FpML Issues Tracker

1129: ird-ex18-opt-berm-term-swap.xml

June 28, 2012

closed

Minor

Have not tried

Examples/Test Cases

Admin

mgratacos

Summary

In this example for a swap with a bermudan optional early termination, inside the, the second adjusted date 2003-08-23 should be in year 2004 instead of 2003 corresponding to the second unadjusted date 2004-08-30 that happens in year 2004.

So bad value: 2003-08-23

Corrected value: 2004-08-23

Notes:

  • mgratacos

    07/16/12 2:53 pm

    This has been corrected for versions 5.3 Recommendation, 5.4 WD1, 4.10.

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