an FpML 1 0 compliant document Just enter the URL of your document below and click on the button Disclaimer We assume no responsibility for the security of your data Your document will be submitted unencrypted over the public Internet and may be compromised FpML Document URL pil Validate Page 53 of 62 Date 25 06 02 7 Evaluation In this chapter we will reflect on the experience that we made when usin
67. ic constraints such as scoping and typing rules These constraints are specified using for example attribute grammars 4 which have been shown to be efficiently executable by compilers Attribute grammars are not very concise specifications of consistency as one constraint is typically spread over a large Page 7 of 62 Date 25 06 02 number of products On the other hand they been shown to be very amenable to efficient execution 5 6 which is important property when considering compiling large amounts of source code on slow processors We have made a slightly different trade off decision with xlinkit and favour conciseness of the constraint definition over efficiency This is particularly appropriate given the small size of derivative trade documents which are in the order of 17KBytes Moreover it would be difficult to integrate attribute grammars with XML parsers as the attribute grammar approaches assume that an integrated compiler is generated while XML parsers are generic and work in a customized manner The work on attribute grammars was then taken on for the construction of syntax directed editors and software engineering environments such as Gandalf 7 Synthesizer Generator 8 IPSEN 9 Centaur 10 and GOODSTEP 11 The focus of these environments was to incrementally check constraints during editing This could only be achieved by translating attribute or graph grammars into efficiently executable code Our focus
68. in type xs string use required gt xs attribute name mode use optional default exhaustive gt lt xs simpleType gt xs restriction base xs NMTOKEN gt lt xs enumeration value exhaustive gt lt xs enumeration value instance gt xs restriction xs simpleType xs attribute lt xs complexType gt lt xs complexType name binOperatorType gt lt xs group ref formulaGroup minOccurs 2 maxOccurs 2 gt lt xs complexType gt lt xs complexType name binPredicateType gt Page 57 of 62 Date 25 06 02 xs attribute 1 type xs string use required xs attribute name op2 type xs string use required xs complexType lt xs element name forall type quantifierType gt lt xs element name and type binOperatorType gt lt xs element name or type binOperatorType gt lt xs element name implies type binOperatorType gt lt xs element name iff type binOperatorType gt lt xs element name not gt lt xs complexType gt lt xs group ref formulaGroup gt lt xs complexType gt lt xs element gt lt xs element name exists type quantifierType gt lt xs element name equal type binPredicateType gt lt xs element name notequal type binPredicateType gt lt xs element name same type binPredicateType lt xs element name subset gt lt xs complexType gt lt xs complexContent gt lt xs extension base binPredicateTyp
69. in the boolean set false Casting Since Equal and other predicates that rely on value sets have to compare two or more sets for equality casting rules have to be defined for those cases where the sets are of a different type Table 4 6 shows what type both sets will be converted to given their own types i e in practice one set will remain unchanged and the other downcast Table 4 6 Value set casting rules Setl Set2 Base type Number Boolean Boolean Number Strings Strings Boolean Strings Strings The base type for all sets is thus a set of strings The conversion rules for converting between set types are as follows Number to Boolean The first entry in the set of numbers is compared to 0 If it is non zero a boolean set of size 1 with the value true is returned else the set false is returned For example the set 5 becomes true and the set 0 becomes false Number to Strings The first number in the set is directly converted into a string and placed into a new set e g 5 becomes 5 Boolean to Strings The first boolean in the set is directly converted into the string true or false depending on its value and placed into a new set e g true becomes true Using these casting rules it is now possible to compare sets of different types Taking the data from Example 4 1 we can for example compare count x product a number to x number text a string and the
70. iodEndDate if firstPeriodStartDate and firstRegularPeriodStartDate do not exist and lastRegularPeriodEndDate exists firstRegularPeriodStartDate and terminationDate if firstPeriodStartDate and firstRegularPeriodStartDate exist and lastRegularPeriodEndDate does not exist firstPeriodStartDate and lastRegularPeriodEndDate if firstPeriodStartDate exists firstRegularPeriodStartDate does not exist and lastRegularPeriodEndDate exists firstRegularPeriodStartDate and lastRegularPeriodEndDate if firstPeriodStartDate does not exist firstRegularPeriodStartDate exists and lastRegularPeriodEndDate exists e firstRegularPeriodStartDate and lastRegularPeriodEndDate If all of firstPeriodStartDate firstRegularPeriodStartDate and lastRegularPeriodEndDate exists In calculationPeriodFrequency if rollConvention is not either NONE or SFE then the period must be M or Y In PaymentFrequency and calculationPeriodFrequency PaymentFrequency must be an integer multiple could be 1 of the calculationPeriodFrequency In swapStream if firstPaymentDate exists in paymentDates it must match one of the unadjusted calculation period dates In swapstream if lastRegularPaymentDate exists in paymentDates it must match one of the unadjusted calculation period dates In Offset If the dayType element exists the period must be D 76b FpML Offset defines paymentDaysOffset and rateCutOffDaysOffset In FpML Offset If the dayT
71. ish attempting to be as precise as possible We have then formalized these constraints using the xlinkit rule language During this process we have identified many ambiguities and we had to discuss the meaning of some rules with our business contact Once formalized we were able to reformulate the original constraint in English albeit in a more precise way We give an example now We were first given the following description of a constraint BusinessCentersReference must reference a businessCenter element within the document We translated that into the following xlinkit rule lt forall var x in businessCentersReference gt exists var y in businessCenters gt equal opl substring x href 2 op2 Sy id gt lt exists gt lt forall gt Once we had gone through the formalization we were able to capture the meaning of the constraint more precisely as In businessCentersReference there shall be businessCenters element where the href attribute of the businessCentersReference element matches the attribute id of the businessCenters element This new description formulation identifies explicitly the attributes to compare which was unclear in the original formulation The xlinkit rule also shows exactly what it is meant with matches If the id value is primaryBusinessCenter then the href values referencing it must have value primaryBusinessCenter with a leading hash symbol Hence using an XPath
72. k Generation Consistent on Inconsistent on Rule forall x in swapStream forall y in x paymentDates paymentFrequency forall z in x calculationPeriodDates calculationPeriodFrequency fpml is_period_multiple y periodMultiplier text y period text z periodMultiplier text z period text Consistency Rule r9 Description Link Generation Consistent on Inconsistent on Rule forall x in swapStream forall y in x paymentDates exists 1 in y firstPaymentDate implies x calculationPeriodDates firstPeriodStartDate unadjustedDate text y firstPaymentDate text or forall s in x calculationPeriodDates effectiveDate count firstRegularPeriodStartDate 0 and count firstPeriodStartDate 0 x calculationPeriodDates firstPeriodStartDate count firstRegularPeriodStartDate 0 x calculationPeriodDates firstRegularPeriodStartDate forall e in x calculationPeriodDates terminationDate count lastRegularPeriodEndDate 0 x calculationPeriodDates lastRegularPeriodEndDate fpml in_unadjusted_period_dates s unadjustedDate text s count unadjustedDate 0 text e unadjustedDate text Se count unadjustedDate O text SylfirstPaymentDate text x calculationPeriodDates calculationPeriodFrequency periodMultiplier text x calculationPeriodDates calculationPeriodFrequency period text Consistency Rule r10 Description In swapstream if lastRegularPaymentD
