FpML Issues Tracker

98: FpML 4.0 and Stub Field population – examples ird02 and ird05

June 3, 2005

closed

Minor

Always

Examples/Test Cases

Admin

mgratacos

Summary

When FpML 1.0 was defined for interest rate swaps we defined the rule that firstPaymentDate "must only be included if there is an initial stub". This definition remains in the FpML 4.1 standard today for interest rate components.

The rationale was that for vanilla swaps (without stubs) we wanted to make the FpML representation as simple as possible to generate, i.e. without needing to implement any date logic to calculate payment schedules.

firstPaymentDate is missing from the IRD example 5 (and also example 2) and looking back to the original examples in FpML 1.0 it was the same there too.

Notes:

  • mgratacos

    06/06/05 5:50 pm

    The ird_ex02_stub_amort_swap.xml and ird_ex05_long_stub_swap.xml examples have been updated in version 4.0 Recommendation. They will be updated in 4.1 Recommendation and 4.2 Second Working Draft. The Errata lists of all these versions have been updated accordingly.

    • Leave an update

    You must be logged in to post an update.

    Report an Issue

    The FpML Issues Tracker is designed to facilitate public interaction in the standard.

    By registering you will be able to submit corrections and comments, generate reports, and view the complete issues archive for FpML.

    Report Issue