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FpML-IRD Re: FW: Usage of stubPeriodType element
Hi Daniel,
I agree, stubPeriodType on its own is insufficient to determine the
schedule structure in the case where there are stubs at both start and end,
unless an rule is specified to define the treatment of any residual stub
(e.g. "where a stub is implied at each end, the 'undefined' stub is always
short ...")
Looking at the history of this element, stubPeriodType was introduced to
support the Relative Swap definition, where the dates are specified as
periods relative to some other date (rather than explicit date values as in
the confirmation view). It is not intended to be used to define the stub
characteristics when the dates are known.
In general, the primary signifier of a stub in FpML is the presence of
firstRegularPeriodStartDate/lastRegularPeriodEndDate. The stub "type" (i.e.
short or long) should be inferred from the duration between effectiveDate
and firstRegularPeriodStartDate, or lastRegularPeriodEndDate and
terminationDate, compared with the regular calculation period interval.
Accepted, this is not the way many implementations e.g. booking systems
specify stubs - the process tends to work the other way round, starting
from designation of the stub as long/short, and deriving the dates
accordingly.
I would argue that the implementation of stubPeriodType is faulty in two
respects: (1) it is inadequate in the case of stubs at both start and end
(2) multiple domains should not be combined in a simple element; here we
have two ideas (Short/Long, Initial/Final) conflated in a single
enumeration - a better implementation would support a stub type
(Short/Long) for each of initial & final stubs.
In summary, if your implementation references explicit dates, you should be
using the -RegularPeriod- dates to signal the existence of stubs.
Best regards,
Harry McAllister
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Harry,
See question from Daniel below.
-Marc
(irdchair still was pointing to your jpmorgan address). We'll update
that.
-----Original Message-----
From: Daniel.Dui@xxxxxxxxxxxxxxxxxxx
[mailto:Daniel.Dui@xxxxxxxxxxxxxxxxxxx]
Sent: Monday, March 17, 2008 1:31 PM
To: irdchair@xxxxxxxx
Cc: Marc Gratacos
Subject: Usage of stubPeriodType element
Harry and the IRD-WG
At BarCap I am working on the representation of swaps with initial and
final stubs and I don't understand how the stubPeriodType element should
be used.
E.g. A five year swap with a short initial stub and a long final stub.
Effective Date = 1 Jan 2000
Termination Date = 31 Dec 2005
First regular period start date: 1 Mar 2000 (3 months after effective
date)
Last regular period End date: 28 Feb 2004 (9 months before termination
date)
Calculation Frequency = 6 months
Stub Period Type = ???
The element stubPeriodType can appear at most once. How can it describe
both stubs?
Could you please clarify the usage of this element? I don't think that
any of the examples uses it.
Many thanks
-daniel (AWG, VWG)
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