73. kip gt lt xs choice gt xs group xs schema 9 2 Document Set Definition syntax XML Schema lt xml version 1 0 encoding UTF 8 lt xs schema targetNamespace http www xlinkit com DocumentSet 5 0 xmlns xs http www w3 org 2001 XMLSchema xmlns http www xlinkit com DocumentSet 5 0 Page 58 of 62 Date 25 06 02 elementFormDefault qualified attributeFormDefault unqualified gt lt xs element name DocumentSet lt xs complexType gt lt xs sequence gt lt xs element ref header minOccurs 0 gt lt xs sequence gt lt xs choice maxOccurs unbounded gt lt xs element name Document gt lt xs complexType gt xs attribute name href type xs string use required gt lt xs attribute name fetcher type xs string use optional default FileFetcher gt lt xs complexType gt lt xs element gt lt xs element name Set gt lt xs complexType gt xs attribute name href type xs string use required gt lt xs complexType gt lt xs element gt lt xs choice gt lt xs sequence gt lt xs sequence gt xs attribute name name type xs string use optional lt xs complexType gt lt xs element gt lt xs element name header lt xs complexType gt lt xs sequence gt lt maxOccurs unbounded gt lt xs element name author type xs string gt lt xs element name description gt lt xs complexType mixed true gt lt xs
74. l rateCutOffDaysOffset exists y x dayType implies x period text D Consistency Rule r12 Description In Offset If the dayType is the periodMultiplier must be non zero Link Generation Consistent on Inconsistent on Rule forall x in paymentDaysOffsetl rateCutOffDaysOffset x dayType text Business implies x periodMultiplier text 0 Consistency Rule r13 Description In FpML_RelativeDate Offset If the dayType is then the businessDayConvention should be FpML_RelativeDateOffset defines fixingDateOffset and fixingDates Link Generation Consistent on Inconsistent on Rule forall x in fixingDateOffsetl fixingDates x dayType text Business implies x businessDayConvention text NONE Consistency Rule r14 Description resetFrequency weeklyRollConvention must exist if and only if the period is Link Generation Consistent on Inconsistent on Rule forall x in resetFrequency exists y x weeklyRollConvention lt gt x period text W Consistency Rule r15 Description In swapStream calculationPeriodFrequency in calculationPeriodDates is integer multiple of resetFrequency in resetDates Link Generation Consistent on Inconsistent on Rule forall x in swapStream forall y in x resetDates resetFrequency foral
75. l z in x calculationPeriodDates calculationPeriodFrequency fpml is period multiple z periodMultiplier text Sz period text y periodMultiplier text y period text Consistency Rule r16 Description In notionalStepSchedule fixedRateSchedule capRateSchedule floorRateSchedule and spreadSchedule if step exists stepDates in step must match one of the unadjusted calculation period dates Link Generation Consistent on Inconsistent on Page 50 of 62 Date 25 06 02 Rule forall x in swapStream forall y in x notionalStepSchedule x fixedRateSchedule x capRateSchedule x floorRateSchedule x knownAmountSchedule x spreadSchedule forall z in y step stepDate x calculationPeriodDates firstPeriodStartDate unadjustedDate text z text or forall s in x calculationPeriodDates effectiveDate count firstRegularPeriodStartDate 0 and count firstPeriodStartDate 0 x calculationPeriodDates firstPeriodStartDate count firstRegularPeriodStartDate 0 x calculationPeriodDates firstRegularPeriodStartDate forall e in x calculationPeriodDates terminationDate count lastRegularPeriodEndDate 0 x calculationPeriodDates lastRegularPeriodEndDate fpml in_unadjusted_period_dates s unadjustedDate text s count unadjustedDate 0 text e unadjustedDate text e count unadjustedDate 0 text z text x calculationPeriodDates calculationPeriodFrequen
76. lift anything Note in particular that if FormulaA is false the outcome of evaluating FormulaB is irrelevant the result will be true This is taking the classical view that anything may follow from a false premise For example the sentence If five divides eleven I will be king is considered true even if I will never be king Page 17 of 62 Date 25 06 02 Table 4 3 Implies truth table FormulaA FormulaB FormulaA implies FormulaB true True true true False false false True true false False true XML Representation Figure 4 7 shows the XML representation for Implies No attributes or elements beyond those already specified in the abstract syntax are required The same comments as for the And XML encoding apply Figure 4 7 Implies XML Representation implies Formula Formula lt implies gt 4 4 1 6 Iff 7 Iff Formula iff Formula Iff is a traditional shorthand for if and only if It is a convenient way of expression a two way implication FormulaA iff FormulaB is thus equivalent to FormulaA implies FormulaB and FormulaB implies FormulaA Table 4 4 gives the truth table for iff It returns true if the result of evaluating both subformulae is equal otherwise it returns false Table 4 4 Iff truth table FormulaA FormulaA FormulaB true True true true False false false True false false False true XML Repr
77. lt xs element ref header minOccurs 0 gt lt xs choice maxOccurs unbounded gt lt xs element name Operators gt lt xs complexType gt xs attribute name href type xs string use required gt lt xs complexType gt lt xs element gt lt xs element name OperatorDefinition gt lt xs complexType gt lt xs sequence gt lt xs element name description minOccurs 0 maxOccurs 1 gt lt xs complexType mixed true gt lt xs sequence gt xs any namespace http www w3 0rg 1999 xhtml processContents skip minOccurs 0 maxOccurs unbounded xs sequence lt xs complexType gt lt xs element gt lt xs element name param minOccurs 0 maxOccurs unbounded gt lt xs complexType gt xs attribute name name type xs string use required gt xs attribute name type type ParameterType use required gt xs complexType xs element xs sequence xs attribute name name type xs string use required lt xs complexType gt xs unique name ParamUnique gt lt xs selector xpath param gt lt xs field xpath name gt lt xs unique gt lt xs element gt lt xs choice gt Page 60 of 62 Date 25 06 02 lt xs sequence gt xs attribute name name type xs string use required gt xs attribute name impl type xs string use required gt lt xs complexType gt lt xs element gt lt xs element name header lt xs complexType gt lt xs seq
78. ly used formulae which increases reuse They also make rules easier to read since they can be used to replace complex formulae with a simple macro invocation Page 28 of 62 Date 25 06 02 Example 6 1 is a rule that will serve as a motivating example throughout this chapter It expresses the constraint that all Product elements have to have a unique name within a Catalogue element This kind of uniqueness check arises quite frequently and it is tedious to define precisely every time it is thus a good candidate for replacement with a macro Example 6 1 Sample Rule without Macro lt forall var c in Catalogue gt lt forall var x in Sc Product gt lt forall var y in c Product lt implies gt equal opl x name text op2 Sy name text gt same opl x op2 Sy gt lt implies gt lt forall gt lt forall gt lt forall gt 4 7 1 Macro Definition Macros have to be defined in a macro definition file before they can be used Figure 6 1 shows a graphical representation of the schema for macro definition files Figure 6 1 Macro Definition Schema header r param 1 Loo 0 e any htip www xlinkit com ConsistencyRuleSet 5 The definitions root element may contain the usual metadata contained in header No special meaning is defined for the metadata and it can be used freely macro definition file must contain at least one
