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Re: FpML-IRD Swap Stub Question
Hi Jeff,
You don't mention the calculation period frequency, so I assume it's not
relevant. I also assume that these are unadjusted dates (e.g. 2010-02-28 is
a Sunday), and that there is no reason to infer the existence of a stub,
apart from the fact that the day numbers of the effective and maturity date
are not equal.
Given these assumptions then the answer is no, we don't produce
firstRegularPeriodStartDate, firstPaymentDate etc, because there is no
stub.
To recap, we recognise a stub where the period generation rule for the
initial (or final) period differs from the generation rule for the regular
periods. In an informal notation, an initial stub occurs where:
effectiveDate != firstPeriodEndDate - calculationPeriodFrequency
(using unadjusted dates)
The presence of a stub is indicated in FpML by the presence of
firstRegularPeriodEndDate/lastRegularPeriodEndDate, together with
associated elements (e.g. firstPaymentDate) where appropriate.
In both of your examples, the effective date conforms to the rollConvention
for the regular periods (it is a valid EOM date),so there is no requirement
to declare a stub, indeed it would be incorrect to do so.
Best regards,
Harry McAllister
+44 20 7595 3416
Fixed Income Architecture
BNP Paribas
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Hi All,
I have a quick question related to whether a specific trade example should
have firstRegularPeriodStartDate, firstPaymentDate, and/or other stub
elements contained in the FpML representation.
Trade is as follows:
Effective date: 2/29/08 (leap year)
Maturity Date: 2/28/10
Roll: EOM
I am also curious as to whether the following trade FpML would contain the
stub elements (basically any trade that would have 31 or EOM rolls but
begins/matures in a month with less than 31 days).
Effective date: 6/30/08
Maturity Date: 6/30/10
Roll: EOM
Thanks and regards,
Jeff Valentino
Principal, Fixed Income Prime Brokerage
Banc of America Securities
T: 212.847-5349
C: 917.816.6438
F: 212.847.6409
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