Hi all,
This question raised by Christian Unger (BBH) about the use of the
firstPeriodStartDate element may be relevant to other implementers of
the interest rate swap piece of FpML. See response below.
-----Original Message-----
From: Harry_MCALLISTER@xxxxxxxxxxxxxx
[mailto:Harry_MCALLISTER@xxxxxxxxxxxxxx]
Sent: Monday, September 24, 2007 11:32 AM
To: Marc Gratacos
Cc: Christian.Unger@xxxxxxx
Subject: RE: IRS - firstPeriodStartDate
Marc,
The documentation for firstPeriodStartDate reads: "The start date of the
calculation period if the date falls before the effective date. It must
only be specified if it is not equal to the effective date...". This is
subject to interpretation, depending on how we construe the
effectiveDate.
I think dates in the example you quote below are taken from FpML IRD
example 5 (Fixed/Floating single ccy IRS with Long Initial/Short Final
stub) - but this is somewhat artificial, in that it would be unusual to
enter a swap part way through an irregular initial stub. In most cases,
with or without an initial stub, the effectiveDate *is* the start of the
first calculation period for interest accrual purposes, and we don't
need
firstPeriodStartDate.
The typical usage of firstPeriodStartDate would be in the case of an
asset
swap with a short initial stub, where the first period nonetheless
accrues
interest as for a full period. The start of the accrual period therefore
precedes the swap effective date, and firstPeriodStartDate denotes the
start of the accrual period (please see the attached powerpoint slide,
extract from the ISDA/FpML Training Course on Interest Rate
Derivatives).
Best regards,
Harry
(See attached file: stubCalculationPeriodDates.ppt)
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Hi Christian,
It works in a situation when the initial calculation period starts
before
the effective date. So it defines the beginning of an initial stub if
it's
not the same date as the effective date.
For example, you have a swap with an initial stub that has an irregular
calculation period of 7 months starting before the effective date, but
the
regular periods have 6 month duration. You need the firstPeriodStartDate
to
represent this product.
...
<effectiveDate>
<unadjustedDate>2000-04-05Z</unadjustedDate>
<dateAdjustments>
<businessDayConvention>NONE</businessDayConvention>
</dateAdjustments>
</effectiveDate>
...
<firstPeriodStartDate>
<unadjustedDate>2000-03-05Z</unadjustedDate>
<dateAdjustments>
<businessDayConvention>NONE</businessDayConvention>
</dateAdjustments>
</firstPeriodStartDate>
<firstRegularPeriodStartDate>2000-10-05Z</firstRegularPeriodStartDate>
...
Hope this helps.
King regards,
Marc
From: Christian.Unger@xxxxxxx [mailto:Christian.Unger@xxxxxxx]
Sent: Monday, September 24, 2007 9:14 AM
To: Marc Gratacos
Subject: IRS - firstPeriodStartDate
Marc,
apologies for contacting you with this issue but I am having
difficulties
to determine the function of the "FirstPeriodStartDate" sequence within
the
calculation period dates.
If I interpreted the schema and ISDA definition correctly the effective
date will be the first regular period start date unless an initial stub
is
part of the set up. In that case the effective date would be the start
date
of the stub calculation period and the "FirstRegularPeriodStartDate"
element would be populated with the start date of the first regular
period.
The schema definition is as following: "The start date of the
calculation
period if the date falls before the effective date. It must only be
specified if it is not equal to the effective date. This date may be
subject to adjustment in accordance with a business day convention."
Could you please let me know how the First Period Start Date fits in and
how it's used?
Best regards,
Christian Unger
Senior Business Analyst
Brown Brothers Harriman Limited
125 Finsbury Pavement
London EC2A 1PN
Direct +44 20 7614 2466
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Attachment:
stubCalculationPeriodDates.ppt
Description: stubCalculationPeriodDates.ppt