79. macro element The element has a required attributed name that defines the name of the macro The name has to be unique within the definition file Individual macros may also contain the optional header element for metadata declaration again no special meaning is defined and the metadata may be used freely param macro may take zero or more parameters that can be referred to in XPath expression inside the output Each param element has a mandatory name attribute that must be unique within the macro output contains the formula the macro invocation element will be replaced with The schema allows any element from the consistency rule namespace to occur here but in practice only formulae may be used otherwise a run time error will occur Formulae in the output may make reference within their XPath attributes to the formally defined parameters of the macro using the notation paramname parameter referenced using paramname will be replaced at macro invocation using the value passed as the parameter paramname See Section 6 2 for details 4 7 1 1 Example In this example we take the fragment of the formula in Example 6 1 that expresses the actual uniqueness criterion remove the actual XPath expressions and insert parameter references instead We use the parameter 1ist to refer to the set of elements that we wish to compare and identifier for the relative path that we will use to compare the elements for equality Note that we bind th
80. macro in this case to occur here but at the moment only the include element is processed The element must provide an href attribute which is a reference to the macro definition file to be applied to the rules Please refer to Chapter 6 for more details Note the current version of xlinkit limits the macro inclusion mechanism to including only a single macro file this restriction will probably be removed in future versions Page 23 of 62 Date 25 06 02 4 5 1 Global sets globalset is a node set that is created before all rules are evaluated and bound to a certain variable name The variable can then be used in any of the consistency rules The element takes two parameters id which defines the name of the variable and xpath which gives the path to evaluate in order to obtain the value of the variable The XPath expression passed as a parameter must have the same characteristics as those for the quantifiers i e it must evaluate to a node set please refer to Section 4 1 1 for details Note that the variable is a variable definition not a reference so it must not include the 5 character A global set is not only shared between all rules inside one particular rule file but applies to a rules included in a rule set It is thus possible to refer to elements in documents using a symbolic name such as classes instead of Foundation Core Class Because global sets are shared whenever a global set is declared under the same i
81. mentFrequency and calculationPeriodDates calculationPeriodFrequency are different lt description gt lt header gt lt forall var x in swapStream gt lt i f gt lt exists var y in S x calculationPeriodAmount calculation compoundingMethod lt not gt lt and gt lt equal opl x paymentDates paymentFrequency periodMultiplier text op2 x calculationPeriodDates calculationPeriodFrequency periodMultiplier text equal opl x paymentDates paymentFrequency period text op2 x calculationPeriodDates calculationPeriodFrequency period text and not iff forall lt consistencyrule gt lt consistencyrule id r18 lt header gt lt description gt In swapStream if initialStub exists in stubCalculationPeriodAmount at least one of either firstPeriodStartDate or firstRegularPeriodStartDate must exist in the calculationPeriodDates referenced by stubCalculationPeriodAmount lt description gt lt header gt lt linkgeneration gt lt eliminatesymmetry status on gt lt linkgeneration gt lt forall var x in swapStream gt lt implies gt lt exists var y in x stubCalculationPeriodAmount initialStub gt lt and gt lt or gt exists var z in x calculationPeriodDates firstPeriodStartDate exists var z in x calculationPeriodDates firstRegularPeriodStartDate gt or equal opl x calculationPeriodDates id op2 subs
82. n x paymentDates lt implies gt lt exists var 1 in Sy firstPaymentDate gt lt Either the date matches firstPeriodStartDate or it is one of the unadjusted period dates gt lt or gt lt equal opl Sx calculationPeriodDates firstPeriodStartDate unadjustedDate text op2 Sy firstPaymentDate text gt in Sx calculationPeriodDates effectiveDate count firstRegularPeriodStart lt forall var s Date 0 and lt forall var e count firstPeriodStartDate 0 x calculationPeriodDates firstPeriodStartDate count firstRegularPeriodStartDate 0 x calculationPeriodDates firstRegularPeriodStartDate in Sx calculationPeriodDates termination count last x calculationPeriodDates lastRegular operator name fpml in unadjusted period dates param name startdate value s unadjustedDate text param name enddate value e unadjustedDate text e count unadjustedDa lt param name checkdate value S y firstPaymentDate text gt lt param name period value x calculationPeriodDates calculationPeriodFrequ lt param name periodunit value x calculationPeriodDates calculationPeriodFrequency period text lt operator gt lt forall gt lt forall gt lt or gt lt implies gt lt forall gt lt forall gt lt consistencyrule gt consistencyrule id r10 header lt author gt Christian lt author gt 55 count unadjus
83. n elements and attributes in XML documents The restriction enforces that sets have a finite cardinality which is not a problem as XML documents only have a finite set of elements and attributes xlinkit also contains a document management mechanism and an engine that can check the documents against the constraints xlinkit has been implemented as a lightweight mechanism on top of XML and creates hyperlinks to support diagnostics by linking inconsistent elements Because it was built on XML xlinkit is flexible and can be deployed in a variety of architectures It has also been applied in a variety of different application areas including the validation of Software Engineering documents such as the design models and source code of Enterprise JavaBeans based systems 1 Sets used in quantifiers of xlinkit rules are defined using XPath XPath 2 is one of the foundational languages in the set of XML specifications It permits the selection of elements from an XML document by specifying a tree path in the document For example the path FpML trade would select all t rade elements contained in the FpML element which is the root element XLink 3 is the XML linking language and is intended as a standard way of including hyperlinks in XML documents XLink goes beyond the facilities provided by HTML by allowing any XML element to become a link by specifying that links may connect more than two elements so called extended links and by allowing links to b
84. ng Multiple Files consistencyruleset xmlns http www xlinkit com ConsistencyRuleSet 5 0 xmlns xsi http www w3 org 2001 XMLSchema instance xsi schemaLocation http www xlinkit com ConsistencyRuleSet 5 0 consistencyruleset xsd gt consistencyrule 19 1 gt header lt description gt Every advert must be in the catalogue lt description gt lt project gt Wilburs lt project gt lt header gt lt linkgeneration gt lt consistent status on gt lt linkgeneration gt lt forall var x in Advert gt exists var y in Catalogue Product gt equal opl x name text op2 Sy name text gt lt exists gt lt forall gt lt consistencyrule gt lt consistencyruleset gt Example 4 5 shows the same constraint as the previous example but assumes that the catalogue elements have been placed in a file that uses http www xlinkit com Example Bike Catalogue as the default namespace If we used the previous constraint on such a catalogue no elements would be matched and inconsistencies would be detected Instead we bind the new namespace to the prefix cat at the root element and make use of that prefix in the XPath expressions Example 4 5 Namespaces in XPaths lt consistencyruleset xmlns http www xlinkit com ConsistencyRuleSet 5 0 xmlns xsi http www w3 org 2001 XMLSchema instance xsi schemaLocation http www xlinkit com ConsistencyRuleSet 5 0 consistencyruleset xsd xmlns cat http www
