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

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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

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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)

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Output Format (JIRA Markdown Compatible)

Description Block

Must start with:

• Analyze dataElement XX in DRR
• Reference BR Jira
• Optionality
• Paths section

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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

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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

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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(...)

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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

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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

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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

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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

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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

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Case 2: Default

Condition paths:

EconomicTermsForProduct -> payout -> interestRatePayout only-element

Default final paths:

EconomicTermsForProduct -> payout -> interestRatePayout -> rateSpecification -> floatingRate -> spreadSchedule -> price -> value

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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

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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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