BRL-CDI Fpml 4.7

[resource.fnazareth]

Hi,

Can be possible use BRL-CDI inside tag floating-rate-index for FMPL 4.7?

[mgratacos]

Yes, you can. The schema and the coding schemes are technically decoupled so they are not tied to specific versions.

Best Regards,
Marc

[resource.fnazareth]

However when I try to validate the message displays the following error:

“The code value ‘BRL-CDI’ is not valid in scheme.

<FpML xmlns=”http://www.fpml.org/2009/FpML-4-9&#8243; xmlns:fpml=”http://www.fpml.org/2009/FpML-4-9&#8243; xmlns:xsi=”http://www.w3.org/2001/XMLSchema-instance&#8221; version=”4-9″ xsi:type=”DataDocument” xsi:schemaLocation=”http://www.fpml.org/2009/FpML-4-9 ../fpml-main-4-9.xsd http://www.w3.org/2000/09/xmldsig# ../xmldsig-core-schema.xsd”>

<trade>
<tradeHeader>
<partyTradeIdentifier>
<partyReference href=”party1″/>
<tradeId tradeIdScheme=”http://www.fpml.org/tradeId”>DUMTRADEID1</tradeId&gt;
</partyTradeIdentifier>
<partyTradeIdentifier>
<partyReference href=”party2″/>
<tradeId tradeIdScheme=”http://www.fpml.org/tradeId”>DUMTRADEID2</tradeId&gt;
</partyTradeIdentifier>
<partyTradeInformation>
<partyReference href=”party1″/>
</partyTradeInformation>
<tradeDate>2019-12-09</tradeDate>
</tradeHeader>
<swap>
<productType productTypeScheme=”http://www.fpml.org/coding-scheme/product-type-simple”>InterestRateSwap</productType&gt;
<swapStream id=”floatingLeg”>
<payerPartyReference href=”party1″/>
<receiverPartyReference href=”party2″/>
<calculationPeriodDates id=”payCalcDates”>
<effectiveDate>
<unadjustedDate>2019-12-11</unadjustedDate>
<dateAdjustments>
<businessDayConvention>NONE</businessDayConvention>
</dateAdjustments>
</effectiveDate>
<terminationDate>
<unadjustedDate>2024-12-11</unadjustedDate>
<dateAdjustments>
<businessDayConvention>MODFOLLOWING</businessDayConvention>
<businessCenters>
<businessCenter businessCenterScheme=”http://www.fpml.org/coding-scheme/business-center”>BRBD</businessCenter&gt;
</businessCenters>
</dateAdjustments>
</terminationDate>
<calculationPeriodDatesAdjustments>
<businessDayConvention>FOLLOWING</businessDayConvention>
<businessCenters>
<businessCenter businessCenterScheme=”http://www.fpml.org/coding-scheme/business-center”>BRBD</businessCenter&gt;
</businessCenters>
</calculationPeriodDatesAdjustments>
<calculationPeriodFrequency>
<periodMultiplier>1</periodMultiplier>
<period>D</period>
<rollConvention>NONE</rollConvention>
</calculationPeriodFrequency>
</calculationPeriodDates>
<paymentDates>
<calculationPeriodDatesReference href=”payCalcDates”/>
<paymentFrequency>
<periodMultiplier>6</periodMultiplier>
<period>M</period>
</paymentFrequency>
<payRelativeTo>CalculationPeriodEndDate</payRelativeTo>
<paymentDatesAdjustments>
<businessDayConvention>FOLLOWING</businessDayConvention>
<businessCenters>
<businessCenter businessCenterScheme=”http://www.fpml.org/coding-scheme/business-center”>BRBD</businessCenter&gt;
</businessCenters>
</paymentDatesAdjustments>
</paymentDates>
<resetDates id=”payResetDates”>
<calculationPeriodDatesReference href=”payCalcDates”/>
<fixingDates>
<periodMultiplier>0</periodMultiplier>
<period>D</period>
<businessDayConvention>PRECEDING</businessDayConvention>
<businessCenters>
<businessCenter businessCenterScheme=”http://www.fpml.org/coding-scheme/business-center”>BRBD</businessCenter&gt;
</businessCenters>
<dateRelativeTo href=”payResetDates”/>
</fixingDates>
<resetFrequency>
<periodMultiplier>1</periodMultiplier>
<period>D</period>
</resetFrequency>
<resetDatesAdjustments>
<businessDayConvention>FOLLOWING</businessDayConvention>
<businessCenters>
<businessCenter businessCenterScheme=”http://www.fpml.org/coding-scheme/business-center”>BRBD</businessCenter&gt;
</businessCenters>
</resetDatesAdjustments>
</resetDates>
<calculationPeriodAmount>
<calculation>
<notionalSchedule id=”payNotionalSchedule”>
<notionalStepSchedule>
<initialValue>10000000</initialValue>
<currency currencyScheme=”http://www.fpml.org/ext/iso4217-2001-08-15″>BRL</currency&gt;
</notionalStepSchedule>
</notionalSchedule>
<floatingRateCalculation>
<floatingRateIndex floatingRateIndexScheme=”http://www.fpml.org/coding-scheme/floating-rate-index”>BRL-CDI</floatingRateIndex&gt;
<indexTenor>
<periodMultiplier>1</periodMultiplier>
<period>D</period>
</indexTenor>
</floatingRateCalculation>
<dayCountFraction dayCountFractionScheme=”http://www.fpml.org/coding-scheme/day-count-fraction”>BUS/252</dayCountFraction&gt;
<compoundingMethod>Flat</compoundingMethod>
</calculation>
</calculationPeriodAmount>
</swapStream>