85. o FpML_Schedule defines capRateSchedule fixedRateSchedule floorRateSchedule and spreadSchedule Link Generation Consistent on Inconsistent on Rule forall x in capRateSchedulel fixedRateSchedulel floorRateSchedulel spreadSchedule not exists y in x step implies forall y in x initial Value y text 0 00 Consistency Rule r27 Description In businessCentersReference there shall be a businessCenters element where the href attribute of the businessCentersReference element matches the attribute id of the businessCenters element Link Generation Consistent on Inconsistent on Rule forall x in businessCentersReference exists y in businessCenters substring x href 2 y id Consistency Rule r28 Description In businessCenters value of businessCenter elements must be unique Page 52 of 62 Date 25 06 02 Link Generation Consistent on Inconsistent on Rule forall a in businessCenters forall x in a businessCenter forall y in a businessCenter not x y implies x text y text 6 4 Reference Implementation A reference implementation of the above rules is available at http www xlinkit com fpmlvalidator html The xlinkit FpML Validator validates FpML 1 0 compliant documents against additional integrity constraints Any FpML document can be submitted to the Validator by entering the document s URL into t
86. omparing two sets for equality regarless of order and returns the opposite result notequal set1 set2 begin if setl size set2 size return true for all entries e in setl if set2 contains return true set2 set2 e done return false end XML Representation Figure 4 11 shows the XML representation for Notequal The two XPath expressions must be passed as attributes op1 and 2 Figure 4 11 Notequal XML Representation notequal opl xpath op2 xpath gt 4 4 1 10 Same 11 Same VariableRef VariableRef Same takes as its parameters two references to variables that must have been bound in a parent formula It then checks whether the two variables point to exactly the same node it does not compare them by value like Equal does Take Page 21 of 62 Date 25 06 02 Example 4 2 below assume that x points to the first product element and y to the second Then x yis false while x yistrue Example 4 2 Same example catalogue lt product gt xlinkit lt product gt lt product gt xlinkit lt product gt lt catalogue gt Same is most useful in uniqueness checks for example if one wishes to say if A and B have the same value then they must be the same element XML Representation Figure 4 12 shows the XML representation for Same The two variable references must be passed as attributes op1 and 2 Figure 4 12 Same XML Representation same opl va
87. operators in the set will have to be prefixed test when they are invoked Example 5 1 OperatorSet lt OperatorSet name test impl test es xmlns http www xlinkit com OperatorSet 5 0 xmlns xsi http www w3 org 2001 XMLSchema instance xsi schemaLocation http www xlinkit com OperatorSet 5 0 OperatorSet xsd gt lt OperatorDefinition name isGreater gt lt param name stringA type node gt lt param name stringB type node gt lt OperatorDefinition gt lt OperatorSet gt Example 5 2 shows the matching ECMAScript implementation for the operator It uses the getNodeValue method of the two parameters which must be Node objects to retrieve the text value and converts them into a Java string It then returns the result of comparing the strings Example 5 2 Operator Implementation function isGreater stringA stringB sA new java lang String stringA getNodeValue sB new java lang String stringB getNodeValue return sA compareTo sB gt 0 It would now be possible to invoke the operator in a rule file as in Example 5 3 assuming that x has been bound by a parent formula Example 5 3 Operator Invocation lt operator name test isGreater gt lt param name stringA value x foo text gt lt param name stringA value x bar text gt lt operator gt 4 7 Macros Macros are xlinkit s preprocessing mechanism for consistency rules They allow the parameterization of frequent
88. psed Figure 5 1 Operator set schema F description 4 any w3 org t999 htrni 1 MM aye g g gt ses param Pre PI 0 OperatorSet This serves as a container element for the operators It has a required attributed called name The name defines the prefix that will be applied to all operators in this set in order to avoid name clashes between different sets Thus the operator isPrime in the set whose name is math will become math isPrime Page 26 of 62 Date 25 06 02 The second required attribute is imp1 which must contain a reference to an implementation file The reference be URL or file name See Section 5 2 for more details on implementation files Implementation must be a valid reference URL or file to an operator implementation file See Section 5 2 for details of implementation files header Operator sets can contain the usual metadata as defined in the common mechanisms No additional meanings are defined for the metadata in the context of an operator set and it can be used freely Operators can be used to include a further operator set There is only one attribute href which is a reference to the set to be included OperatorDefinition This element defines an interface for an operator that has been implemented in the referenced implementation file The required attribute name defines the name of the operator This name must match the name of a function in the
89. r op2 var 4 4 1 11 True 12 True True True is different from the other formulae in that it must not be used explicitly as a subformula Instead it is appended automatically as a child to quantifiers that do not specify a subformula Please refer to Sub section 4 4 1 2 for details There is no XML encoding for True 4 4 1 12 Operator 13 Operator Operator String Param 14 Param Param String String Name and Value Operator operator behaves like any other predicate it takes a number of parameters and returns t rue or false The String has to be a valid name for the operator The rule set in which this rule file is included must include an operator set that provides a definition for this operator Furthermore the name of the operator must be prefixed with the name of the operator set from which it is loaded Thus in order to use the operator isPrime in operator set math math isPrime has to be used as the name Param The parameters passed as arguments must match those in the operator definition of the operator set both in name and in order The value passed as a parameter is a string but will be converted into the format expected by the operator for example by treating it as an XPath expression and evaluating it Please refer to Section 5 1 for details on parameter conversion Please refer to Chapter 5 for further details on defining operators XML Representation Figure 4 13 shows the XML repr
90. r Y calA get java util Calendar MONTH calB get java util Calendar MONTH amp amp EAR amp amp calA get java util Calendar DAY OF MONTH calB get java util Calendar DAY OF MONTH function printcal cal 1 java lang System out print cal get java util Calendar YEAR java lang System out print cal get java util Calendar MONTH 1 java lang System out println cal get java util Calendar DAY OF MONTH function in unadjusted period dates startdate enddate checkdate period periodunit 1 Create java util Calendar objects for each date startcal createCalendar startdate getNodeValue ndcal createCalendar enddate getNodeValue checkcal createCalendar checkdate getNodeValue If dates cannot be created bail out if startcal null endcal null checkcal null return false period java lang Integer parseInt period getNodeValue unitstring new java lang String periodunit getNodeValue unitfield java util Calendar DAY OF YEAR if unitstring equals period period 7 else if unitstring equals M unitfield java util Calendar MONTH else if unitstring equals Y unitfield java util Calendar YEAR else if unitstring equals D return false current startcal whil current before endcal printcal current printcal checkcal java lang System out println i
