Imagine you want to set up a matching process for the following Cross Currency Swap data:
Setting up the matching fields is straightforward for most fields.
But how can we match the notional and currency fields from the two data sets?
"Notional 1" from Data Set A sometimes matches with "Notional A" in records from Data Set B, and sometimes with "Notional B". The fields "Currency 1", "Notional 2", and "Currency 2" present a similar problem.
To handle this type of situation, we can set up a multi-pass process that:
- In the first pass, tries to match "Notional 1" with "Notional A", and "Notional 2" with "Notional B" (and the currency fields in the same way)
- In the second pass, tries to match "Notional 1" with "Notional B", and "Notional 2" with "Notional A" (and the currency fields in the same way)
This can be achieved using Cross-Match rules.
To achieve this we have to:
- Match "Notional 1" with "Notional A", "Notional 2" with "Notional B", "Currency 1" with "Currency A", and "Currency 2" with "Currency B".
- Create an additional rule set
- Create two passes
Let's get started...
1) Match fields
- Click on Settings → Match fields
- Match the the notional and currency fields as follows:
- "Notional 1" with "Notional A"
- "Currency 1" with "Currency A"
- "Notional 2" with "Notional B"
- "Currency 2" with "Currency B".
2) Create a rule set
- Click on Settings → Rules & Rule sets
- Click on the Add button to add a rule set.
- Give a name to the rule set rule set. E.g.: "Notional 1 - Notional B"
- Click on Add rule for the field "Notional 1"
- Select the rule Cross match element
- Select "Notional 2" as the cross match field.
- Click on Save
This is the result.
This is what the cross match rule does: In the Match fields screen, we initially matched the notional fields as follows:
"Default" rule set:
Then we created a new rule set called "Notional 1 - Notional B" and defined a rule that cross matches "Notional 1" with "Notional 2". as a result of this, when Duco applies the "Notional 1 - Notional B" rule set, it matches the fields as follows:
"Notional 1 - Notional B" rule set:
I.e., Duco swaps the fields with which the fields "Notional 1" and "Notional 2" are matched.
Note that, although the cross match rule is associated with the match field "Notional 1", It affects also the match field "Notional 2". We could have applied the cross match rule to "Notional 2" and obtain the same effect.
I.e., the following two rule sets are equivalent.
To finish the rule set up we need to also add a cross match rule for currencies, just like we have done for the Notionals.
- Click on Add rule for the field "Currency 1"
- Select the rule Cross match element
- Select "Currency 2" as the cross match field.
- Click on Save
This is what the rule set looks like:
3) Create two passes
To complete the process set up we need to:
- Create two passes
- Associate the new rule set "Notional 1 - Notional B" with one of the two passes
- Click on Settings → Multi pass
- Click on Add Pass
- Enter a name for the pass. E.g., "Notional 1 - Notional A"
- Click Create
That's all we need to do for the first pass. The only rule set that applies is the "Default" rule set.
Now need to set up the second pass.
- Click Add Pass
- Enter a name for the pass. E.g., "Notional 1 - Notional B"
- Click Create
- Click on Edit for the newly created pass.
- In the Matching rules drop down menu, select the rule set "Notional 1 - Notional B".
The end result is as follows. As you can see the rule set "Notional 1 - Notional B" applies to the second pass.
The matching process is now fully configured.
Run the process
- Click Exit settings → to navigate to the Process overview screen.
- Click Run process → Re-use previous data to run the process.
- Click on Run process
When the run has finished you should see these results.