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RE: FpML-IRD Swap Stub Question
I agree with these explanations, but just wanted clarification. It
appears that our internal system is showing these elements for the first
trade. I would think that we would have had breaks in our Swapswire
recon in the past. I will speak with the appropriate parties internally
here.
Regard,
Jeff
-----Original Message-----
From: irdwg@xxxxxxxx [mailto:irdwg@xxxxxxxx] On Behalf Of Guy Gurden
Sent: Thursday, August 30, 2007 1:11 PM
To: irdwg@xxxxxxxx
Subject: RE: FpML-IRD Swap Stub Question
I agree with Harry's explanation. Additionally, the first trade would
only have stub elements if the roll convention was the 28th of the month
rather than EOM since with 28th rolls the initial period would be
shorter than a regular period since it would be starting on 29th Feb 08
rather than 28th Feb 08.
Guy
-----Original Message-----
From: irdwg@xxxxxxxx [mailto:irdwg@xxxxxxxx] On Behalf Of
Harry_MCALLISTER@xxxxxxxxxxxxxx
Sent: Thursday, August 30, 2007 12:42 PM
To: irdwg@xxxxxxxx
Subject: 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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