FpML Issues Tracker

Summary

We would like to use the relativeEffectiveDate field, introduced in 4.2, to model the standard convention for determining the effective date of a USD LIBOR swap, namely:

(1) Add 2 London business days to the trade date. (2) Adjust the resulting date to be a valid New York & London business day, using the MODIFIEDFOLLOWING rule.

The relativeEffectiveDate field is a RelativeDateOffset, which provides a way of encoding rule (1), but there is no way of encoding rule (2). To do that, we would need an additional BusinessDayAdjustments element (note that the set of business centers in the 2 rules are different).

I suggest that we solve this problem by creating a new complex type that contains both a RelativeDateOffset and a BusinessDayAdjustments, and make relativeEffectiveDate have this new type.