FpML-IRD Fw: Roll convention for Mexican IRS

[harry.mcallister@xxxxxxxxxxxxxxxxx]

Marc,

Please see Guy Gurden's response below,
which I am re-forwarding on his behalf (it isn't showing on the mailing
list at http://www.fpml.org/_wgmail/_irdwgmail/threads.html).

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
 
----- Forwarded by Harry
MCALLISTER/UK/EUROPE/GROUP on 23/06/2010 20:00 -----

Internet  
ggurden@xxxxxxxxxxxxxx

23/06/2010 19:47

To	Harry MCALLISTER
cc
Subject	FW: Roll convention for Mexican IRS

Harry,
 
See below. My post doesn't
seem to have made it through. Maybe you can post on my behalf.

Thanks
Guy
 
From: Guy Gurden 
Sent: Wednesday, June 23, 2010 2:28 PM
To: irdwg@xxxxxxxx
Subject: RE: Roll convention for Mexican IRS
 
Marc,
 
Here's an example of a 5-year
MXN IRS trade extracted out of our MarkitWire platform. It reflects the
correct market conventions. The differences I noted versus your example
are:
 
1. The end date for a 5-year
MXN IRS effective 14 Dec 2010 would be 8 Dec 2015 (calculated by adding
5 * 13 * 28 days to the start date - a 'year' comprises of thirteen 28-day
'lunar' periods).
2. The calculation/payment
date adjustments are Following rather than Modified Following. You correctly
have the rollConvention as NONE.
3. Fixed leg day count fraction
should be ACT/360.
 
Guy
 
From: irdwg@xxxxxxxx [mailto:irdwg@xxxxxxxx]
On Behalf Of Marc Gratacos
Sent: Wednesday, June 23, 2010 1:32 PM
To: irdwg@xxxxxxxx
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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