91. rce file and make it available for checking This fetcher must of course be implemented and registered with xlinkit before it can be referred to in a document set like this Example 2 2 Document set with custom fetcher DocumentSet xmlns http www xlinkit com DocumentSet 5 0 xmlns xsi http www w3 org 2001 XMLSchema instance xsi schemaLocation http www xlinkit com DocumentSet 5 0 DocumentSet xsd header lt description gt A slightly more complex example lt description gt lt author gt Christian Nentwich lt author gt lt comment gt Tested and working lt comment gt lt header gt Document href http www xlinkit com Example documentA xml gt Set href http www systemwire com Example MoreDocuments xml Document href HelloWorld java fetcher JavaFetcher gt DocumentSet Page 12 of 62 Date 25 06 02 4 3 Rule Sets 4 3 1 Definition Rule sets are xlinkit s structured consistency rule selection mechanism They allow the free distribution and reassembly of rules permit the selection of rules based on workflow and assist in decoupling the rules from the documents they are applied to The namespace for rule sets is http www xlinkit com RuleSet 5 0 Figure 3 1 gives a graphical overview of the schema leaving the metadata header collapsed Figure 3 1 Rule set schema 2 1 RuleSet In addition to serving as a container element this has second
92. rences come in two forms local filename for example rule xml C Rules rule xml or rule xml A local filename can also take the form of a file URL In this case xlinkit will simply remove the protocol section and treat it as a local file Thus file rule xml will be treated as rule xml URL for example http www xlinkit com rule xml The important thing to note is that xlinkit does not support relative URLs It is therefore not possible to mix filenames and URLs freely For example if a rule set includes a file rule xm1 and the rule set is referenced locally then the current directory will be searched for the file If it is not there an error occurs If the same rule set is referenced using an HTTP URL the local directory on the referencing host will still be searched for the file Since this is likely to lead to errors we recommend that URLs or filenames be used uniformly and not mixed 4 1 2 Metadata The xlinkit metadata elements are standardised throughout the different file types and can be used to annotate document sets rule set operator sets and individual consistency rules It is their purpose to provide helpful annotation such as authorship information and documentation for the various artifacts in the xlinkit framework Figure 1 1 shows a graphical representation of the header element which contains the metadata Figure 1 1 Metadata Schema any nttp www w3 0rgA999 xhtml
93. resetDates lt gt exists z in x calculationPeriodA mount calculation fixedRateSchedule Consistency Rule r3 Description FpML_BusinessDayAdjustments neither businessCentersReference nor businessCenters must exist if and only if the value of businessDayConvention is FpML BusinessDayAdjustments defines calculationPeriodDatesAdjustments dateAdjustments paymentDatesAdjustments and resetDatesAdjustments Link Generation Consistent on Inconsistent on Rule forall x in calculationPeriodDatesAdjustments dateA djustmentsl paymentDatesA djustmentsl resetDatesA djustments x businessDayConvention text 2 NONE lt gt not exists y in x businessCentersReference and not exists y in x businessCenters Consistency Rule r4 Description In calculationPeriodDates firstPeriodStartDate and effectiveDate must not be the same Link Generation Consistent on Inconsistent on Rule forall x in calculationPeriodDates forall y in x effectiveDate unadjustedDate not exists z in x firstPeriodStartDate unadjustedDate y text z text Consistency Rule r5 Description In calculationPeriodDates terminationDate and lastRegularPeriodEndDate must not be the same Link Generation Consistent on Inconsistent on Rule forall x in calculationPeriodDates forall y in x terminationDate not exists z in x lastRegularPeriodEndDa
94. ribute is present will therefore not be specially identified and inconsistent cases will be linked The XPath expressions also do not use any namespace prefixes so the element A will only be matched if it is contained in a file without a default namespace Page 24 of 62 Date 25 06 02 Example 4 3 Simple Constraint consistencyruleset xmlns http www xlinkit com ConsistencyRuleSet 5 0 xmlns xsi http www w3 org 2001 XMLSchema instance xsi schemaLocation http www xlinkit com ConsistencyRuleSet 5 0 consistencyruleset xsd gt lt consistencyrule 19 1 gt lt forall var x gt lt exists var a in Sx att gt lt forall gt lt consistencyrule gt lt consistencyruleset gt Example 4 4 shows a slightly more complex constraint taken from xlinkit s Wilbur s Bike Shop example that expresses a relationship between two different data formats It says that for every file with an Advert root element there has to be a Product element somewhere else that matches its name When applying this rule it is now possible to feed several files into xlinkit and all those that have an Advert root elements will be checked Similarly multiple catalogues could possibly supplied and be checked against Note that we have turned on consistent link generation This will cause elements that obey the constraint to be linked in this case all adverts will be linked to the correct entry in the catalogue Example 4 4 Checki
95. riodDates firstPeriodStartDate unadjustedDate text op2 2 z text lt forall var s in x calculationPeriodDates effectiveDate count firstRegularPeriodStartDate 0 and count firstPeriodStartDate 0 x calculationPeriodDates firstPeriodStartDate count firstRegularPeriodStartDate 0 x calculationPeriodDates firstRegularPeriodStartDate in x calculationPeriodDates terminationDate count lastRegularPeriodEndDate 0 x calculationPeriodDates lastRegularPeriodEndDate lt forall var e lt operator name fpml in_unadjusted_period_dates gt param name startdate value s unadjustedDate text s count unadjustedDate 0 text Xparam name enddate value e unadjustedDate text Se count unadjustedDate 0 text param name checkdate value z text lt param name period value x calculationPeriodDates calculationPeriodFrequency periodMultiplier text lt param name periodunit value x calculationPeriodDates calculationPeriodFrequency period text gt lt operator gt lt forall gt lt forall gt Page 43 of 62 Date 25 06 02 lt or gt lt forall gt lt forall gt lt forall gt lt consistencyrule gt lt consistencyrule id r17 lt header gt lt author gt Daniel lt author gt lt description gt In swapstream calculationPeriodAmount calculation compoundingMethod must exist if and only if paymentDates pay
96. s gt lt forall gt lt consistencyrule gt lt consistencyrule id r28 gt lt header gt lt description gt In businessCenters value of businessCenter elements must be unique lt description gt lt header gt lt linkgeneration gt lt eliminatesymmetry status on gt lt linkgeneration gt Page 47 of 62 Date 25 06 02 lt forall var a in businessCenters gt lt forall var x in a businessCenter lt forall var y in Sa businessCenter gt lt implies gt lt not gt same opl x 2 5 gt lt not gt notequal opl x text op2 Sy text lt implies gt lt forall gt lt forall gt gt lt forall gt lt consistencyrule gt lt consistencyruleset gt 6 3 Rules rendered in 1st order logic Consistency Rule 1 Description ResetDates must be present in a swapStream if and only if a floatingRateCalculation element is present in the calculation element Link Generation Consistent on Inconsistent on Rule forall x in swapStream exists y x resetDates lt gt exists z in x calculationPeriodAmount calculation floatingRateCalculation Consistency Rule r2 Description In swapStream element ResetDates must not exist if and only if element fixedRateSchedule exists in the calculation element Link Generation Consistent on Inconsistent on Rule forall x in swapStream not exists in x
97. sequence gt xs any namespace http www w3 0rg 1999 xhtml processContents skip minOccurs 0 maxOccurs unbounded xs sequence xs complexType xs element lt xs element name project type xs string gt lt xs element name comment type xs string gt xs any namespace http www xlinkit com Metadata 5 0 processContents skip xs choice xs sequence lt xs complexType gt lt xs element gt lt xs schema gt 9 3 Rule Set Definition syntax XML Schema lt xml version 1 0 encoding UTF 8 lt xs schema targetNamespace http www xlinkit com RuleSet 5 0 xmlns http www xlinkit com RuleSet 5 0 xmlns xs http www w3 org 2001 XMLSchema elementFormDefault qualified attributeFormDefault unqualified gt lt xs element name RuleSet gt lt xs complexType gt lt xs sequence gt lt xs element ref header minOccurs 0 gt lt xs sequence gt lt xs choice maxOccurs unbounded gt lt xs element name RuleFile gt lt xs complexType gt xs attribute name href type xs string use required gt xs attribute name xpath type xs string use optional default local name consistencyruleset local name consistencyrule xs complexType xs element xs element name Set xs complexType xs attribute name href type xs string use required lt xs complexType gt lt xs element gt lt xs element name Operators gt
