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Marc, Mexican IRS with lunar rolls
have a period of 28 D and a rollConvention of NONE. Kind regards, John. John
Aldridge ____________________________________________________________________________________________________ John Aldridge | IB Rates Technology | J.P.
Morgan | 125 London Wall EC2Y 5AJ | T: +44 207 742 0800 | john.aldridge@xxxxxxxxxxxx From: irdwg@xxxxxxxx [mailto:irdwg@xxxxxxxx] On
Behalf Of Marc Gratacos 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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