RE: FpML-IRD zero coupon swap example

["Marc Gratacos" <MGratacos@xxxxxxxx>]

Harry,

Yes, this makes sense. See attached updated version of the example.

-----Original Message-----
From: harry.mcallister@xxxxxxxxxxxxxxxxx
[mailto:harry.mcallister@xxxxxxxxxxxxxxxxx] 
Sent: Monday, January 28, 2008 6:39 AM
To: irdwg@xxxxxxxx
Cc: Marc Gratacos; Lucio.Iida@xxxxxxxxxxxxxxxxxx
Subject: Re: FpML-IRD zero coupon swap example


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




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Attachment: ird-ex32-zero-coupon-swap.xml
Description: ird-ex32-zero-coupon-swap.xml