Roger Guitart TRS on a Bond (finos#2855)

* TRS on a Bond

Coverage of AssetClass = CRDT for a TRS with a debt instrument as an underlier

* Update RELEASE.md

* update release notes

---------

Co-authored-by: Roger Guitart <rguitart@tradeheader.com>
Co-authored-by: JayasriR <124573358+JayasriR@users.noreply.github.com>
Co-authored-by: Jayasri Radhakrishnan <jayasri.radhakrishnan@regnosys.com>

Author: 3 people

RELEASE.md

@@ -1,3 +1,38 @@
+# _Product Model - Qualification of Total Return Swaps (TRS) with a Debt Underlier_
+
+_Background_
+
+Following ESMA Guidelines, Total Return Swaps with a debt instrument as their underlier (bond, loan, etc) must report field 2.11 - `Asset Class` as 'CRDT', while TRS on an equity index or a basket of equities should report `Asset Class` as 'EQUI'. Currently in the CDM, a Total Return Swap with a debt underlier is not classified correctly, and thus is being reported incorrectly as well. This release aims at fixing the `Qualify_AssetClass_Credit` function such that Total Return Swaps on a bond or a loan report AssetClass as 'CRDT'.
+
+_What is being released?_
+
+- The function `Qualify_AssetClass_Credit` is increasing its coverage to include Total Return Swaps with an underlier of a `loan` or a `securityType` of `debt`.
+
+_Functions_
+
+- Updated `Qualify_AssetClass_Credit` function to support Total Return Swap products, defined as having an `interestRatePayout` and a `performancePayout`. The function checks the `performancePayout` that `underlier -> loan` is present or that `underlier -> security -> securityType = Debt`.
+
+_Review directions_
+
+In Rosetta, select the Textual View and inspect the change identified above
+
+The changes can be reviewed in PR: [#2855](https://github.com/finos/common-domain-model/pull/2855)
+
+# _Product Model - Qualification of Foreign Exchange NDS_
+
+_Background_
+
+Currently, Foreign Exchange Non-Deliverable Swaps are not supported in the Common Domain Model. This release adds qualification support for this kind of product.
+
+_What is being released?_
+
+- Added the function `Qualify_ForeignExchange_NDS` that qualifies as true if a product has two forward payouts with an FX underlier and the `cashSettlementTerms` populated.
+_Review directions_
+
+In the Rosetta platform, select the Textual View and inspect each of the changes identified above.
+
+PR: [#2866](https://github.com/finos/common-domain-model/pull/2866)
+
 # _Addition of new enumeration to AvailableInventory_
 
 _Background_

rosetta-source/src/main/rosetta/product-qualification-func.rosetta

@@ -60,6 +60,7 @@ func Qualify_AssetClass_Credit: <"Qualifies a product as having the Asset Class
 
     alias optionUnderlier: economicTerms -> payout -> optionPayout only-element -> underlier
     alias forwardUnderlier: economicTerms -> payout -> forwardPayout only-element -> underlier
+    alias performanceUnderlier: economicTerms -> payout -> performancePayout only-element -> underlier
 
     set is_product:
         economicTerms -> payout -> creditDefaultPayout only exists
@@ -80,6 +81,11 @@ func Qualify_AssetClass_Credit: <"Qualifies a product as having the Asset Class
                     else False
 
                 )
+                // Interest Rate Payout + Performance Payout (Total Return Swap with a debt instrument as underlier)
+            or ((economicTerms -> payout -> interestRatePayout, economicTerms -> payout -> performancePayout) only exists 
+                and if performanceUnderlier exists
+                    then (performanceUnderlier -> loan exists or performanceUnderlier -> security -> securityType = SecurityTypeEnum -> Debt)
+                )
 
 func Qualify_AssetClass_ForeignExchange: <"Qualifies a product as having the Asset Class classification Foreign Exchange">
     inputs: