How FpML Validates a Basic Trade Document (Introduction to using FpML with .NET Tools Part 2)

Introduction

Part 1 of this series of articles gave a general introduction to using Microsoft .NET tools to investigate FpML XSD schemas.

This article will focus more closely on the FpML itself, by looking at the structure of an FpML trade XML document in some detail. It will explain how the FpML schemas fit together to validate such a document. In particular it will examine the use of base and extension types, and of substitution groups, in the XSDs.

As mentioned in part 1, FpML is complex and there’s little documentation. This article will attempt to redress this by explaining how it works assuming only that you know the basics of how an XSD works.

These articles assume you understand the basics of XML Schema Definition language. If you don’t there are a number of good tutorials available on the internet. For example there’s quite a good one at http://www.w3.org/TR/xmlschema-0/. These articles will reference the tutorial for the less obvious XSD structures.

The fpml-main Schema

In part one of this series of articles we showed that the file ird_ex01_vanilla_swap.xml is a valid document in accordance with the FpML schemas. ird_ex01_vanilla_swap.xml is an example file provided with the FpML download that represents a simple interest rate swap. However, at first glance it’s not entirely clear how the large number of XSD files that define the FpML schema fit together to validate this XML document.

The first thing to notice is that the XML document references the main root schema fpml-main-4-2.xsd in namespace http://www.fpml.org/2005/FpML-4-2. FpML puts all its definitions in one namespace, which for the version we are using is http://www.fpml.org/2005/FpML-4-2.

If we look at file fpml-main-4-2.xsd and collapse it to an appropriate level we see something as below. I’ve moved the schema attributes onto multiple lines for clarity:

As we can see, this XSD defines a number of namespaces, sets our targetNamespace for the schema, and includes a number of other XSDs from the set of FpML XSDs. It defines one complex type, ValuationDocument. Remember that complex types only have to appear in the XML if they are referenced as the type of an element: ValuationDocument does not have to appear in any XML just by virtue of being in this document.

The schema finally defines the one mandatory top-level element in this document, which is an element called ‘FpML’ which is of type ‘Document’. If we expand the FpML element definition we find it just contains an annotation (comment). So in effect all this schema is saying is that our root element for an FpML document must be called ‘FpML’ and it must be a Document.

Schemas Needed to Validate an Interest Rate Swap

It’s also worth noting here that we don’t need all the XSDs that are imported here to validate the interest rate swap successfully. In fact we can comment them all out apart from fpml-ird-4-2.xsd, provided we add an import for fpml-doc-4-2.xsd (which is included in fpml-valuation-4-2.xsd). We need to comment out the ValuationDocument complex type as well if we do this.

Note you can use the usual comment out/uncomment buttons in Visual Studio to comment XML (and hence XSD) code.

So the ird_ex01_vanilla_swap.xml file will validate with fpml-main changed as below. This makes it clear that we are only using a subset of our XSD files to validate an interest swap, which is what you’d expect. Note that fpml-ird-4-2.xsd itself includes a number of other FpML schemas, so we are not JUST validating with the two included below:

Document Type

We can now navigate to the Document complex type, which is in file fpml-doc-4-2.xsd. Remember that to do this in Visual Studio all we need do is right-click “Document” and select “Go to definition” (or hit F12). We see that Document is defined as ‘abstract’. This is equivalent to a class being abstract in C#. It means we can’t use Document directly as the type of an element, but have to derive from it first. Document also contains an attributeGroup that references StandardAttributes.atts. This has one mandatory attribute ‘version’ (which applies to the FpML element), and can have value “4-0”, “4-1”, or “4-2”.

So now we need to know what complex types derive from the Document type. The easiest way to find this out using Visual Studio is to search our project for “Document” (in quotes), since any extension has to use the extension syntax which looks like:

<xsd:extension base="Document">

If we do this we find there are two types that extend Document: “DataDocument” and “Message”. Obviously the ‘Message’ type of document is used for messaging. Here we are only looking at trade representations in XML, which use the DataDocument type of Document.

The XML Document

If we now look at our instance XML document we see that, as expected, it starts with an FpML tag, which has a version attribute. It then uses the xsi:type attribute to specify that we are using a DataDocument.

Most FpML trade documents will have the general structure below, as we shall see. That is, the root FpML element will contain a trade element and a number of party elements. The trade element will contain a tradeHeader element, and an element that represents a specific product, in this case swap. For other product types the swap element will be substituted directly with some other product element.

DataDocument

We saw above that our FpML element is of type DataDocument. The DataDocument definition is in fpml-doc-4-2.xsd, and a summarized version is below. If we look at the full version we can see there is a comment that says that the data document is intended to ‘contain sets of data without expressing any processing intention’:

As expected this extends Document. It adds a sequence, starting with a Validation.model group. The element in this group is optional, so it doesn’t don’t appear in our XML at all.

The next item in our schema is a choice between a sequence of trade and portfolio elements, or of an event element. Our XML uses the trade and portfolio choice. Note that both of these are optional (minOccurs = 0), and our XML has no portfolio element. We examine the Trade element in more detail below.

