FpML Issues Tracker

1287: Calculation Parameters Section with Reset Dates Section

March 3, 2023




Unable to reproduce

Examples/Test Cases




Could please clarify FpML example "2.66 Example 58 - Cross Currency Swap with Lookback Compound computed floating rate". This example uses an overnight index and includes two sections: Calculation Parameters and Reset Dates . However, in the FpML schema ird-5-12 there is the description of the Calculation Parameters Section which notes that "when the Calculation Parameters structure is used, the "resetDates" structure will not be used. Instead, the observation rules for the calculated rate are defined within the structure."

In this example, both sections are present at the same time, so the question is:

Could this be an error in the example? If it is not an error, in which cases are both sections used simultaneously?

Also could you please give clarification about the Calculation Parameters structure. Does this section only apply to overnight indices or whether this section can also be applied in documents with floating rate indices?

Thank you in advance.


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