98. subformula can fail is if the XPath expression does not match anything Figure 4 3 Exists evaluation pseudo code exists binding begin workingset 0 for all doc in DocumentSet do workingset workingset evaluate XPath doc done result false for all node in workingset do binding binding Variable node result result Formula evaluate binding binding binding Variable node done return result end XML Representation Figure 4 4 shows the XML representation for Exists No attributes or elements beyond those already specified in the abstract syntax are required Figure 4 4 Exists XML Representation exists var variable in xpath gt Formula lt exists gt 4 4 1 3 And And Formula Formula The behaviour of And matches its definition in classical logic it returns true if and only if both subformulae evaluate to true otherwise it returns false Table 4 1 specifies the behaviour exhaustively In the table Formulaa refers to the first subformula and FormulaB to the second Table 4 1 And truth table FormulaA FormulaB FormulaA and FormulaB true True true true False false false True false false False false Page 16 of 62 Date 25 06 02 XML Representation Figure 4 5 shows the XML representation for And No attributes or elements beyond those already specified in the abstract syntax are required Note that the XML syntax for and is pre
99. t lt not gt lt exists var y lt not gt lt and gt lt iff gt lt forall gt lt consistencyrule gt in Sx businessCentersReference gt in x businessCenters gt lt consistencyrule id r4 gt lt header gt lt description gt In calculationPeriodDates firstPeriodStartDate and effectiveDate must not be the same lt description gt lt header gt lt linkgeneration gt lt eliminatesymmetry status on gt lt linkgeneration gt lt forall var x in calculationPeriodDates gt lt forall var y in x effectiveDate unadjustedDate lt not gt exists var z in Sx firstPeriodStartDate unadjustedDate gt equal opl y text op2 z text gt lt exists gt lt not gt lt forall gt lt forall gt lt consistencyrule gt lt consistencyrule id r5 gt lt header gt lt description gt In calculationPeriodDates terminationDate and lastRegularPeriodEndDate must not be the same lt description gt lt header gt lt linkgeneration gt lt eliminatesymmetry status on gt lt linkgeneration gt inz calculationPeriodDates in x terminationDate lt forall var x lt forall var y lt not gt exists var z in Sx lastRegularPeriodEndDate gt equal opl Sy unadjustedDate text op2 Sz text gt lt exists gt lt not gt lt forall gt lt forall gt lt consistencyrule gt lt consistencyrule id r6 gt lt header gt lt a
100. t Implementation An ECMAScript operator implementation file should simply contain a number of functions that hold the same name as the operators defined in the operator set Each function must take exactly the same number of parameters as defined in the operator set and must return t rue or false from all possible execution flows The implementation file may contain additional functions to be used as helper functions which may return any type Type mapping int parameters are converted into native ECMAScript ints string parameters are converted into native ECMAScript st ring objects Caution these are not the same as Java String objects Please consult your manual or the ECMAScript specification if you need further information nodeList parameters are passed as Java Nodelist classes Nodelist is a class defined in the Document Object Model DOM and can be found in the org w3c dom package of most XML parsers node parameters are passed as Java Node classes Node is also a class defined in the DOM and can be found in the org w3c dom package of most XML parsers 4 6 3 Example Example 5 1 shows an operator set that defines a new operator that can be used to check if its first parameter is a longer string that its second Because we want to apply the operator using XPath expressions we have to pass the parameters as nodes they will point to text nodes when we make use of the operator Because we assigned name test to the set all
101. t be the same FpML_Fee defines additionalPayment and otherPartyPayment Page 32 of 62 Date 25 06 02 22 In FpML_Fee At least one of paymentDate or adjustedPaymentDate must exist Fee defines additionalPayment and otherPartyPayment 23 FpML_Fee paymentAmount amount element have non zero value FpML_Fee defines additionalPayment and otherPartyPayment 24 In swapStream if calculationPeriodAmount calculation compoundingMethod exists resetDates must exist 25 In calculationPeriodDates effectiveDate must be before the terminationDate 26 In Schedule If there are no step elements initialValue must be non zero 76 FpML Schedule defines capRateSchedule fixedRateSchedule floorRateSchedule and spreadSchedule 27 In businessCentersReference there shall be a businessCenters element where the href attribute of the businessCentersReference element matches the attribute id of the businessCenters element 28 In businessCenters value of businessCenter elements must be unique 6 Rule Implementation in xlinkit In this section we provide the full formalization of the above rules using the xlinkit rule language In Section 5 1 we show the definition of operators that are used in the rules The rules themselves are shown in Section 5 2 in XML in the same way as the rule writer would edit them As the rule language has a concrete XML syntax we are able to render the rule using an XSLT stylesheet transformation into a
102. te y unadjustedDate text z text Consistency Rule r6 Description CalculationPeriodFrequency must divide the regular period precisely Link Generation Consistent on Page 48 of 62 Date 25 06 02 Inconsistent on Rule forall x in calculationPeriodDates forall s in x effectiveDate count firstRegularPeriodStartDate 0 and count firstPeriodStartDate 0 x firstPeriodStartDate count firstRegularPeriodStartDate 0 x firstRegularPeriodStartDate forall e in x terminationDate count lastRegularPeriodEndDate 0 x lastRegularPeriodEndDate fpml unadjusted period dates divides s unadjustedDate text s count unadjustedDate 0 text e unadjustedDate text e count unadjustedDate 0 text x calculationPeriodFrequency periodMultiplier text x calculationPeriodFrequenc y period text Consistency Rule r7 Description calculationPeriodFrequency if rollConvention is not either NONE or SFE then the period must be M or Y Link Generation Consistent on Inconsistent on Rule forall x in calculationPeriodFrequency x rollConvention text NONE or x rollConvention text SFE implies x period text 2 M or x period text Y Consistency Rule r8 Description In swapStream paymentFrequency in paymentDates must be an integer multiple of calculationPeriodFrequency in calculationPeriodFrequency Lin
103. tedDate 0 text Date RegularPeriodEndDate 0 PeriodEndDate gt gt te 0 text gt ency periodMultiplier text gt gt Page 40 of 62 Date 25 06 02 lt description gt In swapstream if lastRegularPaymentDate exists in paymentDates it must match one of the unadjusted calculation period dates lt description gt lt header gt lt forall var x in swapStream gt lt forall var y in Sx paymentDates gt lt implies gt exists 1 in y lastRegularPaymentDate gt lt 1 Either the date matches firstPeriodStartDate or it is one of the unadjusted period dates or equal opl x calculationPeriodDates firstPeriodStartDate unadjustedDate text op2 y lastRegularPaymentDate text forall var s in x calculationPeriodDates effectiveDate count firstRegularPeriodStartDate 0 and count firstPeriodStartDate 0 x calculationPeriodDates firstPeriodStartDate count firstRegularPeriodStartDate 0 x calculationPeriodDates firstRegularPeriodStartDate forall var e in x calculationPeriodDates terminationDate count lastRegularPeriodEndDate 0 x calculationPeriodDates lastRegularPeriodEndDate operator name fpml in unadjusted period dates param name startdate value s unadjustedDate text s count unadjustedDate 0 text Xparam name enddate value e unadjustedDate text Se count una
