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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 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] 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 The information contained in either this email and, if applicable,
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