FpML Issues Tracker

656: Why not a compounding method scheme?

March 18, 2008

closed

Minor

Always

Interest Rate Derivatives

ddui_barcap

h_mcallister

Summary

CompoundingMethodEnum allows these three values:

Flat None Straight

Is there a reason why this is an enum and not a scheme? To my knowledge there are more than three compounding methods used in the market.

For example: "Flat" in FpML is what's sometime called "ISDA Flat" eslewhere. I.e. compounding excludes the spread, except for the first period, which includes the spread.

Another type of compounding could be "SimpleFlat", where also in the first period the spread is excluded.

-daniel

Notes:

  • mgratacos

    04/21/08 1:39 pm

    Coord April 21, 2008:

    List has been stable in the past.
    New values should be added or amended if necessary.

    Input from the Interest Rate Working Group is necessary.

  • mgratacos

    10/28/09 10:48 am

    There was a recent discussion within the IRDWG when the inclusion of a new SpreadExclusive compounding value was agreed. The group was ok with the enumerated list approach.

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