FpML Issues Tracker

1330: observationShift (SetInAdvance, Standard, FixingDate)

September 4, 2023

feedback

Tweak

Have not tried

Schema

5.11 Trial Recommendation (Build 5)

XAPWG

MAZA

None

Summary

Good day !

I have a question regarding the observationShift section, in particular the observationPeriodDates element.

The element contains three options: SetInAdvance, Standard, FixingDate. Everything seems clear with the SetInAdvance value, but there are questions about the other two.

 

1) Can you explain with an example what "Standard" actually means? Am I correct in my understanding that this is an ordinary observation shift, which may involve the use of a certain number of shift days + take into account rates and their weight from the observation period?

2) Regarding FixingDate, do I understand correctly that this option is used mostly for OIS swaps that have a reset other than 1D, and are based on term-rate 1M, 3M, 6M, etc.? Please explain how this method works too?

 

Thank you.

Best regards, Maksym

 

Notes:

  • JasonPolis

    10/12/23 8:37 am

    XAPWG 2023-09-28:
    The rules on each one are detailed in the ISDA documentation referenced by the schema,
    or take the FpML training courses.

    Users will need to buy documentation or training course.

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