FpML Issues Tracker
closed
Tweak
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Schema
5.11 Recommendation (Build 6)
XAPWG
Liudmyla
None
Summary
Hello,
Could you please clarify if there is an element in FpML schema for Cross Currency Fixed Fixed instrument that can indicate the trade settlement days (the quantity of days between trade date and the date when trade is deemed to be settled) or the settlement date by itself, that usually ranges from one to three days starting from the Trade date?
Thank you in advance.
Best regards,
Liudmyla
Notes:
h_mcallister
09/11/23 7:13 pm
Hi Liudmyla,
What do you mean by “the date when trade is deemed to be settled”? There will in genreal be many settlement dates over the term of a swap.
Do you mean, the Initial Exchange Date for principal exchanged at the start of a Cross Currency swap?
HMcA
h_mcallister
09/11/23 7:13 pm
*in general
Liudmyla
09/12/23 11:06 am
Hello,
I meant when in the document the <tradeDate> 1994-12-12
and then the <effectiveDate>/<unadjustedDate>1994-12-14
does any element exist in FpML to indicate the difference 2 days between them?
Thank you.
JasonPolis
09/12/23 12:20 pm
Some products will have a <effectiveDate>/<relativeDate> or <relativeEffectiveDate> or similar
instead of an <unadjustedDate> or <adjustableDate> or similar.
Liudmyla
09/13/23 9:58 am
Thank you
h_mcallister
09/13/23 2:19 pm
… does any element exist in FpML to indicate the difference 2 days between them?
In short, no. An interest rate swap will typically start spot to the trade date (i.e. a number of business days after the trade date as determined by the spot convention for the transaction currency e.g. 2BD). However it is not uncommon to transact a “forward starting” swap whose effective date may be months – or even years – after the trade date.
The tradeDate/effectiveDate interval is of secondary importance once the transaction is negotiated & confirmed, so FpML does not attempt to capture it – the effective date is what matters, regardless of how it was arrived at.
JasonPolis
09/14/23 9:20 am
.