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I put together an example of an MXN swap following the lunar calendar. See attached. I'd like to publish it in the specifications if there aren't objections to do so.
Thanks,
Marc
From: irdwg@xxxxxxxx [irdwg@xxxxxxxx] On Behalf Of Marc Gratacos [MGratacos@xxxxxxxx] Sent: Tuesday, June 22, 2010 5:55 PM To: irdwg@xxxxxxxx Subject: FpML-IRD Roll convention for Mexican IRS I got a question from an implementer regarding MXN swaps, which have a payment frequency of 28 days following the lunar calendar. The question is regarding the roll convention for such swaps. Would it be set up to NONE?
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Attachment:
ird-ex34-MXN-swap.xml
Description: ird-ex34-MXN-swap.xml