<swapStream id=”fixedLeg”>
<payerPartyReference href=”party2″/>
<receiverPartyReference href=”party1″/>
<calculationPeriodDates id=”recCalcDates”>
<effectiveDate>
<unadjustedDate>2019-12-11</unadjustedDate>
<dateAdjustments>
<businessDayConvention>NONE</businessDayConvention>
</dateAdjustments>
</effectiveDate>
<terminationDate>
<unadjustedDate>2024-12-11</unadjustedDate>
<dateAdjustments>
<businessDayConvention>MODFOLLOWING</businessDayConvention>
<businessCenters>
<businessCenter businessCenterScheme=”http://www.fpml.org/coding-scheme/business-center”>BRBD</businessCenter&gt;
</businessCenters>
</dateAdjustments>
</terminationDate>
<calculationPeriodDatesAdjustments>
<businessDayConvention>FOLLOWING</businessDayConvention>
<businessCenters>
<businessCenter businessCenterScheme=”http://www.fpml.org/coding-scheme/business-center”>BRBD</businessCenter&gt;
</businessCenters>
</calculationPeriodDatesAdjustments>
<calculationPeriodFrequency>
<periodMultiplier>6</periodMultiplier>
<period>M</period>
<rollConvention>11</rollConvention>
</calculationPeriodFrequency>
</calculationPeriodDates>
<paymentDates>
<calculationPeriodDatesReference href=”recCalcDates”/>
<paymentFrequency>
<periodMultiplier>6</periodMultiplier>
<period>M</period>
</paymentFrequency>
<payRelativeTo>CalculationPeriodEndDate</payRelativeTo>
<paymentDatesAdjustments>
<businessDayConvention>FOLLOWING</businessDayConvention>
<businessCenters>
<businessCenter businessCenterScheme=”http://www.fpml.org/coding-scheme/business-center”>BRBD</businessCenter&gt;
</businessCenters>
</paymentDatesAdjustments>
</paymentDates>
<calculationPeriodAmount>
<calculation>
<notionalSchedule id=”receiveNotionalSchedule”>
<notionalStepSchedule>
<initialValue>10000000</initialValue>
<currency currencyScheme=”http://www.fpml.org/ext/iso4217-2001-08-15″>BRL</currency&gt;
</notionalStepSchedule>
</notionalSchedule>
<fixedRateSchedule>
<initialValue>0.0624557001</initialValue>
</fixedRateSchedule>
<dayCountFraction dayCountFractionScheme=”http://www.fpml.org/coding-scheme/day-count-fraction”>BUS/252</dayCountFraction&gt;
</calculation>
</calculationPeriodAmount>
</swapStream>
</swap>
</trade>

<party id=”party1″>
<partyId partyIdScheme=”http://www.fpml.org/ext/iso9362″>FPML OWNER</partyId>
</party>

<party id=”party2″>
<partyId partyIdScheme=”http://www.fpml.org/ext/iso9362″>SWAP CNTRPARTY</partyId>
</party>

</FpML>

[mgratacos]

Yes, in the current default implementation of the FpML validator, a schema version is tied to a specific version of the coding schemes. This is not how it should be. However, the validator can be customized and you could potentially change the current defaults and allow a recent version of the floating rate index coding scheme in a 4.7 message.

Best Regards,
Marc

[Author]

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