FpML Issues Tracker

1108: Within DiscountingTypeEnum used across rates products there is no ability to indicate “FRA Yield Discounting”

April 3, 2012

closed

Minor

N/A

Interest Rate Derivatives

ggurden2008

h_mcallister

Summary

The 2006 ISDA Definitions introduced a new explicit "FRA Yield Discounting" discounting method (see Section 8.4 Discountin). This was added primarily to support the discounting method used on AUD and NZD transactions.

The DiscountingTypeEnum used across various rates products, e.g. swap and capFloor, to specify valid values in the element doesn't currently have a value defined that corresponds to the "FRA Yield Discounting" method. The existing values are "Standard" and "FRA" which correspond to the discounting methods defined in the 2006 ISDA Definitions in Section 8.4 paragraph (a) and (b) respectively. Paragraph (b) specifically describes "FRA Discounting". Paragraph (e) defines "FRA Yield Discounting" but there is no equivalent code in the enumeration currently for this.

Notes:

  • h_mcallister

    05/21/12 11:21 am

    See comment (#2924) on issue #1107

  • mgratacos

    07/16/12 1:28 pm

    Added explicit support for “FRA Yield Discounting” method under a legal framework of the 2006 ISDA Definitions, Section 8.4 (e).

    – Added to ‘FRADiscountingEnum’, a new value ‘ISDAYield’ within fra/fraDiscounting.

    – Added to ‘DiscountingTypeEnum a new value ‘FRAYield’ within [swap|capFloor]Stream/calculationPeriodAmount/calculation.

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