FpML Issues Tracker

986: Add support for future value notional amount for BRL CDI swaps

September 18, 2009

closed

Major

N/A

Interest Rate Derivatives

Admin

h_mcallister

Summary

As of March 2009, EMTA-ISDA recommended market practice for BRL CDI swaps is to include the future value notional amount in trade documentation.

Jamie Orme at Goldman Sachs brought a proposal to the Interest Rate Derivatives Working Group, to add a Future Value Notional amount in the FpML rates model. The IRD-WG has now agreed on an implementation to support the relevant terms in InterestRateStream/calculation.

A new complex type "FutureValueAmount" is defined, which extends Money with the addition of "calculationPeriodNumberOfDays" and "valueDate". The type is instantiated as "futureValueNotional".

In order to enforce association with the swap fixed leg, the new element is located in the "fixedRateSchedule" branch of the "rate" choice group within Calculation.

Attachments

  • fpml-ird-4-6.xsd

    • Notes:

  • iyermakova

    09/18/09 8:22 pm

    The change is committed to trunk/ (FpML-4-7) and branches/ FpML-5-0

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