FpML Issues Tracker

Summary

Addition "LUN" to RollConventionEnum is required to support Lunar Roll Convention

What we call "LUN" follows the convention for the MXN TIIE. Here is a definition for TIIE:

TIIE (Tasa de Interes Interbancario de Equilibrio) is the benchmark for the Mexican interbank money market introduced by the Bank of Mexico in April 1997. The TIIE is the rate at which the supply and demand of 28-day bank loans are in equilibrium as determined by the Mexican Central Bank. Since its inception, a substantial market for funds linked to the TIIE has developed. This market includes notes that pay 28-day coupons based on TIIE, a repo market based on these notes, a TIIE-based commercial paper market, and one for medium-term notes with 28-day resets to the TIIE.

Unfortunately, there is no ISDA definiton for this convention.This is what I have founds so far:

* 28 day TIIE on the MXN notional payable every 28 days on an actual/360 daycount versus * Payments on "good" MXN dates using the following business day convention * However, if any date has been adjusted with following business day convention, the immediately following calc period shall be reduced by the adjusted number of calendar days. * MXN business days for fixing TIIE * Principal exchange on the effective and maturity dates