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Re: FpML-IRD FW: [FpML 0000388]: Add new BUS/252 day count fraction coding scheme value to support Brazilian Real swaps
Thanks, Guy. I saw this on the issues list just a little earlier today -
don't think it's controversial.
I presume the code doesn't need any further qualification (as per
ACT/ACT.ISMA etc), and will only ever be used in conjunction with currency
= BRL and Brazilian businessCenters?
Best regards,
Harry
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I've raised the following FpML issue which may be of interest to the WG.
Guy
-----Original Message-----
From: issues@xxxxxxxx [mailto:issues@xxxxxxxx]
Sent: Wednesday, July 11, 2007 9:27 AM
To: Guy Gurden
Subject: [FpML 0000388]: Add new BUS/252 day count fraction coding
scheme value to support Brazilian Real swaps
The following issue has been ASSIGNED.
======================================================================
<http://www.fpml.org/issues/view.php?id=388>
======================================================================
Reported By: ggurden
Assigned To: iyermakova
======================================================================
Project: FpML
Issue ID: 388
Category: Coding Scheme
Reproducibility: always
Severity: minor
Priority: normal
Status: assigned
XML Tool Type:
======================================================================
Date Submitted: 2007-07-10 19:12 UTC
Last Modified: 2007-07-11 13:27 UTC
======================================================================
Summary: Add new BUS/252 day count fraction coding
scheme
value to support Brazilian Real swaps
Description:
Brazilian Real interest rate swaps use an unusual day count fraction for
calculation of the fixed amounts. The day count is based on business,
not
calendar (actual) days and a year is assumed to have 252 days. For
example, a Fixed Rate Day Count Fraction definition on a confirmation
might read:
Calculation Days/252 where Calculation Days is the number of Business
Days
from and including the Effective Date up to and excluding the
Termination
Date.
So the suggested new code would be BUS/252 and the associated
description
would be something like:
"The number of Business Days in the Calculation Period or Compounding
Period in respect of which payment is being made divided by 252."
======================================================================
Issue History
Date Modified Username Field Change
======================================================================
2007-07-10 19:12ggurden New Issue
2007-07-11 13:27mgratacos Assigned To mgratacos =>
iyermakova
======================================================================
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