Finally in our sequence we can have multiple (or zero) elements called ‘party’. These are intended to identify any parties to the trade (see the comments in the full version of the XSD). They are of type Party: this has an ‘id’ attribute, a required ‘partyId’ element, and optional partyName and account elements. If you look again at our XML you can see that we have two ‘party’ elements defined, with just the id attribute and mandatory partyId provided.

Trade

So in an FpML document we have a root element called ‘FpML’ that has to be of type Document. Document is abstract, and one extension is DataDocument, which can contain an element called ‘trade’ of type Trade.

The XSD definition of the Trade complex type is below:

The first thing to notice is that everything is optional (minOccurs=0) apart from the tradeHeader element, and the referenced product element. These two elements are the only ones that appear in our sample XML (although indirectly in the case of product, as we shall see below).

TradeHeader

By now you’ve probably got the idea of how this works and how to use Visual Studio to navigate through the schema and find out what needs to be where in the XML. As a result we won’t go into how the tradeHeader element is constructed, which is straightforward. The comment on the TradeHeader complex type says ‘a type defining trade related information which is not product specific’, which is self-explanatory.

It’s interesting to note that the ONLY information relating to a trade that is not ‘product specific’ here is the trade date and at least one trade ID (along with whose ID it is). If you are constructing a base trade class for a hierarchy of trade types this is really the only data you can meaningfully put in it.

Product and Swap

The product element is a little more complex. If we look again at our sample XML we see that we have a ‘swap’ element in the XML where we expect the ‘product’ element to be.

If we go to the definition of the referenced product element we find that it is of complex type Product, is abstract, and is defined in fpml-shared-4-2.xsd.

However, in spite of the product element (and its associated type Product) being abstract the schemas are not using straightforward extension here. Hence there is no ‘xsi:type’ attribute in our XML instance document. Instead we are using substitution groups.

If we locate the definition of ‘swap’ in fpml-ird-4-2.xsd we see that it is an element of type Swap with substitutionGroup of product. This means it can be substituted directly for the product element in our final XML (as can any other element tagged in this way):

  <xsd:element name="swap" type="Swap" substitutionGroup="product">
    <xsd:annotation>
      <xsd:documentation xml:lang="en">A swap product definition.</xsd:documentation>
    </xsd:annotation>
  </xsd:element>

The substitution group syntax on its own means that element swap and type Swap need have no relation to type Product. Swap could be a completely new type with no reference to the base Product type. We can substitute whatever we like for the product element.

However, in the FpML schemas complex type Swap also extends type Product, which means this element has to take account of the definition of the Product complex type.

So, to summarize, we have a ‘swap’ element in our XML document where there is a ‘product’ element in the XSD. We can put the swap element in there because of the substitution group syntax: we just substitute the swap element for the product element. However, the swap element is also of type Swap which extends type Product, so it must take account of the Product definition as well.

This is certainly difficult to understand.

Product itself is abstract, has an id attribute and contains a named group called ‘Product.model’. However, all of this is optional and does not consequently appear in our sample instance XML.

Difficulties with Substitution Groups for product in the FpML

As explained above, the use of both substitution groups and extension to replace product elements in the FpML schemas is confusing.

In my opinion even if we ignore the use of extension the use of substitution groups is confusing for developers. Most XSD constructs map to object oriented concepts. However, because we are using substitution groups here we are effectively saying that absolutely any type can be a member of our parent trade type at this point in the schema. It’s like including a generic object data member in a class that can be used to contain ANY other class. In OO terms we have no idea what interface this object will implement. It’s hard to represent this in UML as well: see http://www.xmlmodeling.com/documentation/specs/substitutionGroup. Finally, as we shall see in part 3, the Microsoft tool for creating classes from schemas (xsd.exe) struggles with the combination of extension and substitution groups used in the FpML schemas.

Swap

The Swap complex type is again fairly straightforward. Everything is optional except for at least one element called swapStream, of type InterestRateStream. Clearly these represent the swap legs for our interest rate swap, and consequently we have two of them in our sample instance XML. As mentioned above you’ve probably got the idea of how this all fits together by now, and how to investigate further, so we’ll leave the schemas at this point.

Conclusion

This article has attempted to show how validation using the FpML schemas works, and to give an idea of the structure of a trade XML document in FpML.

Part three of this series of articles will examine how we can generate .NET classes from these schemas using xsd.exe, and will look at some of the problems associated with doing this.

Licensing of FpML Specifications

The FpML Specifications of this document are subject to the FpML Public License (the “License”); you may not use the FpML Specifications except in compliance with the License. You may obtain a copy of the License at http://www.FpML.org.
The FpML Specifications distributed under the License are distributed on an “AS IS” basis, WITHOUT WARRANTY OF ANY KIND, either express or implied. See the License for the specific language governing rights and limitations under the License.
The Licensor of the FpML Specifications is the International Swaps and Derivatives Association, Inc. All Rights Reserved.

http://www.fpml.org/documents/license.html