Re: FpML-IRD RE: Roll convention for Mexican IRS

[harry.mcallister@xxxxxxxxxxxxxxxxx]

Hi Marc,

The practice in the case of MXN swaps
with a calculation period frequency of 28 (or 91, or 182) days is to set
calculationPeriodFrequency/ollConvention = NONE. Please see past
correspondance on this point in the IRD-WG mail archive at: http://www.fpml.org/_wgmail/_irdwgmail/msg00103.html.

Please note, the attached sample implies
a stub because the period from 2010-12-14 to 2015-12-14 is not an integer
multiple of 28D. The sample needs to be corrected, either by specifying
the stub properties or by adjusting the term of the trade. 

I suggest changing the maturity date
to 2015-12-08, giving a term of 1820 days = 65 x 28D periods. This
is a "natural" term for a MXN swap, which tend to be transacted
for terms comprising integer multiples of 13 x 28D calculation periods
(e.g. 13, 26, 39, 52, 65 ... periods) - although MXN swaps with initial
stubs (and more rarely, end stubs) are by no means uncommon.

Best regards,
Harry


__________________________________________________________________________
Harry McAllister | Information Architect | Fixed Income Architecture
| BNP Paribas
4R223 | 10 Harewood Avenue | London NW1 6AA
tel: +44 (0)20 7595 3416 | email : harry.mcallister@xxxxxxxxxxxxxx

Internet  
MGratacos@xxxxxxxx

Sent by: irdwg@xxxxxxxx

23/06/2010 18:32

Please respond to
irdwg@xxxxxxxx

To	irdwg@xxxxxxxx
cc
Subject	FpML-IRD RE: Roll convention for Mexican IRS

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?
 
Thanks in advance,
Marc

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