Marc,
My preference would be to use the "1T" idiom for payment frequency, to
signal that the single payment spans the term of the trade regardless of
the actual duration (otherwise the message consumer has to figure out that
e.g. 30Y equates to the term of the trade), thus:
<paymentDates>
<calculationPeriodDatesReference href="N10434"/>
<paymentFrequency>
<periodMultiplier>1</periodMultiplier>
<period>T</period>
</paymentFrequency>
<payRelativeTo>CalculationPeriodEndDate</payRelativeTo>
<paymentDatesAdjustments>
<businessDayConvention>MODFOLLOWING</businessDayConvention>
<businessCenters>
<businessCenter>GBLO</businessCenter>
</businessCenters>
</paymentDatesAdjustments>
</paymentDates>
Best regards,
Harry McAllister
Fixed Income Architecture
BNP Paribas
Internet
MGratacos@xxxxxxxx
To
irdwg
Sent by: irdwg@xxxxxxxx cc
Lucio.Iida
28/01/2008 10:31 Subject
FpML-IRD zero coupon swap example
Please respond to
irdwg@xxxxxxxx
Hi all,
I recently got some questions about zero coupon interest rate swaps. I
created a very simple example but I’d like to check with the group whether
it is a good example to publish. See attached.
Thanks in advance,
-Marc
**************************************************************************************************************************
The information contained in either this email and, if applicable, the
attachment, are confidential and are intended only for the recipient. The
contents of either the email or the attachment may not be disclosed or used
by anyone other than the addressee. If you are not the intended
recipient(s), any use, disclosure, copying, or distribution is prohibited
and may be unlawful. If you have received this communication in error,
please notify us by e-mail at isda@xxxxxxxx then delete the e-mail and all
attachments and any copies thereof. This communication is part of an ISDA
process and is not intended for unauthorized use or distribution.
**************************************************************************************************************************
(See attached file: ird-ex32-zero-coupon-swap.xml)
This communication is confidential, may be privileged and is meant only for the intended recipient. If you are
not the intended recipient, please notify the sender by reply and delete this message from your system. Any
unauthorised dissemination, distribution or copying hereof is prohibited.
BNP Paribas Fund Services UK Limited, BNP Paribas Trust Corporation UK Limited, BNP Paribas UK Limited,
BNP Paribas Commodity Futures Ltd and Investment Fund Services Limited are authorised and regulated by
the Financial Services Authority.
BNP Paribas, BNP Paribas Securities Services and BNP Paribas Private Bank are authorised by the CECEI
and AMF. BNP Paribas London Branch, BNP Paribas Securities Services London Branch and BNP Paribas
Private Bank London Branch are regulated by the Financial Services Authority for the conduct of their UK
business. BNP Paribas Securities Services London Branch is also a member of the London Stock Exchange.
Attachment:
ird-ex32-zero-coupon-swap.xml
Description: Binary data