CNY REPO 1W swaps

[scolebourne]

Hi all,
I’m trying to establish how CNY REPO swaps should be managed within FpML and pricing more generally. Based on various sources, my understanding is that these swaps observe the rate weekly, but pay every three months, leaving a final stub within each payment period. My understanding is that the observations are compounded to produce the final payment.

– paymentDates/paymentFrequency = 3M
– calculationPeriodDates/calculationPeriodFrequency = ????
– resetDates/resetFrequency = 1W
– calculation/compoundingMethod = Flat

Reading FpML, the rules for paymentFrequency say “A payment frequency … that is not a multiple of the calculation period frequency is invalid.” This implies that the calculationPeriodFrequency must be 3M.

However, for compoundingMethod FpML says “This element must only be included when more that one calculation period contributes to a single payment amount”. This implies that the calculationPeriodFrequency must be 1W.

I cannot see how FpML allows for CNY swaps given the tension between these two.

Is my understanding of these swaps correct?
Is there really a stub within each payment period?
How does that work at the boundary between payment period 1 and 2?
What should the calculationPeriodFrequency be?
Is there a de facto standard here if FpML is incomplete?

Thanks!
Stephen @ OpenGamma

[gary@clarusft.com]

There is a validation rule ird-12 which explicitly mentions the calculation frequency consistency only applies when not CNY REPO.

‘If floatingRateIndex is not “CNY-CNREPOFIX=CFXS-Reuters”, the frequency specified in calculationPeriodFrequency must divide precisely the schedule…’

My understanding is that there really is a stub on each period and it is at the end. However, I have not found this in any official document.

[Author]

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