104. tency Rule r19 Description In swapStream if finalStub exists in stubCalculationPeriodAmount lastRegularPeriodEndDate must exist in the calculationPeriodDates referenced by stubCalculationPeriodAmount Link Generation Consistent on Inconsistent on Rule forall x in swapStream exists y in x stubCalculationPeriodA mount finalStub implies exists z in x calculationPeriodDates lastRegularPeriodEndDate x calculationPeriodDates id substring x stubCalculationPeriodAmount calculationPeriodDatesReference href 2 Consistency Rule r20 Description In swapStream PayerPartyReference and receiverPartyReference must not be the same Link Generation Consistent on Inconsistent on Rule forall x in swapStream forall y in x payerPartyReference not exists z in x receiverParty Reference y href z href Consistency Rule r21 Description In FpML_Fee payerPartyReference and receiverPartyReference must not be the same FpML_Fee defines additionalPayment and otherPartyPayment Link Generation Consistent on Inconsistent on Page 51 of 62 Date 25 06 02 Rule forall x in additionalPaymentl otherPartyPayment forall y in x payerPartyReference not exists z in x receiverPartyReference y href z href Consistency Rule r22 Description In FpML_Fee At least one of paymentDate or adjustedPaymentDate must exist
105. tring x stubCalculationPeriodAmount calculationPeriodDatesReference href 2 gt and lt implies gt lt forall gt lt consistencyrule gt Page 44 of 62 Date 25 06 02 lt consistencyrule id r19 lt header gt lt description gt In swapStream if finalStub exists in stubCalculationPeriodAmount lastRegularPeriodEndDate must exist in the calculationPeriodDates referenced by stubCalculationPeriodAmount lt description gt lt header gt lt linkgeneration gt lt eliminatesymmetry status on gt lt linkgeneration gt lt forall var x in swapStream gt lt implies gt lt exists var y in x stubCalculationPeriodAmount finalStub gt exists var z in Sx calculationPeriodDates lastRegularPeriodEndDate gt equal opl x calculationPeriodDates id op2 substring x stubCalculationPeriodAmount calculationPeriodDatesReference href 2 gt lt exists gt lt implies gt lt forall gt lt consistencyrule gt lt consistencyrule id r20 gt lt header gt lt description gt In swapStream PayerPartyReference and receiverPartyReference must not be the same lt description gt lt header gt lt linkgeneration gt lt eliminatesymmetry status on lt linkgeneration gt lt forall var x in swapStream gt lt forall in x payerPartyReference lt not gt exists var z in Sx receiverPartyReference gt equal opl Sy href op2 z href
106. type node gt lt param name checkdate type node gt lt param name period type node gt lt param name periodunit type node gt lt OperatorDefinition gt lt OperatorDefinition name unadjusted_period_dates_divides gt description xmlns x http www w3 0rg 1999 xhtml Check if we can get from lt x b gt startdate lt x b gt to exactly the lt x b gt enddate lt x b gt by adding the lt x b gt period lt x b gt a number of Page 33 of 62 Date 25 06 02 times If th nddate is exceeded by adding a period the operator returns false The unit must be D W M or Y lt description gt lt param name startdate type node lt param name enddate type node lt param name period type node gt lt param name periodunit type node gt lt OperatorDefinition gt lt OperatorDefinition name greater_than gt description xmlns x http www w3 0rg 1999 xhtml Check if lt x b gt datea lt x b gt is greater than lt x b gt dateb lt x b gt The dates must be in the YYYY MM DD format lt description gt lt param name datea type nodeList gt lt param name dateb type nodeList gt lt OperatorDefinition gt lt OperatorDefinition name is_period_multiple gt description xmlns x http www w3 0rg 1999 xhtml Check if lt x b gt periodA lt x b gt is an integer multiple of lt x b gt periodB lt x b gt taking into account the units whic
107. uence xs complexType xs element xs schema Refences 1 C Nentwich W Emmerich A Finkelstein Flexible Consistenc Checking Research Note University College London Dept of Computer Science 2001 Submitted for Pubblication 2 J Clark and S DeRose XML Path Language XPath Version 1 0 W3C Recommendation 16 November 1999 http www w3 org TR xpath 3 S DeRose and E Maler and D Orchard XML Linking Language XLink Version 1 0 W3C Recommendation http www w3 org TR xlink World Wide Web Consortium June 2001 4 D E Knuth Semantics of Context Free Languages Mathematical Systems Theory 2 2 127 145 1968 5 U Kastens Ordered Attributed Grammars Acta Informatica 13 3 229 256 1980 6 U Kastens W M Waite Modularity and reusability in attribute grammars Acta Informatica 31 601 127 1991 7 A Habermann and D Notkin Gandalf Software Development Environments IEEE Transactions on Software Engineering 12 12 1117 1127 1986 8 T W Reps and T Teitelbaum The Synthesizer Generator ACM SIGSOFT Software Engineering Notes 9 3 42 48 1984 9 M Nagl editor Building Tightly Integrated Software Development Environments The IPSEN Approach volume 1170 of Lecture Notes in Computer Science Springer Verlag 1996 10 P Borras D Clement T Despeyroux J Incerpi G Kahn B Lang and V Pascual CENTAUR The System ACM SIGSOFT Software Engineering Notes 13 5
108. uence gt lt xs choice maxOccurs unbounded gt lt xs element name author type xs string gt lt xs element name description gt lt xs complexType mixed true gt lt xs sequence gt xs any namespace http www w3 0rg 1999 xhtml processContents skip minOccurs 0 maxOccurs unbounded xs sequence lt xs complexType gt lt xs element gt lt xs element name project type xs string gt lt xs element name comment type xs string gt xs any namespace http www xlinkit com Metadata 5 0 processContents skip gt lt xs choice gt lt xs sequence gt lt xs complexType gt lt xs element gt lt xs simpleType name ParameterType gt xs restriction base xs string gt lt xs enumeration value int gt lt xs enumeration value string gt lt xs enumeration value nodeList gt lt xs enumeration value node gt lt xs enumeration value var gt xs restriction xs simpleType xs schema 9 5 Macro Language Syntax XML Schema lt xml version 1 0 encoding UTF 8 lt xs schema targetNamespace http www xlinkit com Macro 5 0 xmlns http www xlinkit com Macro 5 0 xmlns xs http www w3 org 2001 XMLSchema elementFormDefault qualified attributeFormDefault unqualified gt lt xs element name definitions gt lt xs complexType gt xs sequence lt xs element ref header minOccurs 0 gt lt xs element ref macro maxOccurs unbounded gt lt xs sequ
109. ulationPeriodDates is integer multiple of resetFrequency in resetDates lt description gt Page 42 of 62 Date 25 06 02 lt header gt lt forall var x in swapStream gt lt forall var y in x resetDates resetFrequency lt forall var z in x calculationPeriodDates calculationPeriodFrequency gt lt operator name fpml is_period_multiple gt lt param name periodA value z periodMultiplier text gt lt param name unitA value z period text lt param name periodB value Sy periodMultiplier text gt lt param name unitB value Sy period text lt operator gt lt forall gt lt forall gt lt forall gt lt consistencyrule gt lt consistencyrule id r16 lt header gt lt author gt Christian lt author gt lt description gt In notionalStepSchedule fixedRateSchedule capRateSchedule floorRateSchedule and spreadSchedule if step exists stepDates in step must match one of the unadjusted calculation period dates lt description gt lt header gt lt forall var x in swapStream gt lt forall var y in x notionalStepSchedule x fixedRateSchedule Sx capRateSchedule x floorRateSchedule x knownAmountSchedule x spreadSchedule gt lt forall var z in Sy step stepDate gt lt 1 Either the step date matches firstPeriodStartDate or it is one of the unadjusted period dates gt lt or gt lt equal opl x calculationPe
