FpML Issues Tracker

1256: cashflows//observationWeight should not be mandatory

October 16, 2018

Normal

assigned

Minor

Always

Interest Rate Derivatives

h_mcallister

iyermakova

Summary

Floating rate cashflow calculation periods may include historical rate observations by means of the floatingRateDefinition/rateObservation component (optional, unbounded). RateObservation includes a observationWeight element, annotated as (my emphasis):

The number of days weighting to be associated with the rate observation, i.e. the number of days such rate is in effect. This is applicable in the case of a weighted average method of calculation where more than one reset date is established for a single calculation period.

observationWeight is the only mandatory element within the RateObservation structure, which means that the element must be present even where not obviously applicable (not every interest rate swap employs a weighted average calculation method).

  • rateObservation/observationWeight should be optional
  • This change should be applied retrospectively at all versions of FpML

Notes:

  • iyermakova

    04/03/19 3:42 pm

    Hi Harry,

    I will bring this issue to the FpML XAP WG. I also need to do some more research on this, as the rateObservation/observationWeight is the only required element since FpML 4.x

    Best Regards,

    Irina Yermakova

  • h_mcallister

    04/03/19 3:58 pm

    Thanks, Irina.

    In fact observationWeight has been a required element within rateObservation since forever (FpML 1.0) – but you are correct that it is the only required element since FpML-4-x (adjustedFixingDate was also mandatory up to FpML-3-0).

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