FpML Issues Tracker

1368: Swap floating rate tags – duplicated?

January 21, 2025

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BrianGibbons

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Summary

Hi,

These tags always seem to carry the same data. Is there ever a scenario where they will different? If not, do they both have the same source information?

calculationPeriodFrequency/periodMultiplier/period

resetFrequency/periodMultiplier/period

 

Notes:

  • jbaserba

    09/16/25 11:00 am

    Hi Brian,

    Yes, the reset frequency and calculation period frequency can be different, although that is not very common. The only restriction is that posed by validation rule ird-5:

    “When resetDates/resetFrequency/period and calculationPeriodDates/calculationPeriodFrequency/period are “M” or “Y”, then the frequency in calculationPeriodDates/calculationPeriodFrequency must be an integer multiple of the frequency in resetDates/resetFrequency. See also: frequency equivalence”

    Therefore the reset could potentially take place not at every calculation period’s start/end but every several calculation periods.

    Let us know whether this clarifies the issue.

     

    Jan

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