110. ules the formalism shall support the declarative specification of consistency rules R2 4 3 Atthe same time the domain of financial derivative instruments is quite special and the rule language should offer extension mechanisms that can cope with the need for any domain specific operators macros and primitives R2 4 4 The language should be easily comprehensible and therefore use concepts that members of the FpML community are likely to be familiar with R2 4 5 The validation rule approach should be capable of coping with the complexity of a large number of rules 100 300 and in particular offer different structuring mechanisms that support the hierarchical decomposition of the overall set of rules and support the parallel definition of rules by different working groups R2 4 6 The formalism should be amenable to automated translation between internal machine readable representations of validation rules and external representations that can be understood and serve as the specification of validation rules across product working groups The validation language will not only be used to standardize and specify validation rules but these rules also need to be executed in order to actually perform the validation R2 4 7 The rule validation language should have a compiler or interpreter that can be used in order to execute validation rules 2 5 Classification of product types FpML can represent a large number of different products without
111. uthor gt Christian lt author gt lt description gt Page 38 of 62 Date 25 06 02 CalculationPeriodFrequency must divide the regular period precisely lt description gt lt header gt lt forall var x in calculationPeriodDates gt lt forall var s in Sx effectiveDate count firstRegularPeriodStartDate 0 and count firstPeriodStartDate 0 x firstPeriodStartDate count firstRegularPeriodStartDate 0 x firstRegularPeriodStartDate lt forall var e in x terminationDate count lastRegularPeriodEndDate 0 x lastRegularPeriodEndDate operator name fpml unadjusted period dates divides param name startdate value s unadjustedDate text s count unadjustedDate 0 text lt param name enddate value Se unadjustedDate text Se count unadjustedDate 0 text gt lt param name period value x calculationPeriodFrequency periodMultiplier text gt lt param name periodunit value x calculationPeriodFrequency period text gt lt operator gt lt forall gt lt forall gt lt forall gt lt consistencyrule gt lt consistencyrule id r7 gt lt header gt lt description gt In calculationPeriodFrequency if rollConvention is not either NONE or SFE then the period must be M or Y description lt header gt lt linkgeneration gt lt eliminatesymmetry status on gt lt linkgeneration gt lt forall v
112. well formedness and syntactic validation R2 1 2 There was a preference for an XML based predicate or rule definition as tools can be built to process such rules R2 1 3 This includes GUI tools to enable business analysts to formulate and update the rules The provision of a simple API to allow callout for programmed validation was discussed as an alternative R2 1 4 FpML could supply validation rules with each version of FpML for community wide issues It is hoped that this proposal will help to facilitate this In conclusion it was noted by the workshop participants that validation is a critical and timely area for FpML to consider as all institutions and vendors working with FpML have the requirement Page 5 of 62 Date 25 06 02 2 2 Ability to Express and Handle Different Classes of Validation Rules In refinement of R2 1 4 the following examples of classes or levels of validation rule have been identified R2 2 1 Community Industry Rules these would come from FpML and include product and market conventions They could include regulatory requirements for a particular product R2 2 2 Company Specific Rules these would be rules specific to a company and implement policy requirements such as market or credit risk parameters or collateral requirements R2 2 3 Department Specific Rules these would be rules taking into account how a particular Department processes a document It could include threshold levels at which
113. xlinkit which supports the specification of consistency constraints their efficient execution and various forms of diagnoses of the results of consistency checks More details about the company and xlinkit be found at http www systemwire com The work carried out to date has looked at business efficiency issues and at extending the algorithms and consistency checking architeecture of xlinkit to make it suitable for FpML Version 1 0 Following demonstrations of this work to members of the FpML Standards Committee UBS Warburg University College London and Systemwire would like to put forward a proposal for FpML Validation 2 Validation Requirements Validation is a critical requirement for any organization implemeting FpML It was identified as a high priority area during the FpML Tools workshop in August 2001 High level requirements for validation were identified and refined at the workshop see http www fpml org tools toolswork asp These requirements are set out below The PhD student s research has also investigated financial institutions requirements for checking electronic trade representations This has resulted in an ordering of sources of inconsistency 2 1 FpML Tools Workshop Conclusions on Validation Requirements We reached the following conclusions R2 1 1 Validation should focus on semantic or business validation It is assumed that XML parsers are used for XML syntax validation based on the FpML DTD schema for both
114. xlinkit com Example Bike Catalogue gt lt consistencyrule 19 1 gt lt forall var x in Advert gt exists var y in cat Catalogue cat Product gt equal opl x name text op2 Sy cat name text gt lt exists gt lt forall gt lt consistencyrule gt lt consistencyruleset gt Example 4 6 demonstrates the use of a global set The set is defined using the XPath expression from the previous example The rule itself has now become slightly easier to read and could become significantly easier to read if more complex expressions were involved The set products is now been defined globally and can be used in any other rule included in the same rule set as the one in the example Page 25 of 62 Date 25 06 02 Example 4 6 Global Sets consistencyruleset xmlns http www xlinkit com ConsistencyRuleSet 5 0 xmlns xsi http www w3 org 2001 XMLSchema instance xsi schemaLocation http www xlinkit com ConsistencyRuleSet 5 0 consistencyruleset xsd globalset id products xpath Catalogue Product consistencyrule 19 1 gt lt forall var x in Advert gt exists var y in Sproducts gt equal opl x name text op2 Sy name text gt lt exists gt lt forall gt lt consistencyrule gt lt consistencyruleset gt The final example Example 4 7 demonstrates an operator invocation Please refer to Section 5 3 to see the definition of the operator used in this example
115. ype is Business the periodMultiplier must be non zero Offset defines paymentDaysOffset and rateCutOffDaysOffset In FpML_RelativeDateOffset If the dayType is Business then the businessDayConvention should NONE FpML_RelativeDateOffset defines fixingDateOffset and fixingDates In resetFrequency weeklyRollConvention must exist if and only if the period 15 In ResetFrequency and calculationPeriodFrequency calculationPeriodFrequency must be an integer multiple of the resetFrequency In notionalStepSchedule fixedRateSchedule capRateSchedule floorRateSchedule and spreadSchedule if step exists stepDates in step must match one of the unadjusted calculation period dates In swapstream calculationPeriodAmount calculation compoundingMethod must exist if and only if paymentDates paymentFrequency and calculationPeriodDates calculationPeriodFrequency are different In swapStream if initialStub exists in stubCalculationPeriodAmount at least one of either firstPeriodStartDate or firstRegularPeriodStartDate must exist in the calculationPeriodDates referenced by stubCalculationPeriodAmount In swapStream if finalStub exists in stubCalculationPeriodAmount lastRegularPeriodEndDate must exist in the calculationPeriodDates referenced by stubCalculationPeriodAmount In swapStream payerPartyReference and receiverPartyReference must not be the same In Fee payerPartyReference and receiverPartyReference must no

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