IRS – Front and Back stubs

[YC]

Hi,

I’ve searched on this forum and the statement below in 2009 states that we don’t support Front and Back stubs.

Has this changed now ?

Thanks
YC

June 16, 2009 at 8:38 am #1758

amitm

Member

Hi, from what I know, Stub has 4 different types: -Short First Stub -Short Last Stub -Long First Stub -Long Last Stub and combination’s between them. I read that I need to use the node “stubCalculationPeriodAmount” My Question is If I need to use this node also for Long stubs or only for short stubs? 10x, Amit
.

June 17, 2009 at 4:06 am #1760

mgratacos

Moderator

Hi Amit, You need to use the node for both. In FpML the recipient of the message needs to calculate the duration of the stub and compare it against the duration of a regular period in order to know whether it’s short or long. There is a short/long field available, in CalculationPeriodDates/stubPeriodType (values of StubPeriodTypeEnum = {ShortInitial, ShortFinal, Longinitial, LongFinal}) but it doesn’t support initial and final stubs at the same time. Hope this helps. Marc

[h_mcallister]

Hi YC,

That’s not what the answer at #1760 implies.

FpML supports both front and back stubs, represented by firstRegularPeriodStartDate and lastRegularPeriodEndDate respectively. As the previous answer states, the length of the stub (short or long) can be calculated by comparing the calculationPerodFrequency (length of a regular period), with the duration of the stub (interval between effectiveDate and firstRegularPeriodStartDate, or lastRegularPeriodEndDate and terminatonDate).

The stubPeriodType element can be used to signal the stub length for convenience, in the case where there is only one stub, but is not a substitute for [first|last]RegularPeriod[Start|End]Date.

Hope that helps (?)

Harry McAllister
Chair, FpML IRD WG

• This reply was modified 8 years, 2 months ago by h_mcallister.
• This reply was modified 8 years, 2 months ago by h_mcallister.

[YC]

Thanks for your reply.

Will stubPeriodType be required for Front and Back stubs and what would the value be in this instance?

Really appreciate your help on this.

Thanks

[YC]

Sorry, can you also clarify if FpML supports both front and back stubs on the same message?

Thanks
Yoong

[h_mcallister]

Hi Yoong,

Yes, front and back stubs can be represented in the same message, by specifying both firstRegularPeriodStartDate and lastRegularPeriodEndDate. stubPeriodType should be regarded as an optional extra – I suggest omitting it in the case where both front and back stubs exist.

Best regards,
Harry

• This reply was modified 8 years, 2 months ago by h_mcallister.

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