Skill: DRR Dependency Analysis (Credit Scope) — Leg1 Spread Ticket Generator

Description

# Skill: DRR Dependency Analysis (Credit Scope) — Leg1 Spread Ticket Generator ## Purpose Generate a JIRA-ready DRR dependency analysis ticket for **Leg1 Spread-related fields**. This skill is designed for **Credit product reporting rules** where: - The reporting rule output depends on **Leg1 enrichment** - Multiple product branches exist (Commodity / IR / CreditDefaultSwaption) - Both **final output paths** and **conditional existence paths** must be captured - Alias expansion is required for developer clarity The output must match the style of the existing ticket example: - Rule overview - Extraction logic - Referenced functions - All CDM object paths used - Conditional vs final paths separation --- ## Scope Rules (Very Important) 1. Only include paths that are: - Used in the **return/output** - Used in **credit-relevant conditional checking** - Marked with `(Exists)` when applicable 2. Exclude paths that belong purely to: - FX-only logic - IR-only logic - Non-credit teams already covering the same subtree 3. Expand aliases into full CDM paths whenever possible. 4. Add function usage context: - Which function uses the path - File name - Line number (if available) 5. Use only ASCII characters: - Use `->` for arrows - No unicode arrows, icons, emojis --- ## Input Required User provides: - dataElement number + label - reporting rule name - Reference BR Jira ID - Rosetta DSL snippet - Key helper functions invoked - Credit product focus (e.g. CreditDefaultSwaption) --- ## Output Format (JIRA Markdown Compatible) ### Description Block Must start with: - Analyze dataElement XX in DRR - Reference BR Jira - Optionality - Paths section --- ## Template Output ### Description Analyze dataElement XX - CDE-Spread of leg 1 <Spread of Leg 1> in DRR. This field uses Spread notation of leg 1 CORECG-XXXX for formatting the spread value (monetary / decimal / percentage / basis). Reference BR Jira: CORECG-XXX [BR] CoReg:MAS:Field XX (C) "CDE-Spread of leg 1" Optionality: Conditional as per Cirrus mapping --- ### Paths (Credit Scope Only) creditdefaultswaption: EconomicTerms -> payout -> optionPayout only-element -> underlier -> index -> productTaxonomy -> primaryAssetClass final paths: EconomicTerms -> payout -> creditDefaultPayout -> generalTerms -> indexReferenceInformation -> indexId EconomicTerms -> payout -> creditDefaultPayout -> generalTerms -> referenceInformation -> referenceObligation -> loan -> productIdentifier -> identifier WorkflowStep -> businessEvent -> after -> trade -> tradableProduct -> product -> contractualProduct -> productIdentifier --- ## Rule Overview Purpose: Extract and format Spread of Leg 1 for MAS trade reporting. Rosetta DSL: reporting rule SpreadLeg1 from TransactionReportInstruction: filter IsAllowableActionForMAS then common.price.SpreadLeg1_01_Validation(...) --- ## Extraction Logic SpreadLeg1 is populated through Leg1 enrichment: reporting rule Leg1Report: then common.LegEnrichment( cde.Leg1(item, SpreadNotationOfLeg1, ...), ... ) spread is extracted from: price.SpreadLeg1 -> value formatted using: SpreadNotationOfLeg1 -> PriceFormatFromNotation Returns: Spread string formatted as monetary/decimal/percentage/basis --- ## Key Referenced Functions ### common.price.SpreadLeg1_01_Validation File: src/main/rosetta/regulation-mas-rewrite-trade-type.rosetta Line: [TBD] Purpose: - Validates spread presence when required - Rejects missing fixed rate/spread combinations Uses paths: Leg1 -> spread Leg2 -> spread Leg1 -> fixedRate Leg2 -> fixedRate --- ### PriceFormatFromNotation File: src/main/rosetta/standards-iso-code-base-price-func.rosetta Line: [TBD] Logic: if notation = Monetary -> MultiplyPrice(...) if notation = Decimal -> FormatToBaseOneRate if notation = Percentage -> FormatToBaseOneRate if notation = Basis -> FormatToMax5Number --- ### UnderlierForProduct File: src/main/rosetta/regulation-common-func.rosetta Line: [TBD] Extracts the underlier product: if optionPayout exists then EconomicTermsForProduct(product) -> payout -> optionPayout only-element -> underlier else if forwardPayout exists then EconomicTermsForProduct(product) -> payout -> forwardPayout only-element -> underlier --- ## All CDM Object Paths Used Case 1: CreditDefaultSwaption Condition paths: EconomicTermsForProduct(UnderlierForProduct) -> payout -> interestRatePayout only-element (Exists) Possible UnderlierForProduct paths: EconomicTermsForProduct(product) -> payout -> optionPayout only-element -> underlier EconomicTermsForProduct(product) -> payout -> forwardPayout only-element -> underlier Final paths: EconomicTermsForProduct(UnderlierForProduct) -> payout -> interestRatePayout -> rateSpecification -> floatingRate -> spreadSchedule -> price -> value --- Case 2: Default Condition paths: EconomicTermsForProduct -> payout -> interestRatePayout only-element Default final paths: EconomicTermsForProduct -> payout -> interestRatePayout -> rateSpecification -> floatingRate -> spreadSchedule -> price -> value --- ## Developer Notes - Always separate: - Conditional existence paths - Final return/output paths - Expand aliases for readability - Mark ownership boundaries: - Credit team covers CreditDefaultSwaption-related branches only - Provide function + file + line number whenever possible --- ## Done Criteria Checklist - [ ] Output paths listed - [ ] Conditional exists paths listed - [ ] Credit scope only - [ ] Alias expanded - [ ] Functions referenced with file + line - [ ] JIRA-compatible ASCII formatting only ---

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