Please find the latest schema and examples
(rename .zip-email to .zip)
with support for the revised interest calculations model which Richard sent with the minutes
(and copied below). Also for
download is the updated collateral documentation (51wd3_draft5.doc)
(4MB / too big as an attachment).
Thanks, Lyteck
"Below is an example of the revised interest calculation details, based on today’s feedback.
The example shows compounding calculations for day 1 and day 2 to illustrate how the structures can be used. Feel free to send feedback/comments via the mailing list.
…
<interestAccrued>
<deliveringPartyReference href="party1"/>
<receivingPartyReference href="party2"/>
<interest>
<currency>USD</currency>
<amount>1371.55</amount><!--
= the cumulative interest amount at the end of the interest period-->
</interest>
<calculationTerms>
<calculationType>Compounding</calculationType>
<index>EUR-EONIA-Swap-Index</index>
<spread>0.0030</spread>
<dayCountFraction>ACT/360</dayCountFraction>
<withholdingTax>true</withholdingTax>
</calculationTerms>
<interestCalculationDetails><!-- optional interest calculations:
-->
<dailyInterestCalculation><!-- calculations
for 1st day of period -->
<calculationDate>2010-08-01Z</calculationDate>
<principalAmount>600000</principalAmount><!--
current day's principal amount = previous day's principal amount +/- movement amount for today -->
<movement><!-- aggregated
settled collateral movement for the calculation date -->
<deliveringPartyReference
href="party2"/>
<receivingPartyReference
href="party1"/>
<amount>100000</amount>
</movement>
<effectivePrincipalAmount>600000</effectivePrincipalAmount>
<interestRate>0.43</interestRate>
<spread>0.03</spread>
<effectiveRate>0.40</effectiveRate>
<accruedInterest>666.66</accruedInterest>
<!-- = (0.40 * 600,000) / 360 -->
<cumulativeInterestAmount>666.66</cumulativeInterestAmount>
</dailyInterestCalculation>
<dailyInterestCalculation><!-- calculations
for 2nd day of period -->
<calculationDate>2010-08-02Z</calculationDate>
<principalAmount>650000</principalAmount>
<!-- current day's principal amount = previous day's principal amount +/- movement amount for today -->
<movement><!-- aggregated settled collateral movement for the calculation date -->
<deliveringPartyReference href="party1"/>
<receivingPartyReference href="party2"/>
<amount>50000</amount>
</movement>
<effectivePrincipalAmount>650666.66</effectivePrincipalAmount>
<!-- end of day balance (principalAmount) + previous day's cumulativeInterestAmount = $650000 + $666.66 -->
<interestRate>0.42</interestRate>
<spread>0.03</spread>
<effectiveRate>0.39</effectiveRate>
<accruedInterest>704.89</accruedInterest>
<!-- (0.39 * 650,666.66) / 360 -->
<cumulativeInterestAmount>1371.55</cumulativeInterestAmount>
<!-- = day1 accrued interest ($666.66) + day 2 accrued interest ($704.89) -->
</dailyInterestCalculation>
<!-- interest calculations for day 3, 4, …, n would go here -->
</interestCalculationDetails>
</interestAccrued>