FpML Issues Tracker

Summary

Known issues with examples in 5-13-7-REC-1.

XAPWG to decide how to resolve each one.

1. Payment/calculation dates reference pointing to a PrincipalExchange or TerminationDate.

ird-ex29-non-deliverable-settlement-swap.xml

ird-ex31-non-deliverable-settlement-swap.xml

ird-ex33-BRL-CDI-swap.xml

 

2. Roll convention “NONE” with calculation period “M” (relative dates sample).

ird-ex30-swap-comp-avg-relative-date.xml

 

3. Compounding method + fixed rate schedule in the fixed leg .

ird-ex53-xccy-swap-OIS.xml

ird-ex58-xccy-swap-lookback_compound.xml

ird-ex61-trs-single-underlyer.xml

ird-ex62-trs-single-underlyer-short.xml

 

4. rollConvention and no weeklyRollConvention with period “W”.

ird-ex58-xccy-swap-lookback_compound.xml

 

5. Termination date = first regular period start date

ird-ex74-fixed-fixed-basis-swap-AUD.xml

 

6. fixedRateSchedule with initial value 0.

ird-ex75-fixed-fixed-basis-swap-JPY-USD_Non_Mark-To-Market.xml

 

7. Invalid FRO: JPY-TIBOR-DTIBOR (only JPY-TIBOR-DTIBOR01 exists)

ird-ex05a-long-stub-swap.xml

 

8. category element used with external DTCC URIs.

ird-ex32-zero-coupon-swap-normal-rate.xml

ird-ex37-zero-coupon-swap-known-amount-schedule.xml